Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the volatility rankings of various option underlying assets and provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage analysis for multiple ETF options on the Shanghai Stock Exchange. 3. Directory Summary 3.1 Option Underlying Assets Volatility Ranking - Ranking is based on three aspects: at - the - money option implied volatility, 30 - day historical volatility of the underlying asset, and the real - time volatility of the underlying asset on the day. For example, lc2512 ranks 1st in at - the - money option implied volatility with 2.6%, and the Science and Technology Innovation Board 50ETF November ranks 1st in real - time volatility on the day with 4.6% [3]. - At - the - money option implied volatility reflects market expectations of future fluctuations; 30 - day historical volatility reflects past actual market conditions; real - time volatility on the day reflects intraday market conditions [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - Basic Information: The trading volume of the main options is 676,066 lots, the open interest is 665,178 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 16.15% [21]. - Volatility Trading: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [24]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.15% at the settlement price and 0.62% at the counter - party price [28][30]. 3.2.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options is 591,434 lots, the open interest is 591,691 lots, the trading volume ratio of call options to put options is 1.33, and the weighted average implied volatility is 16.67% [33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [37]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.25% at the settlement price and 2.48% at the counter - party price [40][42]. 3.2.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options is 1,045,522 lots, the open interest is 588,097 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 20.32% [45]. - Volatility Trading: The same trading suggestions as above, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [48]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 42.1% at the settlement price and 9.25% at the counter - party price [52][54]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 1,207,404 lots, the open interest is 825,033 lots, the trading volume ratio of call options to put options is 1.75, and the weighted average implied volatility is 34.02% [56]. - Volatility Trading: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [58]. - Risk - free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.07% at the settlement price and 2.47% at the counter - party price [62][64]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 230,846 lots, the open interest is 237,063 lots, the trading volume ratio of call options to put options is 1.7, and the weighted average implied volatility is 34.27% [67]. - Volatility Trading: Similar trading suggestions, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [71]. - Risk - free Arbitrage information is not provided in the report.
先锋期货期权日报-20251024
Xian Feng Qi Huo·2025-10-24 09:07