Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: October 9, 2025 [1] Option Underlying Market Volatility Ranking | Underlying | Implied Volatility of At-the-Money Options | Ranking | 30-Day Historical Volatility of Underlying | Ranking | Realized Volatility of Underlying on the Day | Ranking | | --- | --- | --- | --- | --- | --- | --- | | ps2511 | 3.3% | 1 | 1.5% | 12 | 4.3% | 10 | | lc2511 | 3.3% | 2 | 1.5% | 10 | 3.6% | 12 | | Science and Technology Innovation Board 50 ETF (October) | 2.7% | 3 | 1.9% | 5 | 5.9% | 4 | | Science and Technology Innovation 50 ETF (October) | 2.7% | 4 | 1.9% | 2 | 6.0% | 3 | | si2511 | 2.4% | 5 | 2.0% | 1 | 2.4% | 22 | | sn2511 | 2.3% | 6 | 1.3% | 22 | 4.7% | 7 | | sc2511 | 2.2% | 7 | 1.7% | 7 | 3.0% | 16 | | ChiNext ETF (October) | 2.2% | 8 | 1.9% | 3 | 2.5% | 20 | | ag2511 | 2.2% | 9 | 1.5% | 11 | 3.5% | 13 | | fg511 | 1.9% | 10 | 1.9% | 4 | 2.3% | 24 | | ao2511 | 1.9% | 11 | 1.0% | 37 | 1.9% | 44 | | br2511 | 1.8% | 12 | 1.2% | 28 | 2.1% | 35 | | ni2511 | 1.7% | 13 | 1.0% | 34 | 3.0% | 15 | | cj601 | 1.7% | 14 | 1.6% | 8 | 2.4% | 21 | | jd2511 | 1.6% | 15 | 1.9% | 6 | 6.9% | 2 | | lh2511 | 1.6% | 16 | 1.6% | 9 | 7.1% | 1 | | cu2511 | 1.5% | 17 | 1.4% | 15 | 4.5% | 9 | | au2512 | 1.5% | 18 | 1.3% | 18 | 4.9% | 5 | | ru2601 | 1.5% | 19 | 1.2% | 26 | 2.7% | 17 | | p2511 | 1.4% | 20 | 1.4% | 14 | 3.4% | 14 | | ap601 | 1.4% | 21 | 1.3% | 21 | 2.6% | 19 | | Shenzhen 100 ETF (October) | 1.4% | 22 | 1.4% | 13 | 2.2% | 28 | | sa511 | 1.3% | 23 | 1.4% | 17 | 2.2% | 26 | | i2511 | 1.3% | 24 | 0.8% | 39 | 2.0% | 38 | | sh511 | 1.3% | 25 | 1.4% | 16 | 4.7% | 6 | | mo2510 | 1.2% | 26 | 1.1% | 29 | 1.3% | 58 | | CSI 500 ETF (October) | 1.2% | 27 | 1.2% | 23 | 2.2% | 29 | | pg2511 | 1.2% | 28 | 1.3% | 19 | 4.6% | 8 | | 500 ETF (October) | 1.2% | 29 | 1.2% | 24 | 2.1% | 34 | | eb2511 | 1.2% | 30 | 0.8% | 42 | 1.6% | 48 | | lg2511 | 1.1% | 31 | 0.6% | 59 | 1.9% | 41 | | rb2601 | 1.1% | 32 | 0.8% | 43 | 0.9% | 65 | | ad2511 | 1.0% | 33 | 0.6% | 54 | 1.9% | 43 | | pb2511 | 1.0% | 34 | 0.6% | 53 | 1.5% | 52 | | zn2511 | 1.0% | 35 | 0.8% | 41 | 2.3% | 23 | | v2511 | 1.0% | 36 | 0.7% | 46 | 2.6% | 18 | | rm511 | 1.0% | 37 | 1.1% | 31 | 2.1% | 31 | | 50 ETF (October) | 1.0% | 38 | 0.7% | 48 | 1.5% | 50 | | SSE 50 ETF (October) | 1.0% | 39 | 1.0% | 35 | 1.9% | 42 | | bz2603 | 1.0% | 40 | 0.6% | 52 | 2.0% | 37 | | eg2511 | 0.9% | 41 | 0.5% | 62 | 1.8% | 46 | | io2510 | 0.9% | 42 | 0.9% | 38 | 1.8% | 45 | | 300 ETF (October) | 0.9% | 43 | 1.0% | 36 | 2.0% | 39 | | ho2510 | 0.9% | 44 | 0.7% | 49 | 1.5% | 49 | | cs2511 | 0.9% | 45 | 0.7% | 47 | 2.1% | 32 | | sf511 | 0.9% | 46 | 1.1% | 30 | 1.4% | 55 | | al2511 | 0.9% | 47 | 0.6% | 56 | 2.0% | 40 | | c2511 | 0.8% | 48 | 0.6% | 58 | 1.2% | 60 | | ta511 | 0.8% | 49 | 0.8% | 40 | 1.5% | 51 | | y2511 | 0.8% | 50 | 1.2% | 25 | 2.2% | 25 | | m2511 | 0.8% | 51 | 1.2% | 27 | 1.3% | 57 | | l2511 | 0.8% | 52 | 0.4% | 64 | 1.4% | 56 | | ur511 | 0.8% | 53 | 1.0% | 32 | 3.9% | 11 | | ma511 | 0.7% | 54 | 0.7% | 50 | 2.1% | 36 | | b2511 | 0.7% | 55 | 1.3% | 20 | 1.4% | 54 | | sm511 | 0.7% | 56 | 0.7% | 45 | 0.9% | 64 | | pk511 | 0.7% | 57 | 0.5% | 61 | 2.2% | 30 | | oi511 | 0.7% | 58 | 1.0% | 33 | 2.1% | 33 | | a2511 | 0.6% | 59 | 0.7% | 51 | 1.4% | 53 | | pf511 | 0.6% | 60 | 0.6% | 55 | 1.2% | 62 | | pp2601 | 0.6% | 61 | 0.5% | 60 | 2.2% | 27 | | cf601 | 0.6% | 62 | 0.5% | 63 | 1.2% | 59 | | pr511 | 0.5% | 63 | 0.6% | 57 | 1.1% | 63 | [3][4] Volatility Explanation - The implied volatility of at-the-money options reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater likelihood of significant market movements. Trend traders may focus on the top-ranked varieties [5]. - The 30-day historical volatility of the underlying asset reflects the actual historical market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively high. Option sellers can pay attention to the difference in rankings between the two [5]. - The realized volatility of the underlying asset on the day reflects the intraday market movements of the underlying asset. Intraday traders may focus on the top-ranked varieties [5]. Exchange Option Analysis Shanghai Stock Exchange Options SSE 50 ETF - Basic Information: The trading volume of the SSE 50 ETF's main options was 1,080,033 contracts, and the open interest was 935,204 contracts. The trading volume ratio of call options to put options was 1.69, and the weighted average implied volatility was 17.64% [18][20]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [22]. - Risk-Free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 15.6%; when trading at the counterparty price, it is 3.79% [26][28]. Huatai-PineBridge SSE 300 ETF - Basic Information: The trading volume of the Huatai-PineBridge SSE 300 ETF's main options was 1,103,712 contracts, and the open interest was 724,243 contracts. The trading volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 16.67% [29][31]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [35]. - Risk-Free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.52%; when trading at the counterparty price, it is 1.00% [38][40]. Southern CSI 500 ETF - Basic Information: The trading volume of the Southern CSI 500 ETF's main options was 1,342,230 contracts, and the open interest was 659,034 contracts. The trading volume ratio of call options to put options was 1.08, and the weighted average implied volatility was 19.54% [41][43]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [45]. - Risk-Free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.8%; when trading at the counterparty price, it is 7.72% [49][51]. Huaxia SSE Science and Technology Innovation Board 50 ETF - Basic Information: The trading volume of the Huaxia SSE Science and Technology Innovation Board 50 ETF's main options was 1,844,940 contracts, and the open interest was 1,034,741 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 41.82% [52][54]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [59]. - Risk-Free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 64.0%; when trading at the counterparty price, it is 12.4% [61][63]. E Fund SSE Science and Technology Innovation Board 50 ETF - Basic Information: The trading volume of the E Fund SSE Science and Technology Innovation Board 50 ETF's main options was 409,101 contracts, and the open interest was 277,356 contracts. The trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 42.64% [64][66]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [68]. - Risk-Free Arbitrage: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 40.0%; when trading at the counterparty price, it is 8.65% [72][74]. Shenzhen Stock Exchange Options Harvest SSE 300 ETF - Basic Information: The trading volume of the Harvest SSE 300 ETF's main options was 184,080 contracts, and the open interest was 185,103 contracts. The trading volume ratio of call options to put options was 1.41, and the weighted average implied volatility was 18.39% [75][77]. - Volatility Trading: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [79].
先锋期货期权日报-20251009
Xian Feng Qi Huo·2025-10-09 09:35