先锋期货期权日报-20250820

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - Volatility Trading: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - 1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the rule of high - point selling and low - point buying [36]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - Volatility Trading: Volatility trading suggestions are the same as above [51][52]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - 1.4 Huaxia SSE STAR 50 ETF - Basic Information: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - Volatility Trading: Follow the same volatility trading rules [65]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - 1.5 E Fund SSE STAR 50 ETF - Basic Information: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - Volatility Trading: Adopt the same volatility trading suggestions [76]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - 2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - Volatility Trading: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - Risk - free Arbitrage: No information provided in the document.