【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情高开低走后窄幅盘整至收盘；上证300ETF日内行情高开低走后窄幅盘整，弱势震荡至收盘；中证1000指数日内行情高开冲高回落后窄幅波动，午后加速下跌空头力量增强；日线上看，上证50ETF上周以来超跌反弹回暖上升后受阻回落，且上方有21天均线和55天均线压力，形成上方有压力的弱势区间震荡；上证300ETF止跌反弹回暖上升连续报收阳线，而后受阻回落，且上方有空头趋势压力及尚未修复前两周的跌幅，整体表现为上方空头压力的弱势震荡；中证1000指数上周以来止跌反弹回暖上升，而后受阻回落，且上方有前期高点压力，形成上方有压力弱势盘整的市场行情格局。截至昨日收盘，上证50ETF跌幅0.15%报收于2.640，上证300ETF跌幅0.00%报收于3.997，深证300ETF涨幅0.10%报收于4.070，沪深300指数涨幅0.17%报收于4006.14，中证1000指数跌幅0.28%报收于6806.28

研究报告全文：金融期权日报期权研究2023年3月30日星期四行情要点市场行情金融期权标的上证50ETF日内行情高开低走后窄幅盘整至收盘上证300ETF日内行情高开低走后窄幅盘整弱势震荡至收盘中证1000指数日内行情高开冲高回落后窄幅波动午后加速下跌空头力量增强日线上看上证50ETF上周以来超跌反弹回暖上升后受阻回落且上方有21天均线和55天均线压力形成上方有压力的弱势区间震荡上证300ETF止跌反弹回暖上升连续报收阳线而后受阻回落且上方有空头趋势压力及尚未修复前两周的跌幅整体表现为上方空头压力的弱势震荡中证1000指数上周以来止跌反卢品先弹回暖上升而后受阻回落且上方有前期高点压力形成上方有压力弱势盘整的市场行情格局截至昨日投研经理收盘上证50ETF跌幅015报收于2640上证300ETF跌幅000报收于3997深证300ETF涨幅010报收于0755-233752524070沪深300指数涨幅017报收于400614中证1000指数跌幅028报收于680628lupxwkjyqhcom期权盘面隐含波动率截止昨日收盘金融期权隐含波动率维持在下轨以下较低水平小幅波动有所上升其中上从业资格号证50ETF期权隐含波动率上升014报收于1598上证300ETF期权隐含波动率上升021报收于1483深F3047321证300ETF期权隐含波动率上升021报收于1516沪深300股指期权隐含波动率上升052报收于1470交易咨询号中证1000股指期权隐含波动率上升093报收于1422Z0015541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078上证300ETF期权成交量PCR报收于090深证300ETF期权成交量PCR报收于102沪深300股指期权成交量PCR报收于086中证1000股指期权成交量PCR报收于089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有所下降报收于081上证300ETF期权持仓量PCR小幅盘整报收于094深证300ETF期权持仓量PCR报收于112沪深300股指期权持仓量PCR报收于096中证1000股指期权持仓量PCR小幅波动报收于109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和支撑点下一个行权价为390深证300ETF的压力点上移一个个行权价410和支撑点为400沪深300指数的压力点为4100和支撑点上移一个行权价为4000中证1000指数的压力点下移一个行权价为6900和支撑点上为6800结论与策略建议1上证50ETF期权上证50ETF上周以来超跌反弹回暖上升后受阻回落且上方有21天均线和55天均线压力形成上方有压力的弱势区间震荡期权隐含波动率处于下轨以下历史较低位置期权持仓量PCR窄幅盘整操作建议构建4月份卖出看涨看跌偏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反弹大涨至低行权价则平仓离场如上证50ETF期权即S510050P2304M0265010S510050P2304M0260010和S510050C2304M0275010S510050C2304M02700102上证300ETF期权上证300ETF止跌反弹回暖上升连续报收阳线而后受阻回落且上方有空头趋势压力及尚未修复前两周的跌幅整体表现为上方空头压力的弱势震荡期权隐含波动率维持在下轨以下期权持仓量PCR逐渐下跌至100以下表现为短期市场行情维持震荡回落操作建议构建卖出4月份偏空头期权组合策略获取时间价值和方向性收益根据市场行情变化动态地调整持仓DELTA使得持仓DELTA保持负值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S510300P2304M0400010S510300P2304M0400010和S510300CP2304M0400010S510300C2304M04100103中证1000股指期权中证1000指数上周以来止跌反弹回暖上升而后受阻回落且上方有前期高点压力形成上方有压力弱势盘整的市场行情格局中证1000股指期权隐含波动率低位窄幅波动期权持仓量PCR维持在110附近操作建议构建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若市场行情急速大涨或者大跌则逐渐平仓离场如ZZ1000股指期权SMO2304-P-680010SMO2304-P-670010和SMO2304-C-690010SMO2304-C-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SH50ETF510050SH26400-00040-015437031157SH300ETF510300SH3997000000000616342467SZ300ETF159919SZ407000004001019105778HS300000300SH400614663017134亿263867ZZ1000000852SH680628-1910-028161亿220166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SH50ETF2650004520049026462-00060-02300062SH300ETF4000006960061940077-00002-00000107SZ300ETF4100005730079540778-00009-00200078HS30040000064405300401140-080-002526ZZ1000680000100009340680660-1820-027032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SH50ETF160615871598176719151619282023-04-26SH300ETF147314961484163117611501282023-04-26SZ300ETF148615461516166918111526282023-04-26HS300145014921470161317651461232023-04-21ZZ1000138014701422203924201657232023-04-21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SH50ETF485787376763078-005755008608281081-001SH300ETF299952269484090-001438101409890094001SZ300ETF47771489231020027392182485112005HS30026038224940860033934437893096-002ZZ10001654414698089-0041824019795109000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200017503001500280125026400100026075050024025022002022-11-282023-01-132022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-29图2SH300ETF走势图4402100成交量万收盘价1800420399701500400120038090060036030034002022-09-222022-12-092023-02-152022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-29图3SZ300ETF走势图440420成交量万收盘价360420407003004002403801801203606034002022-09-302022-11-102022-12-142023-01-182023-02-282022-09-192022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-29图4沪深300走势图4400250成交量亿收盘价420020040061440001503800100360050340002022-10-122022-12-272023-03-212022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-1320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