先锋期货期权日报 2025-6-3 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ps2507 | 2.4% | 1 | 1.9% | 5 | 3.9% | 5 | | sc2507 | 2.4% | 2 | 2.3% | 2 | 4.5% | 2 | | si2507 | 2.3% | 3 | 1.6% | 12 | 1.8% | 28 | | lc2507 | 2.3% | 4 | 1.7% | 10 | 2.6 ...

9.81% 4.08% 60%-70% 2011 1290 Z0021236 F03124116 I 2025/05/26 2025/05/30 23.81%, 0.68% 25.86%, -0.77% 19.43%, - 3.57% 32.07%, 1.71% 14.85%, -0.23%, 1.71% 17.60%, -2.13% 12.62%, 1.29% 17.46%, 0.30% 21.97%, 2.11% 12.38%, -0.13% 9.81% 4.08% 60%-70% 1.1 0 50000 100000 150000 200000 250000 300000 wind 2025/05/26—2025/05/30 1. 23.81%, 0.68% 25.86%, -0.77% 19.43%, -3.57% 32.07%, 1.71% 14.85%, -0.23%, 1.71% 17.60%, -2.13% 12.62%, 1.29% 17.46%, 0.30% 21.97%, 2.11% 12.38%, -0.13% 1.2 0.00% 10.00% 20.00% 30.00% 40.00% ...

I 2025/05/26 2025/05/30 F03124116 I 2025/05/26 2025/05/30 50ETF 96.6 -2.11% - 1.15 0.98 300ETF 71.89 119.21 500ETF 106.67 126.66 50ETF 47.03 155.75 100ETF 4.98 10.28 ETF 89.24 131.73 300 4.88 16.28 1000 13.93 24.6 300 13.26% 0.25% 50ETF 12.79% 1.13% 1000 18.90% 2.71% 50ETF 14.66 300 15.74 1000 21.32 1. 2011 1290 金融期权方面，50ETF期权本周日均成交量为96.6万张，较前周下降-2.11%，其中 认沽期权成交量高于认购期权，认沽-认购成交比为1.15，相对前周有所上升，高 于历史均值水平。上周认沽认购持仓比为0.98，较前周下降，高于历史均值。华泰 柏瑞300ETF期权日均成交71.89万张，日均持仓量119.21万张；南方中证500ETF期 权日均成交106.67万张，日均持仓量126.66万张； ...

Group 1 - The influx of hot money into Hong Kong has led to a rise in the Hong Kong dollar (HKD) exchange rate to 7.75, but it has recently dropped to a low of 7.84, marking the weakest level since September 2023 [1][2] - Factors such as increased IPO activity, southbound capital inflows, low deposit rates in mainland China, and capital returning from the US are driving liquidity into Hong Kong [1][2] - The Hong Kong Monetary Authority (HKMA) may intervene further in the market due to the negative interest rate differential between the US dollar and the HKD [2] Group 2 - The HIBOR (Hong Kong Interbank Offered Rate) is expected to rise in the coming months due to dividend distributions, quarter-end funding demands, and the absorption of liquidity from bond and stock issuances [1][2] - The current loan-to-deposit ratio in Hong Kong is 20 percentage points lower than in 2019, indicating low credit demand despite a liquidity-rich environment [2] - The HKMA's currency peg system has remained intact since 1983, despite historical foreign exchange crises [2]

摘要 点击小程序查看报告原文 Abstract 近期关税事件导致市场总体波动较大。我们构建了A股主要指数的VIX指标，并使用Spline插值法构建了不同指数期权的隐含波动率曲面（IV surface）， 在曲面中采样IV并构造看跌看涨情绪比策略，发现该策略在三种指数上均有一定择时效果。在中证1000指数中多头择时的效果最好，使用IM当月合约作 为交易标的绝对收益率年化达22.3%，信息比率超1.7。 VIX指标指示市场波动预期有效，但择时效果整体较弱 VIX（Volatility Index，波动率指数）是由芝加哥期权交易所编制的金融市场基准指标，用于衡量标普500指数未来 30 个自然日的预期波动性。其核心机制 通过无模型法（Model-Free）对近月及次月期权合约价格进行加权计算，以反映市场参与者对 短期风险波动的共识预期。 VIX在美国之所以受到较高关注，部分是因为VIX的顶部往往对应市场恐慌情绪的顶点，未来大概率会修复超卖的下跌缺口，此时一般能对应到可以指示 股票市场的底部，而A股则不具备这一特点。主要原因是A股和美股的涨跌节奏不同：美股的牛市长而慢，熊市短而快，A股则不尽然。因此 即使VIX短 期 ...

天量美债即将到期，"逃离美国2.0"是否继续？ 黄金避险属性再定价，债市风险风否继续助推？日债成全球"风暴眼"，美日空头是否尚有获利空间？日 债-美元资产传导链条全解析，解锁股债+汇市+贵金属操作策略；波动率交易窗口开启，捕捉市场脉冲 行情>> 相关链接 ...

芝加哥期权交易所(CBOE)波动率指数触及两周高点，上涨3.14点至23.42点。 ...

来源 | 华尔街见闻 神秘期权买家豪赌美股上涨，斥资30亿美元。 根据彭博社报道， 过去一个月来，有机构投资者稳步买入大量2027年6月到期的美股看涨期权， 横跨众多美国大型企业。据野村证券统计，这些期权交易的总期权金接近30亿美元。 报道称，这位神秘买家的身份尚未确认，但其交易模式一致性极强，表明可能是同一方在建立头 寸，也可能有其他投资者在模仿这些交易。 在周三给客户的一份报告中，野村跨资产策略师Charlie McElligott形容 这轮看涨期权买入为"壮 观至极"。 重 点 押 注 科 技 巨 头 ， 期 权 金 高 昂 据悉，这些巨额看涨期权的买入时机恰逢纳斯达克100指数自4月8日以来上涨24%，并集中在科 技巨头身上。 野村数据显示， 这位期权买家在亚马逊的平值看涨期权上花费了3.16亿美元，在Salesforce的类 似期权上花费了1.59亿美元，在Arm上更是砸下了惊人的8.78亿美元。 平值看涨期权即行权价接近市场交易价格水平，这意味着 如果股价上涨，或者波动性增加，期权 价值也会随之上升。 旨 在 做 多 波 动 率 ？ 在这轮期权买入潮中， 纳斯达克100ETF（QQQ）两年期期权的 ...

Report Summary 1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 23, 2025 [1] 2. Option Volatility Ranking - The report provides a ranking of options based on at-the-money option implied volatility, 30-day historical volatility, and daily true range for various underlying assets. For example, ao2506 ranks first in at-the-money option implied volatility with 2.4%, and sm507 ranks first in daily true range with 5.1% [3][5]. 3. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values indicate a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If this value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be of interest to option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [6]. 4. Exchange Option Analysis 4.1 Shanghai Stock Exchange Options - **上证50ETF (SSE 50 ETF)**: - **Basic Information**: The trading volume of the main options is 836,591 contracts, the open interest is 745,131 contracts, the trading volume ratio of call options to put options is 1.05, and the weighted average implied volatility is 14.36%. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying options 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. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 44.6% when trading at the settlement price and 9.17% when trading at the counterparty price [19][22][24][28][30]. - **华泰柏瑞沪深300ETF (Huatai-PineBridge CSI 300 ETF)**: - **Basic Information**: The trading volume of the main options is 674,867 contracts, the open interest is 529,907 contracts, the trading volume ratio of call options to put options is 0.89, and the weighted average implied volatility is 14.92%. - **Volatility Trading**: Similar trading suggestions as for the SSE 50 ETF. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 58.7% when trading at the settlement price and 11.1% when trading at the counterparty price [31][33][37][41][43]. - **南方中证500ETF (Southern CSI 500 ETF)**: - **Basic Information**: The trading volume of the main options is 1,105,783 contracts, the open interest is 578,593 contracts, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 19.3%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 92.4% when trading at the settlement price and 23.2% when trading at the counterparty price [44][47][50][54][56]. - **华夏上证科创板50ETF (Huaxia SSE STAR Market 50 ETF)**: - **Basic Information**: The trading volume of the main options is 402,764 contracts, the open interest is 753,563 contracts, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 28.18%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 91.5% when trading at the settlement price and 13.3% when trading at the counterparty price [57][59][63][66][67]. - **易方达上证科创板50ETF (E Fund SSE STAR Market 50 ETF)**: - **Basic Information**: The trading volume of the main options is 94,593 contracts, the open interest is 212,957 contracts, the trading volume ratio of call options to put options is 1.18, and the weighted average implied volatility is 31.7%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 145% when trading at the settlement price and 19.4% when trading at the counterparty price [68][70][72][76][78]. 4.2 Shenzhen Stock Exchange Options - **嘉实沪深300ETF (Harvest CSI 300 ETF)**: - **Basic Information**: The trading volume of the main options is 124,797 contracts, the open interest is 142,389 contracts, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 15.38%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: No specific arbitrage yield data is provided in the current text [79][82].

Group 1 - A significant institutional investor has made a bullish bet of several billion dollars on the U.S. stock market, particularly through the purchase of long-dated call options expiring in June 2027 [1] - The total estimated cost of these options is around $3 billion, with a focus on major tech stocks, contributing to a 24% rise in the Nasdaq 100 index since April 8 [1] - The implied volatility of two-year options on the Nasdaq 100 ETF (QQQ.US) has reached its highest level since January, indicating increased market expectations for volatility [3] Group 2 - Specific purchases include $31.6 million for Amazon (AMZN.US), $15.9 million for Salesforce (CRM.US), and $87.8 million for Arm (ARM.US) call options [3] - The long-dated options have higher premiums compared to shorter-term contracts, reflecting the investor's strategy to capitalize on potential volatility increases rather than directly buying stocks [3] - The repeated buying pattern suggests a significant accumulation by one investor, which may influence other market participants to follow suit [3]