Workflow
先锋期货期权日报-20250814
Xian Feng Qi Huo·2025-08-14 09:33

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the option daily report of Pioneer Futures on August 14, 2025, including the volatility data of various option targets and the basic information, volatility trading, and risk - free arbitrage analysis of options on multiple exchanges [3][19]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main - force options of Shanghai 50ETF is 1,504,832 lots, the position is 960,669 lots, the trading volume ratio of call options to put options is 1.87, and the weighted - average implied volatility is 15.46% [21]. - Volatility Trading: Suggestions are given based on the implied volatility curves of call options with different strike prices and different Deltas, such as selling the months or options above the curve and buying those below [24]. - Risk - Free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 3.94% at the settlement price and 0.93% at the counter - price [27][29]. - 1.2 Huatai - Baorui CSI 300ETF - Basic Information: The trading volume of the main - force options is 1,105,047 lots, the position is 727,031 lots, the trading volume ratio of call options to put options is 1.71, and the weighted - average implied volatility is 16.41% [33]. - Volatility Trading: Similar volatility trading suggestions are provided according to the implied volatility curves [36]. - Risk - Free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.24% at the settlement price and 0.70% at the counter - price [40][42]. - 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main - force options is 1,528,831 lots, the position is 776,258 lots, the trading volume ratio of call options to put options is 1.3, and the weighted - average implied volatility is 18.79% [45]. - Volatility Trading: Volatility trading suggestions are given based on the implied volatility curves [48]. - Risk - Free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 7.73% at the counter - price [52][54]. - 1.4 Huaxia Shanghai - Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main - force options is 1,306,982 lots, the position is 893,513 lots, the trading volume ratio of call options to put options is 2.13, and the weighted - average implied volatility is 27.76% [57]. - Volatility Trading: Volatility trading suggestions are made according to the implied volatility curves [61]. - Risk - Free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 1.75% at the counter - price [64][66]. - 1.5 E Fund Shanghai - Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main - force options is 319,275 lots, the position is 263,988 lots, the trading volume ratio of call options to put options is 2.42, and the weighted - average implied volatility is 29.98% [68]. - Volatility Trading: Volatility trading suggestions are provided based on the implied volatility curves [72]. - Risk - Free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 17.5% at the settlement price and 1.12% at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options - 2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main - force options of Shenzhen 300ETF is 195,481 lots, the position is 151,071 lots, the trading volume ratio of call options to put options is 2.32, and the weighted - average implied volatility is 17.88% [81]. - Volatility Trading: Volatility trading suggestions are given according to the implied volatility curves [85].