先锋期货期权日报-20251013

Report Title - Pioneer Futures Options Daily Report, dated October 13, 2025 [1] Key Information on Option Volatility Option Volatility Ranking - The report provides rankings of at-the-money option implied volatility, 30-day historical volatility, and the real daily range for various option targets. For example, ps2511 ranks 1st in at-the-money option implied volatility with a value of 4.3%, while cj601 ranks 10th with 2.0% [3]. Volatility Analysis - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant price movements. Historical volatility shows past price fluctuations, and if it is lower than implied volatility, option prices may be relatively high. The real daily range indicates the intraday price movement [6]. Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options on the day is 930,721 contracts, with an open interest of 976,248 contracts. The trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 21.08% [21]. - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options with points above the curve and buy those below [23]. - Risk - Free Arbitrage: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.8%; with counter - party price execution, it is 0.81% [27][29]. 1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF options on the day is 1,110,954 contracts, with an open interest of 715,169 contracts. The trading volume ratio of call to put options is 0.98, and the weighted - average implied volatility is 21.27% [32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, sell high - curve points and buy low - curve points [34]. - Risk - Free Arbitrage: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; with counter - party price execution, there is no minimum annualized return [38][40]. 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main Southern CSI 500ETF options on the day is 1,607,027 contracts, with an open interest of 718,773 contracts. The trading volume ratio of call to put options is 0.96, and the weighted - average implied volatility is 24.63% [43]. - Volatility Trading: Follow the same rules as above for volatility trading [45]. - Risk - Free Arbitrage: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.4%; with counter - party price execution, it is 7.58% [49][51]. 1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main Huaxia SSE STAR 50ETF options on the day is 1,571,108 contracts, with an open interest of 1,188,741 contracts. The trading volume ratio of call to put options is 1.04, and the weighted - average implied volatility is 51.33% [54]. - Volatility Trading: Adopt the same volatility trading strategies [56]. - Risk - Free Arbitrage: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2%; with counter - party price execution, it is 4.41% [60][62]. 1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main E Fund SSE STAR 50ETF options on the day is 314,143 contracts, with an open interest of 329,369 contracts. The trading volume ratio of call to put options is 1, and the weighted - average implied volatility is 51.4% [65]. - Volatility Trading: Use the same rules for volatility trading [67]. - Risk - Free Arbitrage: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.7%; with counter - party price execution, it is 1.89% [71][73].