核心观点
　　今日股指均呈现窄幅震荡的走势,沪深两市全天成交额8109亿元，超2900只个股下跌，北向资金全天净买入16.51亿元，消费板块涨幅居前。目前支股指的支撑力量还是主要来自于宏观改善预期,具体而言就是对本周即将召开的中央经济工作会议出台一系列稳经济政策的预期,以及疫情政策调整以后未来国内消费复苏的预期。然而近期增量政策较少，弱现实对强预期形成一定打压，近期国内疫情病例增长迅速，消费未出现明显回升，近期公布的11月社融信贷数据也弱于预期，此前的乐观预期需要面临一定的修正。关注本周的中央经济工作会议对国内经济政策的表述以及美联储会议决议对加息节奏的表述。目前国内消费与地产仍未见明显起色，叠加外需不足抑制出口，经济需求端不足仍制约宏观经济复苏，考虑到政策生效的时滞性，短期内经济数据可能继续下行，经济弱现实的状态可能还将持续几个月。总的来说，政策强预期与经济弱现实的相互博弈下,预计短期内股指以区间震荡走势为主，但中长期仍有上行动力。操作上，可以逢股指回调构建牛市价差策略或者逢高隐波构建卖出宽跨式策略。
　　

研究报告全文：金融期权日报专业研究创造价值2022年12月14日金融期权乐观情绪有所修正股指窄幅震荡核心观点今日股指均呈现窄幅震荡的走势沪深两市全天成交额8109亿元超2900只个股下跌北向资金全天净买入1651亿元消费板块涨幅居前目前支股指的支撑力量还是主要来自于宏观改善预期具体而言就是对本周即将召开的中央经济工作会议出台一系列稳经济政策的预期以及疫情政策调整以后未来国内消费复苏的预期然而近期增量政策较少弱现实对强预期形成一定打压近期国内疫情病例增长迅速消费未出现明显回升近期公布的11月社融信贷数据也弱于预期此前的乐观预期需要面临一定的修正关注本周的中央经济工宝城期货研究所作会议对国内经济政策的表述以及美联储会议决议对加息节奏的表述目前国内消费与地产仍未见明显起色叠加外需不足抑制出口经济需求端不足仍制约投资咨询团队宏观经济复苏考虑到政策生效的时滞性短期内经济数据可能继续下行经济弱现实的状态可能还将持续几个月总的来说政策强预期与经济弱现实的相互博弈下预计短期内股指以区间震荡走势为主但中长期仍有上行动力操作上可以逢股指回调构建牛市价差策略或者逢高隐波构建卖出宽跨式策略仅供参考不构成任何投资建议专业研究创造价值请务必阅读文末免责条款部分111请务必阅读文末免责条款金融期权日报1新闻动态工信部总体看抗原检测试剂疫苗口罩等重点医疗物资产能充足银保监会稳妥做好线下金融服务推广使用线上金融服务国务院联防联控机制印发新冠病毒疫苗第二剂次加强免疫接种实施方案2期权指标2022年12月14日50ETF涨063收于2696300ETF上交所涨025收于4015300ETF深交所涨027收于4018沪深300指数涨023收于395489中证1000指数跌036收于657002500ETF上交所跌042收于612500ETF深交所跌050收于623创业板ETF跌026收于230上证50ETF期权成交量PCR为8343上一交易日成交量PCR为9435持仓量PCR为9760上一交易日持仓量PCR为9724上交所3000ETF期权成交量PCR为9489上一交易日成交量PCR为9533持仓量PCR为11448上一交易日持仓量PCR为11534深交所300ETF期权成交量PCR为9306上一交易日成交量PCR为9854持仓量PCR为11996上一交易日持仓量PCR为12036中金所沪深300指数期权成交量PCR为7812上一交易日成交量PCR为8691持仓量PCR为10097上一交易日持仓量PCR为10087中金所中证1000指数期权成交量PCR为7791上一交易日成交量PCR为8571持仓量PCR为8781上一交易日持仓量PCR为8939上交所中证500ETF期权成交量PCR为9863上一交易日成交量PCR为10748持仓量PCR为9237上一交易日持仓量PCR为9251深交所中证500ETF期权成交量PCR为6736上一交易日成交量PCR为7904持仓量PCR为12048上一交易日持仓量PCR为12345创业板ETF期权成交量PCR为8754上一交易日成交量PCR为7785持仓量PCR为9090上一交易日持仓量PCR为9413上证50ETF期权2022年12月平值期权隐含波动率为000标的30交易日历史波动率为2244上交所300ETF期权2022年12月平值期权隐含波动率为000标的30交易日历史波动率为1934深交所300ETF期权2022年12月平值期权隐含波动率为1865标的30交易日历史波动率为1953中金所沪深300指数期权2023年01月平值期权隐含波动率为904标的30交易日历史波动率为1936中金所中证1000指数期权2023年01月平值期权隐含波动率为1078标的30交易日历史波动率为1430上交所中证500ETF期权2022年12月平值期权隐含波动率为000标的30交易日历史波动率为1203深交所中证500ETF期权2022年12月平值期权隐含波动率为000标的30交易日历史波动率为1206创业板ETF期权2022年12月平值期权隐含波动率为1167标的30交易日历史波动率为19753相关图表专业研究创造价值211请务必阅读文末免责条款金融期权日报上证50ETF期权图1上证50ETF走势图2上证50ETF期权波动率50ETF期权50ETF期权45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-282021-03-262021-05-212021-07-132021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-05-112022-07-012022-08-222022-10-192022-12-082021-01-042021-03-022021-04-222021-06-172021-08-062022-04-122022-06-072022-07-272022-09-162022-11-142021-01-042021-02-262021-03-232021-04-162021-07-022021-07-272021-08-192021-10-152021-11-092021-12-022021-12-272022-02-212022-03-162022-04-122022-06-282022-07-212022-08-152022-10-102022-11-022022-11-252021-01-272021-05-142021-06-082021-09-132022-01-202022-05-102022-06-022022-09-07标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图3上证50ETF期权成交量PCR图4上证50ETF持仓量PCR50ETF期权50ETF期权70000001400045000001400060000001200040000001200035000005000000100003000000100004000000800025000008000300000060002000000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-28日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值311请务必阅读文末免责条款金融期权日报上交所300ETF期权图5上交所300ETF走势图6上交所300ETF期权波动率300ETF期权上交所300ETF期权上交所6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-042021-01-272021-03-232021-04-162021-05-142021-06-082021-07-022021-09-132021-10-152021-11-092021-12-022022-02-212022-03-162022-04-122022-05-102022-06-022022-07-212022-08-152022-09-072022-10-102022-11-022021-02-262021-07-272021-08-192021-12-272022-01-202022-06-282022-11-252021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-292021-11-252022-01-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-11-142021-09-012021-11-012021-12-212022-02-172022-10-192022-12-08标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图7上交所300ETF期权成交量PCR图8上交所300ETF持仓量PCR300ETF期权上交所300ETF期权上交所50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-28日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值411请务必阅读文末免责条款金融期权日报深交所300ETF期权图9深交所300ETF走势图10深交所300ETF期权波动率300ETF期权深交所300ETF期权深交所600035045003005500400025035005000200300045001502500100200040005015003500010002021-01-042021-01-272021-03-232021-04-162021-05-142021-06-082021-07-022021-09-132021-10-152021-11-092021-12-022022-02-212022-03-162022-04-122022-05-102022-06-022022-07-212022-08-152022-09-072022-10-102022-11-022021-02-262021-07-272021-08-192021-12-272022-01-202022-06-282022-11-252021-01-292021-03-042021-03-312021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-01-102022-03-102022-04-082022-05-102022-07-042022-07-292022-08-252022-09-222022-11-222021-01-042021-04-282021-05-282021-09-142022-02-112022-06-072022-10-26标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图11深交所300ETF期权成交量PCR图12深交所300ETF持仓量PCR300ETF期权深交所300ETF期权深交所8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-28日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值511请务必阅读文末免责条款金融期权日报沪深300股指期权图13沪深300股指走势图14沪深300股指期权波动率沪深300指数期权沪深300指数期权6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-272021-02-262021-03-232021-04-162021-05-142021-06-082021-07-022021-07-272021-08-192021-09-132021-10-152021-11-092021-12-022021-12-272022-01-202022-02-212022-03-162022-04-122022-05-102022-06-022022-06-282022-07-212022-08-152022-09-072022-10-102022-11-022022-11-252021-01-042021-01-292021-04-282021-05-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-01-102022-02-112022-05-102022-06-072022-07-042022-07-292022-10-262022-11-222021-03-042021-03-312021-09-142022-03-102022-04-082022-08-252022-09-22标的成交量亿手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图15沪深300股指期权成交量PCR图16沪深300股指持仓量PCR沪深300指数期权沪深300指数期权4000001400030000012000350000120002500001000030000010000200000250000800080002000001500006000600015000010000040001000004000500002000500002000000000002021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-28日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值611请务必阅读文末免责条款金融期权日报中证1000股指期权图17中证1000股指走势图18中证1000股指期权波动率中证1000指数期权中证1000指数期权75000025032003000700000200280026006500001502400600000100220020005500000501800160050000000014002022-07-222022-07-282022-08-032022-08-192022-08-252022-08-312022-09-062022-09-192022-09-232022-09-292022-10-122022-10-182022-10-282022-11-032022-11-092022-11-152022-12-012022-12-072022-12-132022-08-092022-08-152022-09-132022-10-242022-11-212022-11-252022-07-222022-07-282022-08-032022-08-152022-08-192022-08-252022-09-132022-09-192022-09-232022-10-122022-10-182022-10-242022-11-032022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-08-092022-08-312022-09-062022-09-292022-10-282022-11-25标的成交量亿手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图19中证1000股指期权成交量PCR图20中证1000股指持仓量PCR中证1000指数期权中证1000指数期权180000160009000014000160000140008000012000140000700001200010000120000100006000010000080008000500008000040000600060000600030000400004000200004000200002000100002000000000002022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-12日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值711请务必阅读文末免责条款金融期权日报上交所500ETF期权图21上交所500ETF走势图22上交所500ETF期权波动率500ETF期权上交所500ETF期权上交所50064002800400620026006000240030022005800200200056001800100540016000520014002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-09-192022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-09-222022-09-302022-11-072022-11-152022-12-14标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图23上交所500ETF期权成交量PCR图24上交所500ETF持仓量PCR500ETF期权上交所500ETF期权上交所8000001400014000002000070000012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