【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情低开低走反弹回升后窄幅盘整震荡；上证300ETF日内行情低开低走一路下行，午后有所反弹回升；中证1000指数日内行情低开低走单边下行，而后“V”型反转快速上升后小幅波动至收盘；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，而后低位弱势震荡；上证300ETF上周连续报收阴线破位下行，而后空头压力下弱势震荡；中证1000指数上周以来跌破前两周宽幅震荡区间的下限，形成震荡下行空头下跌市场行情格局。截至昨日收盘，上证50ETF跌幅0.67%报收于2.650，上证300ETF跌幅0.62%报收于3.980，深证300ETF跌幅0.56%报收于4.051，沪深300指数跌幅0.60%报收于3984.70，中证1000指数跌幅0.92%报收于6769.85。
　　

研究报告全文：金融期权日报期权研究2023年3月15日星期三行情要点市场行情金融期权标的上证50ETF日内行情低开低走反弹回升后窄幅盘整震荡上证300ETF日内行情低开低走一路下行午后有所反弹回升中证1000指数日内行情低开低走单边下行而后V型反转快速上升后小幅波动至收盘日线上看上证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而后低位弱势震荡上证300ETF上周连续报收阴线破位下行而后空头压力下弱势震荡中证1000指数上周以来跌破前两周宽幅震荡区间的下限形成震荡下行空头下跌卢品先市场行情格局截至昨日收盘上证50ETF跌幅067报收于2650上证300ETF跌幅062报收于3980深投研经理证300ETF跌幅056报收于4051沪深300指数跌幅060报收于398470中证1000指数跌幅092报收于0755-23375252676985lupxwkjyqhcom期权盘面从业资格号隐含波动率截止昨日收盘金融期权隐含波动率普遍反弹上升其中上证50ETF期权隐含波动率上升F3047321106报收于1897上证300ETF期权隐含波动率上升090报收于1737深证300ETF期权隐含波动率上升交易咨询号153报收于1797沪深300股指期权隐含波动率上升122报收于1764中证1000股指期权隐含波动率Z0015541上升072报收于1839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093上证300ETF期权成交量PCR报收于103深证300ETF期权成交量PCR报收于099沪深300股指期权成交量PCR报收于082中证1000股指期权成交量PCR报收于107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056上证300ETF期权持仓量PCR报收于079深证300ETF期权持仓量PCR报收于080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091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的压力点下移两个行权价为270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和支撑点下移一个行权价位6700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短期较为空头压力下的弱势盘整市场行情格局期权隐含波动率快速反弹拉升期权持仓量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本周以来低位区间震荡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S510300P2303M0390010S510300P2303M0390010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形成震荡下行空头下跌市场行情格局中证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-670010BMO2303-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SH50ETF510050SH26510-00180-067665311764SH300ETF510300SH39800-00250-062463541843SZ300ETF159919SZ40510-00230-05610417421HS300000300SH398470-2399-060151亿267225ZZ1000000852SH676985-6277-092156亿197125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SH50ETF2650003270028526542-00178-06700032SH300ETF4000010340073640298-00479-11700498SZ300ETF4100002530070340550-00241-05900040HS30040000021603560398600-2400-060130ZZ100068000039006740677160-5900-086175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SH50ETF19061887189717791850170782023-03-22SH300ETF17481727173716581719159782023-03-22SZ300ETF18141779179717081790162582023-03-22HS30017691758176416491699159932023-03-17ZZ100018291849183920732441170532023-03-17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SH50ETF9439268760770930071181868667640056-002SH300ETF560572575571103006588849463076079-003SZ300ETF104684103598099-00211354391191080-002HS30059205488440820025413335185065000ZZ10003710939610107-0062030118407091-006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200017503001500125028026510100026075050024025022002022-11-112022-12-282022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图2SH300ETF走势图4402100成交量万收盘价1800420398001500400120038090060036030034002022-09-062022-11-242023-01-312022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图3SZ300ETF走势图440420成交量万收盘价360420405103004002403801801203606034002022-09-152022-10-262022-11-292023-01-032023-02-132022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图4沪深300走势图4400250成交量亿收盘价420020039847040001503800100360050340002022-09-202022-12-122023-03-062022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-092023-03-14SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图200000250001800002000016000015000140000100001200005000100000080000-50006000040000-1000020000-15000-200002502502852402402452552602652702752802902953003100235290290235235240245250255260265270275280285295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-11-082023-01-032022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14ETF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32200CLOSE3531OIPCR1803016030291402528120272651020100260802515060241023040220202022-10-312022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-01-062022-09-012022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-172023-02-022023-02-132023-02-222023-03-032023-03-14IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图140000600012000040002000100000080000-200060000-4000-600040000-800020000-100000-12000420420370310310320330340350360370380390400410430440450460470480490310320330340350360380390400410420430440450460470480490OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-10-102023-01-062023-02-162022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14ETF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3548240CLOSE3022046OIPCR20025441801604239800140204012015381000803606010340402022-09-282022-12-022023-02-082022-09-012022-09-092022-09-202022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-162023-02-242023-03-062023-03-142023-01-062022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142022-09-01IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图3000025002000250001500100020000500150000-50010000-1000-15005000-2000-25004704703203203303403503603703803904004104204304404504600310310310320330340350360370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-10-102022-12-122023-02-212022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-242023-03-012023-03-062023-03-092023-03-14ETF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35450240CLOSE30OIPCR22043020025405101804101601402039012010015370080060103500402022-09-012022-11-162023-01-312022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-02-082023-02-162023-02-242023-03-062023-03-142022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142022-09-01IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图9000100080005007000060005000-5004000-10003000-15002000-2000100033003300370041004500490031003100320034003500360038003900400042004300440046004700480050005200300031003200330034003500360037003800390040004100420043004400450046004700480049005000520003000-2500OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-10-102022-12-072023-02-132022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14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354800160CLOSE304600OIPCR140440012025420010039847020400008015380006036000401034000202022-10-132022-09-012022-09-092022-09-202022-09-282022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142022-10-282022-09-132022-09-222022-10-102022-10-192022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142022-09-01IMPVMA20UPLOW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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