研究报告全文：金融期权日报专业研究创造价值2023年2月17日金融期权市场分歧加剧股指短线震荡回调核心观点今日各股指均震荡下跌午后跌幅扩大沪深两市近3000只个股下跌全天成交额9141亿元北向资金净买入20亿元1月经济数据表现出经济复苏的态势但居民中长期贷款数据仍偏弱经济现实与预期之间存在一定差距市场资金间产生一定分歧叠加近期中美关系之间的风险事件扰动短线股指存在震荡整固的技术性需求预计短期内股指以震荡整理走势为主近几日股市波动加剧期权的成交量明显放大但期权隐含波动率仍处于偏低的位置说明目前市场情绪并不恐慌意味着股指的中长期趋势仍未改变宝城期货研究所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投资咨询团队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新闻动态央行银保监会召开银行座谈会做好提前贷款服务工作加强违规使用经营贷消费贷提前还款的风险警示央行今日进行8350亿元7天期逆回购操作中标利率为200与此前持平因今日有2030亿元7天期逆回购到期当日实现净投放6320亿元2期权指标2023年02月17日50ETF跌105收于2721300ETF上交所跌142收于4029300ETF深交所跌154收于4099沪深300指数跌144收于403451中证1000指数跌082收于686855500ETF上交所跌086收于6260500ETF深交所跌098收于6373创业板ETF跌238收于2378上证50ETF期权成交量PCR为11007上一交易日成交量PCR为9532持仓量PCR为8416上一交易日持仓量PCR为8918上交所3000ETF期权成交量PCR为11149上一交易日成交量PCR为9363持仓量PCR为9240上一交易日持仓量PCR为9396深交所300ETF期权成交量PCR为12266上一交易日成交量PCR为10106持仓量PCR为9190上一交易日持仓量PCR为9664中金所沪深300指数期权成交量PCR为9595上一交易日成交量PCR为9005持仓量PCR为9184上一交易日持仓量PCR为9672中金所中证1000指数期权成交量PCR为10145上一交易日成交量PCR为10871持仓量PCR为8221上一交易日持仓量PCR为9034上交所中证500ETF期权成交量PCR为13917上一交易日成交量PCR为11740持仓量PCR为9537上一交易日持仓量PCR为9925深交所中证500ETF期权成交量PCR为11535上一交易日成交量PCR为8948持仓量PCR为8001上一交易日持仓量PCR为8268创业板ETF期权成交量PCR为11528上一交易日成交量PCR为10180持仓量PCR为7275上一交易日持仓量PCR为8078上证50ETF期权2023年03月平值期权隐含波动率为1751标的30交易日历史波动率为1317上交所300ETF期权2023年03月平值期权隐含波动率为1675标的30交易日历史波动率为1242深交所300ETF期权2023年03月平值期权隐含波动率为1532标的30交易日历史波动率为1244中金所沪深300指数期权2023年03月平值期权隐含波动率为1645标的30交易日历史波动率为1333中金所中证1000指数期权2023年03月平值期权隐含波动率为1647标的30交易日历史波动率为1343上交所中证500ETF期权2023年03月平值期权隐含波动率为1499标的30交易日历史波动率为1070深交所中证500ETF期权2023年03月平值期权隐含波动率为1575标的30交易日历史波动率为1072创业板ETF期权2023年03月平值期权隐含波动率为2023标的30交易日历史波动率为1712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3相关图表上证50ETF期权图1上证50ETF走势图2上证50ETF期权波动率50ETF期权50ETF期权50004520001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-02-012021-04-062021-05-072021-06-042021-08-022021-08-302021-09-292021-11-032021-12-292022-01-272022-03-032022-05-052022-06-022022-07-012022-08-262022-09-262022-10-312022-11-282023-01-312021-03-082021-07-052021-12-012022-03-312022-07-292022-12-262021-01-042021-01-292021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-11-222022-12-192023-01-162023-02-172021-03-042021-09-142022-04-082022-10-26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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-11-302022-12-302023-02-082022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-12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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-03-082021-04-062021-05-072021-08-022021-08-302021-09-292021-12-012021-12-292022-01-272022-03-312022-05-052022-06-022022-07-292022-08-262022-09-262022-12-262023-01-312021-01-042021-03-042021-03-312021-04-282021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-06-072022-07-292022-08-252022-10-262022-11-222023-02-172021-02-012021-06-042021-07-052021-11-032022-03-032022-07-012022-10-312022-11-282021-01-292021-05-282021-08-182021-12-132022-03-102022-07-042022-09-222022-12-192023-01-16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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-032021-03-122021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012022-09-222022-10-312022-11-302022-12-302023-02-082021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-22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600040045003505500400030035002505000300020045001502500200040001005015003500010002021-01-042021-03-042021-03-312021-04-282021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-06-072022-07-292022-08-252022-10-262022-11-222023-02-172021-01-292021-05-282021-08-182021-12-132022-03-102022-07-042022-09-222022-12-192023-01-162021-02-012021-04-062021-06-042021-08-022021-09-292021-12-012022-01-272022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262021-01-042021-03-082021-05-072021-07-052021-08-302021-11-032021-12-292022-03-032023-01-31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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-07-212021-08-202021-11-012021-12-012022-02-092022-03-112022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302023-02-082021-06-212021-09-232021-12-312022-04-142022-12-302021-01-042021-02-032021-04-142021-05-192021-07-212021-08-202021-09-232021-11-012021-12-312022-02-092022-04-142022-05-192022-06-212022-07-212022-09-222022-10-312022-12-302023-02-082021-03-122021-06-212021-12-012022-03-112022-08-222022-11-30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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-03-042021-03-312021-04-282021-06-252021-07-222021-09-142021-10-202021-11-162022-01-102022-02-112022-04-082022-05-102022-06-072022-07-292022-08-252022-10-262022-11-222023-02-172021-01-292021-05-282021-08-182021-12-132022-03-102022-07-042022-09-222022-12-192023-01-162021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292023-02-062021-11-172021-12-162022-01-172022-02-222022-03-23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400000140003000001400035000012000250000120003000001000010000250000200000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-01-042021-02-032021-04-142021-05-192021-07-212021-08-202021-09-232021-11-012021-12-312022-02-092022-04-142022-05-192022-06-212022-07-212022-09-222022-10-312022-12-302023-02-082021-03-122021-06-212021-12-012022-03-112022-08-222022-11-302021-01-042021-02-032021-03-122021-04-142021-05-192021-07-212021-08-202021-11-012021-12-012022-02-092022-03-112022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302023-02-082021-06-212021-09-232021-12-312022-04-142022-12-30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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-08-012022-08-092022-08-172022-09-022022-09-132022-09-212022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-132022-12-292023-01-092023-01-172023-02-092023-02-172022-07-222022-08-252022-09-292022-11-172022-12-212023-02-012022-07-222022-07-292022-08-052022-08-122022-08-262022-09-022022-09-092022-10-102022-10-172022-10-242022-11-072022-11-142022-11-212022-11-282022-12-122022-12-192022-12-262023-01-032023-01-172023-01-312023-02-072023-02-142022-08-192022-09-192022-09-262022-10-312022-12-052023-01-10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180000160009000014000160000140008000012000140000700001200010000120000100006000010000050000800080000800040000600060006000030000400040000400020000200002000100002000000000002022-07-222022-08-012022-08-092022-08-172022-09-022022-09-132022-09-292022-10-142022-10-242022-11-012022-11-172022-11-252022-12-132022-12-212022-12-292023-01-092023-02-012023-02-092022-08-252022-09-212022-11-092022-12-052023-01-172023-02-172022-07-222022-08-092022-08-252022-09-132022-09-292022-10-242022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172022-08-012022-08-172022-09-022022-09-212022-10-142022-11-012022-11-17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70066002800600640026005006200240022004006000200030058001800200560016001400100540012000520010002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292023-01-302023-02-032023-02-092023-02-152022-11-032022-11-092022-11-152023-01-052023-01-112023-01-172022-09-192022-09-292022-10-122022-10-182022-10-242022-11-032022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-12-192022-12-292023-01-052023-01-112023-01-172023-02-032023-02-092023-02-152022-09-232022-10-282022-11-252022-12-232023-01-30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5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