先锋期货期权日报-20251017

Group 1: Report Overview - Report Date: October 17, 2025 [1] - Report Title: Pioneer Futures Options Daily Report Group 2: Options Underlying Volatility Ranking Overall Ranking - The report provides a ranking of options underlying based on three volatility metrics: at-the-money implied volatility, 30-day historical volatility, and daily true range [3][4]. - The top 3 options in at-the-money implied volatility are ps2512 (3.3%), ag2511 (3.1%), and科创50etf12月 (2.8%) [3]. - The top 3 options in 30-day historical volatility are科创50etf12月 (2.5%), 科创板50etf12月 (2.4%), and 创业板etf10月 (2.1%) [3]. - The top 3 options in daily true range are ag2511 (5.0%), ps2512 (3.5%), and 创业板etf10月 (3.5%) [3]. Volatility Interpretation - At-the-money implied volatility reflects the market's expectation of future price fluctuations, with higher values indicating a greater likelihood of significant price movements [5]. - 30-day historical volatility reflects the actual price movements in the past, and a lower value compared to implied volatility may suggest that the option price is relatively expensive [5]. - Daily true range reflects the intraday price movements, and traders can focus on options with higher rankings [5]. Group 3: Exchange - Specific Options Analysis 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF Options - Basic Information: The trading volume of the main Shanghai 50ETF 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 22.11% [18][20]. - Volatility Trading: Suggestions include selling options in months with higher volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month [24]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.8% at the settlement price and 2.48% at the counter - party price [27][29]. 1.2 Huatai - Berry SSE 300ETF Options - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF 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 22.92% [30][32]. - Volatility Trading: Similar trading suggestions as for Shanghai 50ETF options [34]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 39.6% at the settlement price and 6.08% at the counter - party price [38][39]. 1.3 Southern CSI 500ETF Options - Basic Information: The trading volume of the main Southern CSI 500ETF 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 26.27% [40][42]. - Volatility Trading: Similar trading suggestions as above [46]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.4% at the settlement price and 6.59% at the counter - party price [49][51]. 1.4 Huaxia SSE STAR 50ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR 50ETF 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 53.28% [52][54]. - Volatility Trading: Similar trading suggestions as above [58]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 5.98% at the counter - party price [62][64]. 1.5 E Fund SSE STAR 50ETF Options - Basic Information: The trading volume of the main E Fund SSE STAR 50ETF 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 48.62% [65][67]. - Volatility Trading: Similar trading suggestions as above [71]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.8% at the settlement price and 4.67% at the counter - party price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SZSE 300ETF Options - Basic Information: The trading volume of the main Harvest SZSE 300ETF options is 171,599 contracts, the open interest is 182,102 contracts, the trading volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24% [77][79]. - Volatility Trading: Similar trading suggestions as above [81].