先锋期货期权日报-20251029

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated October 29, 2025, presenting data on option implied volatility, historical volatility, and real - time volatility of various underlying assets, along with information on different exchanges' option products [1][3] Group 2: Option Volatility Ranking - The table shows the ranking of at - the - money option implied volatility, 30 - day historical volatility, and daily real - time volatility of multiple underlying assets. For example, ps2512 has the highest at - the - money option implied volatility of 2.6% and the highest daily real - time volatility of 3.4% [3] Group 3: Explanation of Volatility Indicators - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant market movements. 30 - day historical volatility reflects the actual past price movements of the underlying asset. If it is lower than the implied volatility, the option price may be relatively high. The daily real - time volatility reflects the intraday price movements of the underlying asset [6] Group 4: Exchange - Specific Option Information 4.1 Shanghai Stock Exchange Options - Shanghai 50ETF: The trading volume of the main options is 405,811 lots, the open interest is 741,948 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 16.23%. Volatility trading and risk - free arbitrage strategies are provided, with the lowest annualized return of 6.48% for the optimal arbitrage portfolio at the settlement price and 0.87% at the counter - party price [20][22][28] - Huatai - Baoying CSI 300ETF: The trading volume of the main options is 555,860 lots, the open interest is 653,745 lots, the trading volume ratio of call options to put options is 1.36, and the weighted average implied volatility is 17.2%. The lowest annualized return of the optimal arbitrage portfolio is 3.89% at the settlement price and 1.00% at the counter - party price [30][33][41] - Southern CSI 500ETF: The trading volume of the main options is 1,125,835 lots, the open interest is 699,515 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 20.44%. The lowest annualized return of the optimal arbitrage portfolio is 33.9% at the settlement price and 7.21% at the counter - party price [44][46][52] - Huaxia Shanghai Science and Technology Innovation Board 50ETF: The trading volume of the main options is 844,973 lots, the open interest is 1,038,411 lots, the trading volume ratio of call options to put options is 1.78, and the weighted average implied volatility is 37.57%. The lowest annualized return of the optimal arbitrage portfolio is 17.6% at the settlement price and 3.96% at the counter - party price [55][57][63] - E Fund Shanghai Science and Technology Innovation Board 50ETF: The trading volume of the main options is 148,138 lots, the open interest is 252,084 lots, the trading volume ratio of call options to put options is 2.14, and the weighted average implied volatility is 37.4%. The lowest annualized return of the optimal arbitrage portfolio is 15.0% at the settlement price and 3.07% at the counter - party price [67][75] 4.2 Shenzhen Stock Exchange Options - Harvest CSI 300ETF: The trading volume of the main options is 70,155 lots, the open interest is 120,034 lots, the trading volume ratio of call options to put options is 1.86, and the weighted average implied volatility is 19.01%. The lowest annualized return of the optimal arbitrage portfolio is 12.1% at the settlement price and 0.23% at the counter - party price [78][80][88] - E Fund ChiNext ETF: The trading volume of the main options is 1,477,866 lots, the open interest is 953,760 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 35.11%. The lowest annualized return of the optimal arbitrage portfolio is 11.7% at the settlement price and 2.02% at the counter - party price [90][92][98]