【行情要点】
　　·市场行情：金融期权标的上证50ETF日内行情高开高走一路上行午后涨幅有所收窄；沪深300指数高开高走单边上行大幅上涨；中证1000指数日内行情高开后快速上涨，午后窄幅波动涨幅有所收窄；日线上看，上证50ETF跳空高开突破两周以来的矩形盘整震荡区间上限，表现出短期较强的偏多头市场行情；沪深300指数突破维持一周多以来的震荡区间上行和20天均线，沿着多头趋势方向快速上涨；中证1000指数延续近两周以来的超跌反弹持续回暖上升，上方有前期高点压力。截至昨日收盘，上证50ETF涨幅1.88%报收于2.710，上证300ETF涨幅1.90%报收于4.029，深证300ETF涨幅1.95%报收于4.034，沪深300指数涨幅1.94%报收于3968.58，中证1000指数涨幅1.00%报收于6485.47。
　　

研究报告全文：金融期权日报期权研究2023年1月6日星期五行情要点市场行情金融期权标的上证50ETF日内行情高开高走一路上行午后涨幅有所收窄沪深300指数高开高走单边上行大幅上涨中证1000指数日内行情高开后快速上涨午后窄幅波动涨幅有所收窄日线上看上证50ETF跳空高开突破两周以来的矩形盘整震荡区间上限表现出短期较强的偏多头市场行情沪深300指数突破维持一周多以来的震荡区间上行和20天均线沿着多头趋势方向快速上涨中证1000指数延续近两周以来的超跌反弹持续回暖上升上方有前期高点压力截至昨日收盘上证50ETF涨幅188报收于2710上卢品先证300ETF涨幅190报收于4029深证300ETF涨幅195报收于4034沪深300指数涨幅194报收于投研经理396858中证1000指数涨幅100报收于6485470755-23375252lupxwkjyqhcom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小幅波动其中上证50ETF期权隐从业资格号含波动率上升082报收于1959上证300ETF期权隐含波动率上升018报收于1788深证300ETF期权隐F3047321含波动率上升045报收于1839沪深300股指期权隐含波动率下降001报收于1617中证1000股指期交易咨询号权隐含波动率小幅下降025报收于1561Z0015541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092上证300ETF期权成交量PCR报收于095深证300ETF期权成交量PCR报收于113沪深300股指期权成交量PCR报收于080中证1000股指期权成交量PCR报收于096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131上证300ETF期权持仓量PCR报收于120深证300ETF期权持仓量PCR报收于146沪深300股指期权持仓量PCR报收于111中证1000股指期权持仓量PCR报收于096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275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6500和支撑点为6400结论与操作建议1上证50ETF期权上证50ETF大幅上扬突破两周以来的震荡区间上限表现出短期较强的多头行情信号期权隐含波动率窄幅波动期权持仓量PCR快速上升操作建议构建卖出1月份认购认沽期权偏多头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跌则平仓离场如上证50ETF期权即S510050C2301M0280010510050C2301M0275010和S510050P2301M0270010S510050P2301M02650102上证300ETF期权上证300ETF沿着多头趋势方向大幅上涨突破20天均线压力点和一周以来的震荡区间上限较强的短期偏多头信号期权隐含波动率持续小幅波动期权持仓量PCR急速上升报收于120操作建议构建1月份合约的认沽期权的牛市价差组合策略获取方向性收益若市场行情快速大跌至低行权价则平仓离场如上证300ETF期权即B510300P2301M0400010B510300P2301M0390010和S510300P2301M0410010S510300P2301M04200103中证1000股指期权中证1000指数延续近两周以来反弹回暖上升而上方有60天均线压力和且期趋势线方向仍向下中证1000股指期权隐含波动率小幅波动期权持仓量PCR小幅上涨操作建议构建卖出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SH50ETF510050SH2710000500188767352071SH300ETF510300SH4029000750190774503109SZ300ETF159919SZ403400077019513657549HS300000300SH3968587563194117亿256313ZZ1000000852SH6485476419100122亿155822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SH50ETF27000054400386271580050218800058SH300ETF40000081100450403610074418800071SZ300ETF40000083300470403630072718300023HS300395000664040403976007760199742ZZ1000650000756084806490807780121533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SH50ETF192020021959194620181874252023-01-30SH300ETF174018381788180318741731252023-01-30SZ300ETF176819021839185119271775252023-01-30HS300157516681617178819011674152023-01-20ZZ1000151016141561222625381914152023-01-20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SH50ETF1044234962053092-000588609768679131030SH300ETF541296515642095-002407616489665120018SZ300ETF77272874641130165148475342146030HS30055407443700800023858142893111017ZZ100019811191130960102004819286096008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200017503001500280271001250100026075050024025022002022-09-052022-10-282022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05图2SH300ETF走势图4601500成交量万收盘价44012004204029090040060038036030034002022-07-072022-09-192022-11-232022-07-042022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05图3SZ300ETF走势图480300成交量万收盘价460240440420403401804001203806036034002022-07-152022-08-182022-09-222022-11-022022-12-062022-07-042022-07-072022-07-122022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05图4沪深300走势图4800250成交量亿收盘价46002004400420015039685840001003800503600340002022-07-202022-10-122022-12-272022-07-042022-07-072022-07-122022-07-152022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-05SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图180000500001600004000014000030000120000200001000001000080000060000-100004000020000-20000-300002402402452502552602652702752802852902953000235275275235235240245250255260265270280285290295300OIPOICOICHANGEPOICHANGECSH50ETF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32313029282726252423222022-08-312022-11-022022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05ETF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32140CLOSE3531OIPCR1203030291002528271002708020260602515240401023220202022-08-232022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052022-11-072022-07-042022-07-132022-07-222022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-162022-11-252022-12-062022-12-152022-12-262023-01-05IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图12000035000300001000002500020000800001500010000600005000400000-500020000-10000-150000-20000360360360430330330340350370380390400410420430440450460470330340350370380390400410420440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-08-022022-11-072022-12-092022-07-252022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05ETF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3548160CLOSE3046OIPCR14044251204240290100204008015380603610340402022-07-282022-09-272022-12-012022-07-042022-07-122022-07-202022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-092022-12-192022-12-272023-01-052022-11-072022-07-132022-07-222022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052022-07-04IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图250005000400020000300015000200010000100005000-1000-20004704703403403503603703803904004104204304404504600330360360390330330340350370380400410420430440450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05ETF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35450160CLOSE30OIPCR14043025403401204101002039008015370060103500402022-07-042022-09-082022-11-232022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-08-312022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-12-012022-12-092022-12-192022-12-272023-01-052022-07-132022-07-222022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052022-07-04IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图80001500700010006000500500004000-5003000-10002000-15001000-2000420042003100310032003300340035003600370038003900400041004300440045004600410041003200320033003400350036003700380039004000420043004400450046000-25003100OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-08-022022-09-302022-12-062022-07-252022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-05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354800160CLOSE304600OIPCR140440012025420010039685820400008015380006036000401034000202022-08-052022-07-042022-07-122022-07-202022-07-282022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052022-08-222022-07-132022-07-222022-08-022022-08-112022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052022-07-04IMPVMA20UPLOW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