先锋期货期权日报-20250818

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the volatility data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs in multiple exchanges [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of the Shanghai 50ETF on the day was 1,209,336 lots, the open interest was 979,212 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 21.91% [19][21]. - Volatility Trading: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [24]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 5.84% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main options of the Huatai - Berry SSE 300ETF on the day was 1,136,160 lots, the open interest was 727,636 lots, the volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 22.03% [30][33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 2.76% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,672,302 lots, the open interest was 803,626 lots, the volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 25.92% [43][45]. - Volatility Trading: The same volatility trading suggestions as above [48]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 10.5% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main options of the Huaxia SSE STAR 50ETF on the day was 1,176,662 lots, the open interest was 869,482 lots, the volume ratio of call options to put options was 2.44, and the weighted average implied volatility was 36.6% [54][55]. - Volatility Trading: Similar trading suggestions [58]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.9% at the settlement price and 3.32% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main options of the E Fund SSE STAR 50ETF on the day was 323,811 lots, the open interest was 284,791 lots, the volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 38.96% [65][67]. - Volatility Trading: The same trading suggestions [69]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.9% at the settlement price and 6.56% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main options of the Harvest SSE 300ETF on the day was 248,529 lots, the open interest was 172,423 lots, the volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 24.27% [76][79]. - Volatility Trading: Similar trading suggestions [82][83]. - Risk - Free Arbitrage: No detailed risk - free arbitrage data provided.