【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情低开高走冲高回落后窄幅盘整震荡；上证300ETF日内行情低开高走冲高后快速下降，而后逐渐上升至收盘；中证1000指数日内行情低开高走快速上升后直线下降，午后稳步上涨；日线上看，上证50ETF上升受阻回落连续大幅下跌，跌破近前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，昨日超跌反弹小幅回升；上证300ETF上周连续报收阴线破位下行，昨日低位反弹，仍延续弱势偏空头市场行情走势；中证1000指数上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涨幅1.02%报收于2.69，上证300ETF涨幅1.11%报收于4.005，深证300ETF涨幅1.02%报收于4.074，沪深300指数涨幅1.05%报收于4008.69，中证1000指数涨幅0.50%报收于6832.62。
　　

研究报告全文：金融期权日报期权研究2023年3月14日星期二行情要点市场行情金融期权标的上证50ETF日内行情低开高走冲高回落后窄幅盘整震荡上证300ETF日内行情低开高走冲高后快速下降而后逐渐上升至收盘中证1000指数日内行情低开高走快速上升后直线下降午后稳步上涨日线上看上证50ETF上升受阻回落连续大幅下跌跌破近前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昨日超跌反弹小幅回升上证300ETF上周连续报收阴线破位下行昨日低位反弹仍延续弱势偏空头市场行情走势中证1000指数上周以来跌破前两周宽幅震荡区间的下限市场行卢品先情转弱势而后跌幅收窄截至昨日收盘上证50ETF涨幅102报收于269上证300ETF涨幅111报收于投研经理4005深证300ETF涨幅102报收于4074沪深300指数涨幅105报收于400869中证1000指数涨幅0755-23375252050报收于683262lupxwkjyqhcom期权盘面从业资格号隐含波动率截止昨日收盘金融ETF期权隐含波动率普遍有所下降而股指期权隐含波动率小幅波动F3047321升降不一其中上证50ETF期权隐含波动率下降166报收于1791上证300ETF期权隐含波动率下降105交易咨询号报收于1647深证300ETF期权隐含波动率下降158报收于1644沪深300股指期权隐含波动率下降Z0015541113报收于1642中证1000股指期权隐含波动率上升050报收于1667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085上证300ETF期权成交量PCR报收于097深证300ETF期权成交量PCR报收于101沪深300股指期权成交量PCR报收于080中证1000股指期权成交量PCR报收于112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082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小幅盘整报收于097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265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390沪深300指数的压力点为4200中证1000指数的压力点行权价为7000和支撑点行权价位6800结论与策略建议1上证50ETF期权上证50ETF上周连续报收阴线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昨日有所反弹仍未改变短期较为空头市场行情格局期权隐含波动率逐渐下降回落期权持仓量PCR维持在较低水平盘整操作建议构建卖出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S510050C2303M0265010S510050C2303M02700102上证300ETF期权上证300ETF上周连续报收阴线破位下行昨日低位反弹仍延续弱势偏空头市场行情走势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中证1000股指期权隐含波动率窄幅波动期权持仓量PCR持续下跌操作建议构建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-6780010BMO2303-P-670010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SH50ETF510050SH2669000270102579291544SH300ETF510300SH4005000440111467451866SZ300ETF159919SZ40740004101028098329HS300000300SH4008694155105144亿242866ZZ1000000852SH6832623432050141亿176171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SH50ETF26500043300213267200027410400030SH300ETF40000133700560407770087521900727SZ300ETF41000034100550407910045811400051HS300400000360026004010004380110131ZZ1000680000758045206830602860042-202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SH50ETF18131765179117711837170692023-03-22SH300ETF16381656164716511710159192023-03-22SZ300ETF16181669164417021782162192023-03-22HS30016241664164216441686160242023-03-17ZZ100017671768176720752444170542023-03-17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SH50ETF886310756692085-0101184708695685059003SH300ETF525390507005097-011599501491400082004SZ300ETF8745987906101-01311182491966082003HS30052869425320800025788737591065000ZZ100030370341601120072123120533097-003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200017503001500280266901250100026075050024025022002022-11-102022-12-272022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图2SH300ETF走势图4402100成交量万收盘价1800420400501500400120038090060036030034002022-09-052022-11-232023-01-302022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图3SZ300ETF走势图440420成交量万收盘价360420407403004002403801801203606034002022-09-142022-10-252022-11-282022-12-302023-02-102022-08-312022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图4沪深300走势图4400250成交量亿收盘价420020040086940001503800100360050340002022-09-192022-12-092023-03-032022-08-312022-09-052022-09-082022-09-142022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-13SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图2000002000018000015000160000100001400001200005000100000080000-500060000-100004000020000-15000-200002502502852402402452552602652702752802902953003100235290290235235240245250255260265270275280285295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-11-072022-12-302022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13ETF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32200CLOSE3531OIPCR1803016030291402528120272669020100260802515060241023040220202022-10-282022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-01-052022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-162023-02-012023-02-102023-02-212023-03-022023-03-13IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图16000050001400000120000100000-50008000060000-1000040000-15000200000-20000420420370310310320330340350360370380390400410430440450460470480490310320330340350360380390400410420430440450460470480490OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-09-302023-01-052023-02-152022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13ETF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3548240CLOSE3022046OIPCR20025441804240050160140204012015381000803606010340402022-09-272022-12-012023-02-072022-08-312022-09-082022-09-192022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-152023-02-232023-03-032023-03-132023-01-052022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132022-08-31IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图300001500100025000500020000-50015000-1000-150010000-2000-25005000-3000-35004704703203203303403503603703803904004104204304404504600310310310320330340350360370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-09-302022-12-092023-02-202022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-13ETF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35450240CLOSE30OIPCR22043020040740180254101601402039012010015370080060103500402022-08-312022-11-152023-01-302022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-02-072023-02-152023-02-232023-03-032023-03-132022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132022-08-31IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图1200040010000200800006000-2004000-4002000-60033003300370041004500490030003000310032003400350036003800390040004200430044004600470048005000520031003100320033003400350036003700380039004000410042004300440045004600470048004900500052000-8003000OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-09-302022-12-062023-02-102022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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354800160CLOSE304600OIPCR140440012025420010040086920400008015380006036000401034000202022-10-122022-08-312022-09-082022-09-192022-09-272022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132022-10-272022-09-092022-09-212022-09-302022-10-182022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132022-08-31IMPVMA20UPLOW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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