先锋期货期权日报-20250925
Xian Feng Qi Huo·2025-09-25 10:06
- Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: September 25, 2025 [1] 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]. - The top 5 underlying assets in terms of at-the-money option implied volatility are ps2511 (2.8%), lc2511 (2.8%), 科创板50etf10月 (2.7%), 科创50etf10月 (2.7%), and fg511 (2.4%) [3]. - The top 5 underlying assets in terms of daily true range are fg511 (3.9%), cu2511 (3.7%), 创业板etf10月 (3.3%), eg2511 (3.3%), and cj601 (3.1%) [3][4]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF Options - Basic Information: The trading volume of the main SSE 50 ETF options on the day was 611,884 lots, the open interest was 789,870 lots, the trading volume ratio of call options to put options was 1.64, and the weighted average implied volatility was 16.8% [20]. - Volatility Trading: Different months - sell the month with the upper curve and buy the month with the lower curve; same month - sell the option with the upper point on the curve and buy the option with the lower point [24]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.42% at the settlement price and 1.71% at the counter - price [26][29]. 3.1.2 Huatai - Berry SSE CSI 300 ETF Options - Basic Information: The trading volume of the main Huatai - Berry SSE CSI 300 ETF options on the day was 799,889 lots, the open interest was 662,979 lots, the trading volume ratio of call options to put options was 1.5, and the weighted average implied volatility was 16.7% [33]. - Volatility Trading: Similar trading suggestions as SSE 50 ETF options [40]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.99% at the settlement price and 0.92% at the counter - price [42][44]. 3.1.3 Southern CSI 500 ETF Options - Basic Information: The trading volume of the main Southern CSI 500 ETF options on the day was 1,128,399 lots, the open interest was 565,282 lots, the trading volume ratio of call options to put options was 1.16, and the weighted average implied volatility was 22.04% [47]. - Volatility Trading: Similar trading suggestions as above [50]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 38.2% at the settlement price and 8.18% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR 50 ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR 50 ETF options on the day was 1,182,457 lots, the open interest was 855,724 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 41.28% [59]. - Volatility Trading: Similar trading suggestions as above [61]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 39.8% at the settlement price and 8.38% at the counter - price [65][67]. 3.1.5 E Fund SSE STAR 50 ETF Options - Basic Information: The trading volume of the main E Fund SSE STAR 50 ETF options on the day was 250,934 lots, the open interest was 228,226 lots, the trading volume ratio of call options to put options was 2.61, and the weighted average implied volatility was 41.03% [70]. - Volatility Trading: Similar trading suggestions as above [74]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 45.0% at the settlement price and 11.0% at the counter - price [77][79].