先锋期货期权日报-20251028

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: October 28, 2025 [1] Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at-the-money options, 30-day historical volatility, and daily true range for various underlying assets [3][4]. - For example, ps2512 has an implied volatility of 2.8%, ranking 1st; lc2512 has an implied volatility of 2.6%, ranking 2nd [3]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The report presents the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main options is 629,174 lots, the open interest is 729,512 lots, the volume ratio of call to put options is 1.19, and the weighted average implied volatility is 16.04% [19][21]. - Volatility Trading: Volatility trading suggestions are provided, such as selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [22]. - Risk-Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.72% when traded at the settlement price and 1.61% when traded at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - Basic Information: The T-type quotation table of Huatai-PineBridge CSI 300ETF options is presented. The trading volume of the main options is 650,165 lots, the open interest is 630,680 lots, the volume ratio of call to put options is 1.21, and the weighted average implied volatility is 17% [29][31]. - Volatility Trading: Similar volatility trading suggestions are given [38]. - Risk-Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.87% when traded at the settlement price and 0.02% when traded at the counterparty price [39][41]. 1.3 Southern CSI 500ETF - Basic Information: The T-type quotation table of Southern CSI 500ETF options is provided. The trading volume of the main options is 1,059,387 lots, the open interest is 690,068 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 20.53% [42][44]. - Volatility Trading: Volatility trading suggestions are similar to the above [48]. - Risk-Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 34.5% when traded at the settlement price and 7.48% when traded at the counterparty price [51][53]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The T-type quotation table of Huaxia Shanghai Science and Technology Innovation 50ETF options is shown. The trading volume of the main options is 885,668 lots, the open interest is 987,813 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 36.69% [54][55]. - Volatility Trading: Similar volatility trading suggestions are provided [61]. - Risk-Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 8.84% when traded at the settlement price and 2.31% when traded at the counterparty price [63][65]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The T-type quotation table of E Fund Shanghai Science and Technology Innovation 50ETF options is presented. The trading volume of the main options is 153,032 lots, the open interest is 248,888 lots, the volume ratio of call to put options is 1.81, and the weighted average implied volatility is 36.8% [66][68]. - Volatility Trading: Similar volatility trading suggestions are given [70]. - Risk-Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 14.3% when traded at the settlement price and 2.51% when traded at the counterparty price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - Basic Information: The T-type quotation table of Harvest CSI 300ETF options is provided. The trading volume of the main options is 104,115 lots, the open interest is 122,101 lots, the volume ratio of call to put options is 1.62, and the weighted average implied volatility is 18.03% [77][79]. - Volatility Trading: Volatility trading suggestions are similar to the above [84].