今日各股指均窄幅震荡整理。北向资金全天净卖出38.61亿元,为连续3个交易日净卖出，美国最新非农数据超预期支撑美联储维持紧缩，美元指数企稳回升,美元兑人民币汇率有所回升，北上资金的流入节奏有所放缓。1月以来股指上涨幅度较为明显，消费复苏的利好在股价中有所兑现，市场资金对于是否追涨存在一定分歧，浮盈资金了结的意愿有所上升,带动股指陷入技术性调整。不过政策面聚焦于扩大内需,财政政策与货币政策工具充足,稳增长政策背景下股票盈利修复预期仍强烈,加上目前股指估值水平较低，短期震荡整固后股指中长期仍向上。
　　近期期权隐含波动率震荡回落至较低的历史分位数水平。操作上，可以择机布局牛市价差策略或者比例价差策略做多。
　　（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2月7日金融期权短线震荡整固后股指中长线仍向上核心观点今日各股指均窄幅震荡整理北向资金全天净卖出3861亿元为连续3个交易日净卖出美国最新非农数据超预期支撑美联储维持紧缩美元指数企稳回升美元兑人民币汇率有所回升北上资金的流入节奏有所放缓1月以来股指上涨幅度较为明显消费复苏的利好在股价中有所兑现市场资金对于是否追涨存在一定分歧浮盈资金了结的意愿有所上升带动股指陷入技术性调整不过政策面聚焦于扩大内需财政政策与货币政策工具充足稳增长政策背景下股票盈利修复预期仍强烈加上目前股指估值水平较低短期震宝城期货研究所荡整固后股指中长期仍向上近期期权隐含波动率震荡回落至较低的历史分位数水平操作上可以投资咨询团队择机布局牛市价差策略或者比例价差策略做多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新闻动态中共中央国务院印发质量强国建设纲要其中提到合理布局国家区域产业质量技术服务机构建设系统完备结构优化高效实用的质量基础设施实施质量基础设施能力提升行动突破量子化计量及扁平化量值传递关键技术构建标准数字化平台发展新型标准化服务工具和模式加强检验检测技术与装备研发加快认证认可技术研究由单一要素向系统性集成化方向发展2期权指标2023年02月07日50ETF涨029收于2747300ETF上交所涨025收于4090300ETF深交所涨036收于4162沪深300指数涨018收于409423中证1000指数涨048收于692432500ETF上交所涨005收于6331500ETF深交所跌005收于6436创业板ETF跌028收于2461上证50ETF期权成交量PCR为10386上一交易日成交量PCR为11168持仓量PCR为8513上一交易日持仓量PCR为8008上交所3000ETF期权成交量PCR为10162上一交易日成交量PCR为10405持仓量PCR为9076上一交易日持仓量PCR为8896深交所300ETF期权成交量PCR为9939上一交易日成交量PCR为9428持仓量PCR为9551上一交易日持仓量PCR为9658中金所沪深300指数期权成交量PCR为7523上一交易日成交量PCR为9292持仓量PCR为9252上一交易日持仓量PCR为9405中金所中证1000指数期权成交量PCR为10224上一交易日成交量PCR为8264持仓量PCR为8076上一交易日持仓量PCR为7807上交所中证500ETF期权成交量PCR为9383上一交易日成交量PCR为9244持仓量PCR为9851上一交易日持仓量PCR为9358深交所中证500ETF期权成交量PCR为10734上一交易日成交量PCR为8790持仓量PCR为8400上一交易日持仓量PCR为7997创业板ETF期权成交量PCR为8966上一交易日成交量PCR为9952持仓量PCR为8455上一交易日持仓量PCR为8103上证50ETF期权2023年02月平值期权隐含波动率为1968标的30交易日历史波动率为1391上交所300ETF期权2023年02月平值期权隐含波动率为1775标的30交易日历史波动率为1282深交所300ETF期权2023年02月平值期权隐含波动率为1918标的30交易日历史波动率为1285中金所沪深300指数期权2023年02月平值期权隐含波动率为1911标的30交易日历史波动率为1280中金所中证1000指数期权2023年02月平值期权隐含波动率为2070标的30交易日历史波动率为1352上交所中证500ETF期权2023年02月平值期权隐含波动率为1750标的30交易日历史波动率为1079深交所中证500ETF期权2023年02月平值期权隐含波动率为1774标的30交易日历史波动率为1081创业板ETF期权2023年02月平值期权隐含波动率为2255标的30交易日历史波动率为1726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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-03-042021-04-282021-06-252021-08-182021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-12-192021-01-292021-03-312021-05-282021-07-222021-09-142022-11-222023-01-162021-01-042021-01-292021-03-042021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-09-222022-10-262022-11-222022-12-192023-01-162021-03-312021-04-282021-05-282021-06-252022-06-072022-07-042022-07-292022-08-25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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-10-312022-11-302022-12-302021-01-042021-02-032021-09-232021-11-012021-12-012022-07-212022-08-222022-09-222021-02-032021-03-122021-04-142021-05-192021-06-212021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-06-212022-07-212022-08-222022-09-222022-10-312021-01-042021-07-212021-08-202022-04-142022-05-192022-11-302022-12-30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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-03-042021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162022-01-102022-03-102022-05-102022-07-042022-08-252022-10-262022-11-222022-12-192023-01-162021-01-042021-01-292021-03-042021-03-312021-04-282021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252021-01-292021-03-312021-12-132022-02-112022-04-082022-06-072022-07-292022-09-222021-05-282021-06-252021-07-222021-08-182021-09-142022-09-222022-10-262022-11-222022-12-192023-01-16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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-032021-03-122021-04-142021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302021-05-192021-06-212021-07-212022-03-112022-04-142022-05-192022-12-302021-01-042021-02-032021-03-122021-06-212021-07-212021-08-202021-09-232021-11-012022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-10-312022-11-302022-12-302021-04-142021-05-192021-12-012021-12-312022-08-222022-09-22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600040045003505500400030035002505000300020045001502500200040001005015003500010002021-01-042021-01-292021-03-042021-03-312021-04-282021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252021-05-282021-06-252021-07-222021-08-182021-09-142022-09-222022-10-262022-11-222022-12-192023-01-162021-01-042021-03-082021-04-062021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-01-272022-03-312022-05-052022-07-012022-07-292022-09-262022-10-312022-12-262023-01-312021-02-012021-05-072021-08-022021-11-032022-03-032022-06-022022-08-262022-11-28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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302021-01-042021-02-032021-03-122021-04-14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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-292021-03-042021-03-312021-04-282021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252021-05-282021-06-252021-07-222021-08-182021-09-142022-09-222022-10-262022-11-222022-12-192023-01-162021-02-022021-03-102021-04-092021-06-112021-07-132021-08-112021-10-192021-11-172021-12-162022-02-222022-03-232022-04-252022-06-282022-07-272022-08-252022-11-012022-11-302022-12-292021-01-042021-05-132021-09-092022-01-172022-05-272022-09-262023-02-06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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302021-01-042021-02-032021-03-122021-04-142021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-30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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-012022-08-092022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-02-012022-08-172022-08-252022-11-012022-11-092023-01-092023-01-172022-07-222022-07-292022-08-192022-08-262022-09-022022-09-262022-10-102022-10-172022-11-072022-11-142022-11-212022-12-122022-12-192022-12-262023-01-172023-01-312023-02-072022-08-052022-08-122022-09-092022-09-192022-10-242022-10-312022-11-282022-12-052023-01-032023-01-10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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-08-092022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-11-012022-11-092022-11-172022-12-052022-12-132022-12-212022-12-292023-01-172023-02-012022-07-222022-08-012022-09-022022-10-242022-11-252023-01-092022-08-012022-08-092022-08-172022-08-252022-09-022022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-02-012022-07-222022-09-132022-09-212022-11-172023-01-092023-01-17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70066002800600640026005006200240022004006000200030058001800200560016001400100540012000520010002022-09-192022-09-232022-09-292022-10-182022-10-242022-10-282022-11-032022-11-152022-11-212022-11-252022-12-012022-12-132022-12-232022-12-292023-01-112023-01-302023-02-032022-10-122022-11-092022-12-072022-12-192023-01-052023-01-172022-09-192022-09-232022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232023-01-052023-01-112023-01-172023-01-302023-02-032022-09-292022-11-152022-11-212022-12-29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14000002000080000012000001400070000010000001500012000600000100008000005000001000080006000004000004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