【行情要点】
　　市场行情
　　日线上看，金融期权标的上证50ETF连续六天报收阴线，上周以来急速下跌，形成单边空头趋势；沪深300指数上周盘整震荡后连续大幅下跌回落，跌破两个月以来的低点，市场行情短期偏向空头弱势；中证1000指数延续近三周以来的矩形区间盘整，而后跌破区间下限，市场转向弱势，下方有55天均线支撑。截止上周五收盘，上证50ETF周跌幅5.19%报收于2.642；上证300ETF周跌幅4.12%报收于3.961；深证300ETF周跌幅4.04%报收于4.033；沪深300指数周跌幅4.12%报收于3967.14，中证1000指数周跌幅2.50%报收于6798.30。
　　

研究报告全文：金融期权周报期权研究2023年3月13日星期一行情要点日线上看金融期权标的上证50ETF连续六天报收阴线上周以来急速下跌形成单边空头趋势沪深300指数上周盘整震荡后连续大幅下跌回落跌破两个月以来的低点市场行情短期偏向空头弱势中证1000指数延续近三周以来的矩形区间盘整而后跌破区间下限市场转向弱势下方有55天均线支撑截止上周五收盘上证50ETF周跌幅519报收于2642上证300ETF周跌幅412报收于3961深证300ETF周跌幅404报收于4033沪深300指数卢品先周跌幅412报收于396714中证1000指数周跌幅250报收于679830投研经理期权盘面0755-23375252上周金融ETFF期权日均成交量大幅度增加而股指期权日均成交量增加幅度较小其中上证50ETF期lupxwkqhcn权增加4421万张至22459万张上证300ETF期权增加2212万张至13726万张深证300ETF期权增加309万张至1990从业资格号万张沪深300股指期权增加322万张至1089万张中证1000股指期权增加172万张至656万张上周金融ETF期权日均持仓量普遍增加而沪深300股指期权和中证1000股指期权日均持仓量有所增F3047321加其中上证50ETF期权增加2831万张至24715万张上证300ETF期权增加1430万张至16592万张深证300ETF期权交易咨询号增加314万张至2701万张沪深300股指期权增加138万张至1669万张中证1000股指期权增加096万张至763万张Z0015541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有所反弹上升截止上周五上证50ETF期权隐含波动率为1956上证300ETF期权隐含波动率为1751深证300ETF期权隐含波动率为1802沪深300股指期权隐含波动率为1755中证1000股指期权隐含波动率为1717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095上证300ETF期权成交量PCR报收于108深证300ETF期权成交量PCR报收于113沪深300股指期权成交量PCR报收于078中证1000股指期权成交量PCR报收于106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快速下跌报收于056上证300ETF期权持仓量PCR报收于078深证300ETF期权持仓量PCR报收于079沪深300股指期权持仓量PCR报收于065中证1000股指期权持仓量PCR报收于100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265上证300ETF的压力点为420和支撑点为400深证300ETF的压力点为430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6800结论与操作建议1上证50ETF期权上证50ETF连续六天阴线下跌跌破维持三周以来宽幅矩形区间的下限形成短期较为明显的空头下跌趋势期权隐含波动率有所反弹上升仍延续较低水平期权持仓量PCR急速下降至060以下表明市场情绪不浓操作建议构建3月份认购期权熊市价差组合策略获取方向性收益若市场行情急速反弹大涨至低行权价则平仓离场如上证50ETF期权即B510050P2303M0275010B510050P2303M0270010和S510050C2303M0255010S510050C2303M02500102上证300ETF期权上证300ETF上周盘整震荡后连续大幅下跌回落跌破两个月以来的低点市场行情短期偏向空头弱势期权隐含波动率维持较低水平窄幅波动期权持仓量PCR直线下跌至较低水平表现为短期市场行情空头信号较浓操作建议构建卖出3月份偏空头期权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DELTA保持负值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S510300P2303M038010S510300P2303M0390010和S510300CP2303M0400010S510300C2303M04100103中证1000股指期权中证1000指数延续近三周以来的矩形区间盘整而后跌破区间下限市场转向弱势下方有55天均线支撑形成下方有支撑的短期空头弱势中证1000股指期权隐含波动率小幅回升期权持仓量PCR逐渐下降回落至100附近操作建议构建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和方向性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-670010和SMO2303-C-680010SMO2303-C-690010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SH50ETF26420-01370-51977591-206922098SH300ETF39610-01630-41258826-79282384SZ300ETF40330-01620-40212364-036509HS300396714-1634161-41214344亿1000233451ZZ1000679830-1696413-25013967亿-80000172551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SH50ETF11388110712245944211398610729247152831SH300ETF6907682013726221284708122165921430SZ300ETF95810321990309137313282701314HS30061447410893229177531669138ZZ1000336321656172405359763096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SH50ETF2650003220037626446-00375-14000026SH300ETF4000009550105339902-01106-27000292SZ300ETF4000007010036840333-00563-13800003HS30039500046002980396620-5660-141-094ZZ100068000068006600680200-7860-114370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SH50ETF19651947195617701836170582023-03-22SH300ETF17691735175116471709158682023-03-22SZ300ETF18421766180217011782162082023-03-22HS30017731732175516411685159752023-03-17ZZ100016931740171720772446170752023-03-17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SH50ETF10457479934790950091246075696047056-003SH300ETF635399685462108017648348503357078-004SZ300ETF105564119710113-00111622292106079-005HS30063222493860780126039839071065-002ZZ100037974401801060102183721861100-001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2801500270264201250260100025075024050023025022002022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10图2SH300ETF走势图4302000成交量万收盘价420410396101500400390100038037036050035034002022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10图3中证1000走势图7500250成交量亿收盘价700020065001506000100550050500002022-09-022022-11-302022-12-082023-02-272023-03-072022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-03-022023-03-10图4沪深300走势图4300250成交量亿收盘价4200200410039671440001503900380010037003600503500340002022-09-262022-11-042022-12-082023-01-122022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图25000040000300002000002000015000010000100000050000-10000-200002402402452502552602652702752802852902953003103200235290290235235240245250255260265270275280285295300310320OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-10-242022-12-262023-01-122022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10ETF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32200CLOSE3531OIPCR1803030160291402528120272026420100260801525060241023040220202022-12-162022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-03-102022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282023-01-102023-01-202023-02-082023-02-202023-03-022022-08-30IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图16000025000140000200001200001500010000100000500080000060000-500040000-1000020000-150000380380440320320330340350360370390400410420430450460470480490310310-20000350350480310310320330340360370380390400410420430440450460470490OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-11-012023-02-172022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-222023-02-272023-03-022023-03-072023-03-10ETF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3046240CLOSE2202544OIPCR2001804220396101604014012015381000803610060340402022-09-162023-02-222022-08-302022-09-072022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-03-022023-03-102022-08-302022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282023-01-102023-01-202023-02-082023-02-202023-03-022022-09-09IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图3000030002500250002000150020000100015000500010000-500-10005000-1500-20003703703203203303403503603803904004104204304404504604704804900310400400310310320330340350360370380390410420430440450460470480490OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-11-142023-02-012022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10ETF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35460240CLOSE30OIPCR22044020025180420403301602040014012038010015080360060103400402022-08-302022-09-082022-09-202022-09-292022-10-172022-10-262022-11-042022-11-152022-11-242022-12-052022-12-142022-12-232023-01-042023-01-132023-01-312023-02-092023-02-202023-03-012023-03-102022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-12-162022-12-282023-01-102023-01-202023-02-082023-02-202023-03-022022-08-30IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图1200020001500100001000800050060000-5004000-10002000-1500330033003700300030003100320034003500360038003900400041004200430044004500460047004800490050005200440044003100310032003300340035003600370038003900400041004200430045004600470048004900500052000-20003000OIPOICOICHANGEPOICHANGECHS300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4800450042003900360033002022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-10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304800150CLOSEOIPCR2546001304400110204200396714090400015070380036000501034000302022-09-162023-02-222022-08-302022-09-072022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022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