【行情要点】
　　市场行情：日线上看，金融期权标的上证50ETF沿着多头趋势方向震荡上行，而后突破近期高点大幅上涨；沪深300指数延续偏多头趋势方向震荡伤心，企稳20天均线，上有前期高点压力；中证1000指数空头趋势方向下超跌反弹回暖上升，延续近两周以来的偏多头上行，而中期趋势线方向仍向下。截止上周五收盘，上证50ETF周涨幅2.79%报收于2.725；上证300ETF周涨幅2.65%报收于4.045；深证300ETF周涨幅2.37%报收于4.050；沪深300指数周涨幅2.74%报收于3980.59，中证1000指数周涨幅3.36%报收于6500.32。

研究报告全文：金融期权周报期权研究2023年1月9日星期一行情要点日线上看金融期权标的上证50ETF沿着多头趋势方向震荡上行而后突破近期高点大幅上涨沪深300指数延续偏多头趋势方向震荡伤心企稳20天均线上有前期高点压力中证1000指数空头趋势方向下超跌反弹回暖上升延续近两周以来的偏多头上行而中期趋势线方向仍向下截止上周五收盘上证50ETF周涨幅279报收于2725上证300ETF周涨幅265报收于4045深证300ETF周涨幅237报收于4050沪深300指数周涨幅274报收于卢品先398059中证1000指数周涨幅336报收于650032投研经理期权盘面0755-23375252上周金融ETF期权日均成交量普遍大幅度增加而沪深300股指期权和中证1000股指期权日均成交量lupxwkqhcn增加的幅度较小其中上证50ETF期权增加2087万张至18385万张上证300ETF期权增加2515万张至11226万张深从业资格号证300ETF期权增加303万张至1415万张沪深300股指期权增加375万张至844万张中证1000股指期权增加113万张至462万张F3047321上周金融期权上证50ETF期权上证300ETF期权和深证300ETF期权日均持仓量连续两周减少下降而交易咨询号沪深300股指期权和中证1000股指期权日均持仓量则小幅增加其中上证50ETF期权减少3510万张至19510万张上证Z0015541300ETF期权减少1725万张至13666万张深证300ETF期权减少183万张至1806万张沪深300股指期权增加055万张至1492万张中证1000股指期权增加046万张至692万张上周金融期权隐含波动率主要表现为小幅波动盘整截止上周五上证50ETF期权隐含波动率为2018上证300ETF期权隐含波动率为1833深证300ETF期权隐含波动率为1896沪深300股指期权隐含波动率为1594中证1000股指期权隐含波动率为1510成交量PCR期权的成交量PCR是站在期权的买方角度看待市场的表现表示的是市场情绪指标一般认为成交量PCR越大投资者情绪越悲观成交量PCR越小投资者情绪越乐观上证50ETF期权成交量PCR报收于096上证300ETF期权成交量PCR报收于108深证300ETF期权成交量PCR报收于089沪深300股指期权成交量PCR报收于083中证1000股指期权成交量PCR报收于083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上周五上证50ETF期权持仓量PCR大幅度上升报收于145上证300ETF期权持仓量PCR报收于127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115中证1000股指期权持仓量PCR报收于103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期权卖方的角度分析市场行情的压力点和支撑点截至上周五收盘从期权的角度看上证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4000和支撑点为3950中证1000指数的压力点6500和支撑点为6300结论与操作建议1上证50ETF期权上证50ETF沿着多头趋势方向震荡上行突破上涨表现出较强的短期多头信号期权隐含波动率窄幅波动有所上升期权持仓量PCR极速的上涨操作建议构建1月份的认沽期权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50ETF期权即B510050P2301M0270010B510050P2301M0265010和S510050P2301M0280010S510050P2301M02850102上证300ETF期权上证300ETF震荡上行偏多头上涨突破前两周以来的震荡区间上限而上方有前期高点压力期权隐含波动率窄幅波动维持至较低水平期权持仓量PCR直线上升至120以上表现为短期市场行情偏多头信号操作建议构建卖出1月份偏多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跌则平仓离场如上证300ETF期权即S510300C2301M0420010S510300C2301M0410010和S510300P2301M0400010S510300P2301M04100103中证1000股指期权中证1000指数经过前期的持续空头大幅下跌后超跌反弹持续回暖上升维持近两周以来的短期偏多头上涨行情而中期趋势方向仍向下中证1000股指期权隐含波动率窄幅波动小幅回落期权持仓量PCR低位窄幅盘整操作建议构建卖出1月份合约偏多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急速大跌则逐渐平仓离场如ZZ1000股指期权SMO2301-C-650010SMO2301-C-660010和SMO2301-P-640010SMO2301-P-650010市场周行情概要市场行情涨跌幅标的简称收盘价涨跌日均成交量万增减万日均成交额亿SH50ETF272500076027966716-34401786SH300ETF404500107026573817-33112937SZ300ETF405000096023715165-856605HS300398089109255027411329亿3500224649ZZ1000650032218699433612882亿000159740期权量仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化CallPut合计变化SH50ETF9526885918385208792021030819510-3510SH300ETF585753701122625156407725913666-1725SZ300ETF70870814153038449621806-183HS3004703748443757447481492055ZZ1000255207462113382310692046期权日行情概要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SH50ETF27500036300560273030014505300053SH300ETF40000090200390405120015103700062SZ300ETF41000040100864405370017404300037HS300400000460055203990801480037991ZZ1000650000742072006502201140018188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SH50ETF198320542018194620171874112023-01-30SH300ETF179218701833180218731731112023-01-30SZ300ETF182819731896185119261775112023-01-30HS300157216211594177218891654102023-01-20ZZ1000145915701510222025371902102023-01-20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SH50ETF694270668593096004526720761679145014SH300ETF388944420248108013365030461963127006SZ300ETF6027453673089-0245266176955146-000HS30038337316810830033657441973115004ZZ10002340619456083-0131984320443103007数据来源wind资讯五矿期货期权事业部标的价量关系图1SH50ETF走势图3201750成交量万收盘价1500300125027250280100026075050024025022002022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06图2SH300ETF走势图4602000成交量万收盘价440150042040450400100038050036034002022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-07-082022-09-282022-10-132022-12-232023-01-032022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-06图4沪深300走势图4600250成交量亿收盘价4400200420039808915040001003800360050340002022-07-292022-09-012022-10-132022-11-162022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1800002000016000015000140000100001200005000100000080000-500060000-100004000020000-15000-200002402402452502552602652702752802852902950235290290235235240245250255260265270275280285295OIPOICOICHANGEPOICHANGECSH50ETF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3230282624222022-08-192022-10-312022-11-162022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06ETF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32160CLOSE3531OIPCR1403030291202528272501002720260801525060241004023220202022-10-212022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282022-07-05IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图12000010000100000500080000060000-500040000-1000020000-150000340340350360370380390400410420430440450460470330330-20000450450330330340350360370380390400410420430440460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-08-292022-12-152022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-06ETF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3046140CLOSE1302544OIPCR1204045011042201004009008015380700603610050340402022-07-212022-12-202022-07-052022-07-132022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-282023-01-062022-07-052022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282022-07-15IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图200002000180001500160001400010001200050010000800006000-5004000-10002000-15004104103403403503603703803904004204304404504604700330440440330330340350360370380390400410420430450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-09-092022-11-292022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06ETF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30460CLOSE160OIPCR25440140405004201202040010015380080360060103400402022-07-052022-07-142022-07-252022-08-032022-08-122022-08-232022-09-012022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282022-07-05IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图70004006000200500004000-2003000-40020001000-6003300330031003100320034003500360037003800390040004100420043004400450042004200320032003300340035003600370038003900400041004300440045000-8003100OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-06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304800CLOSE130254600OIPCR4400110204200090398089400015070380005036001034000302022-07-212022-12-202022-07-052022-07-132022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-282023-01-06IMPVMA20UPLOW2022-11-242022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-12-062022-12-162022-12-28策略应用和分析上证50ETF日行情K线图投资策略和到期损益图上证50ETF沿着多头趋势方向震荡上行突破上涨表现出较强的短期多头信号期权隐含波动率窄幅波动有所上升期权持仓量PCR极速的上涨操作建议构建1月份的认沽期权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50ETF期权即B510050P2301M0270010B510050P2301M0265010和S510050P2301M0280010S510050P2301M0285010到期损益图如下策略应用和分析上证300ETF日行情K线图投资策略和到期损益图上证300ETF震荡上行偏多头上涨突破前两周以来的震荡区间上限而上方有前期高点压力期权隐含波动率窄幅波动维持至较低水平期权持仓量PCR直线上升至120以上表现为短期市场行情偏多头信号操作建议构建卖出1月份偏多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跌则平仓离场如上证300ETF期权即S510300C2301M0420010S510300C2301M0410010和S510300P2301M0400010S510300P2301M0410010到期损益图如下策略应用和分析中证1000指数日行情K线图投资策略和到期损益图中证1000指数经过前期的持续空头大幅下跌后超跌反弹持续回暖上升维持近两周以来的短期偏多头上涨行情而中期趋势方向仍向下中证1000股指期权隐含波动率窄幅波动小幅回落期权持仓量PCR低位窄幅盘整操作建议构建卖出1月份合约偏多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急速大跌则逐渐平仓离场如ZZ1000股指期权SMO2301-C-650010SMO2301-C-660010和SMO2301-P-640010SMO2301-P-650010到期损益图如下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