先锋期货期权日报-20250722

Group 1: Report Overview - Report Title: Pioneer Futures Option Daily Report [1] - Date: July 22, 2025 [1] Group 2: Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range [3][5]. - For example, zc509 has an at-the-money option implied volatility of 5.1%, ranking 1st; ps2509 has a 30-day historical volatility of 3.1%, ranking 1st; and fg509 has a daily true range of 6.7%, ranking 2nd [3]. Group 3: Option Trading Analysis by Exchange 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF on the day was 800,140 lots, the open interest was 621,524 lots, the trading volume ratio of call options to put options was 1.71, and the weighted average implied volatility was 17.22% [21]. - Volatility Trading: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [23]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 235% when traded at the settlement price and 33.6% when traded at the counterparty price [27][29]. 3.1.2 Huatai-PineBridge CSI 300ETF - Basic Information: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 656,899 lots, the open interest was 418,736 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 20.07% [33]. - Volatility Trading: Similar trading suggestions as for Shanghai 50ETF [37]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 117% when traded at the settlement price and 29.5% when traded at the counterparty price [41][43]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF on the day was 906,135 lots, the open interest was 438,698 lots, the trading volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 21.18% [46]. - Volatility Trading: Similar trading suggestions as above [49]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 155% when traded at the settlement price and 25.7% when traded at the counterparty price [53][55]. 3.1.4 Huaxia SSE STAR 50 ETF - Basic Information: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 405,641 lots, the open interest was 562,902 lots, the trading volume ratio of call options to put options was 1.91, and the weighted average implied volatility was 24.49% [58]. - Volatility Trading: Similar trading suggestions as before [60]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.78% when traded at the settlement price and 2.14% when traded at the counterparty price [64][66]. 3.1.5 E Fund SSE STAR 50 ETF - Basic Information: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 93,595 lots, the open interest was 124,079 lots, the trading volume ratio of call options to put options was 1.74, and the weighted average implied volatility was 25.93% [69]. - Volatility Trading: Similar trading suggestions as other ETFs [71]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.02% when traded at the settlement price and 1.56% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of Harvest CSI 300ETF on the day was 89,876 lots, the open interest was 83,549 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 24.13% [81]. - Volatility Trading: Similar trading suggestions as other ETFs [85].