先锋期货期权日报-20251128

1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: 2025-11-28 [1] 2. Option Volatility Ranking 2.1 Overall Ranking - The report provides rankings of options based on implied volatility, 30-day historical volatility, and daily true range for various underlying assets including futures contracts and ETFs [3][5]. - For example, lc2601 ranks 1st in implied volatility (2.8%), 1st in 30-day historical volatility (3.6%), and 2nd in daily true range (3.6%) [3]. 2.2 Interpretation of Volatility - Implied volatility reflects market expectations of future price fluctuations, higher values suggest a greater likelihood of significant price movements [6]. - Historical volatility shows past price movements, and a lower historical volatility compared to implied volatility may indicate relatively expensive option prices [6]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: On the reporting day, the trading volume of the main Shanghai 50ETF options was 367,581 lots, the open interest was 904,003 lots, the volume ratio of call to put options was 1.11, and the weighted average implied volatility was 13.15% [22]. - Volatility Trading: Suggestions include selling options in months with higher volatility curves and buying those in lower ones, and selling options above the curve and buying those below within the same month [25]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.15% at the settlement price and 0.56% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF options was 502,515 lots, the open interest was 869,771 lots, the volume ratio of call to put options was 1.01, and the weighted average implied volatility was 14.27% [34]. - Volatility Trading: Similar trading suggestions as for the Shanghai 50ETF [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 3.27% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main Southern CSI 500ETF options was 809,384 lots, the open interest was 869,829 lots, the volume ratio of call to put options was 0.95, and the weighted average implied volatility was 18.42% [45]. - Volatility Trading: Similar trading suggestions as above [48]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.1% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main Huaxia SSE STAR 50ETF options was 729,657 lots, the open interest was 1,428,059 lots, the volume ratio of call to put options was 1.24, and the weighted average implied volatility was 27.36% [57]. - Volatility Trading: Similar trading suggestions as above [59]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 52.7% at the settlement price and 9.36% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main E Fund SSE STAR 50ETF options was 99,850 lots, the open interest was 363,308 lots, the volume ratio of call to put options was 1.09, and the weighted average implied volatility was 28.78% [68]. - Volatility Trading: Similar trading suggestions as above [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.4% at the settlement price and 10.7% at the counter - price [74][76].