【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情高开低走后弱势盘整，午后所有反弹；上证300ETF日内行情高开后窄幅盘整震荡，快速回落后直线回升，午后窄幅波动至收盘；中证1000指数日内行情高开低走后小幅波动，而后快速下跌有急速上升，午后窄幅盘整至收尾；日线上看，上证50ETF上周上升受阻回落连续大幅下跌，跌破近两周多以来的宽幅矩形区间下限，破位下行，延续弱势偏空头趋势；上证300ETF延续弱势偏空头市场行情走势；中证1000指数本周以来跌破前两周宽幅震荡区间的下限，市场行情转弱势，而后跌幅收窄。截至昨日收盘，上证50ETF跌幅0.70%报收于2.678，上证300ETF跌幅0.25%报收于4.016，深证300ETF跌幅0.27%报收于4.087，沪深300指数跌幅0.35%报收于4019.85，中证1000指数涨幅0.02%报收于6892.86。

研究报告全文：金融期权日报期权研究2023年3月10日星期五行情要点市场行情金融期权标的上证50ETF日内行情高开低走后弱势盘整午后所有反弹上证300ETF日内行情高开后窄幅盘整震荡快速回落后直线回升午后窄幅波动至收盘中证1000指数日内行情高开低走后小幅波动而后快速下跌有急速上升午后窄幅盘整至收尾日线上看上证50ETF上周上升受阻回落连续大幅下跌跌破近两周多以来的宽幅矩形区间下限破位下行延续弱势偏空头趋势上证300ETF延续弱势偏空头市场行情走势中证1000指数本周以来跌破前两周宽幅震荡区间的下限市场行情转弱势而后跌幅收卢品先窄截至昨日收盘上证50ETF跌幅070报收于2678上证300ETF跌幅025报收于4016深证300ETF跌投研经理幅027报收于4087沪深300指数跌幅035报收于401985中证1000指数涨幅002报收于6892860755-23375252lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融ETF期权和股指期权隐含波动率低位窄幅波动有所回升其中上证从业资格号50ETF期权隐含波动率上升014报收于1803上证300ETF期权隐含波动率上升015报收于1641深证F3047321300ETF期权隐含波动率上升025报收于1706沪深300股指期权隐含波动率上升001报收于1673中交易咨询号证1000股指期权隐含波动率上升006报收于1626Z0015541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091深证300ETF期权成交量PCR报收于115沪深300股指期权成交量PCR报收于066中证1000股指期权成交量PCR报收于096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持续下降至较低位置报收于059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085沪深300股指期权持仓量PCR报收于066中证1000股指期权持仓量PCR小幅盘整报收于101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的压力点行权价为280和支撑点下移一个行权价至270上证300ETF的压力点为420和支撑点为400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4300中证1000指数的压力点行权价为7000结论与策略建议1上证50ETF期权上证50ETF上周上升受阻回落连续大幅下跌跌破近两周多以来的宽幅矩形区间下限破位下行形成短期较为空头市场行情格局期权隐含波动率较低水平窄幅波动期权持仓量PCR持续下降操作建议构建卖出3月份认购认沽空头期权组合策略获取时间价值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S510050P2303M0265010S510050P2303M0260010和S510050C2303M0275010S510050C2303M02700102上证300ETF期权上证300ETF延续宽幅矩形区间弱势震荡而后逐渐下跌市场行情偏向空头期权隐含波动率维持较低水平窄幅波动期权持仓量PCR小幅盘整操作建议构建卖出3月份期权的DELTA为负值的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策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2303M0390010S510300P2303M0400010和S510300CP2303M0410010S510300C2303M04000103中证1000股指期权中证1000指数本周跌破前两周以来宽幅震荡区间的下限市场行情转弱势而后低位盘整中证1000股指期权隐含波动率窄幅波动期权持仓量PCR快速下跌操作建议构建3月份认沽期权反向比率套利策略获取方向性收益若市场行情处于重回震荡区间策略面临亏损则平仓离场如ZZ1000股指期权BMO2303-P-680010BMO2303-P-680010和SMO2303-P-700010235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SH50ETF510050SH26780-00190-070925182482SH300ETF510300SH40160-00100-025407941639SZ300ETF159919SZ40870-00110-02710129414HS300000300SH401985-1426-035117亿201738ZZ1000000852SH689286140002127亿155909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SH50ETF2700002780045726821-00184-06800041SH300ETF4000015940058641008-00266-06400848SZ300ETF4100004650056940896-00142-03500026HS30040000051802900402280-1200-030295ZZ100069000058407780688060580008-1226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SH50ETF182517781803175818081709132023-03-22SH300ETF166316401652163916971581132023-03-22SZ300ETF172016941706169317711615132023-03-22HS30017051623167216311670159282023-03-17ZZ100015851668162620792448170982023-03-17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SH50ETF895551767245086-0151181146698071059-007SH300ETF477366435426091-005646078530473082001SZ300ETF7115281664115-00511024193321085-003HS3004999433141066-0146067240215066000ZZ10002482723748096-0042205022374101003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200017503001500280267801250100026075050024025022002022-11-082022-12-232022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图2SH300ETF走势图4602100成交量万收盘价4401800150042040160120040090038060036030034002022-09-012022-11-212023-01-192022-08-292022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图3SZ300ETF走势图480420成交量万收盘价460360440300408704202404001803801203606034002022-09-092022-10-212022-11-242022-12-282023-02-082022-08-292022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图4沪深300走势图4800250成交量亿收盘价46002004400420040198515040001003800503600340002022-09-152022-12-072023-03-012022-08-292022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-062023-03-09SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图20000050000180000400001600001400003000012000020000100000100008000060000040000-1000020000-200002502502852402402452552602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