先锋期货期权日报-20250804

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - Basic Information: The trading volume of the SSE 50 ETF's main options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - Volatility Trading: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - Basic Information: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - Volatility Trading: Similar trading suggestions as SSE 50 ETF [38] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - Volatility Trading: Similar trading suggestions as above [50] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - Basic Information: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - Volatility Trading: Similar trading suggestions as above [60] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - Basic Information: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - Volatility Trading: Similar trading suggestions as above [72] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - Basic Information: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - Volatility Trading: Similar trading suggestions as above [86] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]