【行情要点】
　　市场行情：日线上看，金融期权标的上证50ETF前一周高位回落后连续大幅下跌，上周跌幅收窄区间弱势盘整；沪深300指数前一周高位回落连续调低开大幅下跌，上周以来跌幅收窄，下方有趋势线方向支撑；中证1000指数多头趋势方向上高位盘整震荡一周后，上周以来再次突破上涨。截止上周五收盘，上证50ETF周跌幅0.94%报收于2.757；上证300ETF周跌幅0.83%报收于4.103；深证300ETF周跌幅0.84%报收于4.174；沪深300指数周跌幅0.86%报收于4106.31，中证1000指数周涨幅0.72%报收于6579.39。

研究报告全文：金融期权周报期权研究2023年2月13日星期一行情要点日线上看金融期权标的上证50ETF前一周高位回落后连续大幅下跌上周跌幅收窄区间弱势盘整沪深300指数前一周高位回落连续调低开大幅下跌上周以来跌幅收窄下方有趋势线方向支撑中证1000指数多头趋势方向上高位盘整震荡一周后上周以来再次突破上涨截止上周五收盘上证50ETF周跌幅094报收于2757上证300ETF周跌幅083报收于4103深证300ETF周跌幅084报收于4174沪深300指数周跌幅086报收于410631中卢品先证1000指数周涨幅072报收于657939投研经理期权盘面0755-23375252上周金融ETF期权日均成交量普遍大幅减少而中证1000股指期权日均成交量则小幅度增加其中上lupxwkqhcn证50ETF期权增减少3022万张至18817万张上证300ETF期权减少1905万张至11723万张深证300ETF期权减少231从业资格号万张至1565万张沪深300股指期权减少103万张至808万张中证1000股指期权增加100万张至604万张上周金融期权上证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F3047321300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1950万张至22855万张上证交易咨询号300ETF期权增加546万张至15538万张深证300ETF期权增加195万张至2340万张沪深300股指期权增加131万张Z0015541至1511万张中证1000股指期权增加097万张至717万张上周金融期权隐含波动率主要表现为持续下降回落至低位水平截止上周五上证50ETF期权隐含波动率为1723上证300ETF期权隐含波动率为1581深证300ETF期权隐含波动率为1648沪深300股指期权隐含波动率为1561中证1000股指期权隐含波动率为1583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088上证300ETF期权成交量PCR报收于082深证300ETF期权成交量PCR报收于104沪深300股指期权成交量PCR报收于074中证1000股指期权成交量PCR报收于094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大幅度下降报收于064上证300ETF期权持仓量PCR报收于079深证300ETF期权持仓量PCR报收于086沪深300股指期权持仓量PCR报收于087中证1000股指期权持仓量PCR报收于113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285和支撑点为275上证300ETF的压力点为420和支撑点为410深证300ETF的压力点为430和支撑点为420沪深300指数的压力点4200和支撑点为4100中证1000指数的压力点7000和支撑点为6800结论与操作建议1上证50ETF期权上证50ETF高位连续大幅下跌回落跌破20天均线后上周以来区间弱势盘整震荡期权隐含波动率持续下降回落至较低水平期权持仓量PCR大幅度下降至070以下操作建议构建2月份的卖出宽跨式期权组合策略获取时间价值收益若市场行情急速大涨或大跌则平仓离场如上证50ETF期权即S510050P2302M0270010S510050P2302M0275010和S510050P2302M0280010S510050P2302M02750102上证300ETF期权上证300ETF高位回落连续跳空低开大幅下跌上周以来跌幅逐渐收窄下方有60天均线支撑期权隐含波动率持续下降回落至较低水平期权持仓量PCR急速下降表现为短期市场行情偏弱势信号操作建议构建卖出2月份偏空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涨则逐渐平仓离场如上证300ETF期权即S510300C2302M0420010S510300C2302M0410010和S510300P2302M0400010S510300P2302M04100103中证1000股指期权中证1000指数多头趋势方向上盘整震荡一周多以后上周以来再次突破上涨延续一个半月以来的偏多头趋势中证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逐渐回暖上升操作建议构建2月份认沽期权的牛市价差组合策略获取方向性收益若市场行情急速大跌至低行权价则逐渐平仓离场如ZZ1000股指期权BMO2302-P-680010BMO2302-P-690010和SMO2302-P-710010SMO2302-P-720010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SH50ETF27570-00260-09458837-268121618SH300ETF41030-00340-08357295-215272345SZ300ETF41740-00350-084197001068819HS300410631-353222-08609707亿-3900197509ZZ100069753950318507214725亿-150000185734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SH50ETF9231958518817-30221239010465228551950SH300ETF6013571011723-19058068747115538546SZ300ETF7937721565-231119311472340195HS300449360808-1037777341511131ZZ1000308297604100389327717097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SH50ETF2750003900028327607-00140-05000037SH300ETF4100013660061741749-00600-14200719SZ300ETF4200003500061341737-00276-066-00003HS30041000038203240410580-2760-067-051ZZ100070000050407140697900-4160-059361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SH50ETF17331713172320482356174182023-02-22SH300ETF15941564158118982250154682023-02-22SZ300ETF16741623164819492255164382023-02-22HS30015531572156116671779155652023-02-17ZZ100015581610158321392494178352023-02-17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SH50ETF614075542750088-001831052532625064-004SH300ETF458262377085082-016510220401709079-003SZ300ETF54895570321040078248970658086002HS30032911244060740013607131353087-003ZZ10003061728717094-0081830720667113001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2901750成交量万收盘价2757028015002701250260100025075024050023025022002022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图2SH300ETF走势图4402000成交量万收盘价420410301500400100038050036034002022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-08-052022-11-022022-11-102023-01-302023-02-072022-08-022022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-10图4沪深300走势图4300250成交量亿收盘价4200410631410020040001503900380010037003600503500340002022-08-262022-09-302022-11-102022-12-142022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1800001200016000010000140000800060001200004000100000200080000060000-200040000-400020000-6000-80002752752952452452502552602652702802852903003103200240310310240240245250255260265270275280285290295300320OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-09-192022-11-282022-12-142022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10ETF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32200CLOSE3531OIPCR1803030160291402528275701202720100260801525060241023040220202022-11-182022-08-022022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102022-08-122022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-02IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图14000010000800012000060001000004000800002000060000-200040000-4000-600020000-80000340340350360370380390400410420430440450460470330330-10000450450330330340350360370380390400410420430440460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-272023-01-132022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-10ETF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3046240CLOSE2202544OIPCR2004103018042201604014012015381000803610060340402022-08-182023-01-182022-08-022022-08-102022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-02-022023-02-102022-08-022022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-12IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图2500010008002000060040015000200010000-2005000-400-600-8004704703503503603703803904004104204304404504604800340450450340340350360370380390400410420430440460470480OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-10-172022-12-272022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10ETF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35460240CLOSE30OIPCR22044041740200251804201602040014012038010015080360060103400402022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102022-08-122022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-02IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图700050040060003005000200400010003000-1002000-200-3001000-4003500350033003300340036003700380039004000410042004300440045004600470044004400340034003500360037003800390040004100420043004500460047000-5003300OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-10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304800150CLOSEOIPCR2546001304400110204200410631090400015070380036000501034000302022-08-182023-01-182022-08-022022-08-102022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-02-022023-02-10IMPVMA20UPLOW2022-12-222022-08-022022-08-122022-08-242022-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