研究报告全文：金期权周报融投资者对中小盘指数情绪偏谨慎工期权周报程分析师祝涛SACNOS11505160600022023年3月16日研证券分析师祝涛核心观点究022-28451653金融期权市场表现zhutaobhzqcom月日至日各标的指数均是震荡小幅回落跌幅在之间39151118其中上证和创业板指跌幅居前50成交方面期权成交活跃度有一定提升日均总成交额为3859亿元较前证周增加2591其中上证50期权日均成交额为977亿元沪深300期权日均成交额总和为1391亿元中证1000期权日均成交额为533亿元中券证500期权日均成交额总和为550亿元创业板指期权日均成交额为373亿元深证100期权日均成交额为035亿元综合成交和持仓信息来看研投资者对大盘指数情绪均较为中性对中小盘指数情绪偏谨慎波动率方面目前上证50沪深300波动率指数在17附近相对前周变化究不大现处于历史偏低水平中证500中证1000和创业板指波动率指数在16-22之间同样处于历史较低水平偏度方面各标的偏度指数均变化报不大处于近期低位总体而言投资者对标的指数后市的波动预期和尾部风险预期均偏低告从品种间波动率指数差值来看沪深300与上证50的差值为-06目前处于近一年较低水平中证1000与中证500的差值为-13同样处于近一年偏低水平策略推荐对于长线投资者仍然可以采取备兑策略结合目前的市场趋势和隐含波动率水平可以选择卖出虚值期权长期来看备兑策略相对于标的指数可以取得更好的收益风险比期对于中短线投资者近期可以以中等仓位持有做多50ETF期权波动率的策略同时可以卖空少量远月合约进行对冲目前波动率指数处于年度中枢和权历史均值以下相对前期有一定回落做空波动率策略的收益风险比下降50ETF期权波动率指数近五年波动中枢稳定在20-23的区间内且每年都至周少有一次快速冲高的过程从历史上看除去极低波动的2017年波动率指数极少在18下方停留很长的时间报中小盘风格指数中目前中证500和中证1000期权波动率指数均处于历史较低水平可以持有做多波动率的策略同样可以卖空远月合约进行对冲风险提示突发事件造成市场剧烈波动的风险请务必阅读正文之后的声明渤海证券股份有限公司具备证券投资咨询业务资格1of12期权周报目录1金融期权市场表现42策略推荐10请务必阅读正文之后的声明2of12期权周报图目录图1各标的指数价格走势以2022-12-30收盘价为基准4图2各金融期权波动率指数走势5图350ETF和300ETF期权波动率指数差值5图4中证1000和500ETF期权波动率指数差值5图5各金融期权成交额元5图6各金融期权成交额占比变化5图750ETF期权成交量6图850ETF期权持仓量6图9华泰柏瑞300ETF期权成交量7图10华泰柏瑞300ETF期权持仓量7图11嘉实300ETF期权成交量7图12嘉实300ETF期权持仓量7图13沪深300股指期权成交量7图14沪深300股指期权持仓量7图15中证1000股指期权成交量8图16中证1000股指期权持仓量8图17南方500ETF期权成交量8图18南方500ETF期权持仓量8图19嘉实500ETF期权成交量8图20嘉实500ETF期权持仓量8图21创业板ETF期权成交量9图22创业板ETF期权持仓量9图23深证100ETF期权成交量9图24深证100ETF期权持仓量9图25上证50股指期权成交量9图26上证50股指期权持仓量9图27金融期权波动率指数10图28金融期权偏度指数10图2950ETF期权波动率指数波动中枢11图30中美波动率指数差值11图31中证500ETF期权波动率指数波动中枢期权上市前以历史波动率代替11表目录表1金融期权波动率概况6表2金融期权成交概况6请务必阅读正文之后的声明3of12期权周报1金融期权市场表现3月9日至15日各标的指数均是震荡小幅回落跌幅在1118之间其中上证50和创业板指跌幅居前成交方面期权成交活跃度有一定提升日均总成交额为3859亿元较前周增加2591其中上证50期权日均成交额为977亿元沪深300期权日均成交额总和为1391亿元中证1000期权日均成交额为533亿元中证500期权日均成交额总和为550亿元创业板指期权日均成交额为373亿元深证100期权日均成交额为035亿元综合成交和持仓信息来看投资者对大盘指数情绪均较为中性对中小盘指数情绪偏谨慎波动率方面目前上证50沪深300波动率指数在17附近相对前周变化不大现处于历史偏低水平中证500中证1000和创业板指波动率指数在16-22之间同样处于历史较低水平偏度方面各标的偏度指数均变化不大处于近期低位总体而言投资者对标的指数后市的波动预期和尾部风险预期均偏低从品种间波动率指数差值来看沪深300与上证50的差值为-06目前处于近一年较低水平中证1000与中证500的差值为-13同样处于近一年偏低水平图1各标的指数价格走势以2022-12-30收盘价为基准1141121110810610410210980962023-01-032023-01-102023-01-162023-01-302023-02-032023-02-102023-02-232023-03-022023-03-082023-03-152022-12-302023-01-042023-01-052023-01-062023-01-092023-01-112023-01-122023-01-132023-01-172023-01-182023-01-192023-01-202023-01-312023-02-012023-02-022023-02-062023-02-072023-02-082023-02-092023-02-132023-02-142023-02-152023-02-162023-02-172023-02-202023-02-212023-02-222023-02-242023-02-272023-02-282023-03-012023-03-032023-03-062023-03-072023-03-092023-03-102023-03-132023-03-14上证50沪深300中证1000中证500创业板指深证100资料来源ifind渤海证券研究所请务必阅读正文之后的声明4of12期权周报图2各金融期权波动率指数走势34323028262422201816142022-01-042022-03-012022-04-122022-04-212022-06-062022-07-142022-07-252022-09-012022-10-282022-12-072023-02-022023-03-142022-01-132022-01-242022-02-092022-02-182022-03-102022-03-212022-03-302022-05-052022-05-162022-05-252022-06-152022-06-242022-07-052022-08-032022-08-122022-08-232022-09-132022-09-222022-10-102022-10-192022-11-082022-11-172022-11-282022-12-162022-12-272023-01-062023-01-172023-02-112023-02-222023-03-0350ETF华泰柏瑞300ETF中证1000股指南方500ETF创业板ETF深证100ETF资料来源ifind渤海证券研究所图350ETF和300ETF期权波动率指数差值图4中证1000和500ETF期权波动率指数差值354314293330272225251231020210-11915-1-21710-315-22022-02-242022-03-082022-05-102022-07-062022-07-182022-09-132022-09-232022-11-152022-11-252023-01-302023-02-092022-01-042022-01-142022-01-262022-02-142022-03-182022-03-302022-04-132022-04-252022-05-202022-06-012022-06-142022-06-242022-07-282022-08-092022-08-192022-08-312022-10-122022-10-242022-11-032022-12-072022-12-192022-12-292023-01-112023-02-212023-03-032023-03-152022-09-222022-10-122022-10-282022-11-102022-11-282022-12-092022-12-142022-12-272023-01-132023-02-022023-02-202023-03-032022-09-192022-09-272022-09-302022-10-172022-10-202022-10-252022-11-022022-11-072022-11-152022-11-182022-11-232022-12-012022-12-062022-12-192022-12-222022-12-302023-01-052023-01-102023-01-182023-01-302023-02-072023-02-102023-02-152023-02-232023-02-282023-03-082023-03-13右轴华泰柏瑞中证右轴中证股指南方300ETF-50ETF50ETF300ETF1000-500ETF1000500ETF资料来源ifind渤海证券研究所图5各金融期权成交额元图6各金融期权成交额占比变化100016E1090014E1080012E107001E106008E095004006E093004E092002E091000002020-01-232020-05-212020-09-072020-12-292021-04-222021-08-112021-12-032022-08-302022-12-212020-01-022020-02-212020-03-132020-04-032020-04-272020-06-112020-07-062020-07-272020-08-172020-09-282020-10-272020-11-172020-12-082021-01-202021-02-102021-03-102021-03-312021-05-182021-06-082021-06-302021-07-212021-09-012021-09-242021-10-222021-11-122021-12-242022-01-172022-02-142022-03-072022-03-282022-04-202022-05-162022-06-072022-06-282022-07-192022-08-092022-09-212022-10-192022-11-092022-11-302023-01-122023-02-092023-03-022020-01-022020-03-182020-05-292020-08-072020-10-222021-04-292021-07-122021-09-162021-12-022022-02-162022-04-272023-01-132020-02-032020-02-252020-04-102020-05-072020-06-222020-07-162020-08-312020-09-222020-11-132020-12-072020-12-292021-01-212021-02-192021-03-152021-04-072021-05-262021-06-182021-08-032021-08-252021-10-192021-11-102021-12-242022-01-182022-03-102022-04-012022-05-242022-06-162022-07-082022-08-012022-08-232022-09-152022-10-142022-11-072022-11-292022-12-212023-02-112023-03-0750ETF华泰柏瑞300ETF嘉实300ETF沪深300股指中证1000股指南方500ETF嘉实500ETF创业板ETF深证100ETF上证50股指50ETF华泰柏瑞300ETF嘉实300ETF沪深300股指中证1000股指南方500ETF嘉实500ETF创业板ETF深证100ETF上证50股指资料来源ifind渤海证券研究所请务必阅读正文之后的声明5of12期权周报表1金融期权波动率概况已实现波动认购加权隐认沽加权隐标的周涨跌幅20日波动率波动率指数偏度指数率含波动率含波动率50ETF-1671645140118931829173810153华泰柏瑞300ETF-1171563129217411745167910632嘉实300ETF-1171567129818031654169710690沪深300股指-1171561131516441651166610341中证1000股指-1281451132914281866163010413南方500ETF-1121231119614671937176010463嘉实500ETF-1121242115815541934173110949创业板ETF-173141414312387226521419830深证100ETF-159154113951927195318489854上证50股指-1621648140018151602175110059资料来源ifind渤海证券研究所表2金融期权成交概况标的认沽认购成交比认沽认购持仓比日均成交量日均成交额亿元持仓量50ETF07009822702718472477455华泰柏瑞300ETF09110314816147431578516嘉实300ETF095105215836119283896沪深300股指083079120881529170613中证1000股指0961047936153380272南方500ETF104118591867441706207嘉实500ETF096118134304109179381创业板ETF0550719017633731206540深证100ETF08011486631035131699上证50股指0510724359713057438资料来源ifind渤海证券研究所图750ETF期权成交量图850ETF期权持仓量7000000226000000220220060000005000000180185000000160164000000140400000014300000012030000001210012000000200000008008060100000010000000604000400202015-11-232016-01-152017-02-222017-04-192018-05-222019-06-252019-08-162020-09-182020-11-192021-12-222023-02-022015-02-092015-04-102015-06-042015-07-292015-09-232016-03-162016-05-112016-07-062016-08-292016-10-312016-12-222017-06-152017-08-082017-09-292017-11-292018-01-232018-03-232018-07-162018-09-062018-11-072019-01-022019-03-042019-04-262019-10-172019-12-102020-02-112020-04-032020-06-022020-07-282021-01-132021-03-152021-05-122021-07-062021-08-272021-10-292022-02-222022-04-192022-06-162022-08-092022-10-102022-12-012015-02-092015-08-062017-09-212018-03-232018-09-142020-05-152020-11-112021-05-122015-04-142015-06-102015-10-122015-12-072016-02-022016-04-062016-06-022016-08-012016-09-282016-11-302017-01-262017-03-302017-06-012017-07-272017-11-232018-01-192018-05-242018-07-202018-11-192019-01-162019-03-202019-05-212019-07-172019-09-112019-11-142020-01-102020-03-162020-07-142020-09-082021-01-072021-03-112021-07-082021-09-022021-11-082022-01-042022-03-082022-05-102022-07-062022-08-312022-11-032022-12-302023-03-06认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源ifind渤海证券研究所请务必阅读正文之后的声明6of12期权周报图9华泰柏瑞300ETF期权成交量图10华泰柏瑞300ETF期权持仓量500000016300000020045000001801440000002500000160350000012200000014030000001202500000115000001002000000081000000080150000006010000000650000050000004000400202020-01-212020-06-232020-07-232020-12-182021-06-212021-11-172021-12-152022-05-192022-11-142019-12-232020-02-262020-03-252020-04-232020-05-262020-08-202020-09-172020-10-232020-11-202021-01-182021-02-222021-03-222021-04-202021-05-212021-07-192021-08-162021-09-132021-10-202022-01-132022-02-172022-03-172022-04-182022-06-172022-07-152022-08-122022-09-092022-10-172022-12-122023-01-112023-02-152023-03-152019-12-232020-05-192020-06-152020-11-052020-12-022021-04-232021-10-152022-04-012022-09-192023-02-152023-03-142020-01-202020-02-242020-03-202020-04-172020-07-142020-08-102020-09-042020-10-092020-12-292021-01-262021-03-012021-03-262021-05-252021-06-222021-07-192021-08-132021-09-092021-11-112021-12-082022-01-052022-02-082022-03-072022-05-052022-06-012022-06-292022-07-262022-08-222022-10-212022-11-172022-12-142023-01-12认购持仓量张认沽持仓量张认沽认购持仓比认购成交量张认沽成交量张认沽认购成交比资料来源ifind渤海证券研究所图11嘉实300ETF期权成交量图12嘉实300ETF期权持仓量10000001660000018090000016014500000800000140700000124000001206000005000001300000100400000080082000003000000602000000610000010000004000400202019-12-232020-05-192020-06-152020-11-052020-12-022021-04-232021-10-152022-04-012022-09-192023-02-152023-03-142020-01-202020-02-242020-03-202020-04-172020-07-142020-08-102020-09-042020-10-092020-12-292021-01-262021-03-012021-03-262021-05-252021-06-222021-07-192021-08-132021-09-092021-11-112021-12-082022-01-052022-02-082022-03-072022-05-052022-06-012022-06-292022-07-262022-08-222022-10-212022-11-172022-12-142023-01-122020-04-232020-06-232020-11-202021-01-182021-06-212021-11-172022-01-132022-06-172022-08-122023-01-112019-12-232020-01-212020-02-262020-03-252020-05-262020-07-232020-08-202020-09-172020-10-232020-12-182021-02-222021-03-222021-04-202021-05-212021-07-192021-08-162021-09-132021-10-202021-12-152022-02-172022-03-172022-04-182022-05-192022-07-152022-09-092022-10-172022-11-142022-12-122023-02-152023-03-15认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源ifind渤海证券研究所图13沪深300股指期权成交量图14沪深300股指期权持仓量4000001430000016013350000140250000123000001112020000025000011002000000915000008008150000100000070601000000650000500000400500400202020-05-262020-06-232020-07-232020-08-202020-09-172020-10-232022-04-182022-05-192022-06-172022-07-152022-08-122022-09-092019-12-232020-01-212020-02-262020-03-252020-04-232020-11-202020-12-182021-01-182021-02-222021-03-222021-04-202021-05-212021-06-212021-07-192021-08-162021-09-132021-10-202021-11-172021-12-152022-01-132022-02-172022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23-02-272023-03-012023-03-032023-03-072023-03-09认购持仓量张认沽持仓量张认沽认购持仓比认购成交量张认沽成交量张认沽认购成交比资料来源ifind渤海证券研究所图25上证50股指期权成交量图26上证50股指期权持仓量900001270000140800001160000120700001500006000010009500004000008080400003000007300000602000006200000401000010000050040020认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源ifind渤海证券研究所请务必阅读正文之后的声明9of12期权周报图27金融期权波动率指数图28金融期权偏度指数451404013035120301102510020159010802020-01-202020-03-202020-06-152020-08-102020-11-052020-12-292021-03-262021-05-252021-10-152022-03-072022-05-052022-07-262022-09-192022-12-142023-02-142019-12-232020-02-242020-04-172020-05-192020-07-142020-09-042020-10-092020-12-022021-01-262021-03-012021-04-232021-06-222021-07-192021-08-132021-09-092021-11-112021-12-082022-01-052022-02-082022-04-012022-06-012022-06-292022-08-222022-10-212022-11-172023-01-112023-03-132020-11-202020-12-182021-01-182021-02-222022-02-172022-03-172022-04-182022-05-192022-06-172019-12-232020-01-212020-02-262020-03-252020-04-232020-05-262020-06-232020-07-232020-08-202020-09-172020-10-232021-03-222021-04-202021-05-212021-06-212021-07-192021-08-162021-09-132021-10-202021-11-172021-12-152022-01-132022-07-152022-08-122022-09-092022-10-172022-11-142022-12-122023-01-102023-02-142023-03-14华泰柏瑞中证股指南方50ETF华泰柏瑞300ETF中证1000股指50ETF300ETF1000500ETF资料来源ifind渤海证券研究所2策略推荐对于长线投资者仍然可以采取备兑策略结合目前的市场趋势和隐含波动率水平可以选择卖出虚值期权长期来看备兑策略相对于标的指数可以取得更好的收益风险比对于中短线投资者近期可以以中等仓位持有做多50ETF期权波动率的策略同时可以卖空少量远月合约进行对冲目前波动率指数处于年度中枢和历史均值以下相对前期有一定回落做空波动率策略的收益风险比下降50ETF期权波动率指数近五年波动中枢稳定在20-23的区间内且每年都至少有一次快速冲高的过程从历史上看除去极低波动的2017年波动率指数极少在18下方停留很长的时间从日历效应来看一季度市场波动率也会更高一些从海外市场来看避险情绪有一定提升VIX指数升至25以上请务必阅读正文之后的声明10of12期权周报图2950ETF期权波动率指数波动中枢图30中美波动率指数差值90207080106070050604050-103040-203020-302010-401000-502015-2-252015-05-062015-07-142015-09-222015-12-042016-02-182018-11-162019-01-252019-04-112019-06-242019-08-292019-11-132022-08-182022-11-022023-01-102016-04-272016-07-072016-09-132016-11-292017-02-132017-04-242017-07-042017-09-082017-11-222018-01-302018-04-172018-06-272018-09-032020-01-212020-04-072020-06-172020-08-262020-11-102021-01-182021-04-012021-06-152021-08-202021-11-052022-01-132022-03-292022-06-132020-03-062020-04-032020-05-072020-12-292021-01-272021-03-032021-10-292021-11-262021-12-242022-08-232022-09-212022-10-262022-11-232020-02-072020-06-042020-07-062020-08-032020-08-312020-09-282020-11-032020-12-012021-03-312021-04-292021-06-012021-06-302021-07-282021-08-252021-09-242022-01-242022-02-282022-03-282022-04-272022-05-302022-06-282022-07-262022-12-212023-01-192023-02-2350ETF期权波动率指数年度均值滚动一年10分位值滚动一年90分位值2020-01-02差值右轴沪深波指指数300VIX资料来源ifindCboe渤海证券研究所中小盘风格指数中目前中证500和中证1000期权波动率指数均处于历史较低水平可以持有做多波动率的策略同样可以卖空远月合约进行对冲图31中证500ETF期权波动率指数波动中枢期权上市前以历史波动率代替90807060504030201002015-3-162015-07-312015-12-232016-12-162017-05-122018-05-082018-09-202019-02-202020-02-172020-07-082021-07-022021-11-242022-04-192015-05-252015-10-162016-03-082016-05-172016-07-262016-10-112017-03-022017-07-212017-09-272017-12-112018-02-232018-07-162018-12-052019-04-302019-07-112019-09-182019-12-022020-04-242020-09-142020-11-272021-02-042021-04-212021-09-082022-02-082022-06-302022-09-062022-11-212023-02-03500ETF期权波动率指数年度均值滚动一年10分位值滚动一年90分位值资料来源ifind渤海证券研究所风险提示突发事件造成市场剧烈波动的风险请务必阅读正文之后的声明11of12期权周报投资评级说明项目名称投资评级评级说明买入未来6个月内相对沪深300指数涨幅超过20增持未来6个月内相对沪深300指数涨幅介于1020之间公司评级标准中性未来6个月内相对沪深300指数涨幅介于-1010之间减持未来6个月内相对沪深300指数跌幅超过10看好未来12个月内相对于沪深300指数涨幅超过10行业评级标准中性未来12个月内相对于沪深300指数涨幅介于-10-10之间看淡未来12个月内相对于沪深300指数跌幅超过10分析师声明本报告署名分析师在此声明我们具有中国证券业协会授予的证券投资咨询执业资格并登记为证券分析师以勤勉尽责的职业态度专业审慎的研究方法使用合法合规的数据和信息独立客观地出具本报告本报告所表述的任何观点均精准地如实地反映研究人员的个人观点结论不受任何第三方的授意或影响我们所获取报酬的任何部分无论是在过去现在及将来均不会与本报告中的具体投资建议或观点有直接或间接的联系免责声明本报告中的信息均来源于已公开的资料我公司对这些信息的准确性和完整性不作任何保证不保证该信息未经任何更新也不保证本公司做出的任何建议不会发生任何变更在任何情况下报告中的信息或所表达的意见并不构成所述证券买卖的出价或询价在任何情况下我公司不就本报告中的任何内容对任何投资做出任何形式的担保投资者自主作出投资决策并自行承担投资风险任何形式的分享证券投资收益或者分担证券投资损失书面或口头承诺均为无效我公司及其关联机构可能会持有报告中提到的公司所发行的证券并进行交易还可能为这些公司提供或争取提供投资银行或财务顾问服务我公司的关联机构或个人可能在本报告公开发表之前已经使用或了解其中的信息本报告的版权归渤海证券股份有限公司所有未获得渤海证券股份有限公司事先书面授权任何人不得对本报告进行任何形式的发布复制如引用刊发需注明出处为渤海证券股份有限公司也不得对本报告进行有悖原意的删节和修改渤海证券研究所机构销售团队高级销售经理朱艳君高级销售经理王文君座机862228451995座机861068104637手机13502040941手机18611705783邮箱zhuyanjunbhzqcom邮箱wangwjbhzqcom天津北京天津市南开区水上公园东路宁汇大厦A座写字楼北京市西城区西直门外大街甲143号凯旋大厦A座2层邮政编码300381邮政编码100086电话862228451888电话861068104192传真862228451615传真861068104192渤海证券股份有限公司网址wwwewwwcomcn请务必阅读正文之后的声明12of12