先锋期货期权日报-20250904

Report Information - The report is the Pioneer Futures Options Daily Report dated September 4, 2025 [1] Core Information Options Volatility Ranking - Presents the implied volatility, historical volatility for 30 days, and daily true volatility of multiple option targets, along with their rankings. For example, ps2510 has an implied volatility of 5.3% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 4th), and a daily true volatility of 1.5% (ranked 32nd) [3] Volatility Trading Insights - For different months, sell options from months with higher - ranking curves and buy those from months with lower - ranking curves; for the same month, sell options with points above the curve and buy those with points below the curve [23][34] Risk - free Arbitrage Returns - Provides the minimum annualized returns of optimal arbitrage portfolios for various ETF options when traded at settlement prices and counter - party prices. For instance, for the Huatai - Baoying CSI 300 ETF, the minimum annualized return is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,482,827 lots, the open interest is 1,345,622 lots, the volume ratio of call to put options is 1.22, and the weighted average implied volatility is 22.13% [19][21] - Volatility Trading: Offers volatility trading suggestions based on implied volatility curves [23] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 9.72% at the settlement price and 0.32% at the counter - party price [27][29] 1.2 Huatai - Baoying CSI 300 ETF - Basic Information: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,370,832 lots, the open interest is 1,047,558 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 22.22% [30][32] - Volatility Trading: Provides volatility trading suggestions according to implied volatility curves [34] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] 1.3 Southern CSI 500 ETF - Basic Information: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,102,038 lots, the open interest is 1,041,307 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 26.99% [42][44] - Volatility Trading: Gives volatility trading suggestions based on implied volatility curves [49] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 59.1% at the settlement price and 11.6% at the counter - party price [51][53] 1.4 Huaxia Shanghai Science and Technology Innovation 50 ETF - Basic Information: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,416,741 lots, the open interest is 1,547,127 lots, the volume ratio of call to put options is 0.99, and the weighted average implied volatility is 48.77% [54][56] - Volatility Trading: Offers volatility trading suggestions according to implied volatility curves [57] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 37.3% at the settlement price and 8.66% at the counter - party price [61][62] 1.5 E Fund Shanghai Science and Technology Innovation 50 ETF - Basic Information: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 519,143 lots, the open interest is 455,701 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 51.35% [63][65] - Volatility Trading: Provides volatility trading suggestions based on implied volatility curves [67] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 49.0% at the settlement price and 11.3% at the counter - party price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300 ETF - Basic Information: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 232,909 lots, the open interest is 247,956 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 23.66% [74][77] - Volatility Trading: Gives volatility trading suggestions according to implied volatility curves [81] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio is 20.9% at the settlement price and 2.41% at the counter - party price [84][85] 2.2 E Fund ChiNext ETF - Basic Information: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 3,181,923 lots, the open interest is 1,403,161 lots, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 42.06% [86][88] - Volatility Trading: Offers volatility trading suggestions based on implied volatility curves [90] - Risk - free Arbitrage: Not provided in the given content