【行情要点】
　　市场行情：日线上看，金融期权标的上证50ETF维持近一个月以来的多头上涨趋势，而后延续近两周以来高位宽幅矩形区间震荡；沪深300指数先扬后抑经过前期偏多头不断上涨，突破8月以来高点，上周以来高位逐渐回落；中证1000指数上周以来高位逐渐回落，形成短期趋势上方有压力的弱势偏空头。截止上周五收盘，上证50ETF周跌幅0.56%报收于2.693；上证300ETF周跌幅1.02%报收于4.017；深证300ETF周跌幅1.22%报收于4.014；沪深300指数周跌幅1.11%报收于3954.23，中证1000指数周跌幅2.47%报收于6519.44。

研究报告全文：金融期权周报期权研究2022年12月19日星期一行情要点日线上看金融期权标的上证50ETF维持近一个月以来的多头上涨趋势而后延续近两周以来高位宽幅矩形区间震荡沪深300指数先扬后抑经过前期偏多头不断上涨突破8月以来高点上周以来高位逐渐回落中证1000指数上周以来高位逐渐回落形成短期趋势上方有压力的弱势偏空头截止上周五收盘上证50ETF周跌幅056报收于2693上证300ETF周跌幅102报收于4017深证300ETF周跌幅122报收于4014沪深300指数周跌幅111卢品先报收于395423中证1000指数周跌幅247报收于651944投研经理期权盘面0755-23375252上周金融ETF期权日均成交量普遍大幅下降而沪深300股指期权和中证1000股指期权日均成交量小lupxwkqhcn幅变化增减不一其中上证50ETF期权减少5895万张至17374万张上证300ETF期权减少2901万张至9499万张深从业资格号证300ETF期权减少528万张至1076万张沪深300股指期权减少217万张至1123万张中证1000股指期权增加059万张至669万张F3047321上周金融期权上证50ETF期权上证300ETF期权和深证300ETF期权日均持仓量有所增加而沪深300交易咨询号股指期权和中证1000股指期权日均持仓量则小幅变化其中上证50ETF期权增加1312万张至27992万张上证300ETFZ0015541期权增加604万张至18860万张深证300ETF期权增加045万张至2457万张沪深300股指期权增加114万张至1909万张中证1000股指期权增加025万张至729万张上周金融期权隐含波动率主要表现为窄幅波动逐渐回落截止上周五上证50ETF期权隐含波动率为1862上证300ETF期权隐含波动率为1689深证300ETF期权隐含波动率为1770沪深300股指期权隐含波动率为1736中证1000股指期权隐含波动率为1722成交量PCR期权的成交量PCR是站在期权的买方角度看待市场的表现表示的是市场情绪指标一般认为成交量PCR越大投资者情绪越悲观成交量PCR越小投资者情绪越乐观上证50ETF期权成交量PCR报收于082上证300ETF期权成交量PCR报收于092深证300ETF期权成交量PCR报收于098沪深300股指期权成交量PCR报收于077中证1000股指期权成交量PCR报收于087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上周五上证50ETF期权持仓量PCR大幅度下降报收于093上证300ETF期权持仓量PCR报收于110深证300ETF期权持仓量PCR报收于124沪深300股指期权持仓量PCR报收于108中证1000股指期权持仓量PCR报收于104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期权卖方的角度分析市场行情的压力点和支撑点截至上周五收盘从期权的角度看上证50ETF的压力点为280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390沪深300指数的压力点4000和支撑点为3950中证1000指数的压力点6700和支撑点为6500结论与操作建议1上证50ETF期权上证50ETF维持近两周以来高位宽幅矩形区间盘整震荡而中期趋势线方向仍向上期权隐含波动率持续下降回落下轨附近期权持仓量PCR快速下降回落跌破100操作建议构建卖出12月份认购认沽期权宽跨式期权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沪300ETF期权上证300ETF延续近两周以来多头趋势方向上高位弱势盘整震荡期权隐含波动率逐渐下行至较低水平期权持仓量PCR大幅下降仍维持在110以上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指数经过前一周多以来的高位宽幅矩形区间震荡上周以来高位逐渐下降回落形成上方有压力的弱势偏空头趋势中证1000股指期权隐含波动率持续下降回落期权持仓量PCR小幅波动维持在100以上操作建议构建卖出1月份合约的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SMO2301-C-67001SMO2301-C-66001和SMO2301-P-65001SMO2301-P-64001市场周行情概要市场行情涨跌幅标的简称收盘价涨跌日均成交量万增减万日均成交额亿SH50ETF26930-00150-05652667-418901414SH300ETF40170-00410-10257831-116112320SZ300ETF40140-00490-12213343586536HS300395423-440172-1111015亿-5200191457ZZ1000651944-1609391-24714126亿-180000170538期权量仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化CallPut合计变化SH50ETF9200817517374-58951428213710279921312SH300ETF491745829499-290188111004918860604SZ300ETF5455311076-528112913282457045HS3006254981123-2179509581909114ZZ1000351318669059387342729025期权日行情概要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SH50ETF27000034400360269840010904100054SH300ETF40000058500370402150005001200045SZ300ETF40000059000373402170000300100077HS300395000964069203977209000232297ZZ10006500001510011760653340-3320-0511396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SH50ETF18221911186220512146195682022-12-28SH300ETF16551726168919162042179182022-12-28SZ300ETF17191822177019772102185282022-12-28HS300169817851736201121381884242023-01-20ZZ1000170717401722228625622011242023-01-20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SH50ETF823594677424082-0101020081953561093-001SH300ETF468718431410092-002615120674039110-004SZ300ETF5033749291098-00581760101667124005HS30025734199430770173138433957108-002ZZ100012506108210870251218412684104000数据来源wind资讯五矿期货期权事业部标的价量关系图1SH50ETF走势图3201750成交量万收盘价1500300125028026930100026075050024025022002022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16图2SH300ETF走势图4602000成交量万收盘价440150042040170400100038050036034002022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-06-202022-09-072022-09-162022-12-052022-12-132022-06-152022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-16图4沪深300走势图4600300成交量亿收盘价4400250420020039542340001503800100360050340002022-07-112022-08-122022-09-162022-10-272022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1200002500020000100000150008000010000500060000040000-5000-1000020000-15000-200002402402452502552602652702752802852902950235290290235235240245250255260265270275280285295OIPOICOICHANGEPOICHANGECSH50ETF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343230282624222022-08-012022-10-112022-10-272022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16ETF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32140CLOSE3531OIPCR1203030291002528272693008020260601525240401023220202022-09-262022-06-152022-06-232022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-06-272022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-15IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图14000020001200000100000-200080000-400060000-600040000-800020000-100000320320330340350360370380390400410420430440450460470480490500310310-12000370370450310310320330340350360380390400410420430440460470480490500OIPOICOICHANGEPOICHANGECSH300ETF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48464442403836342022-08-092022-11-252022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-16ETF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504616045CLOSE4044OIPCR1403542401701203040100252038080153606010340402022-07-012022-11-302022-06-152022-06-232022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-12-082022-12-162022-06-152022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-27IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图2000015001800010001600014000500120000100008000-5006000-10004000-15002000-20003803803203203303403503603703904004104204304404504604704804905000310380380310310320330340350360370390400410420430440450460470480490500OIPOICOICHANGEPOICHANGECSZ300ETF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5048464442403836342022-08-222022-11-092022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16ETF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30460CLOSE140OIPCR25440120420401402010040008015380060360103400402022-06-152022-06-242022-07-052022-07-142022-07-252022-08-032022-08-122022-08-232022-09-012022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-06-272022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-15IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图6000140012005000100040008003000600400200020010000330033003100310032003400350036003700380039004000410042004300440045004600420042003200320033003400350036003700380039004000410043004400450046000-2003100OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16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304800CLOSE130254600OIPCR4400110204200090395423400015070380005036001034000302022-07-012022-11-302022-06-152022-06-232022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-12-082022-12-16IMPVMA20UPLOW2022-11-042022-06-152022-06-272022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-162022-11-282022-12-08策略应用和分析上证50ETF日行情K线图投资策略和到期损益图上证50ETF维持近两周以来高位宽幅矩形区间盘整震荡而中期趋势线方向仍向上期权隐含波动率持续下降回落下轨附近期权持仓量PCR快速下降回落跌破100操作建议构建卖出12月份认购认沽期权宽跨式期权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S510050P2212M0270010S510050P2212M0265010到期损益图如下策略应用和分析沪300ETF日行情K线图投资策略和到期损益图上证300ETF延续近两周以来多头趋势方向上高位弱势盘整震荡期权隐含波动率逐渐下行至较低水平期权持仓量PCR大幅下降仍维持在110以上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S510300P2212M0400010S510300P2212M0390010到期损益图如下策略应用和分析中证1000指数日行情K线图投资策略和到期损益图中证1000指数经过前一周多以来的高位宽幅矩形区间震荡上周以来高位逐渐下降回落形成上方有压力的弱势偏空头趋势中证1000股指期权隐含波动率持续下降回落期权持仓量PCR小幅波动维持在100以上操作建议构建卖出1月份合约的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SMO2301-C-67001SMO2301-C-66001和SMO2301-P-65001SMO2301-P-64001到期损益图如下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