先锋期货期权日报-20250723

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 23, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report provides detailed data on various option products, including implied volatility, historical volatility, and real - time volatility, to assist investors in making trading decisions [3][5][6] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF on the day was 866,440 lots, the open interest was 535,949 lots, the trading volume ratio of call options to put options was 1.78, and the weighted average implied volatility was 17.11% [19][21] - Volatility Trading: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [23] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 0.53% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 772,000 lots, the open interest was 526,544 lots, the trading volume ratio of call options to put options was 1.76, and the weighted average implied volatility was 17.39% [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [34] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 2.66% at the settlement price and 0.04% at the counter - price [38][40] 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF on the day was 848,679 lots, the open interest was 465,938 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 20.19% [41][43] - Volatility Trading: Follow the rule of selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [45] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 25.1% at the settlement price and 5.50% at the counter - price [50][52] 1.4 Huaxia SSE STAR Market 50ETF - Basic Information: The trading volume of the main options of Huaxia SSE STAR Market 50ETF on the day was 602,584 lots, the open interest was 682,078 lots, the trading volume ratio of call options to put options was 2.35, and the weighted average implied volatility was 27.3% [53][55] - Volatility Trading: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [57] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.18% at the settlement price and 1.28% at the counter - price [61][63] 1.5 E Fund SSE STAR Market 50ETF - Basic Information: The trading volume of the main options of E Fund SSE STAR Market 50ETF on the day was 158,400 lots, the open interest was 174,325 lots, the trading volume ratio of call options to put options was 2.54, and the weighted average implied volatility was 28.37% [64][66] - Volatility Trading: Similar to other products, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [69] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 6.73% at the settlement price and 0.87% at the counter - price [72][74] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main options of Harvest SSE 300ETF on the day was 83,094 lots, the open interest was 71,654 lots, the trading volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 18.17% [75][78] - Volatility Trading: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [80] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 8.70% at the settlement price and 0.09% at the counter - price [84][86] 2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main options of E Fund ChiNext ETF on the day was 941,105 lots, the open interest was 609,208 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 25.67% [87][89] - Volatility Trading: Not fully detailed in the provided content - Risk - free Arbitrage: Not provided in the report