【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情高开后窄幅盘整震荡，午后逐渐回暖上升；上证300ETF日内行情低开高走单边上行，午后涨幅有所收窄；中证1000指数日内行情高开低走弱势下行，午后逐渐反弹上涨；日线上看，上证50ETF上方有压力的反弹回暖上升震荡上行；上证300ETF前一周高位回落后连续大幅下跌，上周止跌反弹逐渐上涨回暖，形成上方有压力的弱势反弹回升；中证1000指数延续一个多月以来的偏多头趋势方向震荡上行突破上涨。截至昨日收盘，上证50ETF涨幅0.40%报收于2.786，上证300ETF涨幅0.22%报收于4.144，深证300ETF涨幅0.17%报收于4.216，沪深300指数涨幅0.04%报收于4145.29，中证1000指数涨幅0.13%报收于7061.45。
　　

研究报告全文：金融期权日报期权研究2023年2月15日星期三行情要点市场行情金融期权标的上证50ETF日内行情高开后窄幅盘整震荡午后逐渐回暖上升上证300ETF日内行情低开高走单边上行午后涨幅有所收窄中证1000指数日内行情高开低走弱势下行午后逐渐反弹上涨日线上看上证50ETF上方有压力的反弹回暖上升震荡上行上证300ETF前一周高位回落后连续大幅下跌上周止跌反弹逐渐上涨回暖形成上方有压力的弱势反弹回升中证1000指数延续一个多月以来的偏多头趋势方向震荡上行突破上涨截至昨日收盘上证50ETF涨幅040报收于2786上证300ETF涨幅022报卢品先收于4144深证300ETF涨幅017报收于4216沪深300指数涨幅004报收于414529中证1000指数涨幅投研经理013报收于7061450755-23375252lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融ETF期权隐含波动率窄幅波动而中证1000股指期权隐含波动率则持从业资格号续上升其中上证50ETF期权隐含波动率下降013报收于1752上证300ETF期权隐含波动率上升001报F3047321收于1586深证300ETF期权隐含波动率上升046报收于1679沪深300股指期权隐含波动率上升086交易咨询号报收于1669中证1000股指期权隐含波动率上升134报收于1731Z0015541成交量PCR期权的成交量PCR是从期权的买方角度分析市场的活跃程度截止收盘上证50ETF期权成交量PCR报收于086上证300ETF期权成交量PCR报收于084深证300ETF期权成交量PCR报收于097沪深300股指期权成交量PCR报收于081中证1000股指期权成交量PCR报收于089持仓量PCR期权的持仓量PCR是从期权的卖方角度分析市场的参与程度期权持仓量PCR为100时一般认为是市场行情的多空分界线截止收盘上证50ETF期权持仓量PCR报收于073上证300ETF期权持仓量PCR报收于085深证300ETF期权持仓量PCR报收于090沪深300股指期权持仓量PCR报收于090中证1000股指期权持仓量PCR报收于124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卖方的角度分析市场行情所在的压力线和支撑线截至收盘从期权卖方行权价的角度看上证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指数的压力点为4200和支撑点为4100中证1000指数的支撑点上移两个行权价为7000结论与策略建议1上证50ETF期权上证50ETF高位连续大幅下跌回落跌破20天均线后上周以来低位宽幅矩形区间盘整震荡逐渐反弹回升上方有前期高点压力期权隐含波动率较低水平窄幅波动期权持仓量PCR小幅下降操作建议构建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S510050C2302M0280010S510050C2302M02850102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止跌反弹逐渐回升下方有60天均线支撑且中期趋势线方向仍向上上方有前期高点压力期权隐含波动率小幅波动期权持仓量PCR窄幅波动操作建议构建卖出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S510300C2302M0430010S510300C2302M0420010和S510300P2302M0400010S510300P2302M04100103中证1000股指期权中证1000指数高位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向上趋势中证1000股指期权隐含波动率率窄幅波动期权持仓量PCR持续上涨表明行情多头情绪较浓操作建议构建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-690010BMO2302-P-690010和SMO2302-P-710010SMO2302-P-720010235市场行情标的简称合约代码收盘价涨跌涨跌幅成交量万成交额亿SH50ETF510050SH2786000110040369811026SH300ETF510300SH4144000090022332631374SZ300ETF159919SZ42160000700179730409HS300000300SH414529172004102亿204915ZZ1000000852SH706145927013152亿199030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SH50ETF28000024300366278770010903900017SH300ETF41000184700289425580020404801118SZ300ETF420000496003514214500093022-00015HS30041500028003000414800960023271ZZ1000710000306079207051401460021-1005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SH50ETF17551750175220112329169382023-02-22SH300ETF15721603158618642229149982023-02-22SZ300ETF16691688167919172236159982023-02-22HS30016701669166916671780155432023-02-17ZZ100016891778173121322489177432023-02-17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SH50ETF529650455415086-006786422573390073-002SH300ETF334124280356084-005465588396613085-001SZ300ETF4698745737097-0068064972907090-005HS30029576240050810033365230173090000ZZ10002031718138089-0191659120531124-005数据来源wind五矿期货期权事业部标的价量关系图1SH50ETF走势图320成交量万收盘价200017503001500278602801250100026075050024025022002022-10-142022-11-302022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14图2SH300ETF走势图4602100成交量万收盘价4401800414401500420120040090038060036030034002022-08-092022-10-272022-12-262022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14图3SZ300ETF走势图480420成交量万收盘价460360440421603004202404001803801203606034002022-08-172022-09-212022-11-012022-12-052023-01-092022-08-042022-08-092022-08-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14图4沪深300走势图4800250成交量亿收盘价46002004400414529420015040001003800503600340002022-08-222022-11-142023-02-062022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-092023-02-14SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1600006000400014000020001200000100000-2000-400080000-600060000-800040000-10000-1200020000-14000-160002452452502552602652702752802852902953003100240280280240240245250255260265270275285290295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-10-112022-12-052022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14ETF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32200CLOSE3531OIPCR1803016030291402528278601202720100260802515060241023040220202022-09-262022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142022-12-082022-08-042022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-192022-12-282023-01-092023-01-182023-02-032023-02-14IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图14000020001200000100000-200080000-400060000-60004000020000-80000-10000360360360430330330340350370380390400410420430440450460470330340350370380390400410420440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-022022-12-082023-01-122022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14ETF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3548240CLOSE3022046OIPCR20044254144018042160140204012015381000803606010340402022-08-302022-11-042023-01-042022-08-042022-08-122022-08-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-122023-01-202023-02-062023-02-142022-12-082022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-192022-12-282023-01-092023-01-182023-02-032023-02-142022-08-04IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图250001000500200000-50015000-1000-150010000-2000-25005000-3000-3500-40003403403503603703803904004104204304404504604704800330330330340350360370380390400410420430440450460470480OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14ETF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35450240CLOSE30OIPCR22042160430200180254101601402039012010015370080060103500402022-08-042022-10-192022-12-262022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162023-01-042023-01-122023-01-202023-02-062023-02-142022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282023-01-092023-01-182023-02-032023-02-142022-08-04IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图800040070003006000200100500004000-1003000-2002000-3001000-400430043003200320033003400350036003700380039004000410042004400450046004700420042003300330034003500360037003800390040004100430044004500460047000-5003200OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-09-022022-11-092023-01-092022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-14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354800160CLOSE304600OIPCR140440012025414529420010020400008015380006036000401034000202022-09-072022-08-042022-08-122022-08-222022-08-302022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142022-09-232022-08-152022-08-242022-09-022022-09-142022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282023-01-092023-01-182023-02-032023-02-142022-08-04IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾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