Group 1: Option Volatility Ranking - ag2511 has the highest implied volatility of 2.7% and ranks 1st, with a 30 - day historical volatility of 2.3% (ranked 4th) and a real - time volatility of 5.1% (ranked 2nd) [3] - jd2511 has an implied volatility of 2.7%, ranking 2nd, a 30 - day historical volatility of 1.7% (ranked 10th), and a real - time volatility of 1.2% (ranked 35th) [3] - au2512 has an implied volatility of 2.1%, ranking 9th, a 30 - day historical volatility of 2.2% (ranked 5th), and a real - time volatility of 6.4% (ranked 1st) [3] Group 2: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of significant market movements. Trend traders can focus on varieties with higher rankings. The 30 - day historical volatility reflects the actual past market size. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings. Intraday traders can focus on varieties with higher rankings in real - time volatility [6] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] Group 3: Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - The trading volume of the main options of Shanghai 50ETF on this day is 426,448 lots, the open interest is 555,499 lots, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.02% [21] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 5.04% at the settlement price and 0.93% at the counter - price [27][29] 1.2 Huatai - Ber瑞 CSI 300ETF - The trading volume of the main options of Huatai - Ber瑞 CSI 300ETF on this day is 452,107 lots, the open interest is 498,017 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 17.52% [32] - Volatility trading suggestions are the same as above [37] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 4.12% at the settlement price and 0.67% at the counter - price [39][40] 1.3 Southern CSI 500ETF - The trading volume of the main options of Southern CSI 500ETF on this day is 573,640 lots, the open interest is 493,365 lots, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 22.22% [43] - Volatility trading suggestions are the same as above [45] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 28.0% at the settlement price and 6.66% at the counter - price [49][51] 1.4 Huaxia SSE STAR Market 50ETF - The trading volume of the main options of Huaxia SSE STAR Market 50ETF on this day is 667,575 lots, the open interest is 686,318 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 34.66% [54] - Volatility trading suggestions are the same as above [56] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 17.1% at the settlement price and 5.97% at the counter - price [60][62] 1.5 E Fund SSE STAR Market 50ETF - The trading volume of the main options of E Fund SSE STAR Market 50ETF on this day is 127,612 lots, the open interest is 204,544 lots, the trading volume ratio of call options to put options is 0.58, and the weighted average implied volatility is 40.39% [65] - Volatility trading suggestions are the same as above [67] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 30.1% at the settlement price and 6.47% at the counter - price [71][72] Group 4: Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - The trading volume of the main options of Harvest CSI 300ETF on this day is 66,876 lots, the open interest is 84,465 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.15% [75] - Volatility trading suggestions are the same as above [78]
先锋期货期权日报-20251022
Xian Feng Qi Huo·2025-10-22 10:38