今日各股指均呈现单边上涨的走势。沪深两市全天成交额8428亿元，有所放量。两市超3000只个股上涨，北向资金全天净买入127.54亿元，大消费板块涨幅居前。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，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。不过市场情绪并不恐慌，政策端把支持恢复和扩大消费摆在优先位置，经济复苏的信心较为充足，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，但是中长期股指仍有上行动力。
　　近期期权隐含波动率有所回升，处于正常分位数范围，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5日金融期权北向资金大幅净流入股指全面反弹核心观点今日各股指均呈现单边上涨的走势沪深两市全天成交额8428亿元有所放量两市超3000只个股上涨北向资金全天净买入12754亿元大消费板块涨幅居前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不过市场情绪并不恐慌政策端把支持恢复和扩大消费摆在优先位置经济复苏的信心较为充足政策端的利好预期对股宝城期货研究所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是中长期股指仍有上行动力投资咨询团队近期期权隐含波动率有所回升处于正常分位数范围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新闻动态央行部署2023年重点工作强调要大力提振市场信心突出做好稳增长稳就业稳物价工作推动经济运行整体好转实现质的有效提升和量的合理增长有效防范化解重大金融风险要精准有力实施好稳健的货币政策多措并举降低市场主体融资成本保持人民币汇率在合理均衡水平上的基本稳定加大金融对国内需求和供给体系的支持力度支持房地产市场平稳健康发展有序推进人民币国际化有序推进数字人民币试点2期权指标2023年01月05日50ETF涨188收于2710300ETF上交所涨190收于4029300ETF深交所涨195收于4034沪深300指数涨194收于396858中证1000指数涨100收于648547500ETF上交所涨099收于6027500ETF深交所涨096收于6130创业板ETF涨278收于2330上证50ETF期权成交量PCR为9282上一交易日成交量PCR为9350持仓量PCR为12303上一交易日持仓量PCR为9869上交所3000ETF期权成交量PCR为9107上一交易日成交量PCR为9163持仓量PCR为11865上一交易日持仓量PCR为10630深交所300ETF期权成交量PCR为11474上一交易日成交量PCR为9777持仓量PCR为12808上一交易日持仓量PCR为10602中金所沪深300指数期权成交量PCR为8437上一交易日成交量PCR为7997持仓量PCR为10545上一交易日持仓量PCR为9472中金所中证1000指数期权成交量PCR为9189上一交易日成交量PCR为8512持仓量PCR为8323上一交易日持仓量PCR为7815上交所中证500ETF期权成交量PCR为9532上一交易日成交量PCR为10485持仓量PCR为12045上一交易日持仓量PCR为11701深交所中证500ETF期权成交量PCR为9249上一交易日成交量PCR为11001持仓量PCR为12499上一交易日持仓量PCR为12576创业板ETF期权成交量PCR为7494上一交易日成交量PCR为8286持仓量PCR为11360上一交易日持仓量PCR为9513上证50ETF期权2023年01月平值期权隐含波动率为1636标的30交易日历史波动率为1839上交所300ETF期权2023年01月平值期权隐含波动率为1467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1594中金所中证1000指数期权2023年01月平值期权隐含波动率为1527标的30交易日历史波动率为1549上交所中证500ETF期权2023年01月平值期权隐含波动率为1357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1358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1846标的30交易日历史波动率为1459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3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45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192021-01-042021-01-282021-03-262021-04-222021-06-172021-07-132021-09-012021-09-292021-11-252021-12-212022-02-172022-03-152022-05-112022-06-072022-07-272022-08-222022-10-192022-11-142023-01-042021-03-022021-05-212021-08-062021-11-012022-01-172022-04-122022-07-012022-09-162022-12-08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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-282021-03-022021-04-222021-05-212021-06-172021-08-062021-09-012021-11-012021-11-252021-12-212022-02-172022-03-152022-05-112022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082023-01-042021-01-042021-03-262021-07-132021-09-292022-01-172022-04-122022-07-272022-10-192021-01-042021-01-292021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-11-222022-12-192021-03-042021-03-312021-04-282021-05-282021-06-252022-07-042022-07-292022-08-252022-09-222022-10-26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600035045003005500400025035005000200300045001502500100200040005015003500010002021-01-282021-03-022021-04-222021-05-212021-06-172021-08-062021-09-012021-11-012021-11-252021-12-212022-02-172022-03-152022-05-112022-06-072022-07-012022-08-222022-09-162022-11-142022-12-082023-01-042021-01-042021-03-262021-07-132021-09-292022-01-172022-04-122022-07-272022-10-192021-01-042021-01-292021-03-042021-04-282021-05-282021-06-252021-08-182021-09-142021-10-202021-12-132022-01-102022-02-112022-05-102022-06-072022-07-042022-08-252022-09-222022-10-262022-12-192021-03-312021-07-222021-11-162022-03-102022-04-082022-07-292022-11-22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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-042021-02-012021-04-062021-05-072021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-01-272022-03-032022-05-052022-06-022022-07-012022-07-292022-09-262022-10-312022-12-262021-03-082021-08-022021-11-032022-03-312022-08-262022-11-28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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-292022-08-052022-08-122022-08-192022-09-022022-09-092022-09-192022-09-262022-10-172022-10-242022-10-312022-11-072022-11-212022-11-282022-12-052022-12-122022-12-262023-01-032022-07-222022-08-262022-10-102022-11-142022-12-192022-07-222022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-09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7006400280060062002600500240060002200400580020003001800200560016005400140010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05标的成交量万手标的收盘价标的3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