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先锋期货期权日报-20250731
Xian Feng Qi Huo·2025-07-31 09:05
  1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real amplitude of the day. It also provides T - type quotes, trading volume, open interest, and implied volatility data of major options for different ETFs, along with volatility trading suggestions and risk - free arbitrage information [3][19][21]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - Basic Information: The settlement prices of call and put options with different strike prices are given. The trading volume of the main SSE 50 ETF options is 1,164,740 lots, the open interest is 874,482 lots, the trading volume ratio of call to put options is 1.39, and the weighted average implied volatility is 15.69% [19][21]. - Volatility Trading: Suggestions are to sell the options with curves or points above and buy those below, both for different months and the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.51% at the settlement price and 1.03% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - Basic Information: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main 300ETF options is 1,105,748 lots, the open interest is 687,327 lots, the trading volume ratio of call to put options is 1.14, and the weighted average implied volatility is 16.21% [30][33]. - Volatility Trading: Similar to SSE 50 ETF, sell options with curves or points above and buy those below [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.11% at the settlement price and 0.48% at the counter - price [40][42]. 3.1.3 Southern CSI 500 ETF - Basic Information: The settlement prices of call and put options with different strike prices are shown. The trading volume of the main 500ETF options is 1,436,251 lots, the open interest is 729,488 lots, the trading volume ratio of call to put options is 1, and the weighted average implied volatility is 18.4% [43][45]. - Volatility Trading: The same trading suggestions as above [49]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.0% at the settlement price and 9.76% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The settlement prices of call and put options with different strike prices are presented. The trading volume of the main STAR Market 50ETF options is 784,137 lots, the open interest is 887,492 lots, the trading volume ratio of call to put options is 1.72, and the weighted average implied volatility is 26.74% [55][57]. - Volatility Trading: Follow the general volatility trading suggestions [59]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 1.39% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The settlement prices of call and put options with different strike prices are given. The trading volume of the main STAR Market 50ETF options is 169,681 lots, the open interest is 259,867 lots, the trading volume ratio of call to put options is 1.78, and the weighted average implied volatility is 27.69% [66][68]. - Volatility Trading: Adopt the same volatility trading strategies [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.56% at the settlement price and 0.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - Basic Information: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main Shenzhen 300ETF options is 162,970 lots, the open interest is 131,069 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.14% [77][80]. - Volatility Trading: Use the common volatility trading suggestions [84][85]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.7% at the settlement price, and there is no return at the counter - price [89][91].