【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情高开高走一路上行，午后加速上涨；上证300ETF日内行情高开高走单边上涨午后加速上行；中证1000指数日内行情高开低走后窄幅盘整，午后加速上涨单边上行；日线上看，上证50ETF昨日报收大阳线修复前三天的连续阴线，重新进入前期的矩形震荡区间；上证300ETF止跌反弹回暖大幅上涨，一阳包两阴市场行情格局，上方有前期高点压力，下方有55天均线支撑；中证1000指数止跌反弹回升，延续一个多月以来的偏多头趋势方向震荡上行。截至昨日收盘，上证50ETF涨幅2.83%报收于2.798，上证300ETF涨幅2.61%报收于4.134，深证300ETF涨幅2.56%报收于4.204，沪深300指数涨幅2.45%报收于4133.49，中证1000指数涨幅1.32%报收于6959.36。
　　

研究报告全文：金融期权日报期权研究2023年2月21日星期二行情要点市场行情金融期权标的上证50ETF日内行情高开高走一路上行午后加速上涨上证300ETF日内行情高开高走单边上涨午后加速上行中证1000指数日内行情高开低走后窄幅盘整午后加速上涨单边上行日线上看上证50ETF昨日报收大阳线修复前三天的连续阴线重新进入前期的矩形震荡区间上证300ETF止跌反弹回暖大幅上涨一阳包两阴市场行情格局上方有前期高点压力下方有55天均线支撑中证1000指数止跌反弹回升延续一个多月以来的偏多头趋势方向震荡上行截至昨日收盘上证50ETF涨幅283报收卢品先于2798上证300ETF涨幅261报收于4134深证300ETF涨幅256报收于4204沪深300指数涨幅245投研经理报收于413349中证1000指数涨幅132报收于6959360755-23375252lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融ETF期权隐含波动率大幅度上升而中证1000股指期权隐含波动率则从业资格号持续上涨其中上证50ETF期权隐含波动率上升069报收于1874上证300ETF期权隐含波动率上升170F3047321报收于1817深证300ETF期权隐含波动率上升130报收于1948沪深300股指期权隐含波动率上升交易咨询号027报收于1666中证1000股指期权隐含波动率上升095报收于1759Z0015541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099深证300ETF期权成交量PCR报收于096沪深300股指期权成交量PCR报收于088中证1000股指期权成交量PCR报收于099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108上证300ETF期权持仓量PCR报收于107深证300ETF期权持仓量PCR报收于114沪深300股指期权持仓量PCR报收于097中证1000股指期权持仓量PCR大幅上升报收于093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420和支撑点为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6900结论与策略建议1上证50ETF期权上证50ETF止跌反弹回暖上升报收大阳线修复上周连续大幅下跌的空间进入前期宽幅矩形震荡区间期权隐含波动率持续反弹回升仍维持较低水平期权持仓量PCR直线上升突破100以上操作建议构建3月份的卖方认购认沽期权多头组合策略获取时间价值收益和方向性若市场行情急速大跌则平仓离场如上证50ETF期权即S510050P2303M0280010S510050P2303M0275010和S510050C2303M0280010S510050C2303M02850102上证300ETF期权上证300ETF止跌反弹回暖大幅上涨一阳包两阴市场行情格局上方有前期高点压力下方有55天均线支撑期权隐含波动率小幅上升期权持仓量PCR急速上升至100以上操作建议构建卖方的中性DELTA组合策路根据市场行情变化动态地调整持仓DELTA使得持仓保持中性获取时间价值若市场行情急速大涨或大跌则逐渐平仓离场如上证300ETF期权即S510300C2303M0420010S510300C2303M0430010和S510300P2303M0400010S510300P2303M04100103中证1000股指期权中证1000指数止跌反弹回升延续一个多月以来的偏多头趋势方向震荡上行中证1000股指期权隐含波动率持续拉升仍维持较低水平期权持仓量PCR快速上涨操作建议构建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SH50ETF510050SH27980007702831616304458SH300ETF510300SH41340010502611049534283SZ300ETF159919SZ420400105025616832701HS300000300SH4133499898245162亿280123ZZ1000000852SH6959369081132166亿196439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SH50ETF28000060800540280680081529900088SH300ETF41000248601010424760110126601136SZ300ETF42000087700781420960107026100056HS30041500071207420414700108202681351ZZ10007000009200170806921206520095-3816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SH50ETF182819221874194022631618302023-03-22SH300ETF180818261817181321861440302023-03-22SZ300ETF202118871948187121991543302023-03-22HS300164016961666167917811577252023-03-17ZZ1000171418051759212024791762252023-03-17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SH50ETF646949556609086-004573574620978108011SH300ETF395392392523099-001422049450170107014SZ300ETF5635453871096-0335152158609114014HS3004501939756088-0174020838979097008ZZ10002142521241099-0001636315257093010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200017503002798015002801250100026075050024025022002022-10-202022-12-062022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图2SH300ETF走势图4602100成交量万收盘价4401800413401500420120040090038060036030034002022-08-152022-11-022022-12-302022-08-102022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图3SZ300ETF走势图480420成交量万收盘价460360440420403004202404001803801203606034002022-08-232022-09-272022-11-072022-12-092023-01-132022-08-102022-08-152022-08-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图4沪深300走势图4800250成交量亿收盘价46002004400413349420015040001003800503600340002022-08-262022-11-182023-02-102022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-20SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图9000025000800002000070000600001500050000100004000030000500020000010000-50002602602852452452502552652702752802902953003100240240240245250255260265270275280285290295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-10-172022-12-092022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20ETF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32200CLOSE3531OIPCR1803016030291402528279801202720100260802515060241023040220202022-09-302022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202022-12-142022-08-102022-08-192022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-232023-01-042023-01-132023-01-312023-02-092023-02-20IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图1000003000090000250008000070000200006000015000500004000010000300005000200000100000-5000360360360330330340350370380390400410420430440450460470330340350370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-082022-12-142023-01-182022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20ETF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3548240CLOSE3022046OIPCR20044254134018042160140204012015381000803606010340402022-09-052022-11-102023-01-102022-08-102022-08-182022-08-262022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-182023-02-022023-02-102023-02-202022-12-142022-08-192022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-232023-01-042023-01-132023-01-312023-02-092023-02-202022-08-10IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图12000500010000400030008000200060001000400002000-1000-20003403403503603703803904004104204304404504604704800330330330340350360370380390400410420430440450460470480OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20ETF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35450240CLOSE30OIPCR22042040430200180254101601402039012010015370080060103500402022-08-102022-10-252022-12-302022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222023-01-102023-01-182023-02-022023-02-102023-02-202022-08-192022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-142022-12-232023-01-042023-01-132023-01-312023-02-092023-02-202022-08-10IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图700080060006004005000200400003000-2002000-4001000-600430043003200320033003400350036003700380039004000410042004400450046004700420042003300330034003500360037003800390040004100430044004500460047000-8003200OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-09-082022-11-152023-01-132022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20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354800160CLOSE304600OIPCR140440012025413349420010020400008015380006036000401034000202022-09-142022-08-102022-08-182022-08-262022-09-052022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202022-09-292022-08-192022-08-302022-09-082022-09-202022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-142022-12-232023-01-042023-01-132023-01-312023-02-092023-02-202022-08-10IMPVMA20UPLOW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