研究报告全文：金融期权日报专业研究创造价值2023年3月27日金融期权股指窄幅震荡整理核心观点今日各股指延续窄幅震荡整理午后跌幅有所缩窄海外风险因素短期环境市场预计美联储加息接近尾声市场风险偏好有所修复国内宏观经济复苏预期明确股票盈利修复确定性高对股指下方形成较强支撑不过近期政策面与经济基本面的增量利多有限股指向上的动能不强股市在平台区间内反复波动的概率较大考虑到4月初可能出现的中美地缘政治风险预计短期内股指以震荡整理为主操作上以谨慎为宜目前期权隐含波动率仍处于偏低的分位数水平可以买入虚值认沽期权宝城期货研究所提前布局风险事件可能的影响仅供参考不构成任何投资建议投资咨询团队专业研究创造价值请务必阅读文末免责条款部分114请务必阅读文末免责条款金融期权日报1新闻动态国家统计局12月份规模以上工业企业实现营业收入1930万亿元同比下降132期权指标2023年03月27日50ETF跌064收于2643300ETF上交所跌052收于4005300ETF深交所跌049收于4075沪深300指数跌036收于401248中证1000指数涨027收于688669500ETF上交所跌005收于6321500ETF深交所跌002收于6437创业板ETF涨113收于2323深证100ETF涨003收于3023上证50指数跌051收于263962上证50ETF期权成交量PCR为9728上一交易日成交量PCR为8784持仓量PCR为9163上一交易日持仓量PCR为9719上交所3000ETF期权成交量PCR为8950上一交易日成交量PCR为8824持仓量PCR为10572上一交易日持仓量PCR为11098深交所300ETF期权成交量PCR为9172上一交易日成交量PCR为9837持仓量PCR为11274上一交易日持仓量PCR为11818沪深300指数期权成交量PCR为8213上一交易日成交量PCR为9072持仓量PCR为9784上一交易日持仓量PCR为9936中证1000指数期权成交量PCR为8153上一交易日成交量PCR为9248持仓量PCR为9943上一交易日持仓量PCR为9603上交所中证500ETF期权成交量PCR为8769上一交易日成交量PCR为8123持仓量PCR为11890上一交易日持仓量PCR为11915深交所中证500ETF期权成交量PCR为9011上一交易日成交量PCR为8237持仓量PCR为11053上一交易日持仓量PCR为11554创业板ETF期权成交量PCR为9155上一交易日成交量PCR为7900持仓量PCR为7838上一交易日持仓量PCR为7117深证100ETF期权成交量PCR为7426上一交易日成交量PCR为7597持仓量PCR为8988上一交易日持仓量PCR为9023上证50股指期权成交量PCR为7730上一交易日成交量PCR为6319持仓量PCR为5908上一交易日持仓量PCR为6054上证50ETF期权2023年04月平值期权隐含波动率为1572标的30交易日历史波动率为1483上交所300ETF期权2023年04月平值期权隐含波动率为1477标的30交易日历史波动率为1452深交所300ETF期权2023年04月平值期权隐含波动率为1490标的30交易日历史波动率为1455沪深300指数期权2023年04月平值期权隐含波动率为1429标的30交易日历史波动率为1431中证1000指数期权2023年04月平值期权隐含波动率为1336标的30交易日历史波动率为1384上交所中证500ETF期权2023年04月平值期权隐含波动率为1340标的30交易日历史波动率为1295深交所中证500ETF期权2023年04月平值期权隐含波动率为1346标的30交易日历史波动率为1298创业板ETF期权2023年04月平值期权隐含波动率为1807标的30交易日历史波动率为1532深证100ETF期权2023年04月平值期权隐含波动率为1597标的30交易日历史波动率为1566上证50专业研究创造价值214请务必阅读文末免责条款金融期权日报股指期权2023年04月平值期权隐含波动率为1612标的30交易日历史波动率为1470专业研究创造价值314请务必阅读文末免责条款金融期权日报3相关图表上证50ETF期权图1上证50ETF走势图2上证50ETF期权波动率50ETF期权50ETF期权45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-02-012021-04-062021-05-072021-07-052021-08-022021-08-302021-11-032021-12-012022-01-272022-03-032022-05-052022-06-022022-07-012022-08-262022-09-262022-11-282022-12-262023-01-312021-03-082021-06-042021-09-292021-12-292022-03-312022-07-292022-10-312023-02-282021-01-042021-03-082021-04-062021-05-072021-06-042021-08-022021-09-292021-11-032021-12-012021-12-292022-03-032022-05-052022-07-012022-07-292022-09-262022-11-282023-01-312023-02-282021-02-012021-07-052021-08-302022-01-272022-03-312022-06-022022-08-262022-10-312022-12-26标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图3上证50ETF期权成交量PCR图4上证50ETF持仓量PCR50ETF期权50ETF期权7000000140004500000160006000000120004000000140003500000500000010000120003000000100004000000800025000002000000800030000006000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-132021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-13日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值414请务必阅读文末免责条款金融期权日报上交所300ETF期权图5上交所300ETF走势图6上交所300ETF期权波动率300ETF期权上交所300ETF期权上交所62000500018004500551600140040005120035001000300045800250060044002000200150035010002021-01-042021-02-012021-04-062021-05-072021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-01-272022-03-032022-05-052022-06-022022-07-292022-08-262022-09-262022-10-312022-12-262023-01-312023-02-282021-03-082021-08-022021-11-032022-03-312022-07-012022-11-282021-01-042021-03-082021-04-062021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282023-01-312023-02-282021-02-012021-05-072021-08-022021-11-032022-01-272022-12-26标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图7上交所300ETF期权成交量PCR图8上交所300ETF持仓量PCR300ETF期权上交所300ETF期权上交所50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-132021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-13日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值514请务必阅读文末免责条款金融期权日报深交所300ETF期权图9深交所300ETF走势图10深交所300ETF期权波动率300ETF期权深交所300ETF期权深交所600040045003504000550030035002505000300020045001502500200040001005015003500010002021-01-042021-02-012021-04-062021-05-072021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-01-272022-03-032022-05-052022-06-022022-07-292022-08-262022-09-262022-10-312022-12-262023-01-312023-02-282021-03-082021-08-022021-11-032022-03-312022-07-012022-11-282021-01-042021-02-022021-04-092021-05-132021-06-112021-07-132021-09-092021-10-192021-11-172022-01-172022-02-222022-03-232022-05-272022-06-282022-07-272022-09-262022-11-012022-11-302022-12-292023-03-072021-03-102021-08-112021-12-162022-04-252022-08-252023-02-06标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图11深交所300ETF期权成交量PCR图12深交所300ETF持仓量PCR300ETF期权深交所300ETF期权深交所8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-132021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-13日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值614请务必阅读文末免责条款金融期权日报沪深300股指期权图13沪深300股指走势图14沪深300股指期权波动率沪深300股指期权沪深300股指期权6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-02-012021-03-082021-04-062021-05-072021-06-042021-07-052021-08-022021-08-302021-09-292021-11-032021-12-012021-12-292022-01-272022-03-032022-03-312022-05-052022-06-022022-07-012022-07-292022-08-262022-09-262022-10-312022-11-282022-12-262023-01-312023-02-282021-02-032021-03-122021-05-192021-06-212021-08-202021-09-232021-11-012021-12-012022-02-092022-03-112022-05-192022-06-212022-08-222022-09-222022-10-312022-11-302023-02-082023-03-102021-01-042021-04-142021-07-212021-12-312022-04-142022-07-212022-12-30标的成交量亿手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图15沪深300股指期权成交量PCR图16沪深300股指持仓量PCR沪深300股指期权沪深300股指期权400000140003000001400035000012000250000120003000001000020000010000250000800080002000001500006000600015000010000010000040004000500002000500002000000000002021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-132021-01-042021-02-042021-03-162021-04-192021-05-252021-06-282021-07-292021-08-312021-10-122021-11-122021-12-152022-01-182022-02-252022-03-302022-05-092022-06-102022-07-132022-08-152022-09-162022-10-262022-11-282022-12-292023-02-082023-03-13日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值714请务必阅读文末免责条款金融期权日报中证1000股指期权图17中证1000股指走势图18中证1000股指期权波动率中证1000股指期权中证1000股指期权7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-08-022022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132022-08-112022-08-222022-08-312022-11-252022-12-062022-12-152023-03-222022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-12-052022-12-132022-12-292023-01-092023-02-012023-02-092023-02-272023-03-072023-03-232022-11-252022-12-212023-01-172023-02-172023-03-15标的成交量亿手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图19中证1000股指期权成交量PCR图20中证1000股指持仓量PCR中证1000股指期权中证1000股指期权180000160009000014000160000140008000012000140000700001200010000120000100006000010000080008000500008000040000600060000600030000400004000200004000200002000100002000000000002022-07-222022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132023-03-222022-07-222022-08-022022-08-112022-08-222022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-132023-03-22日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值814请务必阅读文末免责条款金融期权日报上交所500ETF期权图21上交所500ETF走势图22上交所500ETF期权波动率500ETF期权上交所500ETF期权上交所66007002800640060026002400620050022006000400200018005800300160056002001400120054001001000520008002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212023-02-282023-03-072023-03-142023-03-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-142022-11-212022-12-052022-12-122022-12-262023-01-032023-01-172023-01-312023-02-142023-02-212023-02-282023-03-072023-03-142023-03-212022-11-072022-11-282022-12-192023-01-102023-02-07标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图23上交所500ETF期权成交量PCR图24上交所500ETF持仓量PCR500ETF期权上交所500ETF期权上交所80000014000140000020000700000120000012000150006000001000010000005000008000008000100004000006000003000006000400000500020000040002000001000002000000000002022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-21日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值914请务必阅读文末免责条款金融期权日报深交所500ETF期权图25深交所500ETF走势图26深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所6600250280064002600200240062002200600015020001800580010016005600140050120054001000520008002022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212023-02-282023-03-072023-03-142023-03-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212023-02-282023-03-072023-03-142023-03-21标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图27深交所500ETF期权成交量PCR图28深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所300000200002500002000025000020000015000150002000001500001500001000010000100000100000500050005000050000000000002022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-21日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值1014请务必阅读文末免责条款金融期权日报创业板ETF期权图29创业板ETF走势图30创业板ETF期权波动率创业板ETF期权创业板ETF期权260018003500250016001400300024001200230010002500800220020002100600400150020002001900010002022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262023-01-032023-01-102023-01-172023-01-312023-02-072023-02-142023-02-212023-02-282023-03-072023-03-142023-03-212022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-142022-11-212022-12-052022-12-122022-12-262023-01-032023-01-172023-01-312023-02-142023-02-212023-02-282023-03-072023-03-142023-03-212022-11-072022-11-282022-12-192023-01-102023-02-07标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图31创业板ETF期权成交量PCR图32创业板ETF持仓量PCR创业板ETF期权创业板ETF期权1800000140001400000200001600000120001200000140000015000120000010000100000010000008000800000100008000006000600000600000400000400000400050002000002000200000000000002022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-21日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值1114请务必阅读文末免责条款金融期权日报深证100ETF期权图33深证100ETF走势图34深证100ETF期权波动率深证100ETF期权深证100ETF期权330012022003200100200031008018003000601600290040140028002012002700010002022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-03-082023-03-132023-03-162023-03-212023-01-052023-02-072023-02-282023-03-032023-03-242022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212022-12-192023-01-102023-02-072023-02-102023-03-032023-03-24标的成交量万手标的收盘价左轴标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图35深证100ETF期权成交量PCR图36深证100ETF持仓量PCR深证100ETF期权深证100ETF期权200000160001400001200014000120000100001500001200010000080001000080000100000800060006000060004000500004000400002000200002000000000002022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓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