先锋期货期权日报-20251104

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. 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 option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - Basic Information: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - Volatility Trading: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - Volatility Trading: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - Basic Information: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - Volatility Trading: Provides implied volatility curves and trading suggestions [45][46] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - Volatility Trading: Provides implied volatility curves and trading suggestions [56][59] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - Volatility Trading: Provides implied volatility curves and trading suggestions [67][68] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - Basic Information: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - Volatility Trading: Provides implied volatility curves and trading suggestions [78][79] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - Basic Information: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - Volatility Trading: Provides implied volatility curves and trading suggestions [89][91] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]