【行情要点】
　　市场行情：日线上看，金融期权标的上证50ETF上周反弹上升受阻回落，延续两周多以来的宽幅矩形区间盘整震荡下方有55天均线支撑；沪深300指数近两周以来围绕20天均线上下波动；中证1000指数先扬后抑沿着偏多头趋势方向上震荡上行，而后上升受阻回落，下方有55天均线和中期趋势方向支撑。截止上周五收盘，上证50ETF周涨幅0.55%报收于2.736；上证300ETF周涨幅0.76%报收于4.060；深证300ETF周涨幅0.75%报收于4.130；沪深300指数周涨幅0.65%报收于4061.05，中证1000指数周涨幅1.10%报收于6944.82。

研究报告全文：金融期权周报期权研究2023年2月27日星期一行情要点日线上看金融期权标的上证50ETF上周反弹上升受阻回落延续两周多以来的宽幅矩形区间盘整震荡下方有55天均线支撑沪深300指数近两周以来围绕20天均线上下波动中证1000指数先扬后抑沿着偏多头趋势方向上震荡上行而后上升受阻回落下方有55天均线和中期趋势方向支撑截止上周五收盘上证50ETF周涨幅055报收于2736上证300ETF周涨幅076报收于4060深证300ETF周涨幅075报收于4130沪深300指数周涨幅065报收卢品先于406105中证1000指数周涨幅110报收于694482投研经理期权盘面0755-23375252上周上证50ETF期权日均成交量大幅增加而其他金融期权日均成交量则小幅变化增减不一其中上lupxwkqhcn证50ETF期权增加2261万张至25103万张上证300ETF期权增加658万张至15521万张深证300ETF期权减少014万从业资格号张至1979万张沪深300股指期权减少381万张至752万张中证1000股指期权减少347万张至417万张上周金融期权上证50ETF期权和上证300ETF期权日均持仓量则大幅减少而沪深300股指期权和中证F30473211000股指期权日均持仓量减少幅度不大其中上证50ETF期权减少1830万张至22524万张上证300ETF期权减少963交易咨询号万张至15623万张深证300ETF期权减少200万张至2368万张沪深300股指期权减少271万张至1314万张中证Z00155411000股指期权减少192万张至572万张上周金融期权隐含波动率主要表现持续维持在较低水平小幅波动截止上周五上证50ETF期权隐含波动率为1793上证300ETF期权隐含波动率为1670深证300ETF期权隐含波动率为1737沪深300股指期权隐含波动率为1657中证1000股指期权隐含波动率为1655成交量PCR期权的成交量PCR是站在期权的买方角度看待市场的表现表示的是市场情绪指标一般认为成交量PCR越大投资者情绪越悲观成交量PCR越小投资者情绪越乐观上证50ETF期权成交量PCR报收于102上证300ETF期权成交量PCR报收于098深证300ETF期权成交量PCR报收于090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081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上周五上证50ETF期权持仓量PCR快速上涨后直线下降报收于080上证300ETF期权持仓量PCR报收于090深证300ETF期权持仓量PCR报收于105沪深300股指期权持仓量PCR报收于079中证1000股指期权持仓量PCR报收于098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期权卖方的角度分析市场行情的压力点和支撑点截至上周五收盘从期权的角度看上证50ETF的压力点为280和支撑点为270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420沪深300指数的压力点4200和支撑点为4000中证1000指数的压力点7000和支撑点为6900结论与操作建议1上证50ETF期权上证50ETF维持两周多以来的宽幅矩形区间盘整震荡上方有前期高点压力而下方有60天均线支撑形成短期弱势中期趋势方向向上的市场行情走势形态期权隐含波动率延续较低水平小幅波动期权持仓量PCR直线上升后快速回落操作建议构建卖出3月份偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情急速大涨则平仓离场如上证50ETF期权即S510050P2303M0265010S510050P2303M0270010和S510050C2303M0275010S510050C2303M02800102上证300ETF期权上证300ETF上周震荡上行反弹上升受阻回落延续前期的宽幅矩形区间盘整震荡市场行情格局期权隐含波动率维持较低水平窄幅波动期权持仓量PCR快速上升后急速下降表现为短期市场行情偏弱势的盘整震荡信号操作建议构建卖出3月份期权的DELTA中性组合策略获取时间价值根据市场行情变化动态地调整持仓DELTA使得持仓保持中性若市场行情快速大涨或大跌策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2303M0390010S510300P2303M0400010和S510300CP2303M0410010S510300C2303M04200103中证1000股指期权中证1000指数上周表现为先扬后抑反弹上升受阻回落维持前一周以来的区间盘整形态而下方有中期趋势方向支撑整体市场行情表现为下方有支撑的弱势盘整震荡中证1000股指期权隐含波动率窄幅波动期权持仓量PCR小幅波动操作建议构建3月份偏空头的卖方期权组合策略获取方向性和时间价值收益若市场行情急速大涨则逐渐平仓离场如ZZ1000股指期权SMO2303-P-690010SMO2303-P-680010和SMO2303-C-710010SMO2303-C-700010市场周行情概要市场行情涨跌幅标的简称收盘价涨跌日均成交量万增减万日均成交额亿SH50ETF273600015005598283394462728SH300ETF40600003100766675494602731SZ300ETF413000031007512400-7300517HS30040610526538706512328亿-200221957ZZ100069448276276311014897亿-240000180042期权量仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化CallPut合计变化SH50ETF1264112462251032261113851113922524-1830SH300ETF77537769155216587567805615623-963SZ300ETF9829971979-014114312252368-200HS300406346752-3816656491314-271ZZ1000220197417-347314258572-192期权日行情概要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SH50ETF2750004800056527415-00388-14000055SH300ETF4100013970147040927-00863-20700327SZ300ETF4100009080058741321-00454-10900021HS30040500072205580406640-4300-105535ZZ1000690000120809700692380-1920-028-2102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SH50ETF177818091793179718581736182023-03-22SH300ETF164117011670167017361604182023-03-22SZ300ETF169417861737173518161654182023-03-22HS300165416601657165617061606152023-03-17ZZ1000159217321655210824691747152023-03-17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SH50ETF937997954800102015864196689775080-013SH300ETF496150486125098010539070483264090-006SZ300ETF9250083133090-0048669590627105002HS30039028341590880135094540452079-011ZZ10002291718646081-0181923818765098-001数据来源wind资讯五矿期货期权事业部标的价量关系图1SH50ETF走势图2901750成交量万收盘价2802736015002701250260100025075024050023025022002022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24图2SH300ETF走势图4402000成交量万收盘价420406001500400100038050036034002022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-08-192022-11-162022-11-242023-02-132023-02-212022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-24图4沪深300走势图4300250成交量亿收盘价4200406105410020040001503900380010037003600503500340002022-09-092022-10-212022-11-242022-12-282022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图18000030000160000250002000014000015000120000100001000005000800000-500060000-1000040000-1500020000-20000-250002802802452452502552602652702752852902953003103200240310310240240245250255260265270275280285290295300320OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-10-102022-12-122022-12-282022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24ETF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32200CLOSE3531OIPCR1803030160291402528273601202720100260801525060241023040220202022-12-022022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-16IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图120000150001000001000080000500060000040000-500020000-100000340340350360370380390400410420430440450460470330330-15000450450330330340350360370380390400410420430440460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-10-182023-02-032022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-24ETF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3046240CLOSE2202544OIPCR2004060018042201604014012015381000803610060340402022-09-012023-02-082022-08-162022-08-242022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-162023-02-242022-08-162022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-26IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图25000500040002000030001500020001000100000-10005000-2000-30004204203503503603703803904004104304404504604704800340450450340340350360370380390400410420430440460470480OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-10-312023-01-112022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24ETF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35460240CLOSE30OIPCR22044020041300251804201602040014012038010015080360060103400402022-08-162022-08-252022-09-052022-09-152022-09-262022-10-122022-10-212022-11-012022-11-102022-11-212022-11-302022-12-092022-12-202022-12-292023-01-102023-01-192023-02-062023-02-152023-02-242022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-16IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图900014008000120070001000800600060050004004000200300002000-2001000-400350035004400340034003600370038003900400041004200430044004500460047003300340035003600370038003900400041004200430045004600470003300-600OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24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304800150CLOSEOIPCR2546001304400110204200406105090400015070380036000501034000302022-09-012023-02-082022-08-162022-08-242022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-162023-02-24IMPVMA20UPLOW2023-01-062022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-182023-02-062023-02-16策略应用和分析上证50ETF日行情K线图投资策略和到期损益图上证50ETF维持两周多以来的宽幅矩形区间盘整震荡上方有前期高点压力而下方有60天均线支撑形成短期弱势中期趋势方向向上的市场行情走势形态期权隐含波动率延续较低水平小幅波动期权持仓量PCR直线上升后快速回落操作建议构建卖出3月份偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情急速大涨则平仓离场如上证50ETF期权即S510050P2303M0265010S510050P2303M0270010和S510050C2303M0275010S510050C2303M0280010到期损益图如下策略应用和分析上证300ETF日行情K线图投资策略和到期损益图上证300ETF上周震荡上行反弹上升受阻回落延续前期的宽幅矩形区间盘整震荡市场行情格局期权隐含波动率维持较低水平窄幅波动期权持仓量PCR快速上升后急速下降表现为短期市场行情偏弱势的盘整震荡信号操作建议构建卖出3月份期权的DELTA中性组合策略获取时间价值根据市场行情变化动态地调整持仓DELTA使得持仓保持中性若市场行情快速大涨或大跌策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2303M0390010S510300P2303M0400010和S510300CP2303M0410010S510300C2303M0410010到期损益图如下策略应用和分析中证1000指数日行情K线图投资策略和到期损益图中证1000指数上周表现为先扬后抑反弹上升受阻回落维持前一周以来的区间盘整形态而下方有中期趋势方向支撑整体市场行情表现为下方有支撑的弱势盘整震荡中证1000股指期权隐含波动率窄幅波动期权持仓量PCR小幅波动操作建议构建3月份偏空头的卖方期权组合策略获取方向性和时间价值收益若市场行情急速大涨则逐渐平仓离场如ZZ1000股指期权SMO2303-P-670010SMO2303-P-680010和SMO2303-C-690010SMO2303-C-700010到期损益图如下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