先锋期货期权日报-20251027

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on October 27, 2025, including the T - type quotes, trading volume, open interest, and implied volatility of different options. It also provides volatility trading suggestions and no - risk arbitrage analysis for different underlying assets in the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][29] 3. Summary According to the Catalog 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options is 729,525 lots, the open interest is 697,585 lots, the trading volume ratio of call options to put options is 1.77, and the weighted average implied volatility is 16.49% [19][21]. - Volatility Trading: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [22]. - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 4.06% at the settlement price and 0.10% at the counter - price [26][28]. 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main 300ETF options is 757,818 lots, the open interest is 610,749 lots, the trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 17.01% [29][31]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [35]. - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.17% at the settlement price [38]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main 500ETF options is 1,351,429 lots, the open interest is 655,953 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 20.42% [42][44]. - Volatility Trading: The same trading suggestions as above [48]. - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 41.2% at the settlement price and 8.83% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main Science and Technology Innovation Board 50ETF options is 1,226,032 lots, the open interest is 932,708 lots, the trading volume ratio of call options to put options is 1.73, and the weighted average implied volatility is 35.69% [54][56]. - Volatility Trading: Follow the general volatility trading suggestions [58]. - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.9% at the settlement price and 5.46% at the counter - price [62][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main Science and Technology Innovation Board 50ETF options is 225,924 lots, the open interest is 247,620 lots, the trading volume ratio of call options to put options is 1.72, and the weighted average implied volatility is 35.78% [65][67]. - Volatility Trading: Adopt the same volatility trading strategies [69]. - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 21.5% at the settlement price and 5.52% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main Shenzhen 300ETF options is 103,927 lots, the open interest is 115,747 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 18.79% [76][78]. - Volatility Trading: Use the same volatility trading suggestions as other options [81]. - No - Risk Arbitrage: No relevant content provided.