核心观点
　　今日各股指尾盘均快速下跌,昨日的反弹是技术性修复,市场情绪仍表现低迷。由于海外货币政策维持紧缩，外资风险偏好显著受抑制,8月北向资金净卖出超750亿元。今日北向资金大幅净卖出104.61亿元，连续13日净卖出。目前新发股票基金份额位于历年低位，融资资金余额持续走低，股市增量资金有限，以资金存量博弈为主。政策托底经济需求预期仍强，对股指形成底部支撑，股指继续下跌空间有限。但政策面大规模刺激可能性偏弱，加上增量资金有限，股指上涨的空间也有限。短期内预计股指以区间震荡为主。
　　近期期权隐含波动率均有明显上升，在震荡行情可以选择隐含波动率偏高的品种构建双卖策略,获取vega和theta收益。

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8月23日金融期权市场情绪低迷股指缩量震荡核心观点今日各股指尾盘均快速下跌昨日的反弹是技术性修复市场情绪仍表现低迷由于海外货币政策维持紧缩外资风险偏好显著受抑制8月北向资金净卖出超750亿元今日北向资金大幅净卖出10461亿元连续13日净卖出目前新发股票基金份额位于历年低位融资资金余额持续走低股市增姓名龙奥明量资金有限以资金存量博弈为主政策托底经济需求预期仍强对股指形成底部支撑股指继续下跌空间有限但政策面大规模刺激可能性偏弱加宝城期货投资咨询部上增量资金有限股指上涨的空间也有限短期内预计股指以区间震荡为主近期期权隐含波动率均有明显上升在震荡行情可以选择隐含波动率偏从业资格证号F3035632高的品种构建双卖策略获取vega和theta收益投资咨询证号Z0014648仅供参考不构成任何投资建议电话0571-87006873邮箱longaomingbcqhgscom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113条款部分请务必阅读文末免责条款金融期权日报1期权指标2023年08月23日50ETF跌125收于2535300ETF上交所跌144收于3768300ETF深交所跌157收于3832沪深300指数跌164收于369663中证1000指数跌206收于597367500ETF上交所跌171收于5738500ETF深交所跌181收于5855创业板ETF跌250收于1987深证100ETF跌194收于2674上证50指数跌131收于246119上证50ETF期权成交量PCR为8552上一交易日成交量PCR为8203持仓量PCR为4624上一交易日持仓量PCR为5232上交所3000ETF期权成交量PCR为9338上一交易日成交量PCR为8548持仓量PCR为5831上一交易日持仓量PCR为6512深交所300ETF期权成交量PCR为8277上一交易日成交量PCR为7773持仓量PCR为5709上一交易日持仓量PCR为5835沪深300指数期权成交量PCR为8103上一交易日成交量PCR为8445持仓量PCR为5176上一交易日持仓量PCR为5313中证1000指数期权成交量PCR为11758上一交易日成交量PCR为10633持仓量PCR为5925上一交易日持仓量PCR为6140上交所中证500ETF期权成交量PCR为11172上一交易日成交量PCR为12177持仓量PCR为6859上一交易日持仓量PCR为8032深交所中证500ETF期权成交量PCR为10562上一交易日成交量PCR为9340持仓量PCR为6247上一交易日持仓量PCR为6239创业板ETF期权成交量PCR为9979上一交易日成交量PCR为8436持仓量PCR为4205上一交易日持仓量PCR为4289深证100ETF期权成交量PCR为10989上一交易日成交量PCR为9234持仓量PCR为4135上一交易日持仓量PCR为4190上证50股指期权成交量PCR为6881上一交易日成交量PCR为8040持仓量PCR为4186上一交易日持仓量PCR为4289上证50ETF期权2023年09月平值期权隐含波动率为1908标的30交易日历史波动率为1697上交所300ETF期权2023年09月平值期权隐含波动率为1827标的30交易日历史波动率为1630深交所300ETF期权2023年09月平值期权隐含波动率为1805标的30交易日历史波动率为1639沪深300指数期权2023年09月平值期权隐含波动率为2027标的30交易日历史波动率为1685中证1000指数期权2023年09月平值期权隐含波动率为2020标的30交易日历史波动率为1459上交所中证500ETF期权2023年09月平值期权隐含波动率为1818标的30交易日历史波动率为1346深交所中证500ETF期权2023年09月平值期权隐含波动率为1839标的30交易日历史波动率为1345创业板ETF期权2023年09月平值期权隐含波动率为2258标的30交易日历史波动率为1639深证100ETF期权2023年09月平值期权隐含波动率为1964标的30交易日历史波动率为1741上证50股指期权2023年09月平值期权隐含波动率为1967标的30交易日历史波动率为1726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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-01-272022-02-282022-03-232022-04-192022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-12-022022-12-272023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-08-152022-05-172022-11-092023-01-202023-07-212022-01-042022-01-262022-02-242022-04-132022-05-102022-06-012022-06-242022-08-092022-08-312022-09-232022-10-242022-12-072022-12-292023-01-302023-02-212023-04-072023-05-042023-05-262023-06-192023-08-042022-03-182022-07-182022-11-152023-03-152023-07-13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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-072022-03-312022-04-292022-05-312022-07-252022-08-192022-09-162022-10-202022-12-132023-01-102023-02-132023-04-072023-05-092023-06-052023-07-042022-03-042022-06-282022-11-162023-03-102023-07-312022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-08-192022-09-162022-10-202022-11-162023-01-102023-02-132023-03-102023-04-072023-06-052023-07-042023-07-312022-03-042022-07-252022-12-132023-05-09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22002900210027002000250019001800230017002100160019001500170014001300150012001300-784-588-392-196000196392588784202308202309202312202403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51200050004918004500160047140040004512003500431000300041800250060039400200037200150035010002022-01-042022-01-272022-03-232022-04-192022-05-172022-07-052022-07-282022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-03-162023-04-112023-06-012023-06-282023-07-212022-01-042022-02-242022-03-182022-04-132022-05-102022-06-242022-07-182022-08-092022-08-312022-10-242022-11-152022-12-072022-12-292023-02-212023-03-152023-05-042023-06-192023-07-132022-02-282022-06-102022-08-222023-02-212023-05-092023-08-152022-01-262022-06-012022-09-232023-01-302023-04-072023-05-262023-08-04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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-02-072022-03-042022-03-312022-05-312022-06-282022-07-252022-08-192022-10-202022-11-162022-12-132023-02-132023-03-102023-04-072023-05-092023-07-042023-07-312022-01-042022-04-292022-09-162023-01-102023-06-052022-02-072022-03-042022-03-312022-04-292022-06-282022-07-252022-08-192022-09-162022-11-162022-12-132023-01-102023-02-132023-04-072023-05-092023-06-052023-07-042022-01-042022-05-312022-10-202023-03-102023-07-31日认购持仓量日认沽持仓量日持仓量PCR日认购成交量日认沽成交量日成交量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2200270021002500200019002300180021001700160019001500170014001300150012001300-1053-789-526-2630002635267891053202308202309202312202403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5100400500049003504500470030040004500250350043002003000410015025003900100200037005015003500010002022-01-042022-02-242022-03-182022-04-132022-05-102022-06-242022-07-182022-08-092022-08-312022-10-242022-11-152022-12-072022-12-292023-02-212023-03-152023-05-042023-06-192023-07-132022-01-262022-06-012022-09-232023-01-302023-04-072023-05-262023-08-042022-01-042022-01-282022-03-282022-04-252022-05-242022-06-202022-08-092022-09-022022-09-292022-11-012022-12-212023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222022-03-022022-07-142022-11-252023-01-172023-06-05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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-07-042023-07-312023-02-132023-06-052022-01-042022-02-072022-03-312022-04-292022-05-312022-08-192022-09-162022-10-202022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042022-03-042022-06-282022-07-252022-11-162023-04-072023-07-31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2200300021002500200019002000180017001500160015001000140050013001200000-1026-769-513-2560002565137691026202308202309202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-02-242022-03-182022-04-132022-05-102022-06-242022-07-182022-08-092022-08-312022-10-242022-11-152022-12-072022-12-292023-02-212023-03-152023-05-042023-06-192023-07-132022-01-262022-06-012022-09-232023-01-302023-04-072023-05-262023-08-042022-01-042022-01-282022-03-022022-04-252022-06-202022-07-142022-08-092022-09-022022-09-292022-11-012022-12-212023-02-172023-04-112023-05-102023-06-052023-07-032023-07-272023-08-222022-03-282022-05-242022-11-252023-01-172023-03-15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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-07-042023-07-312023-02-132023-06-052022-01-042022-02-072022-03-312022-04-292022-05-312022-08-192022-09-162022-10-202022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042022-03-042022-06-282022-07-252022-11-162023-04-072023-07-31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23002100220020002100190020001800190017001800170016001600150015001400-533-400-267-1330001332674005331300202309202310202311202312202403202406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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-09-072022-09-232022-10-172022-11-012022-11-162022-12-012022-12-162023-01-032023-01-182023-02-092023-02-242023-03-132023-03-282023-04-132023-06-192023-07-062023-07-212023-08-072023-08-222022-07-222022-08-082022-08-232023-04-282023-05-182023-06-022022-07-222022-08-102022-08-292022-09-162022-10-122022-10-312022-11-172022-12-062022-12-232023-01-122023-02-072023-02-242023-04-032023-04-212023-05-152023-06-012023-07-112023-07-282023-08-162023-03-152023-06-20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18000016000140000140001600001400012000012000140000120001200001000001000010000010000800008000800080000600006000600060000400004000040004000200002000200002000000000002022-07-222022-08-102022-08-292022-09-162022-10-122022-10-312022-11-172023-01-122023-02-072023-02-242023-03-152023-04-032023-04-212023-05-152023-07-112023-07-282023-08-162022-12-062022-12-232023-06-012023-06-202022-07-222022-08-102022-08-292022-09-162022-10-122022-10-312022-11-172023-01-122023-02-072023-02-242023-03-152023-04-032023-04-212023-05-152023-07-112023-07-282023-08-162022-12-062022-12-232023-06-012023-06-20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22001900180020001700180016001500160014001400130012001200110010001000-656-492-328-164000164328492656202309202310202311202312202403202406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66007002800640060026002400620050022006000400200018005800300160014005600200120054001001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-01-172023-02-072023-02-212023-03-072022-10-112022-10-262022-11-102022-11-252022-12-122023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-09-192022-12-272023-04-242023-08-01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14000002000090000014000120000080000012000100000015000700000800000600000100001000060000050000080004000004000005000600020000030000020000040000000100000200000002022-09-192022-10-262022-11-252022-12-122022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-292023-06-302023-08-012023-08-162022-10-112022-11-102023-05-122023-06-132023-07-172022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-05-122023-05-292023-06-132023-07-172023-08-012023-08-162023-04-242023-06-30日认购成交量日认沽成交量日成交量PCR2023-02-20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3000290028002700260025002400230022002100200019001800160017001400150012001300-1478-1304-870-43500043587013041739202308202309202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-01-172023-02-072023-02-212023-03-072022-10-112022-10-262022-11-102022-11-252022-12-122023-01-122023-02-032023-02-202023-03-072023-03-222023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-09-192022-12-272023-04-072023-04-242023-08-01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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-05-122023-05-292023-06-132023-07-172023-08-012023-08-162022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-05-122023-05-292023-06-132023-07-172023-08-012023-08-162023-02-202023-04-242023-06-302023-02-202023-04-242023-06-30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28003000260025002400200022002000150018001000160014005001200000-1667-1250-833-41700041783312501667202308202309202312202403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300020003500250030001500200025001500100020001000500150005001000000002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-01-172023-02-072023-02-212023-03-072022-10-112022-10-262022-11-102022-11-252022-12-122023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-09-192022-12-272023-04-242023-08-01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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-262022-11-252022-12-122022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-292023-06-302023-08-012023-08-162022-09-192022-10-262022-11-252022-12-122022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-292023-06-302023-08-012023-08-162022-10-112022-11-102023-05-122023-06-132023-07-172022-10-112022-11-102023-05-122023-06-132023-07-17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2500300024002500230022002000210020001500190018001000170050016001500000-976-732-488-244000244488732976202308202309202312202403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3500120220030001002000250080180020006016001500140010004012000500201000000002022-12-192022-12-282023-01-092023-01-182023-02-232023-03-062023-03-152023-03-242023-04-042023-04-142023-04-252023-05-292023-06-072023-06-162023-06-292023-07-102023-07-192023-07-282023-08-082023-02-032023-02-142023-05-092023-05-182023-08-172022-12-292023-01-112023-01-302023-02-212023-03-032023-03-152023-03-272023-04-072023-04-192023-05-042023-05-162023-06-072023-06-192023-07-032023-07-252023-08-042023-08-162022-12-192023-02-092023-05-262023-07-13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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032023-03-272023-04-072023-04-192023-05-042023-05-262023-06-192023-07-032023-07-132023-07-252023-08-162022-12-192023-03-152023-05-162023-06-072023-08-042022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032023-03-272023-04-072023-04-192023-05-042023-05-262023-06-192023-07-032023-07-132023-07-252023-08-162022-12-192023-03-152023-05-162023-06-072023-08-04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3000230022002500210020002000190015001800170010001600500150014000001300202308202309202312202403-727-545-364-182000182364545727当日平值IV昨日平值IV当日IV昨日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290000080240028000007022002700000602000050260000180004025000016000301400240000020120023000001010002200000002022-12-192022-12-282023-01-092023-01-182023-02-232023-03-062023-03-152023-03-242023-04-042023-04-142023-04-252023-05-292023-06-072023-06-162023-06-292023-07-102023-07-192023-07-282023-08-082023-02-032023-02-142023-05-092023-05-182023-08-172022-12-292023-01-112023-01-302023-02-212023-03-032023-03-152023-03-272023-04-072023-04-192023-05-042023-05-162023-06-072023-06-192023-07-032023-07-252023-08-042023-08-162022-12-192023-02-092023-05-262023-07-13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1200001200014000014000100000100001200001200080000800010000010000800008000600006000600006000400004000400004000200002000200002000000000002022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032023-03-272023-04-072023-04-192023-05-042023-05-262023-06-192023-07-032023-07-132023-07-252023-08-162022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032023-03-272023-04-072023-04-192023-05-042023-05-262023-06-192023-07-032023-07-132023-07-252023-08-162022-12-192023-03-152023-05-162023-06-072023-08-042022-12-192023-03-152023-05-162023-06-072023-08-04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260022002400200022001800200016001800140016001400120012001000-500-400-300-200000200400600800202309202310202311202312202403202406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