【行情要点】
　　市场行情：日线上看，金融期权标的上证50ETF上周高位回落连续报收阴线大幅下跌，跌破两周以来的震荡区间下限，而后形成低位盘整震荡；沪深300指数高位回落后连续下跌，之后止跌与60天均线支撑，形成区间弱势盘整；中证1000指数延续近两周以来弱势偏空头下行趋势，上周以来加速下跌。截止上周五收盘，上证50ETF周跌幅2.71%报收于2.622；上证300ETF周跌幅3.24%报收于3.891；深证300ETF周跌幅3.00%报收于3.897；沪深300指数周跌幅3.29%报收于3828.22，中证1000指数周跌幅5.82%报收于6160.75。

研究报告全文：金融期权周报期权研究2022年12月26日星期一行情要点日线上看金融期权标的上证50ETF上周高位回落连续报收阴线大幅下跌跌破两周以来的震荡区间下限而后形成低位盘整震荡沪深300指数高位回落后连续下跌之后止跌与60天均线支撑形成区间弱势盘整中证1000指数延续近两周以来弱势偏空头下行趋势上周以来加速下跌截止上周五收盘上证50ETF周跌幅271报收于2622上证300ETF周跌幅324报收于3891深证300ETF周跌幅300报收于3897沪深300指数周跌幅329报收于卢品先382822中证1000指数周跌幅582报收于616075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度增加而沪深300股指期权和中证1000股指期权日均成交量lupxwkqhcn大幅减少下降其中上证50ETF期权增加7059万张至24434万张上证300ETF期权增加4535万张至14034万张深证从业资格号300ETF期权增加691万张至1767万张沪深300股指期权减少438万张至685万张中证1000股指期权减少219万张至450万张F3047321上周金融期权上证50ETF期权深证300ETF期权日均持仓量有所增加而沪深300股指期权和中证交易咨询号1000股指期权日均持仓量则大幅减少其中上证50ETF期权增加638万张至28630万张上证300ETF期权减少210万张Z0015541至18650万张深证300ETF期权增加066万张至2523万张沪深300股指期权减少562万张至1346万张中证1000股指期权减少164万张至56万张上周金融期权隐含波动率主要表现为持续下降后窄幅波动有所反弹上升截止上周五上证50ETF期权隐含波动率为1986上证300ETF期权隐含波动率为1952深证300ETF期权隐含波动率为2054沪深300股指期权隐含波动率为1862中证1000股指期权隐含波动率为2032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100上证300ETF期权成交量PCR报收于128深证300ETF期权成交量PCR报收于110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079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小幅度下降报收于090上证300ETF期权持仓量PCR报收于104深证300ETF期权持仓量PCR报收于096沪深300股指期权持仓量PCR报收于085中证1000股指期权持仓量PCR报收于070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270和支撑点为265上证300ETF的压力点为400和支撑点为380深证300ETF的压力点为400和支撑点为380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6400结论与操作建议1上证50ETF期权上证50ETF高位回落连续报收阴线跌破维持近两周以来高位宽幅矩形区盘整震荡区间下限而中期趋势线方向仍向上期权隐含波动率窄幅波动有所反弹回升期权持仓量PCR持续下降报收于100以下操作建议构建卖出1月份认购认沽期权宽跨式偏空头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50ETF期权即S510050C2301M0270010510050C2301M0265010和S510050P2301M0260010S510050P2301M02550102沪300ETF期权上证300ETF高位上升受阻连续报收阴线回落后下有60天均线支撑的短期弱势偏空头趋势期权隐含波动率窄幅波动维持至较低水平期权持仓量PCR大幅下降仍维持在100以上操作建议构建卖出1月份偏空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S510300C2301M0400010S510300C2301M0390010和S510300P2301M0380010S510300P2301M03900103中证1000股指期权中证1000指数高位回落后连续近两周以来的弱势偏空头上周以来空头力量加强加速下跌中证1000股指期权隐含波动率快速反弹上升期权持仓量PCR大幅度下挫操作建议构建卖出1月份合约的宽跨式偏空头的期权组合策略获取时间价值和方向性收益若市场行情急速大涨则逐渐平仓离场如ZZ1000股指期权SMO2301-C-62001SMO2301-C-63001和SMO2301-P-60001SMO2301-P-61001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SH50ETF26220-00710-27170156-109401847SH300ETF38910-01260-3247712975103021SZ300ETF38970-01170-30016022-734628HS300382822-1260082-32908077亿-2100152566ZZ1000616075-3586910-58211171亿-300000131665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SH50ETF1234412090244347059160721255828630638SH300ETF713868961403445359555909518650-210SZ300ETF8609071767691127112532523066HS300378307685-4387026441346-562ZZ1000256194450-219333232565-164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SH50ETF2600008100045126359-00029-01100139SH300ETF3900008990079239107-00094-02400197SZ300ETF3900009060081339093-00086-02200123HS30038500076207960384660-840-0221838ZZ10006200001220015120617080-4020-0651005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SH50ETF201419601986201521271903202023-01-30SH300ETF191219901952187920161741202023-01-30SZ300ETF198821142054192920651793202023-01-30HS300180919261862194220861797192023-01-20ZZ1000199320822032226825491986192023-01-20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SH50ETF233938233054100020363485326863090001SH300ETF155986199442128015261748271433104-001SZ300ETF1801219818110-0132712025963096-010HS30029697246040830014411837484085-004ZZ100022698180000790002226215477070-006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1500300125028026220100026075050024025022002022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图2SH300ETF走势图4602000成交量万收盘价440150042040038910100038050036034002022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-06-272022-09-152022-09-232022-12-122022-12-202022-06-222022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-23图4沪深300走势图4600250成交量亿收盘价4400200420015040003828221003800360050340002022-07-182022-08-192022-09-232022-11-032022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图800001400070000120006000010000500008000400006000300004000200002000100000-20002502502402402452552602652702752802852902950235235235240245250255260265270275280285290295OIPOICOICHANGEPOICHANGECSH50ETF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343230282624222022-08-082022-10-182022-11-032022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23ETF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32140CLOSE3531OIPCR1203030291002528270802026220260601525240401023220202022-10-102022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-06-22IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图80000120007000010000600008000500006000400004000300002000020001000000340340350360370380390400410420430440450460470330330-2000370370330330340350360380390400410420430440450460470OIPOICOICHANGEPOICHANGECSH300ETF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48464442403836342022-08-162022-12-022022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-23ETF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504616045CLOSE4044OIPCR1403542120303891040100252038080153606010340402022-07-082022-12-072022-06-222022-06-302022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-152022-12-232022-06-222022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-07-04IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图700012006000100080050006004000400300020002000-2001000-400-6003903903403403503603703804004104204304404504604700330390390330330340350360370380400410420430440450460470OIPOICOICHANGEPOICHANGECSZ300ETF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5048464442403836342022-08-292022-11-162022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23ETF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30460CLOSE140OIPCR25440120420201003897040008015380060360103400402022-06-222022-07-012022-07-122022-07-212022-08-012022-08-102022-08-192022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-142022-12-232022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-06-22IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图8000600700050040060003005000200400010030000-1002000-2001000-3003300330031003100320034003500360037003800390040004100420043004400450042004200320032003300340035003600370038003900400041004300440045000-4003100OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23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304800CLOSE130254600OIPCR4400110204200090400038282215070380005036001034000302022-07-082022-12-072022-06-222022-06-302022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-152022-12-23IMPVMA20UPLOW2022-11-112022-06-222022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-232022-12-052022-12-15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高位回落连续报收阴线跌破维持近两周以来高位宽幅矩形区盘整震荡区间下限而中期趋势线方向仍向上期权隐含波动率窄幅波动有所反弹回升期权持仓量PCR持续下降报收于100以下操作建议构建卖出1月份认购认沽期权宽跨式偏空头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50ETF期权即S510050C2301M0270010510050C2301M0265010和S510050P2301M0260010S510050P2301M0255010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高位上升受阻连续报收阴线回落后下有60天均线支撑的短期弱势偏空头趋势期权隐含波动率窄幅波动维持至较低水平期权持仓量PCR大幅下降仍维持在100以上操作建议构建卖出1月份偏空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S510300C2301M0400010S510300C2301M0390010和S510300P2301M0380010S510300P2301M0390010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指数高位回落后连续近两周以来的弱势偏空头上周以来空头力量加强加速下跌中证1000股指期权隐含波动率快速反弹上升期权持仓量PCR大幅度下挫操作建议构建卖出1月份合约的宽跨式偏空头的期权组合策略获取时间价值和方向性收益若市场行情急速大涨则逐渐平仓离场如ZZ1000股指期权SMO2301-C-62001SMO2301-C-63001和SMO2301-P-60001SMO2301-P-61001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