先锋期货期权日报-20251120

Group 1: Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: November 20, 2025 [1] Group 2: Option Volatility Ranking - The table presents the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various underlying assets, along with their rankings [3][5] - lc2601 ranks first in at - the - money option implied volatility (3.7%), ps2601 ranks first in real - time volatility (6.0%), and si2601 ranks seventh in 30 - day historical volatility (1.8%) [3] Group 3: Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the 30 - day historical volatility reflects past price movements; and the real - time volatility reflects the intraday price movements [6] - Trend traders can focus on assets with high at - the - money option implied volatility rankings; option sellers can pay attention to the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on assets with high real - time volatility rankings [6] Group 4: Option Information on Different Exchanges Shanghai Stock Exchange Options - Shanghai 50ETF: The trading volume of the main options is 592,113 lots, the open interest is 760,839 lots, the trading volume ratio of call and put options is 1.23, and the weighted average implied volatility is 14.61% [22] - Huatai - Berry Shanghai and Shenzhen 300ETF: The trading volume of the main options is 721,573 lots, the open interest is 669,897 lots, the volume ratio of call and put options is 1.3, and the weighted average implied volatility is 16.39% [32] - Southern China Securities 500ETF: The trading volume of the main options is 1,112,589 lots, the open interest is 655,335 lots, the volume ratio of call and put options is 1.22, and the weighted average implied volatility is 20.48% [42] - Huaxia Shanghai Science and Technology Innovation 50ETF: The trading volume of the main options is 822,220 lots, the open interest is 1,175,269 lots, the volume ratio of call and put options is 1.38, and the weighted average implied volatility is 33.78% [53] - E Fund Shanghai Science and Technology Innovation 50ETF: The trading volume of the main options is 143,672 lots, the open interest is 287,821 lots, the volume ratio of call and put options is 1.68, and the weighted average implied volatility is 35.49% [64] Shenzhen Stock Exchange Options - Harvest Shanghai and Shenzhen 300ETF: The trading volume of the main options is 135,832 lots, the open interest is 165,258 lots, the volume ratio of call and put options is 1.12, and the weighted average implied volatility is 20.78% [77] - E Fund ChiNext ETF: The trading volume of the main options is 1,610,253 lots, the open interest is 1,172,939 lots, the volume ratio of call and put options is 1.21, and the weighted average implied volatility is 30.15% [88] Group 5: Volatility Trading and Arbitrage Suggestions Volatility Trading - For options on different exchanges, the general volatility trading suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for options in the same month, sell options with higher points on the curve and buy those with lower points [23][35][47] Arbitrage - For various ETF options, the optimal arbitrage portfolio has different minimum annualized yields when trading at the settlement price and the counter - party price. For example, for Shanghai 50ETF, the minimum annualized yield is 19.2% at the settlement price and 0.86% at the counter - party price [27][29]