Report Information - Report Name: Pioneer Futures Option Daily Report - Report Date: September 3, 2025 [1] Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, ps2510 ranks 1st in at-the-money option implied volatility with a value of 4.5%, lc2510 ranks 1st in 30-day historical volatility with a value of 3.3%, and the ChiNext ETF in September ranks 1st in daily true range with a value of 4.9% [3]. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. A higher value indicates a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If it is lower than the implied volatility, the option price may be relatively high, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [5]. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options (options with the largest trading volume in the month) of the Shanghai 50ETF on the day was 1,256,352 contracts, and the open interest was 1,304,707 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 21.7% [18][20]. - Volatility Trading: The report provides implied volatility curves for different strike prices and deltas of call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility, both across different months and within the same month [21][23]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 12.5% when trading at the settlement price and 3.23% when trading at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - Basic Information: The trading volume of the main options of the Huatai-PineBridge CSI 300ETF on the day was 1,170,627 contracts, and the open interest was 1,018,058 contracts. The trading volume ratio of call options to put options was 1.34, and the weighted average implied volatility was 20.43% [29][31]. - Volatility Trading: Similar to the Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [32][34]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 28.6% when trading at the settlement price and 5.62% when trading at the counterparty price [38][39]. 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,840,252 contracts, and the open interest was 1,000,444 contracts. The trading volume ratio of call options to put options was 1.11, and the weighted average implied volatility was 25.61% [40][42]. - Volatility Trading: Implied volatility curves and trading suggestions are provided [43][45]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 65.6% when trading at the settlement price and 14.7% when trading at the counterparty price [50][52]. 1.4 Huaxia SSE STAR Market 50ETF - Basic Information: The trading volume of the main options of the Huaxia SSE STAR Market 50ETF on the day was 1,451,147 contracts, and the open interest was 1,589,690 contracts. The trading volume ratio of call options to put options was 1.73, and the weighted average implied volatility was 46.28% [53][55]. - Volatility Trading: Implied volatility curves and trading suggestions are provided [57][59]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 37.4% when trading at the settlement price and 8.08% when trading at the counterparty price [63][65]. 1.5 E Fund SSE STAR Market 50ETF - Basic Information: The trading volume of the main options of the E Fund SSE STAR Market 50ETF on the day was 293,795 contracts, and the open interest was 443,021 contracts. The trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 48.1% [66][68]. - Volatility Trading: Implied volatility curves and trading suggestions are provided [69][70]. - Risk-Free Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 45.4% when trading at the settlement price and 11.0% when trading at the counterparty price [75][77]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of the Harvest CSI 300ETF on the day was 195,933 contracts, and the open interest was 226,593 contracts. The trading volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 23.19% [78][81]. - Volatility Trading: Implied volatility curves and trading suggestions are provided [82][84].
先锋期货期权日报-20250903
Xian Feng Qi Huo·2025-09-03 09:05