研究报告全文：金融期权日报专业研究创造价值2023年1月13日金融期权股市缩量上涨市场情绪仍乐观核心观点今日各股指均震荡上涨上证50与沪深300涨幅显著沪深两市全天成交额7023亿元表现缩量涨停个股超38只超2900只个股飘红北向资金全天净买入13336亿元2023年以来累计净流入超640亿元有力支撑股指的反弹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今日公布的国内通胀数据表现温和不会对货币政策构成制约海外流动性紧缩压力边际趋缓宝城期货研究所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投资咨询团队情总的来说预计节前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大盘股指数相关的期权品种持仓量PCR处于高位显示市场情绪仍偏乐观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新闻动态海关统计显示2022年我国外贸进出口总值4207万亿元比2021年增长77其中出口2397万亿元增长105进口181万亿元增长43国家税务总局最新数据显示2022年全年我国累计免征新能源汽车车辆购置税879亿元同比增长9262期权指标2023年01月13日50ETF涨163收于2799300ETF上交所涨152收于4144300ETF深交所涨149收于4147沪深300指数涨141收于407438中证1000指数涨043收于651751500ETF上交所涨085收于6084500ETF深交所涨081收于6190创业板ETF涨147收于2417上证50ETF期权成交量PCR为10983上一交易日成交量PCR为10030持仓量PCR为14863上一交易日持仓量PCR为13768上交所3000ETF期权成交量PCR为9420上一交易日成交量PCR为8890持仓量PCR为13514上一交易日持仓量PCR为12865深交所300ETF期权成交量PCR为12491上一交易日成交量PCR为11323持仓量PCR为15335上一交易日持仓量PCR为14091中金所沪深300指数期权成交量PCR为9602上一交易日成交量PCR为8422持仓量PCR为11994上一交易日持仓量PCR为11306中金所中证1000指数期权成交量PCR为10634上一交易日成交量PCR为10074持仓量PCR为7769上一交易日持仓量PCR为8818上交所中证500ETF期权成交量PCR为10474上一交易日成交量PCR为10415持仓量PCR为12649上一交易日持仓量PCR为12324深交所中证500ETF期权成交量PCR为14558上一交易日成交量PCR为12429持仓量PCR为10706上一交易日持仓量PCR为10725创业板ETF期权成交量PCR为10426上一交易日成交量PCR为8182持仓量PCR为14370上一交易日持仓量PCR为14277上证50ETF期权2023年01月平值期权隐含波动率为1644标的30交易日历史波动率为1395上交所300ETF期权2023年01月平值期权隐含波动率为1423标的30交易日历史波动率为1261深交所300ETF期权2023年01月平值期权隐含波动率为1472标的30交易日历史波动率为1267中金所沪深300指数期权2023年01月平值期权隐含波动率为1639标的30交易日历史波动率为1319中金所中证1000指数期权2023年01月平值期权隐含波动率为1582标的30交易日历史波动率为1437上交所中证500ETF期权2023年01月平值期权隐含波动率为1320标的30交易日历史波动率为1173深交所中证500ETF期权2023年01月平值期权隐含波动率为1354标的30交易日历史波动率为1177创业板ETF期权2023年01月平值期权隐含波动率为2072标的30交易日历史波动率为1599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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-292021-03-042021-04-282021-05-282021-06-252021-07-222021-09-142021-10-202021-11-162021-12-132022-02-112022-03-102022-04-082022-05-102022-07-042022-07-292022-08-252022-09-222022-11-222022-12-192021-01-042021-03-312021-08-182022-01-102022-06-072022-10-262021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-12-082023-01-042021-01-042021-11-012021-11-252021-12-212022-09-162022-10-192022-11-14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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-05-132021-06-112021-07-132021-08-112021-09-092021-12-162022-01-172022-02-222022-03-232022-04-252022-08-252022-09-262022-11-012022-11-302022-12-292021-02-022021-03-102021-04-092021-10-192021-11-172022-05-272022-06-282022-07-272021-01-042021-02-022021-03-102021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-12-292021-04-092021-05-132021-12-162022-01-172022-02-222022-09-262022-11-012022-11-30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6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-042021-03-042021-04-282021-05-282021-07-222021-09-142021-10-202021-12-132022-02-112022-03-102022-05-102022-06-072022-07-042022-07-292022-09-222022-10-262022-11-222022-12-192021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142021-01-292021-03-312021-06-252021-08-182021-11-162022-01-102022-04-082022-08-252021-01-042021-01-282021-03-022021-03-262021-12-212022-01-172022-02-172022-03-152022-12-082023-01-04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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-08-112021-09-092021-10-192021-11-172021-12-162022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-11-302022-12-292021-06-112021-07-132022-01-172022-02-222022-09-262022-11-012021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-07-132021-08-112021-09-092022-04-252022-05-272022-06-28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600035045003005500400025035005000200300045001502500100200040005015003500010002021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142021-01-042021-01-282021-03-022021-03-262021-12-212022-01-172022-02-172022-03-152022-12-082023-01-042021-01-042021-01-292021-03-312021-04-282021-05-282021-07-222021-08-182021-09-142021-12-132022-01-102022-02-112022-04-082022-05-102022-06-072022-08-252022-09-222022-10-262022-12-192021-03-042021-06-252021-10-202021-11-162022-03-102022-07-042022-07-292022-11-22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80000020000600000200007000005000006000001500015000500000400000400000100003000001000030000020000020000050005000100000100000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-02-222022-04-252022-06-282022-08-252022-11-012022-12-292022-01-172022-03-232022-05-272022-07-272022-09-262022-11-302021-01-042021-02-022021-04-092021-06-112021-08-112021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-05-272022-07-272022-09-262022-11-302021-03-102021-05-132021-07-132021-09-092022-04-252022-06-282022-08-252022-11-012022-12-29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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142021-01-042021-01-282021-03-022021-03-262021-12-212022-01-172022-02-172022-03-152022-12-082023-01-042021-01-042021-03-082021-04-062021-05-072021-07-052021-08-022021-11-032021-12-012022-01-272022-03-032022-03-312022-06-022022-07-012022-07-292022-09-262022-10-312022-11-282021-02-012021-06-042021-08-302021-09-292021-12-292022-05-052022-08-262022-12-26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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-01-042021-02-022021-04-092021-06-112021-08-112021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-05-272022-07-272022-09-262022-11-302021-03-102021-05-132021-07-132021-09-092022-04-252022-06-282022-08-252022-11-012022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-02-222022-04-252022-06-282022-08-252022-11-012022-12-292022-01-172022-03-232022-05-272022-07-272022-09-262022-11-30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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-052022-08-122022-08-262022-09-022022-09-192022-09-262022-10-172022-10-242022-11-072022-11-142022-11-282022-12-052022-12-192022-12-262023-01-102022-07-292022-08-192022-09-092022-10-102022-10-312022-11-212022-12-122023-01-032022-07-222022-07-292022-08-052022-08-192022-08-262022-09-022022-09-092022-09-262022-10-102022-10-172022-10-312022-11-072022-11-142022-11-212022-12-052022-12-122022-12-192023-01-032023-01-102022-08-122022-09-192022-10-242022-11-282022-12-26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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-08-052022-08-122022-08-192022-09-092022-09-192022-09-262022-10-242022-10-312022-11-072022-11-282022-12-052022-12-122023-01-032023-01-102022-07-222022-07-292022-08-262022-09-022022-10-102022-10-172022-11-142022-11-212022-12-192022-12-262022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032022-09-092022-09-192022-11-142022-11-212023-01-10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7006400280060062002600500240060002200400580020003001800200560016001400540010012000520010002022-09-192022-09-272022-09-302022-10-122022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132022-09-222022-10-172022-10-202022-11-072022-11-282022-12-142023-01-052022-09-232022-09-292022-10-122022-10-282022-11-032022-11-092022-11-152022-11-252022-12-012022-12-072022-12-132022-12-232022-12-292023-01-052023-01-112022-09-192022-10-182022-10-242022-11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