核心观点
　　今日各股指均震荡反弹。沪深两市全天成交额9011亿元。两市超4200只个股上涨，北向资金全天净买入121.01亿元，终结了此前的连续4日净流出，恢复净流入态势。节前在经济复苏乐观预期的推动下股指上涨较为明显，节后消费复苏在股价中已经有所体现，而宏观经济在房地产、出口等方面仍表现偏弱，市场资金对于是否追涨存在一定分歧，浮盈资金了结意愿上升，股指存在震荡调整的技术性需求。消息面上，近期市场对于1月份社融数据以及新增信贷数据预期乐观，推动经济复苏预期再度升温。随着两会临近，对政策面的利好预期也将逐渐升温，国内政策面聚焦于扩大内需,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，持仓量PCR也明显回落至正常分位数水平。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。
　　

研究报告全文：金融期权日报专业研究创造价值2023年2月9日金融期权乐观预期再度升温股指震荡反弹核心观点今日各股指均震荡反弹沪深两市全天成交额9011亿元两市超4200只个股上涨北向资金全天净买入12101亿元终结了此前的连续4日净流出恢复净流入态势节前在经济复苏乐观预期的推动下股指上涨较为明显节后消费复苏在股价中已经有所体现而宏观经济在房地产出口等方面仍表现偏弱市场资金对于是否追涨存在一定分歧浮盈资金了结意愿上升股指存在震荡调整的技术性需求消息面上近期市场对于1月份社融数据以及新增信贷数据预期乐观推动经济复苏预期再度升温随着两会临近宝城期货研究所对政策面的利好预期也将逐渐升温国内政策面聚焦于扩大内需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投资咨询团队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持仓量PCR也明显回落至正常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新闻动态国家卫健委未发现病毒变异株传播力免疫逃逸力和致病力明显增强2期权指标2023年02月09日50ETF涨106收于2769300ETF上交所涨133收于4127300ETF深交所涨133收于4197沪深300指数涨134收于413086中证1000指数涨177收于699918500ETF上交所涨145收于6376500ETF深交所涨153收于6493创业板ETF涨188收于2493上证50ETF期权成交量PCR为10025上一交易日成交量PCR为10644持仓量PCR为8634上一交易日持仓量PCR为8455上交所3000ETF期权成交量PCR为9408上一交易日成交量PCR为9239持仓量PCR为9669上一交易日持仓量PCR为9026深交所300ETF期权成交量PCR为10159上一交易日成交量PCR为8612持仓量PCR为9581上一交易日持仓量PCR为9345中金所沪深300指数期权成交量PCR为7371上一交易日成交量PCR为8358持仓量PCR为9624上一交易日持仓量PCR为9325中金所中证1000指数期权成交量PCR为9919上一交易日成交量PCR为10456持仓量PCR为8756上一交易日持仓量PCR为8368上交所中证500ETF期权成交量PCR为9650上一交易日成交量PCR为10072持仓量PCR为10543上一交易日持仓量PCR为9747深交所中证500ETF期权成交量PCR为10794上一交易日成交量PCR为10234持仓量PCR为8214上一交易日持仓量PCR为8416创业板ETF期权成交量PCR为8786上一交易日成交量PCR为9042持仓量PCR为8937上一交易日持仓量PCR为8232上证50ETF期权2023年02月平值期权隐含波动率为1868标的30交易日历史波动率为1278上交所300ETF期权2023年02月平值期权隐含波动率为1689标的30交易日历史波动率为1176深交所300ETF期权2023年02月平值期权隐含波动率为1788标的30交易日历史波动率为1178中金所沪深300指数期权2023年02月平值期权隐含波动率为1666标的30交易日历史波动率为1216中金所中证1000指数期权2023年02月平值期权隐含波动率为1635标的30交易日历史波动率为1370上交所中证500ETF期权2023年02月平值期权隐含波动率为1621标的30交易日历史波动率为1036深交所中证500ETF期权2023年02月平值期权隐含波动率为1654标的30交易日历史波动率为1037创业板ETF期权2023年02月平值期权隐含波动率为2145标的30交易日历史波动率为16533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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-10-202021-11-162022-01-102022-02-112022-03-102022-05-102022-06-072022-07-292022-08-252022-09-222022-11-222022-12-192021-03-042021-05-282021-09-142021-12-132022-04-082022-07-042022-10-262023-01-162021-01-042021-03-312021-04-282021-05-282021-07-222021-08-182021-09-142021-10-202021-12-132022-01-102022-02-112022-03-102022-05-102022-06-072022-07-042022-07-292022-09-222022-10-262022-11-222022-12-192021-01-292021-03-042021-06-252021-11-162022-04-082022-08-252023-01-16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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-02-032021-03-122021-05-192021-06-212021-07-212021-09-232021-11-012021-12-312022-02-092022-04-142022-05-192022-06-212022-08-222022-09-222022-11-302022-12-302021-01-042021-04-142021-08-202021-12-012022-03-112022-07-212022-10-312023-02-082021-02-032021-03-122021-05-192021-06-212021-08-202021-09-232021-12-012021-12-312022-03-112022-04-142022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-04-142021-07-212021-11-012022-02-092022-05-19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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-03-042021-03-312021-04-282021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-07-042022-07-292022-08-252022-10-262022-11-222023-01-162021-01-042021-01-292021-03-312021-04-282021-05-282021-06-252021-09-142021-10-202021-11-162022-02-112022-03-102022-04-082022-07-042022-07-292022-08-252022-11-222022-12-192023-01-162021-01-292021-05-282021-08-182021-12-132022-03-102022-06-072022-09-222022-12-192021-03-042021-07-222021-08-182021-12-132022-01-102022-05-102022-06-072022-09-222022-10-26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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-032021-04-142021-05-192021-07-212021-08-202021-09-232021-12-012021-12-312022-03-112022-04-142022-06-212022-07-212022-08-222022-10-312022-11-302023-02-082021-03-122021-06-212021-11-012022-02-092022-05-192022-09-222022-12-302021-01-042021-02-032021-03-122021-04-142021-05-192021-07-212021-08-202021-11-012021-12-012022-02-092022-03-112022-05-192022-06-212022-08-222022-09-222022-11-302022-12-302021-06-212021-09-232021-12-312022-04-142022-07-212022-10-312023-02-08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600040045003505500400030035002505000300020045001502500200040001005015003500010002021-01-042021-01-292021-03-312021-04-282021-05-282021-06-252021-09-142021-10-202021-11-162022-02-112022-03-102022-04-082022-07-042022-07-292022-08-252022-11-222022-12-192023-01-162021-03-042021-07-222021-08-182021-12-132022-01-102022-05-102022-06-072022-09-222022-10-262021-01-042021-05-072021-06-042021-07-052021-08-022021-08-302021-12-012021-12-292022-01-272022-03-032022-03-312022-07-012022-07-292022-08-262022-09-262022-10-312023-01-312021-02-012021-03-082021-04-062021-09-292021-11-032022-05-052022-06-022022-11-282022-12-26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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-11-012021-12-012021-12-312022-02-092022-03-112022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302021-01-042021-08-202021-09-232022-04-142022-05-192022-12-302023-02-082021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-11-012021-12-012022-08-222022-09-22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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-292021-03-312021-04-282021-05-282021-06-252021-09-142021-10-202021-11-162022-02-112022-03-102022-04-082022-07-042022-07-292022-08-252022-11-222022-12-192023-01-162021-03-042021-07-222021-08-182021-12-132022-01-102022-05-102022-06-072022-09-222022-10-262021-02-022021-03-102021-05-132021-07-132021-08-112021-10-192021-12-162022-01-172022-03-232022-05-272022-06-282022-08-252022-11-012022-11-302023-02-062021-01-042021-04-092021-06-112021-09-092021-11-172022-02-222022-04-252022-07-272022-09-262022-12-29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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-11-012021-12-012022-08-222022-09-222021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-11-012021-12-012021-12-312022-02-092022-03-112022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302021-01-042021-08-202021-09-232022-04-142022-05-192022-12-302023-02-08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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-012022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-11-012022-11-092022-11-172022-11-252022-12-052022-12-292023-01-092023-01-172023-02-012023-02-092022-08-092022-10-142022-10-242022-12-132022-12-212022-07-222022-07-292022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-19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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-07-222022-08-092022-08-172022-09-022022-09-132022-09-292022-10-142022-11-012022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092022-08-012022-08-252022-09-212022-10-242022-11-172022-07-222022-08-012022-08-092022-08-172022-09-022022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-132022-12-212022-12-292023-01-092023-02-012022-08-252022-09-132022-11-172022-12-052023-01-172023-02-09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70066002800600640026005006200240022004006000200030058001800200560016001400100540012000520010002022-09-192022-09-292022-10-122022-10-182022-10-242022-11-032022-11-092022-11-152022-11-212022-12-012022-12-072022-12-192022-12-232022-12-292023-01-052023-01-172023-01-302023-02-032023-02-092022-09-232022-10-282022-11-252022-12-132023-01-112022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-09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14000002000080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