Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents a comprehensive analysis of various options, including their T - type quotes, trading volumes, open interests, implied volatilities, and provides suggestions for volatility trading and risk - free arbitrage for different options on multiple exchanges [3][21][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - 1.1 Shanghai 50ETF - Basic Information: Presents the T - type quote table of 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options is 657,046 lots, the open interest is 717,816 lots, the trading volume ratio of call to put options is 1.71, and the weighted average implied volatility is 17.83% [19][21]. - Volatility Trading: Suggests selling the upper - curve months and buying the lower - curve months for different months; selling the upper - curve options and buying the lower - curve options for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 36.8% at the settlement price and 2.82% at the counter - price [27][29]. - 1.2 Huatai - Berry CSI 300ETF - Basic Information: Displays the T - type quote table of 300ETF options. The trading volume of the main - contract options is 575,810 lots, the open interest is 492,163 lots, the trading volume ratio of call to put options is 1.61, and the weighted average implied volatility is 18.87% [30][32]. - Volatility Trading: Similar to the 50ETF, it suggests selling the upper - curve months and options and buying the lower - curve ones [34]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 3.91% at the counter - price [38][41]. - 1.3 Southern CSI 500ETF - Basic Information: Shows the T - type quote table of 500ETF options. The trading volume of the main - contract options is 801,159 lots, the open interest is 483,140 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 22.47% [42][44]. - Volatility Trading: Offers the same volatility trading suggestions as above [48]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 129% at the settlement price and 28.6% at the counter - price [51][53]. - 1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Presents the T - type quote table of the innovation - board 50ETF options. The trading volume of the main - contract options is 267,716 lots, the open interest is 771,023 lots, the trading volume ratio of call to put options is 1.81, and the weighted average implied volatility is 32.06% [54][56]. - Volatility Trading: Provides the same volatility trading advice [58]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 107% at the settlement price and 14.8% at the counter - price [62][64]. - 1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Displays the T - type quote table of the innovation - board 50ETF options. The trading volume of the main - contract options is 63,081 lots, the open interest is 259,012 lots, the trading volume ratio of call to put options is 2.91, and the weighted average implied volatility is 31.5% [65][67]. - Volatility Trading: Gives the same volatility trading suggestions [69]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.6% at the settlement price, and no return is provided at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options - 2.1 Harvest CSI 300ETF - Basic Information: Presents the T - type quote table of Shenzhen 300ETF options. The trading volume of the main - contract options is 90,635 lots, the open interest is 105,907 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 21.67% [76][79]. - Volatility Trading: Offers the same volatility trading advice [83]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 93.9% at the settlement price and 12.2% at the counter - price [87][89]. - 2.2 E Fund ChiNext ETF - Basic Information: Displays the T - type quote table of ChiNext ETF options. The trading volume of the main - contract options is 1,085,196 lots, the open interest is 865,444 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 29.96% [90][92]. - Volatility Trading: Provides the same volatility trading suggestions [95].
先锋期货期权日报-20250721
Xian Feng Qi Huo·2025-07-21 09:36