【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情高开后窄幅盘盘整震荡，午后快速拉升后小幅波动；上证300ETF日内行情高开后窄幅区间盘整震荡，午后逐渐加速上涨；中证1000指数日内行情高开高走一路上行单边上涨，午后加速向上；日线上看，上证50ETF延续近两周以来的弱势空头下跌趋势，而后低位区间弱势震荡；上证300ETF经过前期连续两周以来的空头下跌，形成短期弱势趋势，逐渐形成空头压力线下低位区间震荡；中证1000指数上周以来连续大幅下跌，跌破前两周宽幅震荡区间的下限，而后低位区间震荡有所反弹回升。截至昨日收盘，上证50ETF涨幅1.03%报收于2.647，上证300ETF涨幅1.09%报收于3.975，深证300ETF涨幅1.02%报收于4.044，沪深300指数涨幅1.10%报收于3982.38，中证1000指数涨幅1.31%报收于6809.39。

研究报告全文：金融期权日报期权研究2023年3月22日星期三行情要点市场行情金融期权标的上证50ETF日内行情高开后窄幅盘盘整震荡午后快速拉升后小幅波动上证300ETF日内行情高开后窄幅区间盘整震荡午后逐渐加速上涨中证1000指数日内行情高开高走一路上行单边上涨午后加速向上日线上看上证50ETF延续近两周以来的弱势空头下跌趋势而后低位区间弱势震荡上证300ETF经过前期连续两周以来的空头下跌形成短期弱势趋势逐渐形成空头压力线下低位区间震荡中证1000指数上周以来连续大幅下跌跌破前两周宽幅震荡区间的下限而后低位区间震荡有所反弹回卢品先升截至昨日收盘上证50ETF涨幅103报收于2647上证300ETF涨幅109报收于3975深证300ETF涨投研经理幅102报收于4044沪深300指数涨幅110报收于398238中证1000指数涨幅131报收于6809390755-23375252lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融期权隐含波动率快速下降回落其中ETF期权隐含波动率下降幅度较从业资格号大其中上证50ETF期权隐含波动率下降417报收于1695上证300ETF期权隐含波动率下降398报收于F30473211572深证300ETF期权隐含波动率下降442报收于1595沪深300股指期权隐含波动率下降063报收交易咨询号于1558中证1000股指期权隐含波动率下降077报收于1565Z0015541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097上证300ETF期权成交量PCR报收于085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075中证1000股指期权成交量PCR报收于092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持续上升报收于095上证300ETF期权持仓量PCR小幅上涨报收于096深证300ETF期权持仓量PCR报收于124沪深300股指期权持仓量PCR报收于099中证1000股指期权持仓量PCR小幅盘整报收于113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270和支撑点行权价为265上证300ETF的压力点下移一个行权价410和支撑点为390深证300ETF的压力点下一两个行权价400和支撑点为390沪深300指数的压力点为4100中证1000指数的压力点行权价为7000和支撑点上移一个行权价位6800结论与策略建议1上证50ETF期权上证50ETF延续近两周以来的弱势空头下跌趋势而后低位区间弱势震荡期权隐含波动率快速下降回落期权持仓量PCR小幅上涨操作建议构建卖出4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S510050P2304M0265010S510050P2304M0260010和S510050C2304M0265010S510050C2304M02700102上证300ETF期权上证300ETF经过前期连续两周以来的空头下跌形成短期弱势趋势逐渐形成空头压力线下低位区间震荡期权隐含波动率持续直线下降回落期权持仓量PCR小幅上涨操作建议构建卖出4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S510300P2304M0390010S510300P2304M0400010和S510300CP2304M0400010S510300C2304M04000103中证1000股指期权中证1000指数延续近两周以来震荡下行逐渐回落跌破前期三周以来的盘整区间下限而后低位区间震荡有所反弹回升中证1000股指期权隐含波动率小幅波动期权持仓量PCR维持至至110附近操作建议构建4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SMO2304-P-680010SMO2304-P-670010和SMO2304-C-680010SMO2304-C-690010235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SH50ETF510050SH2647000270103877472317SH300ETF510300SH3975000430109556742206SZ300ETF159919SZ404400041010210963442HS300000300SH3982384330110145亿251632ZZ1000000852SH6809398794131147亿195253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SH50ETF26500059000540265500024909500080SH300ETF40000071000852398580043311000108SZ300ETF40000110500582405230042110500083HS300400000668077603989204220107682ZZ100068000012160126806794807460111-1459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SH50ETF168317071695180819191698362023-04-26SH300ETF153616131572167917711587362023-04-26SZ300ETF155316381595172418261622362023-04-26HS300154315781558166317801547312023-04-21ZZ1000151516191565206224311693312023-04-21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SH50ETF394013380863097003433161411854095006SH300ETF321605272530085-010328388314193096000SZ300ETF4088641234101-0314192252180124-013HS3003363325129075-0123408133690099-002ZZ100016494152530920011435516219113000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200017503001500125028026470100026075050024025022002022-11-182023-01-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图2SH300ETF走势图4402100成交量万收盘价1800420397501500400120038090060036030034002022-09-142022-12-012023-02-072022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图3SZ300ETF走势图440420成交量万收盘价360420404403004002403801801203606034002022-09-222022-11-022022-12-062023-01-102023-02-202022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图4沪深300走势图4400250成交量亿收盘价420020039823840001503800100360050340002022-09-272022-12-192023-03-132022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-162023-03-21SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图120000400003500010000030000800002500060000200001500040000100002000050000250250240240245255260265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交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连河北省唐山市路北区军鑫里凤城国贸1楼21层2104号期货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007