Report Summary 1. Option Underlying Volatility Ranking - The report presents a ranking of option underlying assets based on implied volatility, 30 - day historical volatility, and daily true range. For example, lc2511 ranks 1st in implied volatility with 3.0%, ps2511 ranks 1st in 30 - day historical volatility with 2.7%, and cj601 ranks 1st in daily true range with 4.8% [3]. 2. Shanghai Stock Exchange Options 2.1 Shanghai 50ETF - Basic Information: The trading volume of the main - contract options of Shanghai 50ETF on the day is 1,169,164 lots, the open interest is 879,616 lots, the trading volume ratio of call options to put options is 1.95, and the weighted - average implied volatility is 18.18% [18][20]. - Volatility Trading: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those with points below the curve for the same month [23]. - Risk - free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.80%; when trading at the counter - offer price, it is 2.63% [26][28]. 2.2 Huatai -柏瑞 CSI 300ETF - Basic Information: The trading volume of the main - contract options of Huatai -柏瑞 CSI 300ETF on the day is 1,058,849 lots, the open interest is 707,790 lots, the trading volume ratio of call options to put options is 1.59, and the weighted - average implied volatility is 18.52% [29][31]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [36]. - Risk - free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14%; when trading at the counter - offer price, it is 0.45% [39][41]. 2.3 Southern CSI 500ETF - Basic Information: The trading volume of the main - contract options of Southern CSI 500ETF on the day is 1,205,915 lots, the open interest is 616,631 lots, the trading volume ratio of call options to put options is 1.28, and the weighted - average implied volatility is 22.3% [42][44]. - Volatility Trading: The trading suggestions are the same as above [48]. - Risk - free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2%; when trading at the counter - offer price, it is 3.59% [51][53]. 2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day is 1,082,103 lots, the open interest is 969,460 lots, the trading volume ratio of call options to put options is 1.56, and the weighted - average implied volatility is 44.22% [54][56]. - Volatility Trading: The trading suggestions remain consistent [58]. - Risk - free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; when trading at the counter - offer price, it is 2.25% [62][64]. 2.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation 50ETF on the day is 222,896 lots, the open interest is 257,534 lots, the trading volume ratio of call options to put options is 1.83, and the weighted - average implied volatility is 44.53% [65][67]. - Volatility Trading: The trading suggestions are unchanged [69]. - Risk - free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.4%; when trading at the counter - offer price, it is 1.63% [73][75]. 3. Shenzhen Stock Exchange Options 3.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main - contract options of Harvest CSI 300ETF on the day is 215,662 lots, the open interest is 173,644 lots, the trading volume ratio of call options to put options is 1.31, and the weighted - average implied volatility is 19.84% [76][78]. - Volatility Trading: The trading suggestions are to sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [80].
先锋期货期权日报-20250929
Xian Feng Qi Huo·2025-09-29 09:36