研究报告全文：期权周报I20238142023818震荡偏弱情绪偏空本周摘要金融期权方面50ETF期权上周日均成交量为21794万张较前周上升493其中认沽期权成交量要低于认购期权认沽-认购成交比为077相对前周有所下降接近历史均值水平上周认沽认购持仓比为057较前周继续回落接近历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交16252万张日均持仓量20016万张沪深300股指期权日均成交17万手日均持仓量2474万手嘉实300ETF期权日均成交2944万张日均持仓量3523万张中证1000股指期权日均成交1216万手日均持仓1237万手期权活跃度整体上升综合期权的成交及持仓信息来看本周市场情绪偏空波动率方面截止上周五收盘沪深300股指期权隐含波动率195较一周前上升14350ETF期权隐含波动率2094较一周前上升229中证1000股指期权隐含波动率1735较一周前上升059隐含波动率接近历史波动率期权定价公允南华50ETF期权波动率指数是2258南华沪深300期权波动率指数是2141南华中证1000期权波动率指数是1953与前一周相比南华期权波动率指数小幅上升上周市场震荡偏弱期权市场情绪偏空本周商品期权总体周均成交情况较上周周度上升2332其中按截止周五数据来看期权成交量相较上周上升幅度前列的品种分别为豆二聚丙烯棉花菜油和LPG期权期权成交量相较上周下降幅度前列的品种分别为原油花生黄金玉米和棕榈油期权期权标的走势来看各板块商品价格走势分化黑色商品价格整体上涨金属价格整体下跌农产品能化商品价格涨跌互现周度来看商品期权隐含波动率互有涨跌其中有色期权隐含波动率小幅上升南华研究院投资咨询业务资格证监许可20111290号样式名称周小舒投资咨询证号Z0014889请务必阅读正文之后的免责条款部分震荡偏弱情绪偏空期权周报I202381420238181市场震荡偏弱11策略说明标的行情判断震荡偏弱策略构建暂无12策略表现回顾图11期权策略净值图194184174164154144134124114104净值094202005062020060520200709202008132020101220201123202012312021020920210319202104202021052520210701202108022021090120211012202111112021121320220113202202212022033020220506202206082022070820220822202210172022111620221216202301192023031020230412202305172023061620230720资料来源南华研究13策略总体点评上周策略收益118请务必阅读正文之后的免责条款部分第1页震荡偏弱情绪偏空期权周报I202381420238182金融期权数据金融期权方面50ETF期权上周日均成交量为21794万张较前周上升493其中认沽期权成交量要低于认购期权认沽-认购成交比为077相对前周有所下降接近历史均值水平上周认沽认购持仓比为057较前周继续回落接近历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交16252万张日均持仓量20016万张沪深300股指期权日均成交17万手日均持仓量2474万手嘉实300ETF期权日均成交2944万张日均持仓量3523万张中证1000股指期权日均成交1216万手日均持仓1237万手期权活跃度整体上升综合期权的成交及持仓信息来看本周市场情绪偏空波动率方面截止上周五收盘沪深300股指期权隐含波动率195较一周前上升14350ETF期权隐含波动率2094较一周前上升229中证1000股指期权隐含波动率1735较一周前上升059隐含波动率接近历史波动率期权定价公允南华50ETF期权波动率指数是2258南华沪深300期权波动率指数是2141南华中证1000期权波动率指数是1953与前一周相比南华期权波动率指数小幅上升上周市场震荡偏弱期权市场情绪偏空图2150ETF期权成交持仓情况70000001660000001450000001240000001300000008200000010000000600499202211820213222021521202171920219132021113202231720225192022715202211020233142023515202371220231117202111142022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第2页震荡偏弱情绪偏空期权周报I20238142023818图2250ETF期权隐含波动率与历史波动率50004500隐含波动率20日历史波动率4000350030002500200015001000500882022282023592023842023517202162920218102021923202121120223252022513202262720229202022118202232220236212023111120211223202112202022资料来源wind南华研究图23华泰柏瑞300ETF期权成交持仓情况5000000164500000144000000123500000300000012500000082000000061500000041000000500000020076202168202258202311820213172021513202182620212162022412202272920229212022111202331020236302023102720211217202111182022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第3页震荡偏弱情绪偏空期权周报I20238142023818图24华泰柏瑞300ETF期权隐含波动率与历史波动率45004000隐含波动率20日历史波动率350030002500200015001000500882022282023592023842023517202162920218102021923202121120223252022513202262720229202022118202232220236212023111120211223202112202022资料来源wind南华研究图25嘉实300ETF期权成交持仓情况800000187000001660000014500000121400000083000000620000004100000020057202171202275202311820213152021628202181620211212021120202231720225122022819202212520221312023321202351520231013202110172022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第4页震荡偏弱情绪偏空期权周报I20238142023818图26嘉实300ETF期权隐含波动率与历史波动率4500隐含波动率历史波动率4000350030002500200015001000500882022282023592023842023517202162920218102021923202121120223252022513202262720229202022118202232220236212023111120211223202112202022资料来源wind南华研究图27沪深300股指期权成交持仓情况4000001435000012300000125000008200000061500001000000450000020028202271620209142020119202132520215282021728202192820211222021411202261420228112022221202342120236272023111920201018202212152022成交量持仓量成交PCR持仓PCR资料来源wind南华研究请务必阅读正文之后的免责条款部分第5页震荡偏弱情绪偏空期权周报I20238142023818图28沪深300股指期权隐含波动率与历史波动率4500隐含波动率历史波动率4000350030002500200015001000500882022282023592023842023517202162920218102021923202121120223252022513202262720229202022118202232220236212023111120211223202112202022资料来源wind南华研究图29中证1000股指期权成交持仓情况3000001625000014122000001150000081000000604500000200882022192023322023432023592023682023722202282920229142022929202211720221272022131202321520233172023419202352420236272023712202372720238112023102120221122202212222022持仓量成交量成交PCR持仓PCR资料来源wind南华研究请务必阅读正文之后的免责条款部分第6页震荡偏弱情绪偏空期权周报I20238142023818图210中证1000股指华期权隐含波动率与历史波动率3500隐含波动率历史波动率3000250020001500100050000088202297202213202329202365202377202388202372220228232022923202211120221212022118202322420233132023328202341320234282023518202362020237242023101720221116202212162022资料来源wind南华研究图211南华50ETF期权波动率指数4550VIX50ETF右轴454043530352532015251025015122020632020972020222021752021842022226202041420207222020326202151820218192021117202231020224282022620202292120222222023411202353120237192023103020201216202010142021113020211114202212292022资料来源南华研究请务必阅读正文之后的免责条款部分第7页震荡偏弱情绪偏空期权周报I20238142023818图212南华沪深300股指期权波动率指数506000300VIX沪深300股指右轴4540550035500030254500201540001035005030004220205720211620223120226920229920222172020525202071320208272020127202012220213172021624202181020219282021419202272620221132022213202333020235222023710202312232019102120201119202112202022资料来源南华研究图213南华中证1000股指期权波动率指数351000VIX中证1000股指右轴7500307000252065001560001055005050008520229220221320232720233720234420235820236520237520238220237222022819202291920221172022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