Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: July 29, 2025 - Data Sources: IfinD, Pioneer Futures Investment Consulting Department, Shanghai Stock Exchange, Shenzhen Stock Exchange [3][5][19][32][78] Core Data Option Volatility Data - The report provides the at-the-money option implied volatility, 30-day historical volatility, and the real daily amplitude of various option underlying assets, such as ps2509, 1c2509, si2509, etc. The at-the-money option implied volatility of fg509 ranks first at 4.4%, the 30-day historical volatility of fg509 ranks first at 4.4%, and the real daily amplitude of fg509 ranks first at 7.4% [3]. Option Trading Data - For Shanghai Stock Exchange options: - The trading volume of the main options of SSE 50ETF is 581,375 contracts, the open interest is 773,202 contracts, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 16.7% [21]. - The trading volume of the main options of Huatai-PineBridge CSI 300ETF is 548,486 contracts, the open interest is 628,301 contracts, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.95% [33]. - The trading volume of the main options of Southern CSI 500ETF is 932,611 contracts, the open interest is 610,204 contracts, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 18.65% [45]. - The trading volume of the main options of Huaxia SSE STAR 50 ETF is 605,611 contracts, the open interest is 890,446 contracts, the trading volume ratio of call options to put options is 1.79, and the weighted average implied volatility is 28.07% [57]. - The trading volume of the main options of E Fund SSE STAR 50 ETF is 133,499 contracts, the open interest is 249,375 contracts, the trading volume ratio of call options to put options is 2.07, and the weighted average implied volatility is 28.99% [68]. - For Shenzhen Stock Exchange options: - The trading volume of the main options of Harvest CSI 300ETF is 87,277 contracts, the open interest is 103,161 contracts, the trading volume ratio of call options to put options is 1.92, and the weighted average implied volatility is 17.9% [81]. Core Views - The at-the-money option implied volatility reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater possibility of significant market movements, which trend traders can focus on. - The 30-day historical volatility reflects the actual past market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which option sellers can pay attention to. - The real daily amplitude reflects the intraday market movements of the underlying asset, which intraday traders can focus on [6]. Directory Summary 1. Shanghai Stock Exchange Options - SSE 50ETF: - Basic Information: The report provides the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months, as well as trading volume, open interest, and implied volatility data [19][21]. - Volatility Trading: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves; sell options above the curve and buy those below the curve within the same month [23]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 1.71% at the counter - party price [27][29]. - Huatai - PineBridge CSI 300ETF: - Basic Information: The T - type quotation table of Huatai - PineBridge CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [30][33]. - Volatility Trading: Similar trading suggestions as SSE 50ETF [36]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.91% at the settlement price and 0.47% at the counter - party price [40][42]. - Southern CSI 500ETF: - Basic Information: The T - type quotation table of Southern CSI 500ETF options is provided, along with trading volume, open interest, and implied volatility data [43][45]. - Volatility Trading: Similar trading suggestions as above [49]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.78% at the counter - party price [52][54]. - Huaxia SSE STAR 50 ETF: - Basic Information: The T - type quotation table of Huaxia SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [55][57]. - Volatility Trading: Similar trading suggestions as above [59]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.21% at the settlement price and 1.28% at the counter - party price [63][65]. - E Fund SSE STAR 50 ETF: - Basic Information: The T - type quotation table of E Fund SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [66][68]. - Volatility Trading: Similar trading suggestions as above [72]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.96% at the settlement price and 1.83% at the counter - party price [75][77]. 2. Shenzhen Stock Exchange Options - Harvest CSI 300ETF: - Basic Information: The T - type quotation table of Harvest CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [78][81]. - Volatility Trading: Similar trading suggestions as above [85]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.69% at the settlement price and 0.15% at the counter - party price [89][91].
先锋期货期权日报-20250729
Xian Feng Qi Huo·2025-07-29 09:35