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先锋期货期权日报-20250918
Xian Feng Qi Huo·2025-09-18 09:34

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 18, 2025 [1] Options Market Volatility Ranking - The ranking table shows the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various options on September 18, 2025 [3][4] - The top 3 in at - the - money option implied volatility are "Science and Technology Innovation Board 50 ETF September" (3.2%), "Science and Technology Innovation 50 ETF September" (2.9%), and "ps2511" (2.8%) [3] - The top 3 in 30 - day historical volatility are "Science and Technology Innovation Board 50 ETF September" (3.4%), "Science and Technology Innovation 50 ETF September" (3.3%), and "Gem ETF September" (2.6%) [3] - The top 3 in real - time volatility are "Science and Technology Innovation 50 ETF September" (6.4%), "Science and Technology Innovation Board 50 ETF September" (6.1%), and "sa511" (3.9%) [3] Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future fluctuations; 30 - day historical volatility reflects past actual fluctuations; real - time volatility reflects intraday fluctuations [5] - Trend traders can focus on options with high at - the - money option implied volatility rankings; option sellers can focus on the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on options with high real - time volatility rankings [5] Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Shanghai 50ETF options was 1,379,707 lots, the open interest was 1,178,533 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 21.98% [20] - Volatility Trading: Sell options from months with higher volatility curves and buy those from months with lower curves; for the same month, sell options with points above the curve and buy those below [22] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.3% at the settlement price and 6.40% at the counter - party price [26][28] 1.2 Huatai - Berry SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Huatai - Berry SSE 300ETF options was 1,295,776 lots, the open interest was 868,339 lots, the trading volume ratio of call options to put options was 1.3, and the weighted average implied volatility was 20.02% [31] - Volatility Trading: Similar to Shanghai 50ETF, sell high - curve options and buy low - curve options [34] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 55.1% at the settlement price and 11.2% at the counter - party price [37][38] 1.3 Southern CSI 500ETF - Basic Information: On September 18, 2025, the trading volume of the main Southern CSI 500ETF options was 1,996,066 lots, the open interest was 835,021 lots, the trading volume ratio of call options to put options was 1.32, and the weighted average implied volatility was 24.84% [41] - Volatility Trading: Follow the same principle of selling high - curve and buying low - curve options [46] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 131% at the settlement price and 25.8% at the counter - party price [48][50] 1.4 Huaxia SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Huaxia SSE Science and Technology Innovation Board 50ETF options was 2,490,037 lots, the open interest was 1,523,915 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 49.29% [53] - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options [55] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 320% at the settlement price and 47.4% at the counter - party price [60][62] 1.5 E Fund SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund SSE Science and Technology Innovation Board 50ETF options was 496,770 lots, the open interest was 418,892 lots, the trading volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 51.32% [65] - Volatility Trading: Use the strategy of selling high - curve and buying low - curve options [67] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 173% at the settlement price and 38.2% at the counter - party price [71][73] Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Harvest SSE 300ETF options was 233,057 lots, the open interest was 238,099 lots, the trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 22.11% [77] - Volatility Trading: Apply the strategy of selling high - curve and buying low - curve options [81] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.3% at the settlement price and 2.64% at the counter - party price [84][85] 2.2 E Fund GEM ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund GEM ETF options was 2,505,591 lots, the open interest was 1,417,432 lots, the trading volume ratio of call options to put options was 1.19, and the weighted average implied volatility was 42.91% [88] - Volatility Trading: Follow the strategy of selling high - curve and buying low - curve options [91]