【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情低开低走后快速反弹上升一路上行，午后涨幅收窄；沪深300指数低开高走逐渐上行偏多头上涨；中证1000指数日内行情高开高走一路上涨，午后加速上行；日线上看，上证50ETF延续两周以来在21天均线和55天均线之间矩形区间盘整震荡；沪深300指数维持一周多以来短期趋势弱势偏空头的区间震荡；中证1000指数空头压力线下超跌反弹回暖上升，延续近一周以来的低位反弹。截至昨日收盘，上证50ETF涨幅0.08%报收于2.651，上证300ETF涨幅0.28%报收于3.949，深证300ETF跌幅0.03%报收于3.953，沪深300指数涨幅0.42%报收于3887.90，中证1000指数涨幅2.26%报收于6423.70。

研究报告全文：金融期权日报期权研究2023年1月4日星期三行情要点市场行情金融期权标的上证50ETF日内行情低开低走后快速反弹上升一路上行午后涨幅收窄沪深300指数低开高走逐渐上行偏多头上涨中证1000指数日内行情高开高走一路上涨午后加速上行日线上看上证50ETF延续两周以来在21天均线和55天均线之间矩形区间盘整震荡沪深300指数维持一周多以来短期趋势弱势偏空头的区间震荡中证1000指数空头压力线下超跌反弹回暖上升延续近一周以来的低位反弹截至昨日收盘上证50ETF涨幅008报收于2651上证300ETF涨幅028报收于3949深证300ETF跌幅卢品先003报收于3953沪深300指数涨幅042报收于388790中证1000指数涨幅226报收于642370投研经理0755-23375252期权盘面lupxwkjyqhcom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期权隐含波动率下降060报收于1847上证300ETF期权隐含波动率下降009报收于1773深证300ETF期从业资格号权隐含波动率下降050报收于1793沪深300股指期权隐含波动率下降017报收于1638中证1000股F3047321指期权隐含波动率小幅下降015报收于1629交易咨询号成交量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Z0015541成交量PCR报收于091上证300ETF期权成交量PCR报收于094深证300ETF期权成交量PCR报收于091沪深300股指期权成交量PCR报收于068中证1000股指期权成交量PCR报收于072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093上证300ETF期权持仓量PCR报收于103深证300ETF期权持仓量PCR报收于094沪深300股指期权持仓量PCR报收于092中证1000股指期权持仓量PCR报收于085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3900中证1000指数的压力点为6500和支撑点为6300结论与操作建议1上证50ETF期权上证50ETF延续近两周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回落期权持仓量PCR持续下降操作建议构建卖出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S510050C2301M0270010510050C2301M0265010和S510050P2301M0260010S510050P2301M02650102上证300ETF期权上证300ETF维持一周多以来空头压力线下的弱势区间盘整期权隐含波动率持续下降回落至较低水平期权持仓量PCR窄幅盘整报收于100附近操作建议构建卖出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指数维持一周以来空头压力线下反弹回暖上升昨日涨幅较大而中期趋势线方向仍向下中证1000股指期权隐含波动率小幅下跌期权持仓量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-65001SMO2301-C-66001和SMO2301-P-63001SMO2301-P-64001235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SH50ETF510050SH2651000020008699411845SH300ETF510300SH3949000110028656312576SZ300ETF159919SZ39530-00010-00316066631HS300000300SH3887901627042115亿207540ZZ1000000852SH64237014208226133亿160708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SH50ETF2650005070041126596-00003-00100086SH300ETF39000099600394396020011903000112SZ300ETF40000049700855396420012403100112HS300390000554060603894801220031690ZZ100064000010080786064222013480214-150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SH50ETF185018441847196020371882272023-01-30SH300ETF177517711773181418911738272023-01-30SZ300ETF175318371793186219411784272023-01-30HS300160716851638182219321713172023-01-20ZZ1000159316791629223825401936172023-01-20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SH50ETF783323713168091001657024612499093003SH300ETF430838404660094-001404901415066103001SZ300ETF6183256179091-0125812854894094001HS3004268029218068-0044380440106092003ZZ100027381196070720072135818113085014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200017503001500125028026510100026075050024025022002022-09-012022-10-262022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03图2SH300ETF走势图4601500成交量万收盘价44012004203949090040060038036030034002022-07-052022-09-152022-11-212022-06-302022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03图3SZ300ETF走势图480300成交量万收盘价460240440420180395304001203806036034002022-07-132022-08-162022-09-202022-10-312022-12-022022-06-302022-07-052022-07-082022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03图4沪深300走势图4800250成交量亿收盘价46002004400420015038879040001003800503600340002022-07-182022-10-102022-12-232022-06-302022-07-052022-07-082022-07-132022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-03SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1400002000012000015000100000100008000060000500040000020000-50002452452352352402502552602652702752802852902953000230285285230230235240245250255260265270275280290295300OIPOICOICHANGEPOICHANGECSH50ETF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32313029282726252423222022-08-292022-10-312022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03ETF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32140CLOSE3531OIPCR1203030291002528272651008020260602515240401023220202022-08-192022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032022-11-032022-06-302022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-142022-11-232022-12-022022-12-132022-12-222023-01-03IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图120000180001600010000014000120008000010000600008000600040000400020002000000-2000440440310310320330340350360370380390400410420430440450460470480490500310320330340350360370380390400410420430450460470480490500OIPOICOICHANGEPOICHANGECSH300ETF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48464442403836342022-07-292022-11-032022-12-072022-07-212022-07-262022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03ETF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3548160CLOSE3046OIPCR14044251204239490100204008015380603610340402022-07-262022-09-232022-11-292022-06-302022-07-082022-07-182022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-12-072022-12-152022-12-232023-01-032022-11-032022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-142022-11-232022-12-022022-12-132022-12-222023-01-032022-06-30IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图20000350018000300016000250014000120002000100001500800010006000500400020000-5003203203303403503603703803904004104204304404504604704804905005250310430430310310320330340350360370380390400410420440450460470480490500525OIPOICOICHANGEPOICHANGECSZ300ETF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5048464442403836342022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03ETF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35480160CLOSE30OIPCR46014044025120420395301002040008038015360060103400402022-06-302022-09-062022-11-212022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-292022-12-072022-12-152022-12-232023-01-032022-07-112022-07-202022-07-292022-08-092022-08-182022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-032022-11-142022-11-232022-12-022022-12-132022-12-222023-01-032022-06-30IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图900050080004007000300600020050001004000030002000-1001000-20042004200410032003200330034003500360037003800390040004100430044004500460031003200330034003500360037003800390040004200430044004500460003100-300OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-07-292022-09-282022-12-022022-07-212022-07-262022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-03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354800160CLOSE304600OIPCR140440012025420010020400038879008015380006036000401034000202022-08-032022-06-302022-07-082022-07-182022-07-262022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032022-08-182022-07-112022-07-202022-07-292022-08-092022-08-292022-09-072022-09-192022-09-282022-10-142022-10-252022-11-032022-11-142022-11-232022-12-022022-12-132022-12-222023-01-032022-06-30IMPVMA20UPLOW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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