先锋期货期权日报-20251010

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the option market data of multiple underlying assets, including the ranking of option volatility, trading volume, and open interest of major options, as well as provides volatility trading suggestions and no - risk arbitrage analysis for various exchange - listed options [3][20][22]. 3. Summary by Directory 3.1 Option Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and daily true range of multiple option underlying assets, along with their rankings [3]. - The zc511 has the highest implied volatility of 10.1%, ranking first; the 30 - day historical volatility of the科创50etf10月 is 2.4%, ranking first; and the daily true range of the科创50etf10月 is 6.7%, ranking first [3]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - Basic Information: The trading volume of the main options is 948,596 lots, the open interest is 996,227 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 17.82% [20]. - Volatility Trading: Suggestions are to sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [22]. - No - Risk Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 1.30% at the counter - price [26][28]. 3.2.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options is 1,091,824 lots, the open interest is 785,510 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 17.04% [31]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [33]. - No - Risk Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 16.6% at the settlement price and 4.13% at the counter - price [37][39]. 3.2.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options is 1,404,681 lots, the open interest is 662,200 lots, the trading volume ratio of call options to put options is 1.11, and the weighted average implied volatility is 20.21% [42]. - Volatility Trading: The same trading suggestions as above, sell high - curve options and buy low - curve options [44]. - No - Risk Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 5.55% at the counter - price [48][50]. 3.2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 1,569,435 lots, the open interest is 1,118,938 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 44.48% [53]. - Volatility Trading: Sell options in months with higher curves and buy those in months with lower curves; for the same month, sell high - point options and buy low - point options [56]. - No - Risk Arbitrage: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 31.7% at the settlement price and 3.44% at the counter - price [60][62]. 3.2.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 361,098 lots, the open interest is 320,378 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 45.36% [65]. - Volatility Trading: The same trading suggestions as other options, sell high - curve options and buy low - curve options [67]. - No - Risk Arbitrage: No relevant data provided.