研究报告全文：金融期权日报期权研究2023年2月17日星期五行情要点市场行情金融期权标的上证50ETF日内行情高开高走后窄幅波动午后快速下跌回落上证300ETF日内行情高开高走以来上行后窄幅盘整午后急速下跌中证1000指数日内行情高开后窄幅盘整震荡午后跳水快速下跌日线上看上证50ETF维持在21天均线和55天均线矩形区间宽幅震荡上证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沿着20天均线震荡上行后快速下降且上方有前期高点压力中证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昨日一根大阴线覆盖近一周以卢品先来的涨幅而趋势线方向仍向上截至昨日收盘上证50ETF跌幅036报收于2750上证300ETF跌幅070投研经理报收于4087深证300ETF跌幅062报收于4163沪深300指数跌幅073报收于409349中证1000指数跌0755-23375252幅196报收于692520lupxwkjyqhcom期权盘面从业资格号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反F3047321弹上升其中上证50ETF期权隐含波动率上升092报收于1774上证300ETF期权隐含波动率上升122报交易咨询号收于1663深证300ETF期权隐含波动率上升033报收于1634沪深300股指期权隐含波动率上升050Z0015541报收于1657中证1000股指期权隐含波动率上升078报收于1794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088上证300ETF期权成交量PCR报收于094深证300ETF期权成交量PCR报收于107沪深300股指期权成交量PCR报收于092中证1000股指期权成交量PCR报收于107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082深证300ETF期权持仓量PCR报收于093沪深300股指期权持仓量PCR报收于092中证1000股指期权持仓量PCR大幅下降报收于085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280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和支撑点下移两个行权价为400沪深300指数的压力点为4200和支撑点为4000中证1000指数的支撑点行权价为6600结论与策略建议1上证50ETF期权上证50ETF维持近两周以来的宽幅矩形区间盘整震荡上有前期高点压力下有55天均线支撑期权隐含波动率持续下降后有所反弹上升期权持仓量PCR窄幅波动操作建议构建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S510050C2302M0280010S510050C2302M02750102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上方有前期高点压力下方有60天均线支撑且中期趋势线方向仍向上期权隐含波动率小幅上升期权持仓量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S510300C2302M0420010S510300C2302M0410010和S510300P2302M0400010S510300P2302M04100103中证1000股指期权中证1000指数延续一个半月以来的偏多头向上趋势昨日大幅下挫跌破近一周以来的低点而趋势线方向仍向上形成短期回落中期偏上的行情走势中证1000股指期权隐含波动率窄幅波动期权持仓量PCR快速下降操作建议构建3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BMO2303-P-690010BMO2303-P-680010和SMO2303-P-710010SMO2303-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SH50ETF510050SH27500-00100-036928412575SH300ETF510300SH40870-00290-070792513275SZ300ETF159919SZ41630-00260-06219429818HS300000300SH409349-3020-073159亿281316ZZ1000000852SH692520-13840-196217亿263155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SH50ETF2750002440023527509-00106-03800009SH300ETF4100009530050641447-00545-13000577SZ300ETF4200001700054541625-00258-062-00005HS30041000077007440410260-2580-062911ZZ10006900001434013200691140-12160-173-1380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SH50ETF17731774177419662290164262023-02-22SH300ETF16571669166318322204145962023-02-22SZ300ETF15621701163418782206154962023-02-22HS300162616911657167417821566292023-03-17ZZ1000176918181794212624841768292023-03-17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SH50ETF11902721047689088-004747585545010073002SH300ETF754024707336094010448813365837082-001SZ300ETF107812115217107-0067725972049093007HS30027536252550920053457031944092-000ZZ100012568134101070151432412232085-002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200017503001500275002801250100026075050024025022002022-10-182022-12-022022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图2SH300ETF走势图4602100成交量万收盘价4401800150042040870120040090038060036030034002022-08-112022-10-312022-12-282022-08-082022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图3SZ300ETF走势图480420成交量万收盘价460360440300416304202404001803801203606034002022-08-192022-09-232022-11-032022-12-072023-01-112022-08-082022-08-112022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图4沪深300走势图4800250成交量亿收盘价46002004400420040934915040001003800503600340002022-08-242022-11-162023-02-082022-08-082022-08-112022-08-162022-08-192022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-16SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图16000010000140000500012000010000008000060000-500040000-1000020000-150002452452502552602652702752802852902953003100240280280240240245250255260265270275285290295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-10-132022-12-072022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16ETF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32200CLOSE3531OIPCR1803016030291402528275001202720100260802515060241023040220202022-09-282022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162022-12-122022-08-082022-08-172022-08-262022-09-062022-09-162022-09-272022-10-132022-10-242022-11-022022-11-112022-11-222022-12-012022-12-212022-12-302023-01-112023-01-202023-02-072023-02-16IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图14000010000120000800060001000004000800002000600000-200040000-400020000-60000-8000360360360330330340350370380390400410420430440450460470330340350370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-062022-12-122023-01-162022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16ETF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3548240CLOSE3022046OIPCR20025441804087042160140204012015381000803606010340402022-09-012022-11-082023-01-062022-08-082022-08-162022-08-242022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-162023-01-312023-02-082023-02-162022-12-122022-08-172022-08-262022-09-062022-09-162022-09-272022-10-132022-10-242022-11-022022-11-112022-11-222022-12-012022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162022-08-08IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图25000100050020000015000-500-100010000-1500-20005000-2500-30003403403503603703803904004104204304404504604704800330330330340350360370380390400410420430440450460470480OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16ETF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35450240CLOSE30OIPCR22043041630200180254101601402039012010015370080060103500402022-08-082022-10-212022-12-282022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202023-01-062023-01-162023-01-312023-02-082023-02-162022-08-172022-08-262022-09-062022-09-162022-09-272022-10-132022-10-242022-11-022022-11-112022-11-222022-12-012022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162022-08-08IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图60001000900500080070040006005003000400200030020010001000430043003200320033003400350036003700380039004000410042004400450046004700420042003300330034003500360037003800390040004100430044004500460047000-1003200OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-09-062022-11-112023-01-112022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16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354800160CLOSE304600OIPCR140440012025420040934910020400008015380006036000401034000202022-09-092022-08-082022-08-162022-08-242022-09-012022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162022-09-272022-08-172022-08-262022-09-062022-09-162022-10-132022-10-242022-11-022022-11-112022-11-222022-12-012022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162022-08-08IMPVMA20UPLOW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问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连河北省唐山市路北区军鑫里凤城国贸1楼21层2104号期货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007