Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a futures and options daily report from Pioneer Futures on August 12, 2025. It presents volatility data of various option underlying assets and offers trading suggestions for different types of options on multiple exchanges. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange - 1.1 Shanghai 50ETF - Basic Information: Provided the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options was 945,946 lots, the open interest was 956,178 lots, the trading volume ratio of call to put options was 1.55, and the weighted - average implied volatility was 13.46% [19][21]. - Volatility Trading: Suggested selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options above the curve and buy those below [25]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 6.30% at the settlement price and 0.74% at the counter - price [28][30]. - 1.2 Huatai - Ba瑞 CSI 300ETF - Basic Information: Provided the T - type quotation table of Huatai - Ba瑞 CSI 300ETF options. The trading volume of the main - contract options was 694,870 lots, the open interest was 734,255 lots, the trading volume ratio of call to put options was 1.46, and the weighted - average implied volatility was 13.77% [31][34]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves. For the same month, sell options above the curve and buy those below [37]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 8.46% at the settlement price and 0.66% at the counter - price [41][42]. - 1.3 Southern CSI 500ETF - Basic Information: Provided the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main - contract options was 910,867 lots, the open interest was 793,757 lots, the trading volume ratio of call to put options was 1.37, and the weighted - average implied volatility was 15.05% [43][45]. - Volatility Trading: Similar trading suggestions as above [49]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 43.9% at the settlement price and 9.12% at the counter - price [52][54]. - 1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Provided the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 802,085 lots, the open interest was 893,215 lots, the trading volume ratio of call to put options was 1.78, and the weighted - average implied volatility was 24.87% [55][57]. - Volatility Trading: Similar trading suggestions as above [59]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 20.9% at the settlement price and 1.92% at the counter - price [64][66]. - 1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Provided the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 167,234 lots, the open interest was 249,762 lots, the trading volume ratio of call to put options was 1.91, and the weighted - average implied volatility was 25.13% [67][68]. - Volatility Trading: Similar trading suggestions as above [72]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 7.11% at the settlement price and 0.99% at the counter - price [75][77]. 3.2 Options on the Shenzhen Stock Exchange - 2.1 Harvest CSI 300ETF - Basic Information: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main - contract options was 125,214 lots, the open interest was 152,364 lots, the trading volume ratio of call to put options was 1.34, and the weighted - average implied volatility was 15.78% [78][81]. - Volatility Trading: Similar trading suggestions as above [87]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 16.0% at the settlement price and 0.74% at the counter - price [90][92].
先锋期货期权日报-20250812
Xian Feng Qi Huo·2025-08-12 09:06