【行情要点】
　　市场行情：金融期权标的上证50ETF日内行情低开高走冲高回落后窄幅盘整震荡至收盘；上证300ETF日内行情高开高走震荡上行偏多上涨，午后有所回落；中证1000指数日内行情高开高走一路上行单边上涨；日线上看，上证50ETF前一周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，维持近两周以来空头压力线下宽幅矩形区间震荡；上证300ETF止跌反弹回暖上升连续报收阳线后受阻回落，延续一周的宽幅矩形区间震荡，而后逐渐回暖上升偏多头上行；中证1000指数上周以来先抑后扬，而后延续短期多头上涨突破上行，市场行情整体表现为偏多头。截至昨日收盘，上证50ETF涨幅0.11%报收于2.672，上证300ETF涨幅0.74%报收于4.080，深证300ETF涨幅0.78%报收于4.151，沪深300指数涨幅0.98%报收于4090.57，中证1000指数涨幅1.26%报收于6962.20。
　　

研究报告全文：金融期权日报期权研究2023年4月4日星期二行情要点市场行情金融期权标的上证50ETF日内行情低开高走冲高回落后窄幅盘整震荡至收盘上证300ETF日内行情高开高走震荡上行偏多上涨午后有所回落中证1000指数日内行情高开高走一路上行单边上涨日线上看上证50ETF前一周超跌反弹回暖上升后受阻回落且上方有21天均线和55天均线压力维持近两周以来空头压力线下宽幅矩形区间震荡上证300ETF止跌反弹回暖上升连续报收阳线后受阻回落延续一周的宽幅矩形区间震荡而后逐渐回暖上升偏多头上行中证1000指数上周以来先抑后扬而后延续短期多头上卢品先涨突破上行市场行情整体表现为偏多头截至昨日收盘上证50ETF涨幅011报收于2672上证300ETF投研经理涨幅074报收于4080深证300ETF涨幅078报收于4151沪深300指数涨幅098报收于409057中证0755-233752521000指数涨幅126报收于696220lupxwkjyqhcom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其中上证50ETF从业资格号期权隐含波动率下家027报收于1641上证300ETF期权隐含波动率下降0058报收于1479深证F3047321300ETF期权隐含波动率下降022报收于1516沪深300股指期权隐含波动率上升002报收于1463中交易咨询号证1000股指期权隐含波动率上升035报收于1423Z0015541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075上证300ETF期权成交量PCR报收于086深证300ETF期权成交量PCR报收于079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080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小幅盘整报收于082上证300ETF期权持仓量PCR持续上升报收于111深证300ETF期权持仓量PCR报收于129沪深300股指期权持仓量PCR报收于108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的压力点上移一个行权价420和支撑点行权价为400深证300ETF的压力点兽王行权价410和支撑点上移一个行权价为410沪深300指数的压力点为4100和支撑点的行权价为3900中证1000指数的压力点上移一个行权价为7000和支撑点上为6800结论与策略建议1上证50ETF期权上证50ETF维持近两周以来上方有空头压力的宽幅矩形区间盘整震荡期权隐含波动率处于下降通道持续下降至下轨以下隐波率处于历史较低位置期权持仓量PCR小幅波动维持在080附近操作建议构建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前一周止跌反弹回暖上升连续报收阳线而后上升受阻回落上周以来维持空头压力线下宽幅矩形区间弱势震荡有所上行期权隐含波动率持续下降至下轨以下期权持仓量PCR保持在100附近盘整表明为短期市场行情维持震荡操作建议构建卖出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S510300P2304M0400010S510300P2304M0410010和S510300CP2304M0420010S510300C2304M04100103中证1000股指期权中证1000指数上周以来先抑后扬而后延续短期多头上涨突破上行市场行情整体表现为偏多头中证1000股指期权隐含波动率低位小幅波动期权持仓量PCR逐渐下降至110附近操作建议构建4月份偏多头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跌则逐渐平仓离场如ZZ1000股指期权SMO2304-P-690010SMO2304-P-700010和SMO2304-C-700010SMO2304-C-710010235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SH50ETF510050SH2672000030011577561542SH300ETF510300SH4080000300074551342243SZ300ETF159919SZ415100032007813702567HS300000300SH4090573964098182亿382896ZZ1000000852SH6962208640126195亿274917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SH50ETF26500060000322267780000300100058SH300ETF41000053500668408670027906900067SZ300ETF42000043900845415940030007300084HS300410000506057204093402740067283ZZ10007000005980117006942807020102-1940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SH50ETF163516481641174919101589232023-04-26SH300ETF145115121479161117531469232023-04-26SZ300ETF149015491516165018041496232023-04-26HS300143814971463159417551433182023-04-21ZZ1000137214861423202724151640182023-04-21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SH50ETF701949524231075-004783141644887082-001SH300ETF491658421613086-004412069457479111006SZ300ETF7638160379079-0137778699963129000HS30043670328730750113783540695108010ZZ100022998184080800051881320494109007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200017503001500280267201250100026075050024025022002022-12-012023-01-182022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03图2SH300ETF走势图4402100成交量万收盘价1800420408001500400120038090060036030034002022-09-272022-12-142023-02-202022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03图3SZ300ETF走势图440420成交量万收盘价415103604203004002403801801203606034002022-10-122022-11-152022-12-192023-01-302023-03-032022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03图4沪深300走势图4400250成交量亿收盘价420040905720040001503800100360050340002022-10-172022-12-302023-03-242022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-292023-04-03SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图1800002000016000014000015000120000100001000008000050006000040000020000-50002502502402402452552602652702752802852902953003100235290290235235240245250255260265270275280285295300310OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-11-282023-01-302022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03ETF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32200CLOSE3531OIPCR1803016030291402528120272672020100260802515060241023040220202022-11-182022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-242023-04-032023-02-022022-09-222022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-132023-02-222023-03-032023-03-142023-03-232023-04-03IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图12000020000100000150001000080000500060000040000-500020000-100000-15000360360360430330330340350370380390400410420430440450460470330340350370380390400410420440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-10-282023-02-022023-03-082022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03ETF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3548240CLOSE3022046OIPCR20025441804080042160140204012015381000803606010340402022-10-252022-12-222023-02-282022-09-222022-09-302022-10-172022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-03-082023-03-162023-03-242023-04-032023-02-022022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-132023-02-222023-03-032023-03-142023-03-232023-04-032022-09-22IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图2500025002000200001500100015000500010000-5005000-1000-1500-20003503503603703803904004104204304404504604704804900340340340350360370380390400410420430440450460470480490OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352022-10-282022-12-302023-03-132022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-162023-03-212023-03-242023-03-292023-04-03ETF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35450240CLOSE30OIPCR22043041510200180254101601402039012010015370080060103500402022-09-222022-12-062023-02-202022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-282023-03-082023-03-162023-03-242023-04-032022-10-102022-10-192022-10-282022-11-082022-11-172022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142023-03-232023-04-032022-09-22IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图60001200100050008006004000400200300002000-200-4001000-600-8003400340035003600370038003900400041004200430044004500460047003800380035003500360037003900400041004200430044004500460047000-10003400OIPOICOICHANGEPOICHANGECHS300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460044004200400038003600340032002022-10-282022-12-272023-03-032022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-03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354800160CLOSE304600OIPCR140440012025420040905710020400008015380006036000401034000202022-11-022022-09-222022-09-302022-10-172022-10-252022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-242023-04-032022-11-172022-10-102022-10-192022-10-282022-11-082022-11-282022-12-072022-12-162022-12-272023-01-062023-01-172023-02-022023-02-132023-02-222023-03-032023-03-142023-03-232023-04-032022-09-22IMPVMA20UPLOW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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