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先锋期货期权日报-20250822
Xian Feng Qi Huo·2025-08-22 09:35
  1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides trading suggestions for volatility trading and the minimum annualized return for risk - free arbitrage of different options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange [3][6][25]. 3. Summary According to the 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 1,230,718 lots, the open interest was 810,259 lots, the trading volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 21.41% [21]. - Volatility Trading: Different months - sell the month with the curve above and buy the month with the curve below; same month - sell the option with the point above the curve and buy the option with the point below the curve [25]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 31.8% at the settlement price and 3.10% at the counter - price [28][30]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - Basic Information: The trading volume of the main options of the 300ETF on the day was 1,081,531 lots, the open interest was 543,409 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 18.78% [34]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the curve above and buy the curve below for different months, and sell the point above and buy the point below for the same month [38]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 8.44% at the counter - price [41][43]. 3.1.3 Southern China Securities 500ETF - Basic Information: The trading volume of the main options of the 500ETF on the day was 1,649,826 lots, the open interest was 707,570 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 23.45% [46]. - Volatility Trading: The same trading suggestions as above [48]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.7% at the settlement price and 1.69% at the counter - price [52][54]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 2,147,328 lots, the open interest was 710,562 lots, the trading volume ratio of call options to put options was 2.36, and the weighted average implied volatility was 54.24% [57]. - Volatility Trading: Follow the general volatility trading suggestions [61]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.2% at the settlement price and 5.91% at the counter - price [64][66]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 560,522 lots, the open interest was 249,762 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 50.01% [69]. - Volatility Trading: Adopt the same volatility trading strategies [71]. - Risk - Free Arbitrage: No specific data provided in the text. 3.2 Other Exchanges' Options The report also lists the options on the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, including basic information, volatility trading, and risk - free arbitrage for each underlying asset, but detailed data for some parts are not fully presented in the provided text [8][9][10][11][12][13][14][15][16][17][18].