【行情要点】
　　·市场行情：金融期权标的上证50ETF日内行情低开后弱势盘整午后冲高回落；沪深300指数低开低走弱势下行午后快速冲高逐渐回落；中证1000指数日内行情低开低走弱势下行；日线上看，上证50ETF延续近一个月以来的偏多头上涨趋势，上周以来维持在高位震荡的市场行情格局；沪深300指数突破10月以来高点后，延续短期多头趋势方向上高位盘整震荡有所下跌的行情格局；中证1000指数延续近两周以来的窄幅矩形区间波动，而后逐渐转弱势。截至昨日收盘，上证50ETF涨幅0.11%报收于2.679，上证300ETF跌幅0.27%报收于4.005，深证300ETF跌幅0.27%报收于4.004，沪深300指数跌幅0.20%报收于3945.68，中证1000指数跌幅0.93%报收于6593.67。
　　

研究报告全文：金融期权日报期权研究2022年12月14日星期三行情要点市场行情金融期权标的上证50ETF日内行情低开后弱势盘整午后冲高回落沪深300指数低开低走弱势下行午后快速冲高逐渐回落中证1000指数日内行情低开低走弱势下行日线上看上证50ETF延续近一个月以来的偏多头上涨趋势上周以来维持在高位震荡的市场行情格局沪深300指数突破10月以来高点后延续短期多头趋势方向上高位盘整震荡有所下跌的行情格局中证1000指数延续近两周以来的窄幅矩形区间波动而后逐渐转弱势截至昨日收盘上证50ETF涨幅011报收于2679上证300ETF跌幅027报收于卢品先4005深证300ETF跌幅027报收于4004沪深300指数跌幅020报收于394568中证1000指数跌幅投研经理093报收于6593670755-23375252lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融ETF期权和金融股指期权隐含波动率均有所反弹上升其中上证50ETF从业资格号期权隐含波动率上升050报收于2043上证300ETF期权隐含波动率上升031报收于1841深证300ETFF3047321期权隐含波动率上升025报收于1877沪深300股指期权隐含波动率上升095报收于1908中证1000交易咨询号股指期权隐含波动率上升091报收于1895Z0015541成交量PCR期权的成交量PCR是从期权的买方角度分析市场的活跃程度截止收盘上证50ETF期权成交量PCR报收于089上证300ETF期权成交量PCR报收于095深证300ETF期权成交量PCR报收于095沪深300股指期权成交量PCR报收于083中证1000股指期权成交量PCR报收于087持仓量PCR期权的持仓量PCR是从期权的卖方角度分析市场的参与程度期权持仓量PCR为100时一般认为是市场行情的多空分界线截止收盘上证50ETF期权持仓量PCR报收于096上证300ETF期权持仓量PCR报收于117深证300ETF期权持仓量PCR报收于125沪深300股指期权持仓量PCR报收于096中证1000股指期权持仓量PCR报收于098最大未平仓所在的行权价期权最大未平仓所在的行权价是站在卖方的角度分析市场行情所在的压力线和支撑线截至收盘从期权卖方行权价的角度看上证50ETF的压力点为270和支撑点为265上证300ETF的压力点为410和支撑点为390深证300ETF的压力点为410和支撑点为380沪深300指数的压力点为4000和支撑点为3900中证1000指数的压力点为6700和支撑点为6700结论与操作建议1上证50ETF期权上证50ETF延续近一个月以来的多头上涨趋势上周以来维持高位盘整震荡期权隐含波动率持续下降有所反弹回升期权持仓量PCR小幅下降维持在较高水平操作建议构建卖出12月份认购认沽期权偏多头组合策略获取时间价值若市场行情快速大涨或大跌则平仓离场如上证50ETF期权即S510050C2212M0270010510050C2212M0275010和S510050P2212M0270010S510050P2212M02650102上证300ETF期权上证300ETF突破近期高点后延续短期多头趋势方向上高位盘整有所下降市场行情多头情绪有所减弱期权隐含波动率逐渐下行后反弹上升期权持仓量PCR小幅下降仍维持较高水平表明市场行情偏多头操作建议构建卖出12月份偏多头的宽跨式期权组合策略获取时间价值和方向性收益若市场行情快速大涨或大跌则平仓离场如上证300ETF期权即S510300C2212M0410010S510300C2212M0420010和S510300P2212M0400010S510300P2212M03900103中证1000股指期权中证1000指数延续近两周以来的高位宽幅矩形区间震荡逐渐下降下有21天均线和55天均线支撑中证1000股指期权隐含波动率小幅上升期权持仓量PCR逐渐下跌至100附近操作建议构建卖出宽跨式期权组合策略获取时间价值若市场行情急速大涨或大跌则逐渐平仓离场如ZZ1000股指期权SMO2212-C-67001SMO2212-C-66001和SMO2212-P-66001SMO2212-P-65001235市场行情标的简称合约代码收盘价涨跌涨跌幅成交量万成交额亿SH50ETF510050SH267900003001135516952SH300ETF510300SH40050-00110-027363671459SZ300ETF159919SZ40070-00110-02715746632HS300000300SH394568-776-020101亿184021ZZ1000000852SH659367-6201-09315亿176834当月合成期权期权标的平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水SH50ETF27000038700532268550004501700065SH300ETF4000006880053240156-00069-01700106SZ300ETF4000007150053040185-00064-01600115HS30039500033802940395440-740-019872ZZ100066000055804940660640-5100-0771273注平值是以当月call与put权利金相减最小为基准平值合成期权升贴水平值call权利金-pu权利金-标的价格当月期权隐含波动率期权标的IMP-CIMP-PIMP-TMA20UPLOW剩余天数到期日SH50ETF204120452043209821922004152022-12-28SH300ETF182918541841196220691856152022-12-28SZ300ETF186318911877202421281920152022-12-28HS30018571969190820472149194632022-12-16ZZ100019321853189523012567203532022-12-16当月期权量仓期权标的量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化SH50ETF600851534302089-00110447701005159096001SH300ETF330367314492095-011624226728887117-006SZ300ETF513084884809500382043102159125-003HS3003924932548083-0044729245608096-008ZZ10002778724089087-0012021819816098-011数据来源wind五矿期货期权事业部标的价量关系图1SH50ETF走势图320成交量万收盘价200017503001500280267901250100026075050024025022002022-08-122022-09-292022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图2SH300ETF走势图4601500成交量万收盘价44012004204005090040060038036030034002022-06-152022-08-252022-11-012022-06-102022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图3SZ300ETF走势图480300成交量万收盘价460240440180420400704001203806036034002022-06-232022-07-272022-08-302022-10-112022-11-142022-06-102022-06-152022-06-202022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图4沪深300走势图4800300成交量亿收盘价46002504400200420039456815040001003800360050340002022-06-282022-09-132022-12-052022-06-102022-06-152022-06-202022-06-232022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-13SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图120000120001000010000080006000800004000600002000040000-2000-400020000-6000-80002452452352352402502552602652702752802852902953000230285285230230235240245250255260265270275280290295300OIPOICOICHANGEPOICHANGECSH50ETF期权最大未平仓SH50ETF认购认沽合约最大持仓量所在的行权价32313029282726252423222022-08-092022-10-112022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13ETF期权到期日收盘价C最大持仓P最大持仓SH50ETF期权持仓量PCRSH50ETF期权隐含波动率32140CLOSE3531OIPCR1203030291002528272679008020260602515240401023220202022-08-012022-06-102022-06-202022-06-282022-07-062022-07-142022-07-222022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-10-142022-06-102022-06-212022-06-302022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-252022-11-032022-11-142022-11-232022-12-022022-12-13IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图1400002000012000015000100000100008000050006000004000020000-50000-10000330330310310320330340350360370380390400410420430440450460470480490500310320340350360370380390400410420430440450460470480490500OIPOICOICHANGEPOICHANGECSH300ETF期权最大未平仓SH300ETF认购认沽合约最大持仓量所在的行权价48464442403836342022-07-112022-10-142022-11-172022-07-012022-07-062022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13ETF期权到期日收盘价C最大持仓P最大持仓SH300ETF期权持仓量PCRSH300ETF期权隐含波动率3548160CLOSE3046OIPCR14044251204240050100204008015380603610340402022-07-062022-09-022022-11-092022-06-102022-06-202022-06-282022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-172022-11-252022-12-052022-12-132022-10-142022-06-212022-06-302022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-252022-11-032022-11-142022-11-232022-12-022022-12-132022-06-10IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图250002000150020000100015000500100000-5005000-1000-15003903903203203303403503603703804004104204304404504604704804905005250310430430310310320330340350360370380390400410420440450460470480490500525OIPOICOICHANGEPOICHANGECSZ300ETF期权最大未平仓SZ300ETF认购认沽合约最大持仓量所在的行权价5048464442403836342022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13ETF期权到期日收盘价C最大持仓P最大持仓SZ300ETF期权持仓量PCRSZ300ETF期权隐含波动率35480160CLOSE30OIPCR46014044025120420400701002040008038015360060103400402022-06-102022-08-172022-11-012022-06-202022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-092022-11-172022-11-252022-12-052022-12-132022-06-212022-06-302022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-032022-11-142022-11-232022-12-022022-12-132022-06-10IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图8000800700060060004005000200400003000-2002000-4001000-600420042003100310032003300340035003600370038003900400041004300440045004600410041003200320033003400350036003700380039004000420043004400450046000-8003100OIPOICOICHANGEPOICHANGECHS300股指期权最大未平仓HS300认购认沽合约最大持仓量所在的行权价460044004200400038003600340032002022-07-112022-09-072022-11-142022-07-012022-07-062022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13股指期权到期日收盘价C最大持仓P最大持仓HS300股指期权持仓量PCRHS300股指期权隐含波动率354800160CLOSE304600OIPCR140440012025420010020394568400008015380006036000401034000202022-07-142022-06-102022-06-202022-06-282022-07-062022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-07-292022-06-212022-06-302022-07-112022-07-202022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-032022-11-142022-11-232022-12-022022-12-132022-06-10IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连河北省唐山市路北区军鑫里凤城国贸1楼21层2104号期货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007