市场综述
　　市场行情:日线上看，金融期权标的，上证50ETF沿看多头趋势方向震荡上行，上周以来加速上涨突破去年9月以来高点;沪深300指数延续多头趋势方向震荡上行突破上涨，短期较强的多头向上趋势信号;中证1000指数前一周超跌反弹持续回暖上升，延续近两周以来的偏多头上行，上周涨幅收窄围绕着60天均线宽幅区间盘整。截止上周五收盘，上证50ETF周涨幅2.64%报收于2.799;上证300ETF周涨幅2.39%报收于4.144;深证300ETF周涨幅2.34%报收于4.147;沪深300指数周涨幅2.29%报收于4074.38，中证1000指数周涨幅0.26%报收于6517.51。
　　

研究报告全文：金融期权周报期权研究2023年1月16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上周以来加速上涨突破去年9月以来高点沪深300指数延续多头趋势方向震荡上行突破上涨短期较强的多头向上趋势信号中证1000指数前一周超跌反弹持续回暖上升延续近两周以来的偏多头上行上周涨幅收窄围绕着60天均线宽幅区间盘整截止上周五收盘上证50ETF周涨幅264报收于2799上证300ETF周涨幅239报收于4144深证300ETF周涨幅234报收于4147沪深卢品先300指数周涨幅229报收于407438中证1000指数周涨幅026报收于651751投研经理期权盘面0755-23375252上周金融ETF期权日均成交量普遍减少回落而沪深300股指期权和中证1000股指期权日均成交量减lupxwkqhcn少的幅度较小其中上证50ETF期权增减少493万张至17892万张上证300ETF期权减少363万张至10858万张深证从业资格号300ETF期权减少050万张至1365万张沪深300股指期权减少005万张至839万张中证1000股指期权减少040万张至422万张F3047321上周金融期权上证50ETF期权上证300ETF期权和深证300ETF期权日均持仓量则大幅增加而沪深交易咨询号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期权增加3076万张至22586万张上证Z0015541300ETF期权增加1294万张至14960万张深证300ETF期权增加268万张至2074万张沪深300股指期权增加116万张至1608万张中证1000股指期权增加034万张至726万张上周金融期权隐含波动率主要表现为小幅波动盘整逐渐下降截止上周五上证50ETF期权隐含波动率为2050上证300ETF期权隐含波动率为1863深证300ETF期权隐含波动率为1873沪深300股指期权隐含波动率为1518中证1000股指期权隐含波动率为1502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107上证300ETF期权成交量PCR报收于112深证300ETF期权成交量PCR报收于112沪深300股指期权成交量PCR报收于092中证1000股指期权成交量PCR报收于105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160上证300ETF期权持仓量PCR报收于151深证300ETF期权持仓量PCR报收于165沪深300股指期权持仓量PCR报收于127中证1000股指期权持仓量PCR报收于095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270上证300ETF的压力点为410和支撑点为400深证300ETF的压力点为410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6400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突破去年9月以来的高点近来连续两周涨幅超过2市场行情表现为短期偏多头市场行情期权隐含波动率窄幅波动有所下降期权持仓量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B510050P2301M0270010B510050P2301M0270010和S510050P2301M0290010S510050P2301M02850102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上周以来加速上涨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130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S510300C2301M0420010S510300C2301M0430010和S510300P2301M0400010S510300P2301M04100103中证1000股指期权中证1000指数前一周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上周以来则围绕60天均线上下波盘整震荡中证1000股指期权隐含波动率率窄幅波动小幅回落期权持仓量PCR逐渐回升后快速下降操作建议构建卖出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-670010SMO2301-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SH50ETF279900074026449888-283971376SH300ETF414400099023961565-192862515SZ300ETF414700097023412706-8695520HS30040743893488422910105亿-1200209389ZZ100065175117192902611245亿90000146161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SH50ETF9215867617892-493943613150225863076SH300ETF5788507110858-36865978363149601294SZ300ETF6926731365-05086912052074268HS300456382839-0057488601608116ZZ1000217205422-040388338726034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SH50ETF28000036700327280400048717700050SH300ETF41000075700252415050063915600065SZ300ETF41000077500194415810069216900111HS3004050005500170040880062801561362ZZ10006500007300360065370041200631949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SH50ETF19642130205019822092187162023-01-30SH300ETF18501875186318291913174562023-01-30SZ300ETF16162102187318821976178962023-01-30HS30015501483151816921795158852023-01-20ZZ100015151490150221922530185352023-01-20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SH50ETF879780944893107010531275851292160009SH300ETF432476483091112003308151464052151011SZ300ETF7387583037112-0035305587539165010HS30044622409260920043491144469127010ZZ10002041821527105-0021839617392095-012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3001750成交量万收盘价2902799015002801250270100026075025024050023025022002022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13图2SH300ETF走势图4602000成交量万收盘价440414401500420400100038050036034002022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-07-152022-10-122022-10-202022-12-302023-01-102022-07-122022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-13图4沪深300走势图4400250成交量亿收盘价420040743820040001503800100360050340002022-08-052022-09-082022-10-202022-11-232022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1600003000025000140000200001200001500010000010000500080000060000-500040000-10000-1500020000-20000-250002552552402402452502602652702752802852902953000235265265235235240245250255260270275280285290295300OIPOICOICHANGEPOICHANGECSH50ETF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3230282624222022-08-262022-11-072022-11-232022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13ETF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32180CLOSE3531OIPCR1603030140292528279901202710020260801525060241023040220202022-10-282022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132022-07-222022-08-032022-08-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052022-07-12IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图1400001500012000010000100000500080000060000-50004000020000-100000340340350360370380390400410420430440450460470330330-15000450450330330340350360370380390400410420430440460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-052022-12-222022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-272022-12-302023-01-052023-01-102023-01-13ETF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3046160CLOSE2544OIPCR1404144042120204010015380803606010340402022-07-282022-12-272022-07-122022-07-202022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192023-01-052023-01-132022-07-122022-08-032022-08-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052022-07-22IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图2500040003000200002000150001000100000-10005000-2000-30004104103403403503603703803904004204304404504604700330440440330330340350360370380390400410420430450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-09-192022-12-062022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13ETF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30460CLOSE180OIPCR25440160414701404202012040010015380080360060103400402022-07-122022-07-212022-08-012022-08-102022-08-192022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-142022-12-232023-01-042023-01-132022-07-222022-08-032022-08-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052022-07-12IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图7000150060001000500500004000-5003000-10002000-15001000-20003300330031003100320034003500360037003800390040004100420043004400450042004200320032003300340035003600370038003900400041004300440045000-25003100OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-13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304800150CLOSEOIPCR2546001304400110204200407438090400015070380036000501034000302022-07-282022-12-272022-07-122022-07-202022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192023-01-052023-01-13IMPVMA20UPLOW2022-12-012022-07-122022-07-222022-08-032022-08-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-132022-12-232023-01-05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突破去年9月以来的高点近来连续两周涨幅超过2市场行情表现为短期偏多头市场行情期权隐含波动率窄幅波动有所下降期权持仓量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B510050P2301M0270010B510050P2301M0270010和S510050P2301M0290010S510050P2301M0285010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上周以来加速上涨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130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S510300C2301M0420010S510300C2301M0430010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指数前一周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上周以来则围绕60天均线上下波盘整震荡中证1000股指期权隐含波动率率窄幅波动小幅回落期权持仓量PCR逐渐回升后快速下降操作建议构建卖出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-670010SMO2301-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