Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on different ETFs from multiple exchanges [3][6]. 3. Summary by Directory 3.1 Upper - Exchange Options - 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options is 651,474 lots, the open interest is 920,026 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 13.88% [19][21]. - Volatility Trading: Suggest selling options with curves or points above and buying those below [23]. - Risk - Free Arbitrage: The minimum annualized return is 8.00% at the settlement price and 1.78% at the counter - price [27][29]. - 1.2 Huatai - Baorui CSI 300ETF - Basic Information: The trading volume of the main options is 554,874 lots, the open interest is 734,306 lots, the trading volume ratio of call to put options is 1.32, and the weighted average implied volatility is 14.14% [30][33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve or high - point options and buy low ones [37]. - Risk - Free Arbitrage: The minimum annualized return is 3.62% at the settlement price and 0.39% at the counter - price [40][42]. - 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options is 816,723 lots, the open interest is 750,069 lots, the trading volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.33% [43][45]. - Volatility Trading: Sell high - curve or high - point options and buy low ones [47]. - Risk - Free Arbitrage: The minimum annualized return is 51.6% at the settlement price and 10.8% at the counter - price [51][53]. - 1.4 Huaxia Shanghai STAR Market 50ETF - Basic Information: The trading volume of the main options is 269,625 lots, the open interest is 903,284 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 24.47% [54][56]. - Volatility Trading: Sell high - curve or high - point options and buy low ones [58]. - Risk - Free Arbitrage: The minimum annualized return is 7.30% at the settlement price and 2.13% at the counter - price [62][64]. - 1.5 E Fund Shanghai STAR Market 50ETF - Basic Information: The trading volume of the main options is 62,645 lots, the open interest is 252,359 lots, the trading volume ratio of call to put options is 1.76, and the weighted average implied volatility is 24.37% [65][67]. - Volatility Trading: Sell high - curve or high - point options and buy low ones [69]. - Risk - Free Arbitrage: The minimum annualized return is 10.1% at the settlement price, and there is no return at the counter - price [73][75]. 3.2 Shenzhen - Exchange Options - 2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options is 103,182 lots, the open interest is 146,512 lots, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 15.29% [76][79]. - Volatility Trading: Sell high - curve or high - point options and buy low ones [84]. - Risk - Free Arbitrage: The minimum annualized return is 17.2% at the settlement price and 1.33% at the counter - price [86][88].
先锋期货期权日报-20250805
Xian Feng Qi Huo·2025-08-05 09:05