Report Summary 1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: September 8, 2025 2. 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 [3][4]. - At-the-money option implied volatility reflects the market's expectation of future price fluctuations, historical volatility reflects past price movements, and daily true range shows the intraday price movement [5]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options - SSE 50 ETF: The trading volume of the main options is 676,350 lots, the open interest is 1,332,605 lots, the call-to-put volume ratio is 1.51, and the weighted average implied volatility is 19.41%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 8.29% (settlement price) and 1.65% (counterparty price) [18][20][26]. - Huatai-PineBridge CSI 300 ETF: The trading volume of the main options is 814,977 lots, the open interest is 1,051,269 lots, the call-to-put volume ratio is 1.6, and the weighted average implied volatility is 18.94%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 8.40% (settlement price) and 0.75% (counterparty price) [29][31][38]. - Southern CSI 500 ETF: The trading volume of the main options is 1,285,214 lots, the open interest is 1,008,378 lots, the call-to-put volume ratio is 1.21, and the weighted average implied volatility is 21.99%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 81.5% (settlement price) and 17.7% (counterparty price) [41][43][50]. - Huaxia SSE STAR 50 ETF: The trading volume of the main options is 1,023,215 lots, the open interest is 1,565,537 lots, the call-to-put volume ratio is 1.78, and the weighted average implied volatility is 43.33%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 18.9% (settlement price) and 5.60% (counterparty price) [53][54][60]. - E Fund SSE STAR 50 ETF: The trading volume of the main options is 213,054 lots, the open interest is 473,296 lots, the call-to-put volume ratio is 2.02, and the weighted average implied volatility is 45.29%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 15.0% (settlement price) and 5.64% (counterparty price) [62][64][70]. 3.2 Shenzhen Stock Exchange Options - Harvest CSI 300 ETF: The trading volume of the main options is 170,666 lots, the open interest is 243,602 lots, the call-to-put volume ratio is 1.27, and the weighted average implied volatility is 24.15%. Volatility trading and risk-free arbitrage strategies are provided [73][76].
先锋期货期权日报-20250908
Xian Feng Qi Huo·2025-09-08 09:06