Report Summary 1. Option Volatility Ranking - Presented the option volatility ranking for various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the underlying on the day [3][4] 2. Core View - Provided information on the trading volume, open interest, volume ratio of call to put options, and weighted - average implied volatility of the main options of different ETFs - Offered volatility trading suggestions based on the implied volatility curves of different months and options - Calculated the minimum annualized return of the optimal arbitrage portfolio for different ETF options when traded at settlement price and counter - party price 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - 1.1 Shanghai 50ETF - Basic information: The trading volume of the main options was 562,138 lots, the open interest was 910,570 lots, the volume ratio of call to put options was 1.9, and the weighted - average implied volatility was 17.57% [18][20] - Volatility trading: Suggested selling the options or months with higher implied volatility curves and buying those with lower ones [23] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio was 5.78% at settlement price and 1.46% at counter - party price [26][28] - 1.2 Huatai - Ber瑞沪深300ETF - Basic information: The trading volume of the main options was 647,138 lots, the open interest was 707,630 lots, the volume ratio of call to put options was 1.68, and the weighted - average implied volatility was 17.7% [29][31] - Volatility trading: Similar trading suggestions as above [33] - Risk - free arbitrage: The minimum annualized return was 4.66% at settlement price and 0.53% at counter - party price [37][39] - 1.3 Southern China Securities 500ETF - Basic information: The trading volume of the main options was 969,418 lots, the open interest was 599,229 lots, the volume ratio of call to put options was 1.2, and the weighted - average implied volatility was 21.23% [40][42] - Volatility trading: Similar trading suggestions [45] - Risk - free arbitrage: The minimum annualized return was 30.2% at settlement price and 6.79% at counter - party price [49][51] - 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic information: The trading volume of the main options was 1,109,727 lots, the open interest was 998,550 lots, the volume ratio of call to put options was 1.67, and the weighted - average implied volatility was 41.79% [52][54] - Volatility trading: Similar trading suggestions [56] - Risk - free arbitrage: The minimum annualized return was 10.7% at settlement price and 2.88% at counter - party price [60][62] - 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic information: The trading volume of the main options was 222,304 lots, the open interest was 259,569 lots, the volume ratio of call to put options was 1.93, and the weighted - average implied volatility was 41.45% [63][65] - Volatility trading: Similar trading suggestions [68] - Risk - free arbitrage: The minimum annualized return was 18.1% at settlement price and 4.58% at counter - party price [72][74] 3.2 Shenzhen Stock Exchange Options - 2.1 Harvest CSI 300ETF - Basic information: The trading volume of the main options was 111,486 lots, the open interest was 175,685 lots, the volume ratio of call to put options was 1.29, and the weighted - average implied volatility was 19.83% [75][77] - Volatility trading: Similar trading suggestions [80][81]
先锋期货期权日报-20250930
Xian Feng Qi Huo·2025-09-30 09:33