今日主要指数走势分化，大盘股指数探底回升全天震荡整理，小盘股指数全天震荡上涨。沪深两市全天成交额7888亿元，2023年首日成交量有所放大。两市超4200只个股上涨，北向资金全天净卖出6.45亿元。目前国内的疫情正处在快速上升的阶段，由于健康因素，居民出门活动意愿不强，消费短期内难以出现快速回升；而地产也延续下行趋势，商品房销售仍未见改善；外需持续走低抑制出口，且考虑到政策生效的时滞性，经济弱现实的状态可能还将延续，最新公布的12月PMI数据显示景气度回落显著。在增量表述较少的政策空档期，弱现实对市场情绪造成短线扰动。不过市场情绪并不恐慌，中长期信心仍足，政策端密集推出，把支持恢复和扩大消费摆在优先位置，政策端的利好预期对股指形成强力支撑。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，但中长期仍存在向上动力。
　　近期期权隐含波动率处于偏低水平，考虑到股指中长期仍有向上动力，可以逢股指回调构建牛市价差策略或者比例价差策略。
　　

研究报告全文：金融期权日报专业研究创造价值2023年1月3日金融期权2023年首日股指呈现偏强运行核心观点今日主要指数走势分化大盘股指数探底回升全天震荡整理小盘股指数全天震荡上涨沪深两市全天成交额7888亿元2023年首日成交量有所放大两市超4200只个股上涨北向资金全天净卖出645亿元目前国内的疫情正处在快速上升的阶段由于健康因素居民出门活动意愿不强消费短期内难以出现快速回升而地产也延续下行趋势商品房销售仍未见改善外需持续走低抑制出口且考虑到政策生效的时滞性经济弱现实的状态可能还将延续最新公布的12月PMI数据显示景气度回落显著在增量表述较少的政策空档期弱现实宝城期货研究所对市场情绪造成短线扰动不过市场情绪并不恐慌中长期信心仍足政策端密集推出把支持恢复和扩大消费摆在优先位置政策端的利好预期对股指形成强投资咨询团队力支撑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存在向上动力近期期权隐含波动率处于偏低水平考虑到股指中长期仍有向上动力可以逢股指回调构建牛市价差策略或者比例价差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新闻动态受疫情防控措施优化调整感染病例增加带来的短期冲击影响2022年12月中国制造业景气连续第五个月收缩且降幅扩大1月3日公布的2022年12月财新中国制造业采购经理人指数PMI录得490低于上月04个百分点为三个月来最低2期权指标2023年01月03日50ETF涨008收于2651300ETF上交所涨028收于3949300ETF深交所跌003收于3953沪深300指数涨042收于388790中证1000指数涨226收于642370500ETF上交所涨141收于5970500ETF深交所涨138收于6076创业板ETF涨044收于2289上证50ETF期权成交量PCR为9081上一交易日成交量PCR为9165持仓量PCR为9303上一交易日持仓量PCR为9175上交所3000ETF期权成交量PCR为9161上一交易日成交量PCR为9321持仓量PCR为10588上一交易日持仓量PCR为10572深交所300ETF期权成交量PCR为9293上一交易日成交量PCR为10177持仓量PCR为9217上一交易日持仓量PCR为8994中金所沪深300指数期权成交量PCR为6936上一交易日成交量PCR为7588持仓量PCR为9362上一交易日持仓量PCR为9223中金所中证1000指数期权成交量PCR为7129上一交易日成交量PCR为6485持仓量PCR为7590上一交易日持仓量PCR为6675上交所中证500ETF期权成交量PCR为10591上一交易日成交量PCR为8339持仓量PCR为11617上一交易日持仓量PCR为9648深交所中证500ETF期权成交量PCR为8732上一交易日成交量PCR为7440持仓量PCR为12147上一交易日持仓量PCR为11157创业板ETF期权成交量PCR为9302上一交易日成交量PCR为7381持仓量PCR为9625上一交易日持仓量PCR为9387上证50ETF期权2023年01月平值期权隐含波动率为1596标的30交易日历史波动率为1844上交所300ETF期权2023年01月平值期权隐含波动率为1546标的30交易日历史波动率为1494深交所300ETF期权2023年01月平值期权隐含波动率为1524标的30交易日历史波动率为1503中金所沪深300指数期权2023年01月平值期权隐含波动率为1729标的30交易日历史波动率为1504中金所中证1000指数期权2023年01月平值期权隐含波动率为1611标的30交易日历史波动率为1580上交所中证500ETF期权2023年01月平值期权隐含波动率为1383标的30交易日历史波动率为1194深交所中证500ETF期权2023年01月平值期权隐含波动率为1432标的30交易日历史波动率为1197创业板ETF期权2023年01月平值期权隐含波动率为1820标的30交易日历史波动率为15283相关图表上证50ETF期权专业研究创造价值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45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082021-01-282021-03-262021-05-212021-06-172021-07-132021-08-062021-09-292021-11-252021-12-212022-01-172022-02-172022-04-122022-06-072022-07-272022-08-222022-09-162022-10-192022-12-082021-01-042021-03-022021-04-222021-09-012021-11-012022-03-152022-05-112022-07-012022-11-14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70000001400045000001400060000001200040000001200035000005000000100003000000100004000000800025000008000300000060002000000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-282021-03-022021-03-262021-04-222021-06-172021-07-132021-09-012021-09-292021-11-012021-11-252022-01-172022-02-172022-04-122022-05-112022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082021-01-042021-05-212021-08-062021-12-212022-03-152022-07-272022-10-192021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-07-132021-08-062021-09-292021-11-012021-12-212022-01-172022-03-152022-04-122022-06-072022-07-012022-08-222022-09-162022-10-192022-11-142022-12-082021-06-172021-09-012021-11-252022-02-172022-05-112022-07-27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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29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600035045003005500400025035005000200300045001502500100200040005015003500010002021-01-282021-03-022021-03-262021-04-222021-06-172021-07-132021-09-012021-09-292021-11-012021-11-252022-01-172022-02-172022-04-122022-05-112022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082021-01-042021-05-212021-08-062021-12-212022-03-152022-07-272022-10-192021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-09-142021-11-162021-12-132022-02-112022-03-102022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-12-192021-03-042021-05-282021-10-202022-01-102022-04-082022-11-22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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-08-022021-08-302021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-06-022022-07-012022-08-262022-09-262022-10-312022-12-262021-07-052021-09-292022-05-052022-07-292022-11-28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4000001400030000012000350000120002500001000030000010000200000250000800080002000001500006000600015000010000040001000004000500002000500002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-07-292022-08-052022-08-192022-08-262022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-142022-11-212022-12-052022-12-122022-12-262023-01-032022-08-122022-09-022022-11-072022-11-282022-12-192022-07-222022-07-282022-08-092022-08-152022-08-192022-08-252022-09-062022-09-132022-09-192022-09-232022-10-122022-10-242022-10-282022-11-032022-11-092022-11-212022-11-252022-12-012022-12-072022-12-192022-12-292022-08-032022-08-312022-09-292022-10-182022-11-152022-12-132022-12-23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180000160009000014000160000140008000012000140000700001200010000120000100006000010000080008000500008000040000600060000600030000400004000200004000200002000100002000000000002022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-03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7006400280060062002600500240060002200400580020003001800200560016005400140010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-19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80000014000140000020000700000120000012000150006000001000010000005000008000008000100004000006000003000006000400000500020000040002000001000002000000000002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-30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811请务必阅读文末免责条款金融期权日报深交所500ETF期权图25深交所500ETF走势图26深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所25064002800260020062002400220015060002000100580018001600505600140012000540010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-272022-09-302022-10-122022-10-172022-10-202022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-272022-12-302022-09-192022-09-222022-10-252022-10-282022-11-232022-12-192022-12-22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27深交所500ETF期权成交量PCR图28深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所300000200002500002000025000020000015000150002000001500001500001000010000100000100000500050005000050000000000002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-30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911请务必阅读文末免责条款金融期权日报创业板ETF期权图29创业板ETF走势图30创业板ETF期权波动率创业板ETF期权创业板ETF期权120024003900235010003400800230022502900600220024004002150200210019000205014002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-19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31创业板ETF期权成交量PCR图32创业板ETF持仓量PCR创业板ETF期权创业板ETF期权180000014000800000160001600000120007000001400014000001000060000012000120000050000010000008000100004000008000800000600060000030000060004000004000200000400020000020001000002000000000002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-29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1011请务必阅读文末免责条款金融期权日报投资咨询团队简介获取每日期货策略推送服务国家走向世界诚信至上合规经营知行合一专业敬业严谨管理开拓进取扫码关注宝城期货官方微信期货咨询尽在掌握免责条款客户不应视本报告为作出投资决策的唯一因素本报告中所指的投资及服务可能不适合个别客户不构成客户私人咨询建议本公司未确保本报告充分考虑到个别客户特殊的投资目标财务状况或需要本公司建议客户应考虑本报告的任何意见或建议是否符合其特定状况以及若有必要咨询独立投资顾问在任何情况下本报告中的信息或所表述的意见并不构成对任何人的投资建议在任何情况下本公司不对任何人因使用本报告中的任何内容所引致的任何损失负任何责任若本报告的接收人非本公司的客户应在基于本报告作出任何投资决定或就本报告要求任何解释前咨询独立投资顾问专业研究创造价值1111请务必阅读文末免责条款