【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情低开高走高收单边上涨；上证300ETF日内行情低开高走在震荡上行，单边上涨；中证1000指数日内行情低开后大幅波动震荡上行，午后加速上涨；日线上看，上证50ETF经过前两周以来的弱势空头下跌趋势，而后低位区间弱势震荡，逐渐反弹回升，而中期趋势仍向下；上证300ETF经过前期连续两周以来的空头下跌，本周以来止跌反弹回暖上升连续报收阳线，站上20天均线上有60天均线压力；中证1000指数上周以来连续大幅下跌，跌破前三周宽幅震荡区间的下限，本周以来止跌反弹回升，企稳55天均线上方有前期高点压力。截至昨日收盘，上证50ETF涨幅0.64%报收于2.673，上证300ETF涨幅0.95%报收于4.031，深证300ETF涨幅0.89%报收于4.098，沪深300指数涨幅0.99%报收于4039.09，中证1000指数涨幅0.42%报收于6868.83。
　　

研究报告全文：金融期权日报期权研究2023年3月24日星期五行情要点市场行情金融期权标的上证50ETF日内行情低开高走高收单边上涨上证300ETF日内行情低开高走在震荡上行单边上涨中证1000指数日内行情低开后大幅波动震荡上行午后加速上涨日线上看上证50ETF经过前两周以来的弱势空头下跌趋势而后低位区间弱势震荡逐渐反弹回升而中期趋势仍向下上证300ETF经过前期连续两周以来的空头下跌本周以来止跌反弹回暖上升连续报收阳线站上20天均线上有60天均线压力中证1000指数上周以来连续大幅下跌跌破前三周宽幅震荡区间的下限本周以来止跌反卢品先弹回升企稳55天均线上方有前期高点压力截至昨日收盘上证50ETF涨幅064报收于2673上证投研经理300ETF涨幅095报收于4031深证300ETF涨幅089报收于4098沪深300指数涨幅099报收于0755-23375252403909中证1000指数涨幅042报收于686883lupxwkjyqhcom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持续下降回落至历史较低位置其中上证50ETF期权F3047321隐含波动率下降063报收于1602上证300ETF期权隐含波动率下降052报收于1506深证300ETF期权交易咨询号隐含波动率下降030报收于1518沪深300股指期权隐含波动率下降068报收于1464中证1000股指Z0015541期权隐含波动率下降084报收于1477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091上证300ETF期权成交量PCR报收于094深证300ETF期权成交量PCR报收于076沪深300股指期权成交量PCR报收于087中证1000股指期权成交量PCR报收于085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098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有所下降报收于089上证300ETF期权持仓量PCR小幅盘整报收于102深证300ETF期权持仓量PCR报收于116沪深300股指期权持仓量PCR报收于105中证1000股指期权持仓量PCR小幅盘整报收于103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的压力点上移一个行权价420和支撑点的行权价为400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和支撑点为3900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经过前两周以来的弱势空头下跌趋势而后低位区间弱势震荡逐渐反弹回升而中期趋势仍向下期权隐含波动率持续下降回落至历史较低水平期权持仓量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S510050C2304M0275010S510050C2304M02700102上证300ETF期权上证300ETF经过前期连续两周以来的空头下跌本周以来止跌反弹回暖上升连续报收阳线站上20天均线上有60天均线压力期权隐含波动率持续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偏中性的期权组合策略获取时间价值收益若市场行情快速大涨或急速下跌策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2304M0390010S510300P2304M0400010和S510300CP2304M0410010S510300C2304M04200103中证1000股指期权中证1000指数上周以来连续大幅下跌跌破前三周宽幅震荡区间的下限本周以来止跌反弹回升企稳55天均线上方有前期高点压力中证1000股指期权隐含波动率持续下降回落至历史较低位置期权持仓量PCR有所下降维持至100以上操作建议构建4月份偏中性的卖方期权组合策略获取方向性和时间价值收益收益若市场行情急速大涨或大跌则逐渐平仓离场如ZZ1000股指期权SMO2304-P-680010SMO2304-P-670010和SMO2304-C-700010SMO2304-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SH50ETF510050SH2673000170064421821124SH300ETF510300SH4031000380095534472144SZ300ETF159919SZ409800036008913006531HS300000300SH4039093965099159亿296480ZZ1000000852SH6868832851042165亿224978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SH50ETF26500069300374268190018406900089SH300ETF40000094700540404070039009700097SZ300ETF41000079300701410920038909600112HS300405000630066804046204080102711ZZ10006900008680136006850802200032-1803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SH50ETF157716311603179919201677342023-04-26SH300ETF147015431505166617691562342023-04-26SZ300ETF148915591519170718241589342023-04-26HS300145114791464165017771523292023-04-21ZZ1000142115431477205524271683292023-04-21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SH50ETF602153547054091-006559562550413098009SH300ETF463888436852094-001386241392128102007SZ300ETF6718550905076-0035714566251116-003HS3003483030462087-0023493836745105005ZZ10001542213035085-0121669417218103-007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200017503001500280267301250100026075050024025022002022-11-222023-01-092022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图2SH300ETF走势图4402100成交量万收盘价1800420403101500400120038090060036030034002022-09-162022-12-052023-02-092022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图3SZ300ETF走势图440420成交量万收盘价360420409803004002403801801203606034002022-09-262022-11-042022-12-082023-01-122023-02-222022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图4沪深300走势图4400250成交量亿收盘价420020040390940001503800100360050340002022-09-292022-12-212023-03-152022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-202023-03-23SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图140000250001200002000010000015000800001000060000500040000200000-50002502502402402452552602652702752802852902953003100235290290235235240245250255260265270275280285295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-11-172023-01-122022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23ETF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32200CLOSE3531OIPCR1803016030291402528120272673020100260802515060241023040220202022-11-092022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-01-172022-09-132022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-02-022023-02-132023-02-222023-03-032023-03-142023-03-23IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图900001800080000160001400070000120006000010000500008000400006000300004000200020000010000-20000-4000450450360330330340350360370380390400410420430440460470330340350370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-10-192023-01-172023-02-272022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23ETF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3548240CLOSE3022046OIPCR20025441804240310160140204012015381000803606010340402022-10-142022-12-132023-02-172022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-272023-03-072023-03-152023-03-232023-01-172022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-02-022023-02-132023-02-222023-03-032023-03-142023-03-232022-09-13IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图20000300018000250016000200014000150012000100010000500800006000-5004000-10002000-1500-20003503503603703803904004104204304404504604704804900340340340350360370380390400410420430440450460470480490OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-10-192022-12-212023-03-022022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-072023-03-102023-03-152023-03-202023-03-23ETF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35450240CLOSE30OIPCR22043020040980180254101601402039012010015370080060103500402022-09-132022-11-252023-02-092022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-172023-02-272023-03-072023-03-152023-03-232022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142023-03-232022-09-13IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图600070060050005004004000300300020010020000-1001000-2003800380035003500360037003800390040004100420043004400450046004700340035003600370039004000410042004300440045004600470003400-300OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-10-192022-12-162023-02-222022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23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354800160CLOSE304600OIPCR140440012025420010040390920400008015380006036000401034000202022-10-242022-09-132022-09-212022-09-292022-10-142022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232022-11-082022-09-222022-10-102022-10-192022-10-282022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142023-03-232022-09-13IMPVMA20UPLOW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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