[行情要点]
　　●市场行情:日线上看，金融期权标的上证50ETF上周以来有所反弹回暖上升，维持近三周以来，上方有空头压力的寬幅矩形区间盘整震荡;上证300ETF上周连续报收阳线突破前一周震荡区间的上限，短期偏多头上行，而上方有前期高点压力;中证1000指数上周表现为震荡上行突破前一周高点上涨，表现为短期多头趋势上行，上方有前期高点压力。截止上周五收盘，上证50ETF周涨幅0.74%报收于2.689;上证300ETF周涨幅1.63%报收于4.117;深证300ETF周涨幅1.69%报收于4.190;沪深300指数周涨幅1.75%报收于4123.28，中证1000指数周涨幅2.37%报收于7042.89。
　　

研究报告全文：金融期权周报期权研究2023年4月10日星期一行情要点幅矩形区间盘整震荡上证300ETF上周连续报收阳线突破前一周震荡区间的上限短期偏多头上行而上方有前期高点压力中证1000指数上周表现为震荡上行突破前一周高点上涨表现为短期多头趋势上行上方有前期高点压力截止上周五收盘上证50ETF周涨幅074报收于2689上证300ETF周涨幅163报收于4117深证300ETF周涨幅卢品先169报收于4190沪深300指数周涨幅175报收于412328中证1000指数周涨幅237报收于704289投研经理期权盘面0755-23375252lupxwkqhcn少177万张至12903张上证300ETF期权增加445万张至9144万张深证300ETF期权减少107万张至1140万张沪从业资格号深300股指期权增加063万张至717万张中证1000股指期权增加092万张至477万张F3047321期权日均持仓量小幅增加其中上证50ETF期权增加1786万张至21068万张上证300ETF期权增加540万张至13872交易咨询号万张深证300ETF期权增加314张至2404万张沪深300股指期权增加074万张至1442万张中证1000股指期权增加Z0015541090万张至828万张1573上证300ETF期权隐含波动率为1474深证300ETF期权隐含波动率为1507沪深300股指期权隐含波动率为1491中证1000股指期权隐含波动率为1482成交量PCR期权的成交量PCR是站在期权的买方角度看待市场的表现表示的是市场情绪指标一般认为成交量PCR越大投资者情绪越悲观成交量PCR越小投资者情绪越乐观上证50ETF期权成交量PCR报收于080上证300ETF期权成交量PCR报收于102深证300ETF期权成交量PCR报收于111沪深300股指期权成交量PCR报收于105中证1000股指期权成交量PCR报收于104PCR快速上涨报收于089上证300ETF期权持仓量PCR报收于114深证300ETF期权持仓量PCR报收于137沪深300股指期权持仓量PCR报收于115中证1000股指期权持仓量PCR报收于118截至上周五收盘从期权的角度看上证50ETF的压力点为270和支撑点为265上证300ETF的压力点为420和支撑点为400深证300ETF的压力点行权价至430沪深300指数的压力点4150和支撑点为4000中证1000指数的压力点7000和支撑点为68001上证50ETF期权上证50ETF上周以来有所反弹回暖上升维持近三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历史较低水平位置窄幅波动期权持仓量PCR小幅波动维持在090附近操作建议构建4月份卖出看涨看跌偏多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跌则平仓离场如上证50ETF期权即S510050P2304M0265010S510050P2304M0270010和S510050C2304M0275010S510050C2304M02700102上证300ETF期权上证300ETF上周连续报收阳线突破前一周震荡区间的上限短期偏多头上行而上方有前期高点压力市场行情整体表现为上方有空头压力的短期偏多头期权隐含波动率维持下轨以下小幅波动期权持仓量PCR持续上升至110以上表明市场行情短期偏多走势操作建议构建卖出4月份偏多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保持正直若市场行情快速大跌策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2304M0410010S510300P2304M0400010和S510300CP2304M0420010S510300C2304M04300103中证1000股指期权中证1000指数上周表现为偏多头上涨的市场行情格局突破前一周震荡区间上限市场行情整体表现为上方有前期高点的区间震荡上行的行情格局中证1000股指期权隐含波动率低位小幅波动期权持仓量PCR快速上升至110以上操作建议构建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-710010SMO2304-C-720010市场周行情概要市场行情涨跌幅标的简称收盘价涨跌日均成交量万增减万日均成交额亿SH50ETF268900020007451374-98341374SH300ETF411700067016343488-64881776SZ300ETF4190000710169145593438605HS30041232872354217516466亿2000348222ZZ1000704289167082123719155亿-150000276223期权量仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化CallPut合计变化SH50ETF7089581412903-1771099810070210681786SH300ETF4842430291444456397747413872540SZ300ETF6035371140-107105613472404314HS3003803377170637057371442074ZZ1000248229477092402425828090期权日行情概要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SH50ETF27000036000409269510020107500061SH300ETF41000066900433412360031807800066SZ300ETF42000054200583419590031607600059HS300410000630034204128802960072552ZZ1000700000936066007027607100102-1529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SH50ETF155915911573172218881557132023-04-26SH300ETF145014981474159017371443132023-04-26SZ300ETF147215401507162617841468132023-04-26HS300147015111491157017301410102023-04-21ZZ1000144615171482201824091628102023-04-21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SH50ETF654883523157080-009749861664914089012SH300ETF324725332611102-001398051453130114004SZ300ETF513945709011100976784105268137008HS30033693353021050223735642867115005ZZ100023833247941040091893322305118007数据来源wind资讯五矿期货期权事业部标的价量关系图1SH50ETF走势图2901750成交量万收盘价2801500268902701250260100025075024050023025022002022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-07图2SH300ETF走势图4302000成交量万收盘价41170420175041015004001250390100038075037036050035025034002022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-07图3中证1000走势图7300250成交量亿收盘价7100690020067001506500630010061005900505700550002022-09-302022-12-272023-01-052023-03-242023-04-032022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-292023-04-07图4沪深300走势图4300250成交量亿收盘价4200412328410020040001503900380010037003600503500340002022-10-282022-12-012023-01-052023-02-152022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-07SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图180000250001600002000015000140000100001200005000100000080000-5000-1000060000-1500040000-2000020000-25000-300002402402452502552602652702752802852902953003103200235310310235235240245250255260265270275280285290295300320OIPOICOICHANGEPOICHANGECSH50ETF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30292827262524232022-11-152022-12-142023-01-132022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-07ETF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32220CLOSE35OIPCR30180302528140268902026100152406010220202022-12-092022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-292023-04-072022-12-012023-02-162022-09-272022-10-132022-10-242022-11-022022-11-112022-11-222022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-272023-03-082023-03-172023-03-282023-04-07IMPVMA20UPLOWSH300ETF期权持仓分布SH300ETF期权持仓分布图SH300ETF期权持仓变化图1200001000080001000006000800004000600002000400000-200020000-40000340340350360370380390400410420430440450460470330330-6000330330340350360370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSH300ETF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4543413937352022-12-012023-02-022023-03-032022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-07ETF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3546240CLOSE3044OIPCR200411702542160402012038150803610340402023-01-132022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-292023-04-072022-11-022022-10-132022-10-242022-11-112022-11-222022-12-012022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162023-02-272023-03-082023-03-172023-03-282023-04-072022-09-27IMPVMA20UPLOWSZ300ETF期权持仓分布SZ300ETF期权持仓分布图SZ300ETF期权持仓变化图2500025002000200001500100015000500010000-5005000-1000-15000370370350350360380390400410420430440450460470340340-2000340340350360370380390400410420430440450460470OIPOICOICHANGEPOICHANGECSZ300ETF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4543413937352023-03-032023-04-032022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-07ETF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35460240CLOSE30OIPCR22044041900200180254201604001402012038010015080360060103400402022-11-152023-02-072022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-152023-02-232023-03-032023-03-132023-03-212023-03-292023-04-072022-12-012022-09-272022-10-132022-10-242022-11-022022-11-112022-11-222022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162023-02-272023-03-082023-03-172023-03-282023-04-07IMPVMA20UPLOWHS300股指期权持仓分布HS300期权持仓分布图HS300期权持仓变化图700080060006004005000200400003000-2002000-4001000-6000-80045004500340034003500360037003800390040004100420043004400460047003600360040003400340035003700380039004100420043004400450046004700OIPOICOICHANGEPOICHANGECHS300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44004200400038003600340032002022-11-152023-03-212022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-242023-03-292023-04-032023-04-07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304800150CLOSEOIPCR2546001304400110412328204200090400015070380036000501034000302023-01-132022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-292023-04-072022-09-272023-04-072022-10-242022-11-022022-11-112022-11-222022-12-012022-12-122022-12-212022-12-302023-01-112023-01-202023-02-072023-02-162023-02-272023-03-082023-03-172023-03-282022-10-13IMPVMA20UPLOW策略应用和分析上证50ETF日行情K线图投资策略和到期损益图上证50ETF上周以来有搜反弹回暖上升维持近三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历史较低水平位置窄幅波动期权持仓量PCR小幅波动维持在090附近操作建议构建4月份卖出看涨看跌偏多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跌则平仓离场如上证50ETF期权即S510050P2304M0265010S510050P2304M0270010和S510050C2304M0275010S510050C2304M0270010到期损益图如下策略应用和分析上证300ETF日行情K线图投资策略和到期损益图上证300ETF上周连续报收阳线突破前一周震荡区间的上限短期偏多头上行而上方有前期高点压力市场行情整体表现为上方有空头压力的短期偏多头期权隐含波动率维持下轨以下小幅波动期权持仓量PCR持续上升至110以上表明市场行情短期偏多走势操作建议构建卖出4月份偏多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保持正直若市场行情快速大跌策略将出现亏损则逐渐平仓离场如上证300ETF期权即S510300P2304M0410010S510300P2304M0400010和S510300CP2304M0420010S510300C2304M0430010到期损益图如下策略应用和分析中证1000指数日行情K线图投资策略和到期损益图中证1000指数上周表现为偏多头上涨的市场行情格局突破前一周震荡区间上限市场行情整体表现为上方有前期高点的区间震荡上行的行情格局中证1000股指期权隐含波动率低位小幅波动期权持仓量PCR快速上升至110以上操作建议构建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-710010SMO2304-C-720010到期损益图如下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对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的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