先锋期货期权日报-20250813

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: August 13, 2025 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents data on various option targets, including their at - the - money implied volatility, 30 - day historical volatility, and daily true range. It offers trading suggestions for different types of traders based on these volatility indicators. Additionally, it provides detailed information on options from multiple exchanges, including basic information, volatility trading analysis, and risk - free arbitrage opportunities for each option [3][6]. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange 3.1.1 SSE 50 ETF - Basic Information: The trading volume of the SSE 50 ETF's main options is 1,148,616 lots, the open interest is 965,882 lots, the trading volume ratio of call options to put options is 1.68, and the weighted average implied volatility is 15.49% [21]. - Volatility Trading: Suggestions include 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 with points above the curve and buy those below [24]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.41% at the settlement price and 1.42% at the counter - price [29][30]. 3.1.2 Huatai - PineBridge CSI 300 ETF - Basic Information: The trading volume of the main options is 987,627 lots, the open interest is 728,479 lots, the trading volume ratio of call options to put options is 1.74, and the weighted average implied volatility is 16.44% [34]. - Volatility Trading: Similar to the SSE 50 ETF, sell options in months with higher curves and buy those in lower - curve months. For the same month, sell options above the curve and buy those below [38]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.8% at the settlement price and 0.71% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main options is 1,485,224 lots, the open interest is 793,927 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.03% [45]. - Volatility Trading: Follow the same trading suggestions as above for different and same - month options [47]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 3.23% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The trading volume of the main options is 722,346 lots, the open interest is 936,244 lots, the trading volume ratio of call options to put options is 2.69, and the weighted average implied volatility is 28.93% [56]. - Volatility Trading: Adopt the same volatility trading strategies [58]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.2% at the settlement price and 4.06% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The trading volume of the main options is 147,800 lots, the open interest is 259,850 lots, the trading volume ratio of call options to put options is 3.31, and the weighted average implied volatility is 29.91% [66]. - Volatility Trading: Use the recommended volatility trading methods [68]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.2% at the settlement price and 1.04% at the counter - price [72][74]. 3.2 Options on the Shenzhen Stock Exchange 3.2.1 Harvest CSI 300 ETF - Basic Information: The trading volume of the main options is 190,634 lots, the open interest is 157,090 lots, the trading volume ratio of call options to put options is 1.83, and the weighted average implied volatility is 18.15% [78]. - Volatility Trading: Follow the general volatility trading suggestions [83]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.8% at the settlement price and 0.11% at the counter - price [87][88]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main options is 2,545,537 lots, the open interest is 1,164,611 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 28.23% [91]. - Volatility Trading: Implement the provided volatility trading strategies [94]. - No risk - free arbitrage information is provided in the given report for this option.