今日各股指均高开高走,大幅收涨。沪深两市全天成交额9481亿元，两市近4400家个股上涨，北向资金大幅净买入189.84亿元。大金额、房地产相关板块涨幅居前，主要是因为政治局会议召开对相关板块形成利好。会议提出要活跃资本市场，提振投资者信心；适应我国房地产市场供求关系发生重大变化的新形势，适时调整优化房地产政策。从今日的市场表现而言，政策利好是主要推动力量，但其对行情的持续性仍需观察。政治局会议提出下半年政策要扩大内需、提振信心、防范风险，整体表述仍是偏稳健的，并且特别提到了化债风险以及汇率稳定，但需注意利好落地之后股指冲高回落的风险。总的来看，政策利好提振市场情绪，但政策效果尚需检验，短期内股指震荡偏强，不宜追高。
　　在震荡行情可以选择隐含波动率偏高的品种布局双卖策略，收取权利金，做时间的朋友，如构建关于创业板ETF期权的8月行权价为2.1的看跌期权以及8月行权价为2.2的看涨期权的双卖策略。
　　

研究报告全文：投资咨询业务资格证监许可20111778号金融期权日报专业研究创造价值2023年7月25日金融期权政策利好提振市场情绪核心观点今日各股指均高开高走大幅收涨沪深两市全天成交额9481亿元两市近4400家个股上涨北向资金大幅净买入18984亿元大金额房地产相关板块涨幅居前主要是因为政治局会议召开对相关板块形成利好会议提出要活跃资本市场提振投资者信心适应我国房地产市场供求关系发生姓名龙奥明重大变化的新形势适时调整优化房地产政策从今日的市场表现而言政策利好是主要推动力量但其对行情的持续性仍需观察政治局会议提出下宝城期货投资咨询部半年政策要扩大内需提振信心防范风险整体表述仍是偏稳健的并且特别提到了化债风险以及汇率稳定但需注意利好落地之后股指冲高回落的风从业资格证号F3035632险总的来看政策利好提振市场情绪但政策效果尚需检验短期内股指震投资咨询证号Z0014648荡偏强不宜追高在震荡行情可以选择隐含波动率偏高的品种布局双卖策略收取权利金电话0571-87006873做时间的朋友如构建关于创业板ETF期权的8月行权价为21的看跌期权邮箱longaomingbcqhgscom以及8月行权价为22的看涨期权的双卖策略仅供参考不构成任何投资建议作者声明本人具有中国期货业协会授予的期货从业资格证书期货投资咨询资格证书本人承诺以勤勉的职业态度独立客观地出具本报告本报告清晰准确地反映了本人的研究观点本人不会因本报告中的具体推荐意见或观点而直接或间接接收到任何形式的报酬专业研究创造价值请务必阅读文末免责条款部分113请务必阅读文末免责条款金融期权日报1期权指标2023年07月25日50ETF涨319收于2655300ETF上交所涨289收于3985300ETF深交所涨287收于4054沪深300指数涨289收于391512中证1000指数涨163收于649827500ETF上交所涨163收于6118500ETF深交所涨160收于6241创业板ETF涨220收于2136深证100ETF涨281收于2887上证50指数涨313收于257835上证50ETF期权成交量PCR为7055上一交易日成交量PCR为8478持仓量PCR为10268上一交易日持仓量PCR为7328上交所3000ETF期权成交量PCR为6661上一交易日成交量PCR为8699持仓量PCR为10012上一交易日持仓量PCR为8204深交所300ETF期权成交量PCR为7365上一交易日成交量PCR为8186持仓量PCR为9322上一交易日持仓量PCR为7673沪深300指数期权成交量PCR为5955上一交易日成交量PCR为8042持仓量PCR为7809上一交易日持仓量PCR为7129中证1000指数期权成交量PCR为6799上一交易日成交量PCR为10591持仓量PCR为7921上一交易日持仓量PCR为7929上交所中证500ETF期权成交量PCR为9266上一交易日成交量PCR为12789持仓量PCR为11434上一交易日持仓量PCR为11135深交所中证500ETF期权成交量PCR为7646上一交易日成交量PCR为9853持仓量PCR为8940上一交易日持仓量PCR为9216创业板ETF期权成交量PCR为7079上一交易日成交量PCR为7898持仓量PCR为6874上一交易日持仓量PCR为6006深证100ETF期权成交量PCR为7109上一交易日成交量PCR为10043持仓量PCR为7879上一交易日持仓量PCR为6141上证50股指期权成交量PCR为5491上一交易日成交量PCR为7716持仓量PCR为5852上一交易日持仓量PCR为5147上证50ETF期权2023年08月平值期权隐含波动率为1517标的30交易日历史波动率为1232上交所300ETF期权2023年08月平值期权隐含波动率为1454标的30交易日历史波动率为1243深交所300ETF期权2023年08月平值期权隐含波动率为1463标的30交易日历史波动率为1249沪深300指数期权2023年08月平值期权隐含波动率为1458标的30交易日历史波动率为1498中证1000指数期权2023年08月平值期权隐含波动率为1413标的30交易日历史波动率为1452上交所中证500ETF期权2023年08月平值期权隐含波动率为1424标的30交易日历史波动率为1290深交所中证500ETF期权2023年08月平值期权隐含波动率为1374标的30交易日历史波动率为1293创业板ETF期权2023年08月平值期权隐含波动率为1904标的30交易日历史波动率为1864深证100ETF期权2023年08月平值期权隐含波动率为1613标的30交易日历史波动率为1509上证50股指期权2023年08月平值期权隐含波动率为1602标的30交易日历史波动率为1532专业研究创造价值213请务必阅读文末免责条款金融期权日报2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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-01-262022-02-242022-03-182022-04-132022-05-102022-06-242022-07-182022-08-092022-08-312022-09-232022-10-242022-11-152022-12-072023-01-302023-03-152023-04-072023-05-042023-05-262023-06-192023-07-132022-06-012022-12-292023-02-212022-01-042022-01-262022-02-242022-03-182022-04-132022-05-102022-06-012022-06-242022-07-182022-08-092022-08-312022-09-232022-10-242022-11-152022-12-072022-12-292023-01-302023-02-212023-03-152023-04-072023-05-042023-05-262023-06-192023-07-13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700000014000400000016000600000012000350000014000500000010000300000012000250000040000008000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-01-282022-03-022022-04-252022-05-242022-07-142022-08-092022-09-022022-11-012022-11-252022-12-212023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032022-03-282022-06-202022-09-292023-01-172022-01-042022-01-282022-03-282022-04-252022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-04-112023-05-102023-07-032022-03-022022-09-022023-03-152023-06-05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宝城期货研究所图5上证50ETF期权隐含波动率曲线图6上证50ETF期权各期限平值隐含波动率50ETF期权50ETF期权1900180017501800170017001650160016001550150015001400145014001300135012001300235240245250255260265270275202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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313请务必阅读文末免责条款金融期权日报上交所300ETF期权图7上交所300ETF走势图8上交所300ETF期权波动率300ETF期权上交所300ETF期权上交所51200050004918004500160047140040004512003500431000300041800250060039400200037200150035010002022-01-042022-01-262022-02-242022-03-182022-04-132022-05-102022-06-012022-06-242022-07-182022-08-092022-08-312022-09-232022-10-242022-11-152022-12-072022-12-292023-01-302023-02-212023-03-152023-04-072023-05-042023-05-262023-06-192023-07-132022-01-042022-02-242022-03-182022-04-132022-05-102022-06-012022-06-242022-08-092022-09-232022-11-152022-12-072022-12-292023-01-302023-02-212023-03-152023-05-042023-06-192022-01-262022-07-182022-08-312022-10-242023-04-072023-05-262023-07-13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9上交所300ETF期权成交量PCR图10上交所300ETF持仓量PCR300ETF期权上交所300ETF期权上交所50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-022022-09-292022-11-252022-12-212023-02-172023-03-152023-04-112023-06-052023-07-032022-04-252022-11-012023-01-172023-05-102022-01-042022-03-022022-03-282022-04-252022-06-202022-07-142022-09-022022-09-292022-11-012022-12-212023-01-172023-02-172023-04-112023-05-102023-06-052022-01-282022-05-242022-08-092022-11-252023-03-152023-07-03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宝城期货研究所图11上交所300ETF期权隐含波动率曲线图12上交所300ETF期权各期限平值隐含波动率300ETF期权上交所300ETF期权上交所180016501700160015501600150015001450140014001300135012001300350360370380390400410420430202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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413请务必阅读文末免责条款金融期权日报深交所300ETF期权图13深交所300ETF走势图14深交所300ETF期权波动率300ETF期权深交所300ETF期权深交所5100400500049003504500470030040004500250350043002003000410015025003900100200037005015003500010002022-01-042022-02-242022-03-182022-04-132022-05-102022-06-012022-06-242022-08-092022-09-232022-11-152022-12-072022-12-292023-01-302023-02-212023-03-152023-05-042023-06-192022-01-262022-07-182022-08-312022-10-242023-04-072023-05-262023-07-132022-01-272022-02-282022-03-232022-04-192022-05-172022-07-282022-08-222022-09-152022-10-172022-11-092023-01-202023-02-212023-03-162023-04-112023-05-092023-06-282023-07-212022-01-042022-06-102022-07-052022-12-022022-12-272023-06-01标的日历史波动率平值期权隐含波动率标的成交量万手标的收盘价左轴30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深交所300ETF期权成交量PCR图16深交所300ETF持仓量PCR300ETF期权深交所300ETF期权深交所8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-01-282022-03-282022-04-252022-06-202022-07-142022-09-022022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032022-03-022022-05-242022-08-092022-01-042022-01-282022-03-282022-04-252022-05-242022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-04-112023-05-102023-07-032022-03-022022-06-202022-09-022023-03-152023-06-05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宝城期货研究所图17深交所300ETF期权隐含波动率曲线图18深交所300ETF期权各期限平值隐含波动率300ETF期权深交所300ETF期权深交所2000170019001650160018001550170015001600145015001400140013501300130012001250350360370380390400410420430202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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513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19沪深300股指走势图20沪深300股指期权波动率沪深300股指期权沪深300股指期权51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-02-242022-03-182022-04-132022-05-102022-06-012022-06-242022-08-092022-09-232022-11-152022-12-072022-12-292023-01-302023-02-212023-03-152023-05-042023-06-192022-01-262022-07-182022-08-312022-10-242023-04-072023-05-262023-07-132022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212022-07-052022-07-282022-08-222022-09-15标的日历史波动率平值期权隐含波动率标的成交量亿手标的收盘价左轴30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21沪深300股指期权成交量PCR图22沪深300股指持仓量PCR沪深300股指期权沪深300股指期权4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-01-282022-03-282022-04-252022-06-202022-07-142022-09-022022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032022-03-022022-05-242022-08-092022-01-042022-01-282022-03-282022-04-252022-05-242022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-04-112023-05-102023-07-032022-03-022022-06-202022-09-022023-03-152023-06-05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宝城期货研究所图23沪深300股指期权隐含波动率曲线图24沪深300股指期权各期限平值隐含波动率沪深300股指期权沪深300股指期权18001550160015001400145012001400100080013506001300360036503700375038003850390039504000202308202309202310202312202403202406当日IV昨日IV当日平值IV昨日平值IV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613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25中证1000股指走势图26中证1000股指期权波动率中证1000股指期权中证1000股指期权7500002503500700000200300065000015025006000001002000550000050150010005000000002022-08-052022-08-192022-09-022022-10-102022-10-242022-11-072022-12-052022-12-192023-01-032023-02-072023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192022-07-222022-09-192022-11-212023-01-172023-03-212022-07-222022-08-092022-08-252022-09-292022-10-242022-11-092022-11-252022-12-292023-01-172023-02-092023-02-272023-03-312023-04-192023-05-102023-05-262023-07-032023-07-192022-09-132022-12-132023-03-152023-06-13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27中证1000股指期权成交量PCR图28中证1000股指持仓量PCR中证1000股指期权中证1000股指期权18000016000120000140001600001400010000012000140000120001200008000010000100000100008000800060000800006000600006000400004000400040000200002000020002000000000002022-07-222022-08-092022-08-252022-09-132022-09-292022-10-242022-11-092022-11-252023-03-152023-03-312023-04-192023-05-102023-05-262023-06-132023-07-032023-07-192022-12-132022-12-292023-01-172023-02-092023-02-272022-07-222022-08-092022-08-252022-09-132022-09-292022-10-242022-11-092022-11-252023-02-272023-03-152023-03-312023-04-192023-05-102023-05-262023-06-132023-07-032023-07-192022-12-132022-12-292023-01-172023-02-09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宝城期货研究所图29中证1000股指期权隐含波动率曲线图30中证1000股指期权各期限平值隐含波动率中证1000股指期权中证1000股指期权18001700170016001600150015001400140013001300120012001100110010001000600061006200630064006500660067006800202308202309202310202312202403202406当日IV昨日IV当日平值IV昨日平值IV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713请务必阅读文末免责条款金融期权日报上交所500ETF期权图31上交所500ETF走势图32上交所500ETF期权波动率500ETF期权上交所500ETF期权上交所66007002800640060026002400620050022006000400200018005800300160014005600200120054001001000800520002022-09-192022-09-302022-10-202022-11-022022-11-152022-12-092022-12-222023-01-052023-02-072023-02-202023-03-032023-03-292023-04-122023-04-252023-05-242023-06-062023-06-192023-07-042023-07-172022-11-282023-01-182023-03-162023-05-112022-09-192022-10-242022-11-072022-12-052022-12-192023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052022-10-102022-11-212023-02-072023-03-212023-07-19标的日历史波动率平值期权隐含波动率标的成交量万手标的收盘价左轴30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33上交所500ETF期权成交量PCR图34上交所500ETF持仓量PCR500ETF期权上交所500ETF期权上交所14000002000090000014000120000080000012000100000015000700000800000600000100001000060000050000080004000004000005000600020000030000020000040000000100000200000002022-10-102022-10-242022-11-072022-11-212022-12-192023-01-032023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-192023-07-052023-07-192022-09-192022-12-052023-02-212023-06-052022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-192023-02-072023-06-192023-07-05日认购成交量日认沽成交量日成交量PCR2023-01-17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宝城期货研究所图35上交所500ETF期权隐含波动率曲线图36上交所500ETF期权各期限平值隐含波动率500ETF期权上交所500ETF期权上交所2800175026001700240016501600220015502000150018001450160014001400135012001300500525550575600625650675700202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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813请务必阅读文末免责条款金融期权日报深交所500ETF期权图37深交所500ETF走势图38深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-09-302022-10-202022-11-022022-11-152022-12-092022-12-222023-01-052023-02-072023-02-202023-03-032023-03-292023-04-122023-04-252023-05-242023-06-062023-06-192023-07-042023-07-172022-11-282023-01-182023-03-162023-05-112022-09-192022-10-242022-11-072022-12-052022-12-192023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052022-10-102022-11-212023-02-072023-03-212023-07-19标的日历史波动率平值期权隐含波动率标的成交量万手标的收盘价左轴30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39深交所500ETF期权成交量PCR图40深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所350000200002500002000030000020000025000015000150002000001500001000010000150000100000100000500050000500050000000000002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-192022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-192023-01-172023-02-072023-06-192023-07-052023-01-172023-02-072023-06-192023-07-05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宝城期货研究所图41深交所500ETF期权隐含波动率曲线图42深交所500ETF期权各期限平值隐含波动率500ETF期权深交所500ETF期权深交所26002000180024001600220014002000120010001800800160060040014002001200000525550575600625650675700725202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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913请务必阅读文末免责条款金融期权日报创业板ETF期权图43创业板ETF走势图44创业板ETF期权波动率创业板ETF期权创业板ETF期权300020003500250030001500200025001500100020001000500150005001000000002022-09-192022-09-302022-10-202022-11-022022-11-152022-12-092022-12-222023-01-052023-02-072023-02-202023-03-032023-03-292023-04-122023-04-252023-05-242023-06-062023-06-192023-07-042023-07-172022-11-282023-01-182023-03-162023-05-112022-09-192022-10-242022-11-072022-12-052022-12-192023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052022-10-102022-11-212023-02-072023-03-212023-07-19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45创业板ETF期权成交量PCR图46创业板ETF持仓量PCR创业板ETF期权创业板ETF期权18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-10-102022-10-242022-11-072022-11-212022-12-192023-01-032023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-192023-07-052023-07-192022-10-102022-10-242022-11-072022-11-212022-12-192023-01-032023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-192023-07-052023-07-192022-09-192022-12-052023-02-212023-06-052022-09-192022-12-052023-02-212023-06-05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宝城期货研究所图47创业板ETF期权隐含波动率曲线图48创业板ETF期权各期限平值隐含波动率创业板ETF期权创业板ETF期权2200220021002150200021001900205018002000170019501600190015001850140018001300175012001700190195200205210215220225230202307202308202309202312当日IV昨日IV当日平值IV昨日平值IV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1013请务必阅读文末免责条款金融期权日报深证100ETF期权图49深证100ETF走势图50深证100ETF期权波动率深证100ETF期权深证100ETF期权330012022003200100200031003000801800290060160028002700401400260020120025001000240002022-12-272023-01-052023-01-132023-02-072023-02-152023-02-232023-03-132023-03-212023-03-292023-04-172023-04-252023-05-082023-05-162023-05-242023-06-012023-06-092023-06-192023-06-292023-07-072023-07-252022-12-192023-01-302023-03-032023-04-072023-07-172022-12-282023-01-092023-02-032023-02-142023-02-232023-03-062023-03-152023-03-242023-04-042023-04-142023-04-252023-05-182023-05-292023-06-162023-06-292023-07-102023-07-192022-12-192023-01-182023-05-092023-06-07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51深证100ETF期权成交量PCR图52深证100ETF持仓量PCR深证100ETF期权深证100ETF期权200000160001800001200014000160000150000120001400001000010000120000800010000010000080008000060006000600004000500004000400002000200002000000000002022-12-192022-12-282023-01-092023-01-182023-02-032023-02-232023-03-152023-04-042023-04-142023-04-252023-05-092023-05-182023-05-292023-06-072023-06-162023-06-292023-07-102023-07-192023-02-142023-03-062023-03-242022-12-192022-12-282023-01-092023-01-182023-02-032023-02-232023-03-152023-04-042023-04-142023-04-252023-05-092023-05-182023-05-292023-06-072023-06-162023-06-292023-07-102023-07-192023-02-142023-03-062023-03-24日认购持仓量日认沽持仓量日持仓量日认购成交量日认沽成交量日成交量PCRPCR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53创业板ETF期权隐含波动率曲线图54创业板ETF期权各期限平值隐含波动率深证100ETF期权深证100ETF期权17001700165016501600160015501550150015001450145014001350140013001350260265270275280285290295300202307202308202309202312当日平值昨日平值当日IV昨日IVIVIV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1113请务必阅读文末免责条款金融期权日报上证50股指期权图55上证50指数走势图56上证50股指期权波动率上证50股指期权上证50股指期权29000008022002800000702000060180027000005026000004016002500000301400020120024000001010002300000002022-12-272023-01-052023-01-132023-02-072023-02-152023-02-232023-03-132023-03-212023-03-292023-04-172023-04-252023-05-082023-05-162023-05-242023-06-012023-06-092023-06-192023-06-292023-07-072023-07-252022-12-192023-01-302023-03-032023-04-072023-07-172022-12-282023-01-092023-02-032023-02-142023-02-232023-03-062023-03-152023-03-242023-04-042023-04-142023-04-252023-05-182023-05-292023-06-162023-06-292023-07-102023-07-192022-12-192023-01-182023-05-092023-06-07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57上证50股指期权成交量PCR图58上证50股指持仓量PCR上证50股指期权上证50股指期权90000120001200001400080000120007000010000100000600008000800001000050000800060006000040000600030000400040000200004000100002000200002000000000002022-12-192022-12-282023-01-092023-01-182023-02-032023-02-232023-03-062023-03-242023-04-042023-04-142023-05-092023-05-182023-06-072023-06-162023-06-292023-07-102023-07-192022-12-192022-12-282023-01-092023-01-182023-02-032023-02-232023-03-152023-04-042023-04-142023-04-252023-05-092023-05-182023-05-292023-06-072023-06-162023-06-292023-07-102023-07-192023-02-142023-03-152023-04-252023-05-292023-02-142023-03-062023-03-24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宝城期货研究所图59中证1000股指期权隐含波动率曲线图60中证1000股指期权各期限平值隐含波动率上证50股指期权上证50股指期权18001800170016001600140015001200140010001300120080011006001000237524002425245025002550260026502700202308202309202310202312202403202406当日IV昨日IV当日平值IV昨日平值IV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1213请务必阅读文末免责条款金融期权日报获取每日期货策略推送服务国家走向世界诚信至上合规经营知行合一专业敬业严谨管理开拓进取扫码关注宝城期货官方微信期货咨询尽在掌握免责条款除非另有说明宝城期货有限责任公司以下简称宝城期货拥有本报告的版权未经宝城期货事先书面授权许可任何机构或个人不得更改或以任何方式发送传播或复印本报告的全部或部分内容本报告所载的全部内容只提供给客户做参考之用并不构成对客户的投资建议宝城期货认为本报告所载内容及观点客观公正但不担保其内容的准确性或完整性客户不应单纯依靠本报告而取代个人的独立判断本报告所载内容反映的是宝城期货在最初发表本报告日期当日的判断宝城期货可发出其它与本报告所载内容不一致或有不同结论的报告但宝城期货没有义务和责任去及时更新本报告涉及的内容并通知客户宝城期货不对因客户使用本报告而导致的损失负任何责任宝城期货建议客户独自进行投资判断本报告并不构成投资法律会计或税务建议或担保任何内容适合客户本报告不构成给予客户个人咨询建议宝城期货版权所有并保留一切权利专业研究创造价值1313请务必阅读文末免责条款