核心观点
　　今日各股指均呈现窄幅震荡的走势。沪深两市全天成交额7837亿元，相对元旦前有所放量。北向资金全天净买入18.44亿元，近期北向资金流入有所放缓。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，最新公布的12月PMI数据显示景气度回落显著，经济弱现实的状态可能还将延续。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，此前的乐观情绪趋于稳健。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。
　　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4日金融期权股指呈现窄幅震荡走势核心观点今日各股指均呈现窄幅震荡的走势沪深两市全天成交额7837亿元相对元旦前有所放量北向资金全天净买入1844亿元近期北向资金流入有所放缓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最新公布的12月PMI数据显示景气度回落显著经济弱现实的状态可能还将延续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此前的乐观情绪趋于稳健不过市场情绪并不恐慌中宝城期货研究所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投资咨询团队弈下预计短期内股指以区间震荡走势为主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新闻动态按照关于中外人员往来暂行措施的通知要求1月8日起来华人员在行前48小时进行核酸检测结果阴性者可以来华无需向中国驻外使领馆申领健康码将结果填入海关健康声明卡即可如呈阳性相关人员应在转阴后再来华对于入境人员健康申报正常且海关口岸常规检疫无异常者可放行进入社会面健康申报异常或者出现发热等症状的人员由海关进行抗原检测结果为阳性者如果属于未合并严重基础疾病的无症状感染者或轻型病例可以采取居家居所隔离或自我照护区域全面经济伙伴关系协定对印尼生效中国与印尼相互实施RCEP协定税率据商务部消息自2022年12月30日起各地商务主管部门停止办理对外贸易经营者备案登记对于申请进出口环节许可证技术进出口合同登记证书配额国营贸易资格等相关证件和资格的市场主体有关部门不再要求其提供对外贸易经营者备案登记材料2期权指标2023年01月04日50ETF涨034收于2660300ETF上交所涨013收于3954300ETF深交所涨010收于3957沪深300指数涨013收于389295中证1000指数跌004收于642128500ETF上交所跌003收于5968500ETF深交所跌007收于6072创业板ETF跌096收于2267上证50ETF期权成交量PCR为9350上一交易日成交量PCR为9081持仓量PCR为9869上一交易日持仓量PCR为9303上交所3000ETF期权成交量PCR为9163上一交易日成交量PCR为9161持仓量PCR为10630上一交易日持仓量PCR为10588深交所300ETF期权成交量PCR为9777上一交易日成交量PCR为9292持仓量PCR为10597上一交易日持仓量PCR为9002中金所沪深300指数期权成交量PCR为7997上一交易日成交量PCR为6936持仓量PCR为9472上一交易日持仓量PCR为9362中金所中证1000指数期权成交量PCR为8512上一交易日成交量PCR为7129持仓量PCR为7815上一交易日持仓量PCR为7590上交所中证500ETF期权成交量PCR为10485上一交易日成交量PCR为10591持仓量PCR为11701上一交易日持仓量PCR为11617深交所中证500ETF期权成交量PCR为11001上一交易日成交量PCR为8732持仓量PCR为12519上一交易日持仓量PCR为12198创业板ETF期权成交量PCR为8286上一交易日成交量PCR为9302持仓量PCR为9546上一交易日持仓量PCR为9565上证50ETF期权2023年01月平值期权隐含波动率为1612标的30交易日历史波动率为1838上交所300ETF期权2023年01月平值期权隐含波动率为1475标的30交易日历史波动率为1497深交所300ETF期权2023年01月平值期权隐含波动率为1514标的30交易日历史波动率为1506中金所沪深300指数期权2023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年01月平值期权隐含波动率为1685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1599标的30交易日历史波动率为1518上交所中证500ETF期权2023年01月平值期权隐含波动率为1374标的30交易日历史波动率为1262深交所中证500ETF期权2023年01月平值期权隐含波动率为1400标的30交易日历史波动率为1267创业板ETF期权2023年01月平值期权隐含波动率为1831标的30交易日历史波动率为14353相关图表上证50ETF期权图1上证50ETF走势图2上证50ETF期权波动率50ETF期权50ETF期权45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-04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70000001400045000001400060000001200040000001200035000005000000100003000000100004000000800025000008000300000060002000000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-04-092021-05-132021-07-132021-08-112021-10-192021-11-172022-01-172022-02-222022-04-252022-05-272022-07-272022-08-252022-11-012022-11-302021-03-102021-06-112021-09-092021-12-162022-03-232022-06-282022-09-262022-12-29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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-282021-03-022021-04-222021-05-212021-07-132021-08-062021-09-292021-11-012021-12-212022-01-172022-03-152022-04-122022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082021-01-042021-03-262021-06-172021-09-012021-11-252022-02-172022-05-112022-07-272022-10-192023-01-042021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282022-08-252022-09-222022-10-262022-11-222022-12-192021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-29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600035045003005500400025035005000200300045001502500100200040005015003500010002021-01-282021-03-022021-04-222021-05-212021-07-132021-08-062021-09-292021-11-012021-12-212022-01-172022-03-152022-04-122022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082021-01-042021-03-262021-06-172021-09-012021-11-252022-02-172022-05-112022-07-272022-10-192023-01-042021-01-042021-01-292021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-10-202021-11-162022-01-102022-02-112022-03-102022-05-102022-06-072022-07-292022-08-252022-10-262022-11-222022-12-192021-03-042021-09-142021-12-132022-04-082022-07-042022-09-22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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-042021-02-012021-04-062021-05-072021-07-052021-08-022021-09-292021-11-032021-12-292022-01-272022-03-312022-05-052022-07-012022-07-292022-09-262022-10-312022-12-262021-03-082021-06-042021-08-302021-12-012022-03-032022-06-022022-08-262022-11-28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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-07-292022-08-192022-08-262022-09-022022-09-092022-09-192022-10-102022-10-172022-10-242022-10-312022-11-072022-11-282022-12-052022-12-122022-12-192022-08-052022-08-122022-09-262022-11-142022-11-212022-12-262023-01-032022-07-222022-08-032022-08-152022-08-192022-08-252022-08-312022-09-132022-09-232022-09-292022-10-122022-10-182022-10-282022-11-092022-11-152022-11-212022-11-252022-12-072022-12-192022-12-232022-12-292022-07-282022-08-092022-09-062022-09-192022-10-242022-11-032022-12-012022-12-13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7006400280060062002600500240060002200400580020003001800200560016005400140010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-222022-09-272022-10-122022-10-172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