Report Information - Report Name: Pioneer Futures Option Daily Report - Date: September 15, 2025 [1] Option Volatility Ranking - The table shows the ranking of option underlying assets in terms of at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, jd2510 ranks 1st in at-the-money option implied volatility and daily true range, with values of 3.8% and 5.3% respectively, and 12th in 30-day historical volatility with a value of 1.5% [3]. - Notes on volatility: The at-the-money option implied volatility reflects the market's expectation of future fluctuations of the variety, the 30-day historical volatility reflects the actual past market size, and the daily true range reflects the intraday market size [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of the Shanghai 50ETF on this day is 547,658 lots, the open interest is 1,242,032 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 20.98% [18][20]. - Volatility Trading: Different months - sell the month with the curve on top and buy the month with the curve below; same month - sell the option with the point on the curve above and buy the option with the point on the curve below [24]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.24%; at the counter - price, it is 2.33% [27][29]. 1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options of the Huatai - Berry CSI 300ETF on this day is 690,611 lots, the open interest is 986,453 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 20.59% [30][32]. - Volatility Trading: Similar trading suggestions as for the Shanghai 50ETF [39]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.7%; at the counter - price, it is 0.69% [40][43]. 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of the Southern CSI 500ETF on this day is 954,892 lots, the open interest is 927,890 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 23.83% [44][46]. - Volatility Trading: Similar trading suggestions as above [48]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 60.7%; at the counter - price, it is 10.6% [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on this day is 1,060,390 lots, the open interest is 1,618,164 lots, the trading volume ratio of call options to put options is 1.96, and the weighted average implied volatility is 52.16% [55][57]. - Volatility Trading: Similar trading suggestions as above [59]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.3%; at the counter - price, it is 4.53% [63][64]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on this day is 209,046 lots, the open interest is 459,663 lots, the trading volume ratio of call options to put options is 2.46, and the weighted average implied volatility is 51.25% [65][67]. - Volatility Trading: Similar trading suggestions as above [70]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.5%; at the counter - price, it is 6.44% [74][76]. 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 this day is 125,850 lots, the open interest is 228,920 lots, the trading volume ratio of call options to put options is 1.48, and the weighted average implied volatility is 22.5% [77][80]. - Volatility Trading: Similar trading suggestions as above [84]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.8%; at the counter - price, there is no minimum annualized return [87][89]. 2.2 E Fund ChiNext ETF - Basic Information: The document provides the T - type quotation table of the E Fund ChiNext ETF options but does not mention the trading volume, open interest, trading volume ratio, and weighted average implied volatility of the main options [90]. - Volatility Trading: Not mentioned in the provided content. - Risk - Free Arbitrage: Not mentioned in the provided content.
先锋期货期权日报-20250915
Xian Feng Qi Huo·2025-09-15 10:02