核心观点
　　今日股指走势延续震荡整理，有所分化，大盘股相关的指数走势偏弱。两市近2600只个股下跌，两市全天成交额7833亿元，北向资金净卖出46.39亿元。最新的美国经济数据与通胀数据支撑美联储维持鹰派加息，海外流动性预期发生调整，抑制外资的风险偏好，北向资金的流入明显放缓。随着两会临近，对政策面的利好预期将逐渐升温，国内政策面聚焦于扩大内需,稳增长政策背景下股票盈利修复预期仍强烈,加上目前股指估值水平较低，短期震荡整固后股指中长期仍向上。
　　目前期权隐含波动率逐渐回落至较低的分位数水平，市场回调并未带动认沽期权波动率上行说明市场信心仍充足。虽然近期浮盈资金止盈带动股指短线回调，但考虑到股指中长期仍保持上涨趋势，可以逢回调布局相关期权品种的牛市价差策略或者买入跨式策略进行做多标的或者做多波动率。
　　

研究报告全文：金融期权日报专业研究创造价值2023年2月22日金融期权短期内股指维持震荡整理核心观点今日股指走势延续震荡整理有所分化大盘股相关的指数走势偏弱两市近2600只个股下跌两市全天成交额7833亿元北向资金净卖出4639亿元最新的美国经济数据与通胀数据支撑美联储维持鹰派加息海外流动性预期发生调整抑制外资的风险偏好北向资金的流入明显放缓随着两会临近对政策面的利好预期将逐渐升温国内政策面聚焦于扩大内需稳增长政策背景下股票盈利修复预期仍强烈加上目前股指估值水平较低短期震荡整固后股指中长期仍向上宝城期货研究所目前期权隐含波动率逐渐回落至较低的分位数水平市场回调并未带动认沽期权波动率上行说明市场信心仍充足虽然近期浮盈资金止盈带动股指短线投资咨询团队回调但考虑到股指中长期仍保持上涨趋势可以逢回调布局相关期权品种的牛市价差策略或者买入跨式策略进行做多标的或者做多波动率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新闻动态中共中央政治局2月21日召开会议决定今年2月26日至28日在北京召开中国共产党第二十届中央委员会第二次全体会议央行今日进行3000亿元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970亿元2期权指标2023年02月22日50ETF跌132收于2775300ETF上交所跌097收于4099300ETF深交所跌095收于4173沪深300指数跌090收于410695中证1000指数涨011收于699843500ETF上交所跌009收于6389500ETF深交所跌006收于6514创业板ETF跌075收于2377上证50ETF期权成交量PCR为9624上一交易日成交量PCR为8950持仓量PCR为9482上一交易日持仓量PCR为10444上交所3000ETF期权成交量PCR为10342上一交易日成交量PCR为9571持仓量PCR为10385上一交易日持仓量PCR为11094深交所300ETF期权成交量PCR为11572上一交易日成交量PCR为10047持仓量PCR为10718上一交易日持仓量PCR为10689中金所沪深300指数期权成交量PCR为8771上一交易日成交量PCR为8282持仓量PCR为9910上一交易日持仓量PCR为10256中金所中证1000指数期权成交量PCR为8372上一交易日成交量PCR为8668持仓量PCR为8270上一交易日持仓量PCR为7983上交所中证500ETF期权成交量PCR为8401上一交易日成交量PCR为8719持仓量PCR为10756上一交易日持仓量PCR为10803深交所中证500ETF期权成交量PCR为7031上一交易日成交量PCR为7627持仓量PCR为8883上一交易日持仓量PCR为9612创业板ETF期权成交量PCR为11289上一交易日成交量PCR为10165持仓量PCR为6975上一交易日持仓量PCR为7361上证50ETF期权2023年03月平值期权隐含波动率为1745标的30交易日历史波动率为1552上交所300ETF期权2023年03月平值期权隐含波动率为1700标的30交易日历史波动率为1481深交所300ETF期权2023年03月平值期权隐含波动率为1730标的30交易日历史波动率为1484中金所沪深300指数期权2023年03月平值期权隐含波动率为1688标的30交易日历史波动率为1521中金所中证1000指数期权2023年03月平值期权隐含波动率为1676标的30交易日历史波动率为1250上交所中证500ETF期权2023年03月平值期权隐含波动率为1394标的30交易日历史波动率为1136深交所中证500ETF期权2023年03月平值期权隐含波动率为1577标的30交易日历史波动率为1138创业板ETF期权2023年03月平值期权隐含波动率为2224标的30交易日历史波动率为1924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45200050001800450041600400014003512003500100030003800250060025400200020015002010002022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262023-01-312021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252022-12-192023-01-162023-02-17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7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-08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62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192023-01-162023-02-172021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262023-01-312021-01-042021-12-292022-01-272022-03-032022-03-31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50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-08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600040045003504000550030035002505000300020045001502500200040001005015003500010002021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192023-01-162023-02-172021-02-012021-03-082021-04-062021-05-072021-06-042021-08-022021-08-302021-09-292021-11-032021-12-012022-03-032022-03-312022-05-052022-06-022022-07-012022-08-262022-09-262022-10-312022-11-282022-12-262021-01-042021-07-052021-12-292022-01-272022-07-292023-01-31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8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-08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6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-292021-03-042021-03-312021-04-282021-05-282021-06-252021-07-222021-08-182021-09-142021-10-202021-11-162021-12-132022-01-102022-02-112022-03-102022-04-082022-05-102022-06-072022-07-042022-07-292022-08-252022-09-222022-10-262022-11-222022-12-192023-01-162023-02-172021-01-042021-02-022021-04-092021-05-132021-06-112021-08-112021-09-092021-10-192021-12-162022-01-172022-03-232022-04-252022-05-272022-07-272022-08-252022-09-262022-11-302022-12-292023-02-062021-03-102021-07-132021-11-172022-02-222022-06-282022-11-01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400000140003000001400035000012000250000120003000001000020000010000250000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-082021-01-042021-02-032021-03-122021-04-142021-05-192021-06-212021-07-212021-08-202021-09-232021-11-012021-12-012021-12-312022-02-092022-03-112022-04-142022-05-192022-06-212022-07-212022-08-222022-09-222022-10-312022-11-302022-12-302023-02-08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7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172022-07-222022-08-012022-08-252022-09-022022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-11-252022-12-212022-12-292023-01-092023-01-172023-02-012023-02-172022-08-092022-08-172022-10-142022-12-052022-12-132023-02-09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180000160009000014000160000140008000012000140000700001200010000120000100006000010000080008000500008000040000600060000600030000400004000200004000200002000100002000000000002022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-17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70066002800600640026005006200240022004006000200030058001800200560016001400100540012000520010002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292023-01-052023-01-112023-01-172023-01-302023-02-032023-02-092023-02-152023-02-212022-09-192022-09-262022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-10-102022-10-172022-10-242022-10-312022-11-072022-11-14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500ETF持仓量PCR500ETF期权上交所500ETF期权上交所80000014000140000020000700000120000012000150006000001000010000005000008000008000100004000006000003000006000400000500020000040002000001000002000000000002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-21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811请务必阅读文末免责条款金融期权日报深交所500ETF期权图25深交所500ETF走势图26深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所2506600280064002600200240062002200150600020001005800180056001600501400540012000520010002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-09-192022-09-232022-09-292022-10-182022-10-242022-10-282022-11-092022-11-152022-11-212022-12-012022-12-072022-12-132022-12-232022-12-292023-01-052023-01-172023-01-302023-02-032023-02-152023-02-212022-10-122022-11-032022-11-252022-12-192023-01-112023-02-09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27深交所500ETF期权成交量PCR图28深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所300000200002500002000025000020000015000150002000001500001500001000010000100000100000500050005000050000000000002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-21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911请务必阅读文末免责条款金融期权日报创业板ETF期权图29创业板ETF走势图30创业板ETF期权波动率创业板ETF期权创业板ETF期权120026003900250010003400800240023002900600220024004002100200200019000190014002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292023-01-052023-01-112023-01-172023-01-302023-02-032023-02-092023-02-152023-02-212022-09-192022-09-262022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-10-102022-10-172022-10-242022-10-312022-11-072022-11-14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31创业板ETF期权成交量PCR图32创业板ETF持仓量PCR创业板ETF期权创业板ETF期权1800000140008000002000016000001200070000014000001000060000015000120000050000010000008000400000100008000006000600000300000400000400020000050002000002000100000000000002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-21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1011请务必阅读文末免责条款金融期权日报投资咨询团队简介获取每日期货策略推送服务国家走向世界诚信至上合规经营知行合一专业敬业严谨管理开拓进取扫码关注宝城期货官方微信期货咨询尽在掌握免责条款客户不应视本报告为作出投资决策的唯一因素本报告中所指的投资及服务可能不适合个别客户不构成客户私人咨询建议本公司未确保本报告充分考虑到个别客户特殊的投资目标财务状况或需要本公司建议客户应考虑本报告的任何意见或建议是否符合其特定状况以及若有必要咨询独立投资顾问在任何情况下本报告中的信息或所表述的意见并不构成对任何人的投资建议在任何情况下本公司不对任何人因使用本报告中的任何内容所引致的任何损失负任何责任若本报告的接收人非本公司的客户应在基于本报告作出任何投资决定或就本报告要求任何解释前咨询独立投资顾问专业研究创造价值1111请务必阅读文末免责条款