今日各股指均呈现窄幅震荡整理的走势。沪深两市全天成交额7472亿元。两市超3100只个股下跌，北向资金全天净买入58.01亿元。虽然目前国内疫情仍处高位,疫情对经济冲击显著,不过随着国内各地逐步迈过疫情新增高峰,后续疫情对经济的负面影响将逐渐消退,稳增长政策助力下经济复苏信心充足。海外流动性紧缩压力边际趋缓,美元指数回落,近期人民币相对美元升值，吸引外资持续回流A股,2023年以来6个交易日北向资金已经累计净流入335.2亿元，增量资金入市支撑A股反弹。不过考虑到春节假期临近，市场资金还是会偏向稳健，春节前股市难以走出大趋势行情。总的来说,预计短期内大盘股指数表现以震荡偏强为主,小盘股指数仍易受经济弱现实扰动以区间震荡走势为主。
　　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）

研究报告全文：金融期权日报专业研究创造价值2023年1月10日金融期权可逢回调布局做多股指核心观点今日各股指均呈现窄幅震荡整理的走势沪深两市全天成交额7472亿元两市超3100只个股下跌北向资金全天净买入5801亿元虽然目前国内疫情仍处高位疫情对经济冲击显著不过随着国内各地逐步迈过疫情新增高峰后续疫情对经济的负面影响将逐渐消退稳增长政策助力下经济复苏信心充足海外流动性紧缩压力边际趋缓美元指数回落近期人民币相对美元升值吸引外资持续回流A股2023年以来6个交易日北向资金已经累计净流入3352亿元增量资金入市支撑A股反弹不过考虑到春节假期临近市场资金还是会偏向稳宝城期货研究所健春节前股市难以走出大趋势行情总的来说预计短期内大盘股指数表现以震荡偏强为主小盘股指数仍易受经济弱现实扰动以区间震荡走势为主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1月10日中国驻韩国大使馆发布关于暂停签发韩国公民赴华短期签证的通知财政部税务总局发布关于明确增值税小规模纳税人减免增值税等政策的公告自2023年1月1日至2023年12月31日对月销售额10万元以下含本数的增值税小规模纳税人免征增值税自2023年1月1日至2023年12月31日增值税小规模纳税人适用3征收率的应税销售收入减按1征收率征收增值税适用3预征率的预缴增值税项目减按1预征率预缴增值税2期权指标2023年01月10日50ETF跌029收于2742300ETF上交所涨015收于4076300ETF深交所涨015收于4081沪深300指数涨011收于401747中证1000指数涨007收于654020500ETF上交所涨025收于6067500ETF深交所涨015收于6166创业板ETF涨152收于2401上证50ETF期权成交量PCR为8524上一交易日成交量PCR为8333持仓量PCR为13983上一交易日持仓量PCR为14137上交所3000ETF期权成交量PCR为8323上一交易日成交量PCR为8259持仓量PCR为12826上一交易日持仓量PCR为12589深交所300ETF期权成交量PCR为7589上一交易日成交量PCR为6898持仓量PCR为13200上一交易日持仓量PCR为13592中金所沪深300指数期权成交量PCR为8121上一交易日成交量PCR为7323持仓量PCR为11351上一交易日持仓量PCR为11284中金所中证1000指数期权成交量PCR为8797上一交易日成交量PCR为8402持仓量PCR为9038上一交易日持仓量PCR为8752上交所中证500ETF期权成交量PCR为8897上一交易日成交量PCR为8130持仓量PCR为12470上一交易日持仓量PCR为12381深交所中证500ETF期权成交量PCR为8497上一交易日成交量PCR为9192持仓量PCR为11223上一交易日持仓量PCR为11926创业板ETF期权成交量PCR为8962上一交易日成交量PCR为8561持仓量PCR为14601上一交易日持仓量PCR为13426上证50ETF期权2023年01月平值期权隐含波动率为1724标的30交易日历史波动率为1806上交所300ETF期权2023年01月平值期权隐含波动率为1520标的30交易日历史波动率为1532深交所300ETF期权2023年01月平值期权隐含波动率为1562标的30交易日历史波动率为1542中金所沪深300指数期权2023年01月平值期权隐含波动率为1693标的30交易日历史波动率为1540中金所中证1000指数期权2023年01月平值期权隐含波动率为1629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1284标的30交易日历史波动率为1289深交所中证500ETF期权2023年01月平值期权隐含波动率为1396标的30交易日历史波动率为1294创业板ETF期权2023年01月平值期权隐含波动率为2057标的30交易日历史波动率为1631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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-292021-03-042021-03-312021-04-282021-06-252021-07-222021-08-182021-09-142021-11-162021-12-132022-01-102022-04-082022-05-102022-06-072022-07-292022-08-252022-09-222022-10-262022-12-192021-01-042021-05-282021-10-202022-02-112022-03-102022-07-042022-11-222021-01-042021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192021-01-282021-03-022021-09-012021-09-292022-04-122022-05-112022-11-142022-12-082023-01-04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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-03-102021-04-092021-05-132021-06-112021-08-112021-09-092021-11-172022-01-172022-02-222022-04-252022-05-272022-06-282022-07-272022-09-262022-11-012022-12-292021-02-022021-07-132021-10-192021-12-162022-03-232022-08-252022-11-302021-01-042021-03-102021-04-092021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-02-222022-03-232022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302021-02-022021-05-132022-01-172022-04-252022-12-29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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-042021-03-042021-03-312021-04-282021-07-222021-08-182021-09-142021-12-132022-01-102022-02-112022-05-102022-06-072022-07-042022-09-222022-10-262022-11-222021-03-022021-03-262021-04-222021-05-212021-06-172021-09-292021-11-012021-11-252021-12-212022-01-172022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-11-142022-12-082023-01-042021-01-292021-05-282021-06-252021-10-202021-11-162022-03-102022-04-082022-07-292022-08-252022-12-192021-01-042021-01-282021-07-132021-08-062021-09-012022-02-172022-03-152022-09-162022-10-19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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-022021-04-092021-05-132021-07-132021-09-092021-10-192021-12-162022-02-222022-03-232022-05-272022-06-282022-08-252022-11-012022-11-302021-03-102021-06-112021-08-112021-11-172022-01-172022-04-252022-07-272022-09-262022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-07-132021-08-112021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-06-282022-07-272022-09-262022-11-012022-11-302022-12-292021-06-112021-09-092022-05-272022-08-25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600035045003005500400025035005000200300045001502500100200040005015003500010002021-03-022021-03-262021-04-222021-05-212021-06-172021-09-292021-11-012021-11-252021-12-212022-01-172022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-11-142022-12-082023-01-042021-01-042021-01-282021-07-132021-08-062021-09-012022-02-172022-03-152022-09-162022-10-192021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-19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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-022021-04-092021-05-132021-07-132021-08-112021-09-092021-11-172021-12-162022-02-222022-03-232022-05-272022-06-282022-07-272022-09-262022-11-012022-12-292021-03-102021-06-112021-10-192022-01-172022-04-252022-08-252022-11-302021-01-042021-02-022021-03-102021-05-132021-06-112021-08-112021-09-092021-10-192021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-11-012022-11-302022-12-292021-04-092021-07-132021-11-172022-02-222022-06-282022-09-26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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-03-022021-03-262021-04-222021-05-212021-06-172021-09-292021-11-012021-11-252021-12-212022-01-172022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-11-142022-12-082023-01-042021-01-042021-01-282021-07-132021-08-062021-09-012022-02-172022-03-152022-09-162022-10-192021-01-042021-02-012021-03-082021-05-072021-07-052021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-312022-06-022022-07-292022-09-262022-10-312022-11-282022-12-262021-04-062021-06-042021-08-022022-03-032022-05-052022-07-012022-08-26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4000001400030000012000350000120002500001000030000010000250000200000800080002000001500006000600015000010000040001000004000500002000500002000000000002021-01-042021-02-022021-03-102021-05-132021-06-112021-08-112021-09-092021-10-192021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-11-012022-11-302022-12-292021-04-092021-07-132021-11-172022-02-222022-06-282022-09-262021-01-042021-02-022021-04-092021-05-132021-07-132021-08-112021-09-092021-11-172021-12-162022-02-222022-03-232022-05-272022-06-282022-07-272022-09-262022-11-012022-12-292021-03-102021-06-112021-10-192022-01-172022-04-252022-08-252022-11-30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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-292022-08-122022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-242022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-262023-01-102022-07-222022-08-052022-08-192022-10-172022-10-312022-12-192023-01-032022-07-222022-07-292022-08-052022-08-192022-08-262022-09-022022-09-262022-10-102022-10-172022-10-312022-11-072022-11-142022-12-052022-12-122022-12-192023-01-032023-01-102022-08-122022-09-092022-09-192022-10-242022-11-212022-11-282022-12-26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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-07-222022-08-052022-08-122022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-242022-10-312022-11-142022-11-212022-12-052022-12-122022-12-262023-01-032023-01-102022-07-292022-08-192022-10-172022-11-072022-11-282022-12-192022-07-222022-08-122022-08-192022-08-262022-09-022022-09-192022-09-262022-10-102022-10-172022-11-072022-11-142022-11-212022-11-282022-12-122022-12-192022-12-262023-01-032022-07-292022-08-052022-09-092022-10-242022-10-312022-12-052023-01-10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7006400280060062002600500240060002200400580020003001800200560016001400540010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052022-09-232022-09-292022-10-182022-10-242022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292023-01-052022-09-192022-10-122022-1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