Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 1, 2025 1. Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report provides a comprehensive analysis of various futures and options, including their volatility rankings and trading suggestions for different exchanges' options products [3][6] 3. Summary by Directory 3.1 Upper Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main - month options is 739,635 lots, the open interest is 1,220,168 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.96% [19][21] - Volatility Trading: Sell the options or months with higher implied volatility curves and buy those with lower curves [23] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 5.75% at the settlement price and 2.84% at the counter - price [27][29] 3.1.2 Huatai - Baorui CSI 300ETF - Basic Information: The trading volume of the main - month options is 765,037 lots, the open interest is 967,481 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 21.99% [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [37] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 4.46% at the settlement price and 0.45% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main - month options is 1,011,151 lots, the open interest is 967,954 lots, the trading volume ratio of call to put options is 1.44, and the weighted - average implied volatility is 24.21% [42][44] - Volatility Trading: Follow the rule of selling high - curve and buying low - curve options/months [46] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 86.2% at the settlement price and 19.1% at the counter - price [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main - month options is 1,384,450 lots, the open interest is 1,477,817 lots, the trading volume ratio of call to put options is 1.94, and the weighted - average implied volatility is 54.1% [53][55] - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options/months [60][61] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 15.7% at the settlement price and 3.23% 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 - month options is 317,372 lots, the open interest is 420,200 lots, the trading volume ratio of call to put options is 1.61, and the weighted - average implied volatility is 54.66% [67][69] - Volatility Trading: Sell high - curve options/months and buy low - curve ones [71] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 5.55% at the settlement price and 4.57% at the counter - price [75][77] 3.2 Shenzhen Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main - month options is 156,778 lots, the open interest is 203,111 lots, the trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 25.32% [78][81] - Volatility Trading: Sell high - curve options/months and buy low - curve ones [83] 3.3 Volatility Ranking - The report lists the at - the - money implied volatility, 30 - day historical volatility, and daily true range of multiple options, along with their rankings, providing references for different types of traders [3][5]
先锋期货期权日报-20250901
Xian Feng Qi Huo·2025-09-01 09:35