今日各股指均窄幅震荡整理。沪深两市全天成交额8929亿元，两市超2600只个股下跌，北向资金全天净卖出33.75亿元。值得注意的是节后股市融资余额逐步上升，反映出杠杆资金对股市的看好情绪，特别是对中小盘股票的资金面支撑作用较为明显。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。近期主要关注将公布的社融、信贷数据等数据以较好地评估经济的复苏情况。随着两会临近，对政策面的利好预期也将逐渐升温，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分位数水平，说明市场情绪并不恐慌，持仓量PCR也明显回落至正常分位数水平，市场情绪从极度乐观中有所回归。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10日金融期权股指窄幅震荡整理核心观点今日各股指均窄幅震荡整理沪深两市全天成交额8929亿元两市超2600只个股下跌北向资金全天净卖出3375亿元值得注意的是节后股市融资余额逐步上升反映出杠杆资金对股市的看好情绪特别是对中小盘股票的资金面支撑作用较为明显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近期主要关注将公布的社融宝城期货研究所信贷数据等数据以较好地评估经济的复苏情况随着两会临近对政策面的利好预期也将逐渐升温稳增长政策背景下股票盈利修复预期仍强烈加上目投资咨询团队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分位数水平说明市场情绪并不恐慌持仓量PCR也明显回落至正常分位数水平市场情绪从极度乐观中有所回归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新闻动态国家统计局1月份居民消费价格同比上涨21环比上涨08国家统计局1月份工业生产者出厂价格同比下降08环比下降042期权指标2023年02月10日50ETF跌043收于2757300ETF上交所跌058收于4103300ETF深交所跌055收于4174沪深300指数跌059收于410631中证1000指数跌034收于697539500ETF上交所跌031收于6356500ETF深交所跌039收于6468创业板ETF跌112收于2465上证50ETF期权成交量PCR为9457上一交易日成交量PCR为10025持仓量PCR为8268上一交易日持仓量PCR为8634上交所3000ETF期权成交量PCR为8319上一交易日成交量PCR为9408持仓量PCR为9458上一交易日持仓量PCR为9669深交所300ETF期权成交量PCR为10516上一交易日成交量PCR为10159持仓量PCR为9575上一交易日持仓量PCR为9646中金所沪深300指数期权成交量PCR为7585上一交易日成交量PCR为7371持仓量PCR为9434上一交易日持仓量PCR为9624中金所中证1000指数期权成交量PCR为9420上一交易日成交量PCR为9919持仓量PCR为8995上一交易日持仓量PCR为8756上交所中证500ETF期权成交量PCR为9304上一交易日成交量PCR为9650持仓量PCR为10203上一交易日持仓量PCR为10543深交所中证500ETF期权成交量PCR为11379上一交易日成交量PCR为10794持仓量PCR为8025上一交易日持仓量PCR为8088创业板ETF期权成交量PCR为8616上一交易日成交量PCR为8786持仓量PCR为8655上一交易日持仓量PCR为8907上证50ETF期权2023年02月平值期权隐含波动率为1776标的30交易日历史波动率为1306上交所300ETF期权2023年02月平值期权隐含波动率为1688标的30交易日历史波动率为1220深交所300ETF期权2023年02月平值期权隐含波动率为1648标的30交易日历史波动率为1222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1240中金所中证1000指数期权2023年02月平值期权隐含波动率为1744标的30交易日历史波动率为1253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1001深交所中证500ETF期权2023年02月平值期权隐含波动率为1564标的30交易日历史波动率为1002创业板ETF期权2023年02月平值期权隐含波动率为2028标的30交易日历史波动率为16903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50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-01-292021-03-042021-04-282021-05-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-01-102022-02-112022-04-082022-05-102022-06-072022-07-042022-07-292022-09-222022-10-262022-11-222022-12-192021-03-312021-09-142022-03-102022-08-252023-01-162021-01-042021-03-042021-03-312021-04-282021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-06-072022-07-292022-08-252022-09-222022-11-222022-12-192021-01-292021-05-282021-08-182021-12-132022-03-102022-07-042022-10-262023-01-16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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-02-032021-03-122021-05-192021-07-212021-08-202021-11-012021-12-312022-02-092022-04-142022-06-212022-07-212022-09-222022-11-302022-12-302023-02-082021-01-042021-04-142021-06-212021-09-232021-12-012022-03-112022-05-192022-08-222022-10-312021-02-032021-04-142021-05-192021-06-212021-07-212021-09-232021-11-012021-12-012021-12-312022-03-112022-05-192022-06-212022-07-212022-08-222022-10-312022-12-302023-02-082021-01-042021-03-122021-08-202022-02-092022-04-142022-09-222022-11-30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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-01-292021-04-282021-05-282021-06-252021-07-222021-09-142021-10-202021-11-162021-12-132022-03-102022-04-082022-05-102022-06-072022-08-252022-09-222022-10-262022-11-222023-01-162021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-02-112022-03-102022-05-102022-06-072022-07-042022-08-252022-09-222022-10-262022-12-192023-01-162021-03-042021-03-312021-08-182022-01-102022-02-112022-07-042022-07-292022-12-192021-03-042021-05-282021-09-142022-01-102022-04-082022-07-292022-11-22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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-032021-03-122021-04-142021-06-212021-07-212021-08-202021-09-232021-12-012021-12-312022-02-092022-03-112022-05-192022-06-212022-07-212022-08-222022-10-312022-11-302022-12-302023-02-082021-05-192021-11-012022-04-142022-09-222021-01-042021-03-122021-04-142021-05-192021-06-212021-08-202021-09-232021-11-012021-12-012022-02-092022-04-142022-05-192022-06-212022-07-212022-09-222022-11-302022-12-302023-02-082021-02-032021-07-212021-12-312022-03-112022-08-222022-10-31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600040045003505500400030035002505000300020045001502500200040001005015003500010002021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-02-112022-03-102022-05-102022-06-072022-07-042022-08-252022-09-222022-10-262022-12-192023-01-162021-03-042021-05-282021-09-142022-01-102022-04-082022-07-292022-11-222021-01-042021-02-012021-03-082021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292023-01-31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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-02-032021-03-122021-04-142021-05-192021-07-212021-08-202021-09-232021-12-312022-02-092022-03-112022-05-192022-06-212022-07-212022-08-222022-10-312022-11-302022-12-302023-02-082021-01-042021-06-212021-11-012021-12-012022-04-142022-09-222021-03-122021-04-142021-05-192021-06-212021-08-202021-09-232021-11-012021-12-012022-02-092022-03-112022-04-142022-05-192022-08-222022-09-222022-10-312023-02-082021-01-042021-02-032021-07-212021-12-312022-06-212022-07-212022-11-302022-12-30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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-292021-03-312021-04-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-02-112022-03-102022-05-102022-06-072022-07-042022-08-252022-09-222022-10-262022-12-192023-01-162021-03-042021-05-282021-09-142022-01-102022-04-082022-07-292022-11-222021-02-022021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-03-232022-05-272022-07-272022-09-262022-11-302023-02-062021-01-042021-03-102022-02-222022-04-252022-06-282022-08-252022-11-012022-12-29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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-03-122021-04-142021-05-192021-06-212021-08-202021-09-232021-11-012021-12-012022-02-092022-03-112022-04-142022-05-192022-08-222022-09-222022-10-312023-02-082021-01-042021-02-032021-07-212021-12-312022-06-212022-07-212022-11-302022-12-302021-02-032021-03-122021-04-142021-05-192021-07-212021-08-202021-09-232021-12-312022-02-092022-03-112022-05-192022-06-212022-07-212022-08-222022-10-312022-11-302022-12-302023-02-082021-01-042021-06-212021-11-012021-12-012022-04-142022-09-22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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-012022-08-172022-08-252022-09-022022-09-132022-09-292022-10-142022-11-012022-11-092022-11-252022-12-052022-12-212022-12-292023-01-172023-02-012023-02-092022-08-092022-09-212022-10-242022-11-172022-12-132023-01-092022-07-222022-08-052022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-312022-11-142022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-02-072022-07-292022-08-122022-10-242022-11-072022-11-212023-01-31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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002023-02-092022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012022-08-092022-08-172022-08-252022-09-022022-09-212022-09-292022-10-142022-10-242022-11-092022-11-172022-11-252022-12-052022-12-292023-01-092023-01-172023-02-012022-07-222022-08-012022-09-132022-11-012022-12-132022-12-212023-02-09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70066002800600640026005006200240022004006000200030058001800200560016001400100540012000520010002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192023-01-112023-01-172023-01-302023-02-032023-02-092022-10-282022-11-032022-12-232022-12-292023-01-052022-09-192022-09-292022-10-122022-10-182022-10-242022-11-032022-11-092022-11-212022-11-252022-12-072022-12-132022-12-192022-12-232023-01-052023-01-112023-01-302023-02-032022-09-232022-10-282022-11-152022-12-012022-12-292023-01-172023-02-09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P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