先锋期货期权日报-20251105

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the option market data of various underlying assets on November 5, 2025, including the volatility rankings of option underlying assets, and details the basic information, volatility trading, and risk - free arbitrage of options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange. 3. Summary by Directory 3.1 Option Market Volatility Ranking - The report lists the rankings of implied volatility, 30 - day historical volatility, and daily real volatility of multiple option underlying assets. For example, ps2512 ranks first in implied volatility with 3.0%, and the ChiNext ETF in November ranks first in daily real volatility with 3.5% [3]. - The implied volatility reflects the market's expectation of future fluctuations, the 30 - day historical volatility reflects past actual market conditions, and the daily real volatility reflects the intraday market size [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - Basic Information: The trading volume of the main options is 617,615 lots, the open interest is 923,189 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 15.3% [19][21]. - Volatility Trading: Suggest selling the options with higher curves (either different months or within the same month) and buying those with lower curves [26]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.30% at the settlement price and 1.82% at the counter - party price [29][31]. 3.2.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options is 844,891 lots, the open interest is 785,895 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.3% [32][34]. - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [42]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 3.38% at the counter - party price [43][44]. 3.2.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options is 1,371,819 lots, the open interest is 784,203 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.72% [45][47]. - Volatility Trading: Follow the rule of selling high - curve options and buying low - curve options [52]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 53.4% at the settlement price and 11.6% at the counter - party price [54][56]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 929,079 lots, the open interest is 1,226,025 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 36.41% [57][58]. - Volatility Trading: Sell high - curve options and buy low - curve options [62]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.2% at the settlement price and 4.26% at the counter - party price [65][67]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 152,265 lots, the open interest is 296,804 lots, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 37.56% [70][71]. - Volatility Trading: Adopt the strategy of selling high - curve options and buying low - curve options [73]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.0% at the settlement price and 2.89% at the counter - party price [77][79]. 3.3 Shenzhen Stock Exchange Options 3.3.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options is 117,267 lots, the open interest is 157,869 lots, the trading volume ratio of call options to put options is 1.07, and the weighted average implied volatility is 17.57% [80][82]. - Volatility Trading: Sell high - curve options and buy low - curve options [88]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 2.62% at the counter - party price [90][91]. 3.3.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main options is 1,771,559 lots, the open interest is 1,154,686 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 33.44% [92][94]. - Volatility Trading: Follow the rule of selling high - curve options and buying low - curve options [96].