先锋期货期权日报-20251110

Report Summary This report is the Pioneer Futures Options Daily Report for November 10, 2025, presenting data on option targets' volatility and detailed information on options from multiple exchanges, including basic info, volatility trading, and risk - free arbitrage. 1. Option Target Volatility Data - Volatility Ranking Table: The report provides a table ranking option targets by at - the - money implied volatility, 30 - day historical volatility, and daily true range. For example, fg512 ranks 1st in at - the - money implied volatility with 3.4%, while lc2601 ranks 1st in daily true range with 5.7% [3]. - Volatility Explanation: At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility shows past actual market movements, and daily true range indicates intraday market size. Trend traders can focus on targets with high at - the - money implied volatility rankings, option sellers can consider the difference between at - the - money implied and 30 - day historical volatility rankings, and intraday traders can pay attention to high daily true range rankings [6]. 2. Exchange - Specific Option Information 2.1 Shanghai Stock Exchange Options - Basic Information: For various ETFs like SSE 50 ETF, Huatai - Berry SSE 300 ETF, Southern CSI 500 ETF, etc., the report provides T - type quotation tables showing call and put option prices at different strike prices, as well as trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For instance, the trading volume of SSE 50 ETF's main - contract options is 521,565 lots, open interest is 888,165 lots, call - put volume ratio is 1.32, and weighted average implied volatility is 14.95% [20][22]. - Volatility Trading: Volatility trading suggestions are to sell options in months with higher volatility curves and buy those in lower - curve months, and sell options with higher points on the curve and buy those with lower points within the same month [25]. - Risk - Free Arbitrage: The report calculates the minimum annualized return of the optimal arbitrage portfolio for each ETF option when trading at settlement price and counter - party price. For example, for SSE 50 ETF, the minimum annualized return at settlement price is 6.17%, and at counter - party price is 1.46% [29][31]. 2.2 Shenzhen Stock Exchange Options - Basic Information: Similar to the Shanghai Stock Exchange, it provides basic information for ETFs such as Harvest SSE 300 ETF and E Fund ChiNext ETF, including T - type quotation tables, trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For example, the trading volume of Harvest SSE 300 ETF's main - contract options is 95,773 lots, open interest is 152,935 lots, call - put volume ratio is 1.11, and weighted average implied volatility is 16.67% [78][80]. - Volatility Trading: Offers the same volatility trading suggestions as the Shanghai Stock Exchange [87]. - Risk - Free Arbitrage: Calculates the minimum annualized return of the optimal arbitrage portfolio at settlement price and counter - party price. For example, for Harvest SSE 300 ETF, the minimum annualized return at settlement price is 24.3%, and at counter - party price is 2.34% [88][89].