【行情要点】
　　·市场行情：金融期权标的上证50ETF日内行情低开后快速下跌而后逐渐上升，午后冲高回落后窄幅波动；沪深300指数低开低走后反弹上升，而后小幅波动至收盘；中证1000指数日内行情低开后窄幅盘整震荡，午后快速回落；日线上看，上证50ETF延续一周以来21天均线和55天均线之间矩形区间盘整震荡；沪深300指数维持一周以来短期趋势弱势偏空头的区间震荡；中证1000指数高位回落后震荡下行延续近两周以来的弱势偏空头市场行情格局，本周以来超跌反弹回暖上升受阻回落，延续前期的弱势偏空头。截至昨日收盘，上证50ETF涨幅0.26%报收于2.649，上证300ETF跌幅0.33%报收于3.934，深证300ETF跌幅0.46%报收于3.938，沪深300指数跌幅0.43%报收于3871.26，中证1000指数跌幅0.90%报收于6268.47。
　　

研究报告全文：金融期权日报期权研究2022年12月29日星期四行情要点市场行情金融期权标的上证50ETF日内行情低开后快速下跌而后逐渐上升午后冲高回落后窄幅波动沪深300指数低开低走后反弹上升而后小幅波动至收盘中证1000指数日内行情低开后窄幅盘整震荡午后快速回落日线上看上证50ETF延续一周以来21天均线和55天均线之间矩形区间盘整震荡沪深300指数维持一周以来短期趋势弱势偏空头的区间震荡中证1000指数高位回落后震荡下行延续近两周以来的弱势偏空头市场行情格局本周以来超跌反弹回暖上升受阻回落延续前期的弱势偏空头截至昨日收卢品先盘上证50ETF涨幅026报收于2649上证300ETF跌幅033报收于3934深证300ETF跌幅046报收于投研经理3938沪深300指数跌幅043报收于387126中证1000指数跌幅090报收于6268470755-23375252lupxwkjyqhcom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持续小幅下降其中上证50ETF期从业资格号权隐含波动率下降039报收于1946上证300ETF期权隐含波动率下降010报收于1826深证300ETF期F3047321权隐含波动率下降024报收于1847沪深300股指期权隐含波动率下降017报收于1732中证1000股交易咨询号指期权隐含波动率小幅下降030报收于1727Z0015541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099上证300ETF期权成交量PCR报收于131深证300ETF期权成交量PCR报收于102沪深300股指期权成交量PCR报收于082中证1000股指期权成交量PCR报收于076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098上证300ETF期权持仓量PCR报收于107深证300ETF期权持仓量PCR报收于110沪深300股指期权持仓量PCR报收于087中证1000股指期权持仓量PCR报收于073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265和支撑点为265上证300ETF的压力点为400和支撑点为390深证300ETF的压力点为400和支撑点为390沪深300指数的压力点为4000和支撑点为3950中证1000指数的压力点为6600和支撑点为6400结论与操作建议1上证50ETF期权上证50ETF延续一周多以来的宽幅矩形区间盘整震荡上有21天均线压力下有55天均线支撑期权隐含波动率持续下降至较低水平期权持仓量PCR反弹回升仍报收于100以下操作建议构建卖出1月份认购认沽期权偏空头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则平仓离场如上证50ETF期权即S510050C2301M0260010510050C2301M0265010和S510050P2301M0270010S510050P2301M02650102沪300ETF期权上证300ETF维持一周以来空头压力线下的弱势盘整期权隐含波动率窄幅波动维持至较低水平期权持仓量PCR快速反弹回升报收于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S510300C2301M0400010S510300C2301M0410010和S510300P2301M0380010S510300P2301M03900103中证1000股指期权中证1000指数短期空头压力线下超跌反弹回暖上升受阻回落整体趋势仍维持弱势偏空中证1000股指期权隐含波动率小幅下降期权持仓量PCR持续下降操作建议构建卖出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-63001SMO2301-C-64001和SMO2301-P-62001SMO2301-P-61001235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SH50ETF510050SH2649000070026711611882SH300ETF510300SH39340-00130-033649272554SZ300ETF159919SZ39380-00180-04623842940HS300000300SH387126-1659-043084亿160671ZZ1000000852SH626847-5716-090105亿125062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SH50ETF26500058000487265930005802200103SH300ETF3900010150053539480-00140-03500140SZ300ETF3900010310053439497-00132-03300117HS30038500085404920388620-1480-0381494ZZ10006300001038010980629400-4080-0642553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SH50ETF191319781946198420641905332023-01-30SH300ETF179818461825184219391745332023-01-30SZ300ETF181618781847188919841795332023-01-30HS300169017821732188220011763232023-01-20ZZ1000169017751727225425441964232023-01-20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SH50ETF362472360409099011485098474163098007SH300ETF177266231775131036332774354696107-000SZ300ETF2577126358102-0293641839933110-009HS30022172181040820024472238888087-001ZZ100017025128800760032229116224073-004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200017503001500125028026490100026075050024025022002022-08-292022-10-212022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图2SH300ETF走势图4601500成交量万收盘价44012004203934090040060038036030034002022-06-302022-09-092022-11-162022-06-272022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图3SZ300ETF走势图480300成交量万收盘价460240440420180393804001203806036034002022-07-082022-08-112022-09-152022-10-262022-11-292022-06-272022-06-302022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图4沪深300走势图4800250成交量亿收盘价46002004400420015038712640001003800503600340002022-07-132022-09-282022-12-202022-06-272022-06-302022-07-052022-07-082022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-232022-12-28SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图12000018000160001000001400012000800001000060000800060004000040002000200000-20002452452352352402502552602652702752802852902953000230285285230230235240245250255260265270275280290295300OIPOICOICHANGEPOICHANGECSH50ETF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32313029282726252423222022-08-242022-10-262022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28ETF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32140CLOSE3531OIPCR1203030291002528272649008020260602515240401023220202022-08-162022-06-272022-07-052022-07-132022-07-212022-07-292022-08-082022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282022-10-312022-06-272022-07-062022-07-152022-07-262022-08-042022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-11-092022-11-182022-11-292022-12-082022-12-192022-12-28IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图10000010000900008000800007000060006000040005000040000200030000020000-2000100000-4000440440310310320330340350360370380390400410420430440450460470480490500310320330340350360370380390400410420430450460470480490500OIPOICOICHANGEPOICHANGECSH300ETF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48464442403836342022-07-262022-10-312022-12-022022-07-182022-07-212022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28ETF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3548160CLOSE3046OIPCR14044251204239340100204008015380603610340402022-07-212022-09-202022-11-242022-06-272022-07-052022-07-132022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-12-022022-12-122022-12-202022-12-282022-10-312022-07-062022-07-152022-07-262022-08-042022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282022-06-27IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图120002500200010000150080001000600050004000-5002000-1000-15003903903203203303403503603703804004104204304404504604704804905005250310430430310310320330340350360370380390400410420440450460470480490500525OIPOICOICHANGEPOICHANGECSZ300ETF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5048464442403836342022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28ETF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35480160CLOSE30OIPCR46014044025120420393801002040008038015360060103400402022-06-272022-09-012022-11-162022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-08-242022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-242022-12-022022-12-122022-12-202022-12-282022-07-062022-07-152022-07-262022-08-042022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282022-06-27IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图9000100080008007000600600050004004000200300002000-2001000420042003100310032003300340035003600370038003900400041004300440045004600410041003200320033003400350036003700380039004000420043004400450046000-4003100OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-07-262022-09-232022-11-292022-07-182022-07-212022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28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354800160CLOSE304600OIPCR140440012025420010020400038712608015380006036000401034000202022-07-292022-06-272022-07-052022-07-132022-07-212022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282022-08-152022-07-062022-07-152022-07-262022-08-042022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282022-06-27IMPVMA20UPLOW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