先锋期货期权日报-20251014

Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - The report provides a daily update on futures and options, including volatility data of various options, T - type quotes, and suggestions for volatility trading and risk - free arbitrage for different exchange - listed options [3][19][23] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of 50ETF on the day was 1,080,478 lots, the open interest was 955,458 lots, the trading volume ratio of call to put options was 1.25, and the weighted average implied volatility was 20.12% [21] - Volatility Trading: Suggestions include selling the month with the upper - lying curve and buying the lower - lying one for different months; selling the option with the upper - lying point and buying the lower - lying one for the same month [23] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 16.9% at the settlement price and 3.41% at the counter - price [27][29] 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main options of 300ETF on the day was 1,244,264 lots, the open interest was 697,801 lots, the trading volume ratio of call to put options was 0.98, and the weighted average implied volatility was 21.47% [32] - Volatility Trading: Similar to 50ETF, sell the upper - lying curve or point and buy the lower - lying one [34] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 13.1% at the settlement price and 2.18% at the counter - price [38][40] 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of 500ETF on the day was 2,003,046 lots, the open interest was 662,219 lots, the trading volume ratio of call to put options was 0.88, and the weighted average implied volatility was 27.62% [43] - Volatility Trading: The same trading suggestions as above [46] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 98.5% at the settlement price and 21.9% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main options of STAR 50ETF on the day was 1,812,782 lots, the open interest was 1,181,164 lots, the trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 52.27% [55] - Volatility Trading: Follow the general volatility trading suggestions [57] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 67.6% at the settlement price and 11.9% at the counter - price [61][63] 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main options of STAR 50ETF on the day was 365,618 lots, the open interest was 314,195 lots, the trading volume ratio of call to put options was 1.15, and the weighted average implied volatility was 51.49% [66] - Volatility Trading: Adopt the common volatility trading strategies [68] - Risk - free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 84.8% at the settlement price and 7.83% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main options of Shenzhen 300ETF on the day was 202,414 lots, the open interest was 196,796 lots, the trading volume ratio of call to put options was 0.85, and the weighted average implied volatility was 23.15% [77] - Volatility Trading: Use the same volatility trading suggestions as other options [81] - Risk - free Arbitrage: Not provided in the document