先锋期货期权日报-20250827

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints 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 daily true range. It also provides T - type quotation tables, trading advice on volatility, and analysis of risk - free arbitrage for different exchange - traded funds' options [3][19][22]. 3. Summary by Relevant Catalogs 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: Presented the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main options on the day was 1,024,217 lots, the position was 1,004,464 lots, the trading volume ratio of call to put options was 1.69, and the weighted average implied volatility was 24.13% [19][21]. - Volatility Trading: Suggests selling the options or months with curves on top and buying those with curves below, based on the implied volatility curves of different strike prices and Deltas [22][23]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 15.5% at the settlement price and 2.21% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: Provided the T - type quotation table of Huatai - Berry CSI 300ETF options. The trading volume of the main options on the day was 928,486 lots, the position was 827,612 lots, the trading volume ratio of call to put options was 1.65, and the weighted average implied volatility was 23.77% [30][32]. - Volatility Trading: Similar to Shanghai 50ETF, it suggests selling high - curve options or months and buying low - curve ones according to the implied volatility curves [34][35]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 9.31% at the settlement price and 1.02% at the counter - price [39][42]. 3.1.3 Southern CSI 500ETF - Basic Information: Offered the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options on the day was 1,262,196 lots, the position was 795,363 lots, the trading volume ratio of call to put options was 1.34, and the weighted average implied volatility was 26.4% [43][45]. - Volatility Trading: Recommends selling high - curve options or months and buying low - curve ones based on the implied volatility curves [46][50]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 32.7% at the settlement price and 8.13% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50ETF - Basic Information: Showed the T - type quotation table of Huaxia SSE STAR Market 50ETF options. The trading volume of the main options on the day was 1,480,014 lots, the position was 1,196,320 lots, the trading volume ratio of call to put options was 1.87, and the weighted average implied volatility was 47.29% [55][57]. - Volatility Trading: Advises selling high - curve options or months and buying low - curve ones according to the implied volatility curves [58][59]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 48.7% at the settlement price and 13.6% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR Market 50ETF - Basic Information: Presented the T - type quotation table of E Fund SSE STAR Market 50ETF options. The trading volume of the main options on the day was 406,234 lots, the position was 356,854 lots, the trading volume ratio of call to put options was 1.74, and the weighted average implied volatility was 48.75% [66][68]. - Volatility Trading: Suggests selling high - curve options or months and buying low - curve ones based on the implied volatility curves [69][70]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 50.8% at the settlement price and 10.2% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main options on the day was 162,588 lots, the position was 175,350 lots, the trading volume ratio of call to put options was 1.48, and the weighted average implied volatility was 25.25% [77][80]. - Volatility Trading: Recommends selling high - curve options or months and buying low - curve ones according to the implied volatility curves [81][82].