先锋期货期权日报-20251121
Xian Feng Qi Huo·2025-11-21 09:33
  1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 21, 2025 [1] 2. Industry Investment Rating - Not provided in the report 3. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential returns from risk - free arbitrage for different options [3][6][25] 4. Summary by Directory 4.1 Shanghai Stock Exchange Options 4.1.1 SSE 50 ETF - Basic Information: The trading volume of the main SSE 50 ETF options was 908,595 lots, the open interest was 701,421 lots, the trading volume ratio of call options to put options was 1.1, and the weighted average implied volatility was 18.16% [22] - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in lower - curve months; selling options with higher points on the curve and buying those with lower points in the same month [25] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 46.1% at the settlement price and 12.2% at the counter - price [28][30] 4.1.2 Huatai - Berry SSE 300 ETF - Basic Information: The trading volume of the main 300ETF options was 1,203,063 lots, the open interest was 620,275 lots, the trading volume ratio of call options to put options was 0.97, and the weighted average implied volatility was 21.04% [33] - Volatility Trading: Similar trading suggestions as for SSE 50 ETF [37] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.1% at the settlement price and 6.71% at the counter - price [40][41] 4.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main 500ETF options was 1,702,591 lots, the open interest was 637,658 lots, the trading volume ratio of call options to put options was 0.83, and the weighted average implied volatility was 22.91% [44] - Volatility Trading: Similar trading suggestions as above [45] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 43.5% at the settlement price and 8.53% at the counter - price [49][51] 4.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The trading volume of the main STAR Market 50 ETF options was 1,306,790 lots, the open interest was 1,082,160 lots, the trading volume ratio of call options to put options was 1.09, and the weighted average implied volatility was 35.43% [53] - Volatility Trading: Similar trading suggestions as before [58] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 70.3% at the settlement price and 4.82% at the counter - price [60][61] 4.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The trading volume of the main STAR Market 50 ETF options was 259,342 lots, the open interest was 279,151 lots, the trading volume ratio of call options to put options was 1.23, and the weighted average implied volatility was 36.91% [64] - Volatility Trading: Similar trading suggestions as other ETFs [67] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 39.3% at the settlement price and 7.89% at the counter - price [71][73] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300 ETF - Basic Information: The trading volume of the main Shenzhen 300ETF options was 232,702 lots, the open interest was 169,070 lots, the trading volume ratio of call options to put options was 0.94, and the weighted average implied volatility was 25.18% [76] - Volatility Trading: Similar trading suggestions as other ETFs [81] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 93.5% at the settlement price and 17.4% at the counter - price [84][86] 4.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main ChiNext ETF options was 2,476,097 lots, the open interest was 1,141,324 lots, the trading volume ratio of call options to put options was 1.04, and the weighted average implied volatility was 34.8% [89] - Volatility Trading: Similar trading suggestions as other ETFs [93] - Risk - Free Arbitrage: Not fully presented in a clear form in the report 4.3 Options Volatility Ranking - The report ranks various options based on their at - the - money implied volatility, 30 - day historical volatility, and real - time volatility. For example, lc2601 ranked first in at - the - money implied volatility, 30 - day historical volatility, and real - time volatility [3]