先锋期货期权日报-20251015

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Report's Core View The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time amplitude of the targets. It also provides T - type quotation tables, trading volume, open interest, and other data for different exchange - traded ETF options, along with volatility trading suggestions and no - risk arbitrage analysis [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - 1.1 Shanghai 50ETF - Basic Information: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 18.7% [19][21]. - Volatility Trading: Suggestions are to sell the options or months with higher curves and buy those with lower curves, both for different months and the same month [23]. - No - Risk Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 32.0% at the settlement price and 1.77% at the counter - party price [27][29]. - 1.2 Huatai - Berire CSI 300ETF - Basic Information: The settlement prices of call and put options at different strike prices and expiration months are given. The trading volume of the main options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 19.37% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the options or months with higher curves and buy those with lower curves [34]. - No - Risk Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 28.3% at the settlement price and 4.34% at the counter - party price [38][40]. - 1.3 Southern CSI 500ETF - Basic Information: The settlement prices of call and put options at different strike prices and expiration months are shown. The trading volume of the main options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 22.23% [41][43]. - Volatility Trading: Sell the options or months with higher curves and buy those with lower curves [47]. - No - Risk Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 4.71% at the counter - party price [50][52]. - 1.4 Huaxia Shanghai STAR Market 50ETF - Basic Information: The settlement prices of call and put options at different strike prices and expiration months are provided. The trading volume of the main options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 52.52% [53][55]. - Volatility Trading: Sell the options or months with higher curves and buy those with lower curves [58]. - No - Risk Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 22.7% at the settlement price and 5.81% at the counter - party price [61][63]. - 1.5 E Fund Shanghai STAR Market 50ETF - Basic Information: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 47.93% [64][66]. - Volatility Trading: Sell the options or months with higher curves and buy those with lower curves [70]. - No - Risk Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.1% at the settlement price and 4.54% at the counter - party price [73][75].