核心观点
　　今日各股指均延续窄幅震荡整理的走势,全天冲高回落。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,稳增长政策将在2023年靠前发力,增力加效,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,昨日北向资金净流入76.14亿元,2023年以来已累计净流入411.35亿元，增量资金大幅入市支撑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。
　　

研究报告全文：金融期权日报专业研究创造价值2023年1月11日金融期权预计长假前股指以震荡走势为主核心观点今日各股指均延续窄幅震荡整理的走势全天冲高回落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将在2023年靠前发力增力加效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股昨日北向资金净流入7614亿元2023年以来已累计净流入41135亿元增量资金大幅入市支撑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宝城期货研究所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新闻动态央行数据显示12月末广义货币M2余额26643万亿元同比增长11812月份人民币贷款增加14万亿元同比多增2665亿元全年人民币贷款增加2131万亿元同比多增136万亿元央行初步统计12月份社会融资规模增量为131万亿元比上年同期少105万亿元2022年全年社会融资规模增量累计为3201万亿元比上年多6689亿元央行银保监会联合召开主要银行信贷工作座谈会会议明确推动房地产业向新发展模式平稳过渡改善优质房企资产负债表保持对实体经济的信贷支持力度推动经济运行整体好转各主要银行要合理把握信贷投放节奏适度靠前发力2期权指标2023年01月11日50ETF涨022收于2748300ETF上交所涨000收于4076300ETF深交所跌002收于4080沪深300指数跌019收于401003中证1000指数跌081收于648690500ETF上交所跌046收于6039500ETF深交所跌032收于6146创业板ETF跌112收于2374上证50ETF期权成交量PCR为8917上一交易日成交量PCR为8524持仓量PCR为14240上一交易日持仓量PCR为13983上交所3000ETF期权成交量PCR为8632上一交易日成交量PCR为8323持仓量PCR为12835上一交易日持仓量PCR为12826深交所300ETF期权成交量PCR为10583上一交易日成交量PCR为7589持仓量PCR为13862上一交易日持仓量PCR为13409中金所沪深300指数期权成交量PCR为8446上一交易日成交量PCR为8121持仓量PCR为11593上一交易日持仓量PCR为11351中金所中证1000指数期权成交量PCR为9135上一交易日成交量PCR为8797持仓量PCR为8802上一交易日持仓量PCR为9038上交所中证500ETF期权成交量PCR为8620上一交易日成交量PCR为8897持仓量PCR为12307上一交易日持仓量PCR为12470深交所中证500ETF期权成交量PCR为11239上一交易日成交量PCR为8497持仓量PCR为11176上一交易日持仓量PCR为11385创业板ETF期权成交量PCR为9266上一交易日成交量PCR为8962持仓量PCR为13673上一交易日持仓量PCR为15237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1416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1288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1295中金所沪深300指数期权2023年01月平值期权隐含波动率为1631标的30交易日历史波动率为1296中金所中证1000指数期权2023年01月平值期权隐含波动率为1602标的30交易日历史波动率为1465上交所中证500ETF期权2023年01月平值期权隐含波动率为1335标的30交易日历史波动率为1176深交所中证500ETF期权2023年01月平值期专业研究创造价值211请务必阅读文末免责条款金融期权日报权隐含波动率为1396标的30交易日历史波动率为1180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16023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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-292021-03-042021-03-312021-05-282021-06-252021-07-222021-09-142021-10-202021-12-132022-01-102022-02-112022-04-082022-05-102022-06-072022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192021-01-042021-04-282021-08-182021-11-162022-03-102022-07-042021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-042021-01-282021-03-022021-03-262022-05-112022-06-072022-07-012022-07-27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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-03-102021-04-092021-06-112021-07-132021-08-112021-10-192021-11-172022-01-172022-02-222022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-02-022021-05-132021-09-092021-12-162022-03-232022-06-282022-11-012021-01-042021-03-102021-04-092021-05-132021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-09-262022-11-012022-11-302021-02-022021-06-112022-01-172022-08-252022-12-29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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-042021-03-042021-03-312021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-03-102022-05-102022-06-072022-07-042022-08-252022-09-222022-12-192021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-292021-04-282021-05-282021-08-182021-12-132022-04-082022-07-292022-10-262022-11-222021-01-042021-01-282021-03-022021-12-212022-01-172022-02-172022-03-152022-04-12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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-022021-04-092021-05-132021-06-112021-08-112021-09-092021-11-172021-12-162022-02-222022-03-232022-04-252022-06-282022-07-272022-09-262022-11-012022-12-292021-03-102021-07-132021-10-192022-01-172022-05-272022-08-252022-11-302021-01-042021-02-022021-03-102021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-04-092021-11-172022-06-282022-11-01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600035045003005500400025035005000200300045001502500100200040005015003500010002021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-042021-01-282021-03-022021-12-212022-01-172022-02-172022-03-152022-04-122021-01-042021-01-292021-03-042021-03-312021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142022-09-222022-10-262022-11-222022-12-19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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-022021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-12-162022-01-172022-03-232022-04-252022-06-282022-07-272022-08-252022-09-262022-11-302022-12-292021-03-102021-11-172022-02-222022-05-272022-11-012021-01-042021-02-022021-04-092021-05-132021-07-132021-08-112021-10-192021-11-172022-01-172022-02-222022-04-252022-05-272022-07-272022-08-252022-11-012022-11-302021-03-102021-06-112021-09-092021-12-162022-03-232022-06-282022-09-262022-12-29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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082023-01-042021-01-042021-01-282021-03-022021-12-212022-01-172022-02-172022-03-152022-04-122021-01-042021-03-082021-05-072021-06-042021-08-022021-09-292021-11-032021-12-292022-03-032022-03-312022-06-022022-07-292022-08-262022-10-312022-11-282022-12-262021-02-012021-04-062021-07-052021-08-302021-12-012022-01-272022-05-052022-07-012022-09-26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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-01-042021-02-022021-04-092021-05-132021-07-132021-08-112021-10-192021-11-172022-01-172022-02-222022-04-252022-05-272022-07-272022-08-252022-11-012022-11-302021-03-102021-06-112021-09-092021-12-162022-03-232022-06-282022-09-262022-12-292021-01-042021-02-022021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-12-162022-01-172022-03-232022-04-252022-06-282022-07-272022-08-252022-09-262022-11-302022-12-292021-03-102021-11-172022-02-222022-05-272022-11-01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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-052022-08-122022-08-192022-08-262022-09-092022-09-192022-09-262022-10-102022-10-242022-10-312022-11-072022-11-142022-11-282022-12-052022-12-122022-12-192023-01-032022-07-292022-09-022022-10-172022-11-212022-12-262023-01-102022-07-222022-07-292022-08-052022-08-122022-09-022022-09-092022-09-192022-09-262022-10-172022-10-242022-10-312022-11-072022-11-282022-12-052022-12-122022-12-192023-01-032023-01-102022-08-192022-08-262022-10-102022-11-142022-11-212022-12-26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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-12-052022-12-122022-12-262023-01-032022-07-222022-11-282022-12-192023-01-102022-07-292022-08-052022-08-122022-08-192022-08-262022-09-092022-09-192022-09-262022-10-102022-10-172022-11-072022-11-142022-11-212022-11-282022-12-052022-12-262023-01-032023-01-102022-07-222022-09-022022-10-242022-10-312022-12-122022-12-19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7006400280060062002600500240060002200400580020003001800200560016001400540010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-272022-12-302023-01-052023-01-102022-10-252022-10-282022-11-022022-12-142022-12-192022-12-222022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022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