【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波动；上证300ETF日内行情低开高走冲高回落反弹回升小幅波动；中证1000指数日内行情低开低走后弱势盘整，午后有所反弹回升；日线上看，上证50ETF本周大幅上涨突破近一个月以来的震荡区间上限，而后延续偏多头上行，上方由前期高点压力；上证300ETF沿着偏多头趋势方向震荡上行突破上涨；中证1000指数经过前两周以来的震荡上行温和上涨，上周以来的高位宽幅矩形区间盘整震荡。截至昨日收盘，上证50ETF涨幅0.37%报收于2.748，上证300ETF涨幅0.17%报收于4.152，深证300ETF涨幅0.21%报收于4.226，沪深300指数涨幅0.30%报收于4162.03，中证1000指数跌幅0.22%报收于6997.07。

研究报告全文：金融期权日报期权研究2023年4月19日星期三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波动上证300ETF日内行情低开高走冲高回落反弹回升小幅波动中证1000指数日内行情低开低走后弱势盘整午后有所反弹回升日线上看上证50ETF本周大幅上涨突破近一个月以来的震荡区间上限而后延续偏多头上行上方由前期高点压力上证300ETF沿着偏多头趋势方向震荡上行突破上涨中证1000指数经过前两周以来的震荡上行温和上涨上周以来的高位宽幅矩形区间盘整震荡截至昨日收盘上证50ETF涨幅037报收于2748上证卢品先300ETF涨幅017报收于4152深证300ETF涨幅021报收于4226沪深300指数涨幅030报收于投研经理416203中证1000指数跌幅022报收于6997070755-23375252期权盘面lupxwkjyqhcom隐含波动率截止昨日收盘金融期权隐含波动率延续降波通道持续下降其中上证50ETF期权隐含波动率下降075报收于1434上证300ETF期权隐含波动率下降104报收于1342深证300ETF期权隐含波从业资格号动率下降117报收于1372沪深300股指期权隐含波动率下降134报收于1387中证1000股指期权隐F3047321含波动率下降082报收于1309交易咨询号成交量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Z0015541成交量PCR报收于093上证300ETF期权成交量PCR报收于095深证300ETF期权成交量PCR报收于071沪深300股指期权成交量PCR报收于083中证1000股指期权成交量PCR报收于076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114上证300ETF期权持仓量PCR小幅盘整报收于126深证300ETF期权持仓量PCR报收于138沪深300股指期权持仓量PCR报收于127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的压力点上移一个行权价为275和支撑点行权价为265上证300ETF的压力点行权价为420和支撑点行权价为400深证300ETF的压力点行权价430和支撑点行权价为410沪深300指数的压力点上移一个行权价为4200和支撑点的行权价为4000中证1000指数的压力点行权价为7000和支撑点上为6800结论与策略建议1上证50ETF期权上证50ETF本周一报收光头大阳线大幅上扬突破近一个月以来的震荡区间上限而后涨幅收窄市场行情偏向多头而上方由前期高点压力期权隐含波动率历史较低位置期权持仓量PCR快速拉升至110以上操作建议构建4月份卖出看涨看跌偏多头的期权组合策略获取时间价值收益和方向性若市场行情急速大跌突破损益平衡点则平仓离场如上证50ETF期权即S510050P2304M0275010S510050P2304M0270010和S510050C2304M0275010S510050C2304M02800102上证300ETF期权上证300ETF沿着偏多头趋势方向震荡上行突破上涨期权隐含波动率下轨以下小幅波动期权持仓量PCR保持在110附近表明为短期市场行情维持震荡偏多操作建议构建卖出看涨看跌期权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保持正值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S510300P2304M0410010S510300P2304M0410010和S510300CP2304M0420010S510300C2304M04300103中证1000股指期权中证1000指数经过前两周以来的震荡上行温和上涨上周以来的高位宽幅矩形区间盘整震荡中证1000股指期权隐含波动率低位小幅波动期权持仓量PCR持续上涨维持至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-720010SMO2304-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SH50ETF510050SH2748000100037684091879SH300ETF510300SH4152000070017416051727SZ300ETF159919SZ422600009002115337647HS300000300SH416203126503017亿331546ZZ1000000852SH699707-1570-02216亿221282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SH50ETF27500022800229274990009403400019SH300ETF42000015800588415700008302000050SZ300ETF42000052700220423070010402500047HS30041500029801760416220760018017ZZ100070000029004740698160-2900-041-1547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SH50ETF14151454143415631646148182023-04-26SH300ETF12881398134214541525138282023-04-26SZ300ETF13431413137214831553141382023-04-26HS30013411442138714441522136532023-04-21ZZ100012721358130919922397158632023-04-21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SH50ETF824144769764093002619371707918114002SH300ETF373750356895095002331399417106126004SZ300ETF6329345041071-0097075197470138003HS3003328827697083-0092855536234127012ZZ10002956222513076-0202032922065109-006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200017503001500274802801250100026075050024025022002022-11-242023-01-112022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图2SH300ETF走势图4402100成交量万收盘价4152018004201500400120038090060036030034002022-11-242023-02-082022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图3SZ300ETF走势图440420成交量万收盘价422603604203004002403801801203606034002022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图4沪深300走势图4400250成交量亿收盘价416203420020040001503800100360050340002023-01-032023-02-082023-03-092022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图16000030000140000200001200001000010000080000060000-1000040000-2000020000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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