今日各股指窄幅震荡,小幅收跌。政策利好落地之后，市场情绪有所企稳，但是宏观经济走弱以及增量资金有限的背景下，股指向上反弹的动能较为有限。目前国内宏观经济面临需求下行的压力，股票业绩预期承压，市场信心有所不足。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,加上北向资金也呈现净流出的状态，流入股市的增量资金仍有限，股市以资金存量博弈为主。总体而言，预计股指短期内以区间震荡为主。
　　近期期权隐含波动率均有明显上升，而股指上行与下行空间均有限，可以继续持有卖出虚值认沽期权。

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30日金融期权政策利好落地股指窄幅震荡核心观点今日各股指窄幅震荡小幅收跌政策利好落地之后市场情绪有所企稳但是宏观经济走弱以及增量资金有限的背景下股指向上反弹的动能较为有限目前国内宏观经济面临需求下行的压力股票业绩预期承压市场信心有所不足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加姓名龙奥明上北向资金也呈现净流出的状态流入股市的增量资金仍有限股市以资金存量博弈为主总体而言预计股指短期内以区间震荡为主宝城期货投资咨询部近期期权隐含波动率均有明显上升而股指上行与下行空间均有限可以继续持有卖出虚值认沽期权从业资格证号F3035632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08月30日50ETF跌027收于2599300ETF上交所跌003收于3858300ETF深交所跌005收于3930沪深300指数跌004收于378851中证1000指数涨051收于613963500ETF上交所涨002收于5875500ETF深交所涨008收于5998创业板ETF跌005收于2066深证100ETF涨011收于2771上证50指数跌026收于252254上证50ETF期权成交量PCR为7673上一交易日成交量PCR为8611持仓量PCR为6633上一交易日持仓量PCR为6812上交所3000ETF期权成交量PCR为8075上一交易日成交量PCR为8350持仓量PCR为7867上一交易日持仓量PCR为7815深交所300ETF期权成交量PCR为8437上一交易日成交量PCR为7542持仓量PCR为6714上一交易日持仓量PCR为6687沪深300指数期权成交量PCR为5839上一交易日成交量PCR为7203持仓量PCR为5447上一交易日持仓量PCR为5509中证1000指数期权成交量PCR为7156上一交易日成交量PCR为8783持仓量PCR为6452上一交易日持仓量PCR为6479上交所中证500ETF期权成交量PCR为11887上一交易日成交量PCR为9309持仓量PCR为10106上一交易日持仓量PCR为10070深交所中证500ETF期权成交量PCR为8550上一交易日成交量PCR为11022持仓量PCR为9989上一交易日持仓量PCR为9952创业板ETF期权成交量PCR为7848上一交易日成交量PCR为7322持仓量PCR为6941上一交易日持仓量PCR为6639深证100ETF期权成交量PCR为8716上一交易日成交量PCR为7343持仓量PCR为7901上一交易日持仓量PCR为7371上证50股指期权成交量PCR为5117上一交易日成交量PCR为7570持仓量PCR为4714上一交易日持仓量PCR为4941上证50ETF期权2023年09月平值期权隐含波动率为1939标的30交易日历史波动率为1715上交所300ETF期权2023年09月平值期权隐含波动率为1759标的30交易日历史波动率为1693深交所300ETF期权2023年09月平值期权隐含波动率为1887标的30交易日历史波动率为1702沪深300指数期权2023年09月平值期权隐含波动率为2045标的30交易日历史波动率为1702中证1000指数期权2023年09月平值期权隐含波动率为2018标的30交易日历史波动率为1823上交所中证500ETF期权2023年09月平值期权隐含波动率为1881标的30交易日历史波动率为1605深交所中证500ETF期权2023年09月平值期权隐含波动率为1792标的30交易日历史波动率为1604创业板ETF期权2023年09月平值期权隐含波动率为2278标的30交易日历史波动率为1943深证100ETF期权2023年09月平值期权隐含波动率为2045标的30交易日历史波动率为1925上证50股指期权2023年09月平值期权隐含波动率为2085标的30交易日历史波动率为1720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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-01-272022-02-282022-03-232022-04-192022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152022-05-172022-06-102022-07-052022-07-282022-01-042022-02-282022-03-232022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-282023-07-212022-01-272022-04-192023-06-012023-08-15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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-082022-04-072022-05-102022-06-082022-07-062022-08-312022-09-292022-11-032022-12-012023-02-032023-03-032023-03-312023-06-012023-07-032023-07-312023-08-282022-03-082022-08-032022-12-292023-05-042022-01-042022-02-082022-03-082022-05-102022-06-082022-07-062022-08-032022-11-032022-12-012022-12-292023-02-032023-03-312023-05-042023-06-012023-07-032023-08-282022-04-072022-08-312022-09-292023-03-032023-07-31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260022002100240020002200190020001800180017001600160015001400140012001300-769-577-385-192000192385577769202309202310202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-01-272022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092022-01-042022-01-272022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-08-152022-02-282022-03-232022-04-192022-05-172023-06-012023-06-282023-07-212023-08-152022-05-172022-07-282022-10-172022-12-272023-06-28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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-02-082022-03-082022-04-072022-05-102022-07-062022-08-032022-08-312022-09-292022-12-012022-12-292023-02-032023-03-312023-05-042023-06-012023-07-032023-08-282022-01-042022-06-082022-11-032023-03-032023-07-312022-01-042022-03-082022-04-072022-05-102022-06-082022-08-032022-08-312022-09-292022-11-032023-02-032023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282022-02-082022-07-062022-12-012022-12-292023-06-01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260022002100240020002200190020001800180017001600160015001400140012001300-1026-769-513-2560002565137691026202309202310202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-042022-01-272022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-08-152022-05-172022-07-282022-10-172022-12-272023-06-282022-01-282022-03-022022-03-282022-04-252022-05-242022-08-092022-09-022022-09-292022-11-012023-01-172023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222022-01-042022-06-202022-07-142022-11-252022-12-212023-06-05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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-072022-03-042022-04-292022-05-312022-06-282022-07-252022-09-162022-10-202022-11-162022-12-132023-02-132023-03-102023-04-072023-05-092023-06-052023-07-312023-08-252022-03-312022-08-192023-01-102023-07-042022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-08-192022-09-162022-10-202023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312022-03-042022-07-252022-11-162022-12-132023-04-072023-08-25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260025002400200022002000150018001000160050014001200000-1026-769-513-2560002565137691026202309202310202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-01-272022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-08-152022-05-172022-07-282022-10-172022-12-272023-06-282022-01-042022-01-282022-03-022022-03-282022-07-142022-08-092022-09-022022-09-292022-11-012022-11-252022-12-212023-01-172023-05-102023-06-052023-07-032023-07-272023-08-222022-04-252022-05-242022-06-202023-02-172023-03-152023-04-11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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-072022-03-042022-04-292022-05-312022-06-282022-07-252022-09-162022-10-202022-11-162022-12-132023-02-132023-03-102023-04-072023-05-092023-06-052023-07-312023-08-252022-03-312022-08-192023-01-102023-07-042022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-08-192022-09-162022-10-202023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312022-03-042022-07-252022-11-162022-12-132023-04-072023-08-25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250023002400220023002100220021002000200019001900180018001700170016001600150015001400-526-395-263-1320001322633955261300202309202310202311202312202403202406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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-232022-09-072022-09-232022-10-172022-11-012022-11-162022-12-162023-01-032023-01-182023-02-092023-02-242023-03-132023-04-132023-04-282023-05-182023-06-022023-07-062023-08-072023-08-222022-08-082022-12-012023-03-282023-06-192023-07-212022-08-102022-08-292022-09-162022-10-312022-11-172022-12-062023-01-122023-02-072023-02-242023-04-032023-04-212023-05-152023-06-012023-06-202023-07-112023-07-282023-08-162022-07-222022-10-122022-12-232023-03-15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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-102022-08-292022-10-122022-10-312022-11-172022-12-062023-01-122023-02-072023-02-242023-03-152023-04-032023-05-152023-06-012023-06-202023-07-112023-08-162022-09-162022-12-232023-04-212023-07-282022-07-222022-08-102022-08-292022-10-122022-10-312022-11-172022-12-062023-01-122023-02-072023-02-242023-03-152023-04-032023-05-152023-06-012023-06-202023-07-112023-08-162022-09-162022-12-232023-04-212023-07-28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300028002800260026002400240022002200200020001800180016001600140014001200120010001000-656-492-328-164000164328492656202309202310202311202312202403202406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66001400280064001200260024006200100022006000800200018005800600160014005600400120054002001000800520002022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-01-172023-02-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-162023-08-302022-09-192022-10-102023-02-212023-03-072023-07-192023-08-022022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-202023-03-072023-04-072023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-012023-08-162022-12-122023-02-032023-03-22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14000002000090000014000120000080000012000100000015000700000800000600000100001000060000050000080004000004000005000600020000030000020000040000000100000200000002022-10-112022-11-102022-11-252022-12-122022-12-272023-02-032023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-09-192022-10-262023-01-122023-04-072023-08-012022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012023-03-072023-05-292023-08-16日认购成交量日认沽成交量日成交量PCR2022-12-12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320022003000210028002000260019002400180022001700200018001600160015001400140012001300-1478-1304-870-43500043587013041739202309202310202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-01-172023-02-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-162023-08-302022-09-192022-10-102023-02-212023-03-072023-07-192023-08-022022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-202023-03-072023-04-072023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-012023-08-162022-12-122023-02-032023-03-22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350000200002500002000030000020000025000015000150002000001500001000010000150000100000100000500050000500050000000000002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012022-12-122023-03-072023-05-292023-08-162022-12-122023-03-072023-05-292023-08-16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320025003000280020002600240015002200200010001800160050014001200000-1667-1250-833-41700041783312501667202309202310202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-10-242022-11-072022-11-212022-12-052022-12-192023-01-032023-01-172023-02-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-162023-08-302022-09-192022-10-102023-02-212023-03-072023-07-192023-08-022022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-202023-03-072023-04-072023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-012023-08-162022-12-122023-02-032023-03-22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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-10-112022-11-102022-11-252022-12-122022-12-272023-02-032023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-10-112022-11-102022-11-252022-12-122022-12-272023-02-032023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-162022-09-192022-10-262023-01-122023-04-072023-08-012022-09-192022-10-262023-01-122023-04-072023-08-01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2900300027002500250020002300150021001000190017005001500000-976-732-488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