先锋期货期权日报-20250926

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints The report presents a comprehensive analysis of various option targets in the futures market, including their implied volatility, historical volatility, and real - time amplitude rankings, as well as detailed information on different ETF options such as basic data, volatility trading suggestions, and risk - free arbitrage opportunities [3][19][22]. 3. Summary by Directory 3.1 Upper - Shanghai Stock Exchange Options - Shanghai 50ETF - Basic Information: The trading volume of the main options on September 26, 2025, was 564,290 lots, the open interest was 840,751 lots, the trading volume ratio of call options to put options was 1.54, and the weighted average implied volatility was 16.8% [19][21]. - Volatility Trading: Suggest selling options in months with higher curves and buying those in months with lower curves for different months; for the same month, sell options with points above the curve and buy those below [23]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.79% at the settlement price and 2.88% at the counter - price [27][29]. - Huatai - Berry CSI 300ETF - Basic Information: On September 26, 2025, the trading volume of the main options was 642,519 lots, the open interest was 686,985 lots, the trading volume ratio of call options to put options was 1.2, and the weighted average implied volatility was 16.99% [30][33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [38]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.71% at the settlement price and 0.40% at the counter - price [41][43]. - Southern CSI 500ETF - Basic Information: On September 26, 2025, the trading volume of the main options was 1,110,246 lots, the open interest was 603,748 lots, the trading volume ratio of call options to put options was 0.99, and the weighted average implied volatility was 23.13% [44][46]. - Volatility Trading: Follow the rule of selling high - curve and buying low - curve options [50]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.4% at the settlement price and 5.74% at the counter - price [53][55]. - Huaxia Shanghai - Science and Technology Innovation Board 50ETF - Basic Information: On September 26, 2025, the trading volume of the main options was 980,477 lots, the open interest was 914,652 lots, the trading volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 43.79% [56][58]. - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options [60]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 3.90% at the counter - price [64][66]. - E Fund Shanghai - Science and Technology Innovation Board 50ETF - Basic Information: On September 26, 2025, the trading volume of the main options was 208,170 lots, the open interest was 240,816 lots, the trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 44.42% [67][69]. - Volatility Trading: Use the method of selling high - curve and buying low - curve options [71]. - Risk - free Arbitrage: No specific numerical results provided in the text. 3.2 Shenzhen Stock Exchange Options The report lists options such as Harvest CSI 300ETF, E Fund ChiNext ETF, Harvest CSI 500ETF, and E Fund Shenzhen 100ETF, but no detailed data is provided in the current text. 3.3 China Financial Futures Exchange Options Options on CSI 300, CSI 1000, and Shanghai 50 are mentioned, but no detailed data is provided in the current text. 3.4 Zhengzhou Commodity Exchange Options Options on various products like sugar, cotton, and methanol are listed, but no detailed data is provided in the current text. 3.5 Dalian Commodity Exchange Options Options on products such as soybean meal, corn, and iron ore are mentioned, but no detailed data is provided in the current text. 3.6 Shanghai Futures Exchange Options Options on copper, rubber, and gold are listed, but no detailed data is provided in the current text. 3.7 Shanghai International Energy Exchange Options Options on crude oil are mentioned, but no detailed data is provided in the current text. 3.8 Guangzhou Futures Exchange Options Options on industrial silicon, lithium carbonate, and polysilicon are listed, but no detailed data is provided in the current text.