先锋期货期权日报-20251107

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - Volatility Trading: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - Basic Information: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - Volatility Trading: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - Volatility Trading: Similar volatility trading suggestions were given. [50] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - Volatility Trading: Similar volatility trading suggestions were given. [58] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - Volatility Trading: Similar volatility trading suggestions were given. [69] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party 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 on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - Volatility Trading: Similar volatility trading suggestions were given. [85] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - Volatility Trading: Similar volatility trading suggestions were given. [93]