先锋期货期权日报-20250916

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, trading volumes, open interests, implied volatilities, and provides volatility trading suggestions and risk - free arbitrage returns. It offers a reference for investors in the options market [3][19][21]. 3. Summary According to the Table of Contents 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - Basic Information: The trading volume of the main SSE 50 ETF options on the day was 578,280 lots, the open interest was 1,251,325 lots, the trading volume ratio of call options to put options was 1.32, and the weighted - average implied volatility was 21.5% [21]. - Volatility Trading: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 24.4% at the settlement price and 2.77% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - Basic Information: The trading volume of the main Huatai - Peregrine CSI 300 ETF options on the day was 720,991 lots, the open interest was 959,003 lots, the trading volume ratio of call options to put options was 1.15, and the weighted - average implied volatility was 21.61% [32]. - Volatility Trading: Similar to SSE 50 ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 20.1% at the settlement price and 1.32% at the counter - price [39][42]. 3.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main Southern CSI 500 ETF options on the day was 1,295,375 lots, the open interest was 931,223 lots, the trading volume ratio of call options to put options was 1.31, and the weighted - average implied volatility was 24.86% [45]. - Volatility Trading: The same trading suggestions as above [47]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 76.0% at the settlement price and 17.6% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The trading volume of the main Huaxia SSE STAR Market 50 ETF options on the day was 1,112,259 lots, the open interest was 1,644,909 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 51.67% [57]. - Volatility Trading: Follow the general volatility trading suggestions [59]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 35.6% at the settlement price and 16.0% at the counter - price [63][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The trading volume of the main E Fund SSE STAR Market 50 ETF options on the day was 208,001 lots, the open interest was 464,253 lots, the trading volume ratio of call options to put options was 2.06, and the weighted - average implied volatility was 50.94% [67]. - Volatility Trading: Adopt the same volatility trading strategies [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 56.3% at the settlement price and 10.6% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - Basic Information: The trading volume of the main Harvest CSI 300 ETF options on the day was 141,658 lots, the open interest was 234,347 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.79% [80]. - Volatility Trading: Use the common volatility trading advice [82]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 14.1% at the settlement price and 0.94% at the counter - price [86][88]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main E Fund ChiNext ETF options on the day was 1,754,047 lots, the open interest was 1,461,858 lots, the trading volume ratio of call options to put options was 1.13, and the weighted - average implied volatility was 48.5% [91]. - Volatility Trading: Follow the general volatility trading rules [94]. - Risk - Free Arbitrage: No relevant risk - free arbitrage content provided.