核心观点
　　今日各股指均低开高走,全天震荡反弹，沪深两市成交仍延续缩量,仅6870亿元左右。随着春节临近,考虑到1-2月经济数据预计仍偏弱，加上春节假期长达9天，假期不确定性风险仍存，资金交易行为将趋于稳健，市场转入缩量整理期，股市成交量能逐渐减弱。不过北向资金仍是持续净流入，今日北向资金净流入93.94亿元，为连续12个交易日净流入,2023年1月已累计净买入超1000亿元,创历史记录。随着稳增长政策接连落地，全国各地疫情陆续达峰，经济复苏预期升温，叠加目前股指的估值水平较低，盈利修复预期成为目前股指反弹的主要逻辑,股指中长期向上的趋势不变。总的来说,预计节前股指以缩量震荡整理为主,假期若无突发风险因素节后股指大概率呈现上行态势。
　　临近长假，近期期权隐含波动率有所回升，仍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处于高位但开始明显回落，显示市场情绪仍偏乐观但短线陷入回调整理。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19日金融期权北向资金净流入超千亿股指震荡反弹核心观点今日各股指均低开高走全天震荡反弹沪深两市成交仍延续缩量仅6870亿元左右随着春节临近考虑到1-2月经济数据预计仍偏弱加上春节假期长达9天假期不确定性风险仍存资金交易行为将趋于稳健市场转入缩量整理期股市成交量能逐渐减弱不过北向资金仍是持续净流入今日北向资金净流入9394亿元为连续12个交易日净流入2023年1月已累计净买入超1000亿元创历史记录随着稳增长政策接连落地全国各地疫情陆续达峰经济复苏预期升温叠加目前股指的估值水平较低盈利修复宝城期货研究所预期成为目前股指反弹的主要逻辑股指中长期向上的趋势不变总的来说预计节前股指以缩量震荡整理为主假期若无突发风险因素节后股指大概率投资咨询团队呈现上行态势临近长假近期期权隐含波动率有所回升仍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处于高位但开始明显回落显示市场情绪仍偏乐观但短线陷入回调整理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新闻动态为对冲政府债券发行缴款现金投放等因素的影响维护春节前流动性平稳央行今日以利率招标方式开展650亿元7天期逆回购操作4670亿元14天期逆回购操作中标利率分别20215均与此前持平因今日有650亿元7天期逆回购到期当日实现净投放4670亿元2期权指标2023年01月19日50ETF涨035收于2829300ETF上交所涨068收于4158300ETF深交所涨079收于4232沪深300指数涨062收于415601中证1000指数涨095收于667608500ETF上交所涨092收于6232500ETF深交所涨089收于6337创业板ETF涨113收于2496上证50ETF期权成交量PCR为9641上一交易日成交量PCR为9572持仓量PCR为12313上一交易日持仓量PCR为13300上交所3000ETF期权成交量PCR为8988上一交易日成交量PCR为8581持仓量PCR为12337上一交易日持仓量PCR为12615深交所300ETF期权成交量PCR为7551上一交易日成交量PCR为6973持仓量PCR为13174上一交易日持仓量PCR为13564中金所沪深300指数期权成交量PCR为8113上一交易日成交量PCR为8088持仓量PCR为12828上一交易日持仓量PCR为12310中金所中证1000指数期权成交量PCR为7949上一交易日成交量PCR为7890持仓量PCR为8518上一交易日持仓量PCR为8314上交所中证500ETF期权成交量PCR为7187上一交易日成交量PCR为6741持仓量PCR为11568上一交易日持仓量PCR为11769深交所中证500ETF期权成交量PCR为7732上一交易日成交量PCR为10219持仓量PCR为10211上一交易日持仓量PCR为10109创业板ETF期权成交量PCR为7523上一交易日成交量PCR为8182持仓量PCR为12916上一交易日持仓量PCR为13119上证50ETF期权2023年01月平值期权隐含波动率为1282标的30交易日历史波动率为1375上交所300ETF期权2023年01月平值期权隐含波动率为1196标的30交易日历史波动率为1251深交所300ETF期权2023年01月平值期权隐含波动率为1207标的30交易日历史波动率为1254中金所沪深300指数期权2023年02月平值期权隐含波动率为1767标的30交易日历史波动率为1259中金所中证1000指数期权2023年02月平值期权隐含波动率为1669标的30交易日历史波动率为1496上交所中证500ETF期权2023年01月平值期权隐含波动率为1088标的30交易日历史波动率为1226深交所中证500ETF期权2023年01月平值期权隐含波动率为1018标的30交易日历史波动率为1228创业板ETF期权2023年01月平值期权隐含波动率为1670标的30交易日历史波动率为16933相关图表上证50ETF期权专业研究创造价值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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-292021-03-042021-04-282021-05-282021-07-222021-08-182021-10-202021-11-162021-12-132022-02-112022-03-102022-05-102022-06-072022-07-292022-08-252022-09-222022-11-222022-12-192021-03-312021-06-252021-09-142022-01-102022-04-082022-07-042022-10-262023-01-162021-01-282021-03-022021-03-262021-04-222021-06-172021-07-132021-08-062021-09-012021-11-012021-11-252021-12-212022-01-172022-03-152022-04-122022-05-112022-06-072022-07-272022-08-222022-09-162022-10-192022-12-082023-01-042021-01-042021-05-212021-09-292022-02-172022-07-012022-11-14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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-022021-03-102021-05-132021-06-112021-07-132021-09-092021-10-192021-11-172022-01-172022-02-222022-03-232022-05-272022-06-282022-07-272022-09-262022-11-012022-11-302021-04-092021-08-112021-12-162022-04-252022-08-252022-12-292021-01-042021-02-022021-03-102021-05-132021-06-112021-08-112021-09-092021-10-192021-12-162022-01-172022-02-222022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-04-092021-07-132021-11-172022-03-232022-06-282022-11-01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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-07-042022-07-292022-08-252022-10-262022-11-222023-01-162021-01-042021-01-282021-03-022021-04-222021-05-212021-06-172021-07-132021-09-012021-09-292021-11-012021-11-252022-01-172022-02-172022-04-122022-06-072022-07-012022-08-222022-10-192022-11-142023-01-042021-03-042021-05-282021-09-142021-12-132022-03-102022-06-072022-09-222022-12-192021-03-262021-08-062021-12-212022-03-152022-05-112022-07-272022-09-162022-12-08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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-04-092021-05-132021-08-112021-09-092021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-02-022021-03-102021-06-112021-07-132021-10-192021-11-172022-02-222022-06-282022-11-012021-01-042021-03-102021-04-092021-05-132021-07-132021-08-112021-10-192021-11-172021-12-162022-02-222022-03-232022-04-252022-06-282022-07-272022-09-262022-11-012022-11-302021-02-022021-06-112021-09-092022-01-172022-05-272022-08-252022-12-29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600040045003505500400030035002505000300020045001502500200040001005015003500010002021-01-042021-01-282021-03-022021-04-222021-05-212021-06-172021-07-132021-09-012021-09-292021-11-012021-11-252022-01-172022-02-172022-04-122022-06-072022-07-012022-08-222022-10-192022-11-142023-01-042021-03-262021-08-062021-12-212022-03-152022-05-112022-07-272022-09-162022-12-082021-01-042021-02-012021-03-082021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-12-262021-04-062021-05-072021-06-042021-12-292022-01-272022-03-032022-09-262022-10-312022-11-28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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-03-102021-04-092021-05-132021-07-132021-08-112021-09-092021-10-192021-12-162022-01-172022-02-222022-04-252022-05-272022-06-282022-07-272022-09-262022-11-012022-11-302021-02-022021-06-112021-11-172022-03-232022-08-252022-12-292021-03-102021-04-092021-07-132021-08-112021-09-092021-11-172021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-01-042021-02-022021-05-132021-06-112021-10-192022-02-222022-06-282022-11-01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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-282021-03-022021-04-222021-05-212021-06-172021-07-132021-09-012021-09-292021-11-012021-11-252022-01-172022-02-172022-04-122022-06-072022-07-012022-08-222022-10-192022-11-142023-01-042021-03-262021-08-062021-12-212022-03-152022-05-112022-07-272022-09-162022-12-082021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262021-01-042022-03-032022-03-312022-05-052022-06-022022-07-01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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-03-102021-04-092021-07-132021-08-112021-09-092021-11-172021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292021-01-042021-02-022021-05-132021-06-112021-10-192022-02-222022-06-282022-11-012021-01-042021-03-102021-04-092021-05-132021-07-132021-08-112021-09-092021-10-192021-12-162022-01-172022-02-222022-04-252022-05-272022-06-282022-07-272022-09-262022-11-012022-11-302021-02-022021-06-112021-11-172022-03-232022-08-252022-12-29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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-07-292022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-07-222022-07-292022-08-122022-08-192022-08-262022-09-022022-09-092022-09-262022-10-102022-10-172022-10-242022-10-312022-11-142022-11-212022-11-282022-12-052022-12-262023-01-032023-01-102023-01-172022-08-052022-09-192022-11-072022-12-122022-12-19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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-07-222022-08-012022-08-092022-08-252022-09-022022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-12-052022-12-132022-12-212022-12-292023-01-092022-08-172022-10-142022-11-252023-01-172022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052023-01-092023-01-172022-09-132022-09-212022-09-292022-12-132022-12-212022-12-29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7006400280060062002600500240060002200400580020003001800200560016001400540010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102022-10-202022-10-252022-10-282022-11-022022-11-072023-01-132023-01-182022-09-192022-09-232022-09-292022-10-182022-10-242022-10-282022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-12-232022-12-292023-01-052023-01-112022-10-122022-11-032022-11-252022-12-192023-01-17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23上交所500ETF期权成交量PCR图24上交所500ETF持仓量PCR500ETF期权上交所500ETF期权上交所14000002000080000012000001400070000010000001500012000600000100008000005000001000080006000004000004000005000300000600020000020000040000000100000200000002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-072022-12-192022-12-232022-12-292023-01-052023-01-172022-10-242022-12-012022-12-132023-01-112022-09-192022-09-232022-09-292022-10-122022-10-242022-10-282022-11-032022-11-092022-11-212022-12-012022-12-072022-12-132022-12-192022-12-292023-01-112023-01-172022-11-152022-11-252022-12-232023-01-05日认购成交量日认沽成交量日成交量PCR2022-10-18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811请务必阅读文末免责条款金融期权日报深交所500ETF期权图25深交所500ETF走势图26深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所25064002800260020062002400220015060002000100580018001600505600140012000540010002022-09-192022-09-232022-09-292022-10-182022-10-242022-10-282022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-12-232022-12-292023-01-052023-01-112022-10-122022-11-032022-11-252022-12-192023-01-172022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102022-10-202022-10-252022-10-282022-11-022022-11-072023-01-132023-01-18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27深交所500ETF期权成交量PCR图28深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所300000200002500002000025000020000015000150002000001500001500001000010000100000100000500050005000050000000000002022-09-192022-09-232022-09-292022-10-122022-10-242022-10-282022-11-032022-11-092022-11-212022-12-012022-12-072022-12-132022-12-192022-12-292023-01-112023-01-172022-10-182022-11-152022-11-252022-12-232023-01-052022-09-192022-09-232022-09-292022-10-122022-10-242022-10-282022-11-032022-11-092022-11-212022-12-012022-12-072022-12-132022-12-192022-12-292023-01-112023-01-172022-10-182022-11-152022-11-252022-12-232023-01-05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911请务必阅读文末免责条款金融期权日报创业板ETF期权图29创业板ETF走势图30创业板ETF期权波动率创业板ETF期权创业板ETF期权12002600390010002500340080024002900600230024004002200200210019000200014002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102022-10-202022-10-252022-10-282022-11-022022-11-072023-01-132023-01-182022-09-192022-09-232022-09-292022-10-182022-10-242022-10-282022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-12-232022-12-292023-01-052023-01-112022-10-122022-11-032022-11-252022-12-192023-01-17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31创业板ETF期权成交量PCR图32创业板ETF持仓量PCR创业板ETF期权创业板ETF期权1800000140008000002000016000001200070000014000001000060000015000120000050000010000008000400000100008000006000600000300000400000400020000050002000002000100000000000002022-09-192022-09-232022-09-292022-10-122022-10-242022-10-282022-11-032022-11-092022-11-212022-12-012022-12-072022-12-132022-12-192022-12-292023-01-112023-01-172022-10-182022-11-152022-11-252022-12-232023-01-052022-09-192022-09-232022-09-292022-10-122022-10-182022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-072022-12-192022-12-232022-12-292023-01-052023-01-172022-10-242022-12-012022-12-132023-01-11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1011请务必阅读文末免责条款金融期权日报投资咨询团队简介获取每日期货策略推送服务国家走向世界诚信至上合规经营知行合一专业敬业严谨管理开拓进取扫码关注宝城期货官方微信期货咨询尽在掌握免责条款客户不应视本报告为作出投资决策的唯一因素本报告中所指的投资及服务可能不适合个别客户不构成客户私人咨询建议本公司未确保本报告充分考虑到个别客户特殊的投资目标财务状况或需要本公司建议客户应考虑本报告的任何意见或建议是否符合其特定状况以及若有必要咨询独立投资顾问在任何情况下本报告中的信息或所表述的意见并不构成对任何人的投资建议在任何情况下本公司不对任何人因使用本报告中的任何内容所引致的任何损失负任何责任若本报告的接收人非本公司的客户应在基于本报告作出任何投资决定或就本报告要求任何解释前咨询独立投资顾问专业研究创造价值1111请务必阅读文末免责条款