先锋期货期权日报-20251023

Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the volatility data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the target on the day. It also offers information on the basic information, volatility trading, and risk - free arbitrage of different options on multiple exchanges [3][20][30]. 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 Shanghai 50ETF on the day was 729,647 lots, the open interest was 638,707 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.24% [20][22]. - Volatility Trading: Sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.30% at the settlement price and 0.78% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 739,053 lots, the open interest was 563,448 lots, the trading volume ratio of call options to put options was 1.15, and the weighted average implied volatility was 17.76% [30][32]. - Volatility Trading: Similar to Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [39]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.73% at the settlement price and 1.19% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF on the day was 996,190 lots, the open interest was 572,610 lots, the trading volume ratio of call options to put options was 0.85, and the weighted average implied volatility was 22.48% [43][45]. - Volatility Trading: Sell the month or option with the curve or point above and buy the one below [49]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 30.6% at the settlement price and 7.36% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 742,790 lots, the open interest was 788,400 lots, the trading volume ratio of call options to put options was 1.18, and the weighted average implied volatility was 35.41% [55][56]. - Volatility Trading: Sell the month or option with the curve or point above and buy the one below [61]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.09% at the settlement price and 4.10% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main options of E Fund SSE STAR 50ETF on the day was 112,527 lots, the open interest was 222,189 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 36.14% [66][67]. - Volatility Trading: Sell the month or option with the curve or point above and buy the one below [70]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.54% at the settlement price and 3.97% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of Harvest CSI 300ETF on the day was 109,827 lots, the open interest was 96,212 lots, the trading volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 18.61% [77][79]. - Volatility Trading: Sell the month or option with the curve or point above and buy the one below [87][88].