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9月1日金融期权隐波回落宜卖出宽跨式核心观点今日各股指均窄幅震荡冲高回落消息面上昨日央行和金融监管总局公布房贷优化政策主要涉及下调首付比例和调降存量房贷利率可以刺激居民购房需求以及释放利息支出用于消费有利于稳定市场信心但是政策的实际效果仍然受居民收入预期下滑的制约目前国内宏观经济面临需求下姓名龙奥明行的压力股票业绩预期承压市场信心偏弱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宝城期货投资咨询部股市的增量资金仍有限股市以资金存量博弈为主目前股指的风险溢价指标居于高位说明市场接近底部区域继续下跌的空间有限但是宏观预期从业资格证号F3035632以及增量资金未出行拐头的明确信号的情况下股指向上反弹的动能也较为投资咨询证号Z0014648有限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高位回落而股指上行与下行空间均有限可以构电话0571-87006873建并持有卖出宽跨式策略邮箱longaomingbcqhgscom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09月01日50ETF涨077收于2610300ETF上交所涨060收于3862300ETF深交所涨072收于3936沪深300指数涨070收于379149中证1000指数涨005收于610720500ETF上交所涨010收于5852500ETF深交所涨015收于5972创业板ETF跌015收于2049深证100ETF涨033收于2767上证50指数涨087收于253225上证50ETF期权成交量PCR为8451上一交易日成交量PCR为8050持仓量PCR为6642上一交易日持仓量PCR为6425上交所3000ETF期权成交量PCR为8413上一交易日成交量PCR为8804持仓量PCR为7786上一交易日持仓量PCR为7640深交所300ETF期权成交量PCR为7255上一交易日成交量PCR为7104持仓量PCR为6616上一交易日持仓量PCR为6501沪深300指数期权成交量PCR为5595上一交易日成交量PCR为5132持仓量PCR为5650上一交易日持仓量PCR为5549中证1000指数期权成交量PCR为7398上一交易日成交量PCR为7327持仓量PCR为6379上一交易日持仓量PCR为6521上交所中证500ETF期权成交量PCR为11129上一交易日成交量PCR为11131持仓量PCR为10199上一交易日持仓量PCR为10025深交所中证500ETF期权成交量PCR为11801上一交易日成交量PCR为14227持仓量PCR为9741上一交易日持仓量PCR为10225创业板ETF期权成交量PCR为7809上一交易日成交量PCR为8033持仓量PCR为6474上一交易日持仓量PCR为6472深证100ETF期权成交量PCR为10363上一交易日成交量PCR为10402持仓量PCR为7266上一交易日持仓量PCR为7083上证50股指期权成交量PCR为4781上一交易日成交量PCR为4621持仓量PCR为5058上一交易日持仓量PCR为4868上证50ETF期权2023年09月平值期权隐含波动率为1687标的30交易日历史波动率为1718上交所300ETF期权2023年09月平值期权隐含波动率为1638标的30交易日历史波动率为1690深交所300ETF期权2023年09月平值期权隐含波动率为1658标的30交易日历史波动率为1699沪深300指数期权2023年09月平值期权隐含波动率为1737标的30交易日历史波动率为1712中证1000指数期权2023年09月平值期权隐含波动率为1603标的30交易日历史波动率为1798上交所中证500ETF期权2023年09月平值期权隐含波动率为1629标的30交易日历史波动率为1587深交所中证500ETF期权2023年09月平值期权隐含波动率为1630标的30交易日历史波动率为1585创业板ETF期权2023年09月平值期权隐含波动率为2041标的30交易日历史波动率为1912深证100ETF期权2023年09月平值期权隐含波动率为1727标的30交易日历史波动率为1924上证50股指期权2023年09月平值期权隐含波动率为1801标的30交易日历史波动率为1739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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-01-272022-02-282022-03-232022-05-172022-07-052022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-04-112023-06-012023-06-282023-07-212023-08-152022-04-192022-06-102022-07-282023-03-162023-05-092022-01-042022-01-272022-03-232022-04-192022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-06-012023-06-282023-08-152022-02-282022-05-172022-11-092023-05-092023-07-21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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282022-02-082022-09-292023-06-012022-01-042022-03-082022-05-102022-06-082022-08-032022-09-292022-11-032022-12-292023-03-032023-03-312023-05-042023-06-012023-07-312023-08-282022-02-082022-04-072022-07-062022-08-312022-12-012023-02-032023-07-03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220019002100180020001900170018001700160016001500150014001400130012001300-769-577-385-192000192385577769202309202310202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-272022-03-232022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-11-092022-12-272023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-08-152022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-07-212023-08-152022-01-042022-02-282022-04-192022-10-172022-12-022023-01-202023-07-212022-01-272022-05-172022-07-282022-10-172023-04-112023-06-28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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-02-082022-03-082022-04-072022-05-102022-07-062022-08-032022-08-312022-09-292022-12-012022-12-292023-03-032023-03-312023-05-042023-06-012023-07-312023-08-282022-06-082022-11-032023-02-032023-07-032022-01-042022-02-082022-04-072022-05-102022-06-082022-07-062022-08-312022-09-292022-11-032022-12-012023-02-032023-03-312023-05-042023-07-032023-08-282022-03-082022-08-032022-12-292023-03-032023-06-012023-07-31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240018001750220017001650200016001800155015001600145014001400135012001300-1053-789-526-2630002635267891053202309202310202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-07-212023-08-152022-01-272022-05-172022-07-282022-10-172023-04-112023-06-282022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-09-022022-09-292022-11-012022-12-212023-01-172023-02-172023-04-112023-05-102023-06-052023-07-272023-08-222022-01-042022-04-252022-08-092022-11-252023-03-152023-07-03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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-10-202022-11-162022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312023-08-252022-03-042022-09-162023-04-072022-01-042022-02-072022-03-042022-04-292022-05-312022-07-252022-08-192022-09-162022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-07-042023-07-312023-08-252022-03-312022-06-282022-10-202023-02-132023-06-05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2400185018002200175020001700180016501600160015501400150012001450-1026-769-513-2560002565137691026202309202310202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-08-222022-09-152022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-07-212023-08-152022-01-272022-05-172022-07-282022-10-172023-04-112023-06-282022-01-042022-03-022022-03-282022-04-252022-05-242022-07-142022-08-092022-09-022022-09-292022-11-252022-12-212023-01-172023-02-172023-04-112023-05-102023-06-052023-07-032023-08-222022-01-282022-06-202022-11-012023-03-152023-07-27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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-10-202022-11-162022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312023-08-252022-03-042022-09-162023-04-072022-01-042022-02-072022-03-042022-04-292022-05-312022-07-252022-08-192022-09-162022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-07-042023-07-312023-08-252022-03-312022-06-282022-10-202023-02-132023-06-05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23002000220019002100180020001700190016001800170015001600140015001300-533-400-267-133000133267400533202309202310202311202312202403202406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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-082022-08-232022-09-072022-09-232022-11-012022-11-162022-12-012022-12-162023-01-032023-01-182023-02-242023-03-132023-03-282023-04-132023-04-282023-05-182023-06-192023-07-062023-07-212023-08-072023-08-222022-10-172023-02-092023-06-022022-07-222022-08-292022-09-162022-10-312022-11-172022-12-232023-01-122023-02-072023-02-242023-03-152023-04-032023-04-212023-05-152023-06-012023-07-112023-07-282022-08-102022-10-122022-12-062023-06-202023-08-16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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-102022-08-292022-09-162022-10-312022-11-172022-12-062022-12-232023-02-072023-02-242023-03-152023-04-032023-05-152023-06-012023-06-202023-07-112023-08-162022-10-122023-01-122023-04-212023-07-282022-07-222022-08-102022-08-292022-09-162022-10-312022-11-172022-12-062022-12-232023-02-072023-02-242023-03-152023-04-032023-05-152023-06-012023-06-202023-07-112023-08-162022-10-122023-01-122023-04-212023-07-28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2400200019002200180020001700180016001500160014001400130012001200110010001000-656-492-328-164000164328492656202309202310202311202312202403202406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66001400280064001200260024006200100022006000800200018005800600160014005600400120054002001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-052023-08-022023-08-162023-08-302022-12-052023-01-032023-06-192023-07-192022-09-192022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-162023-08-312022-10-112023-02-032023-05-292023-08-01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14000002000090000014000120000080000012000150007000001000000600000100008000005000008000100006000004000006000400000300000500020000040002000001000002000000000002022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-03-032023-03-212023-04-072023-04-252023-05-162023-06-012023-07-072023-07-252023-08-102023-08-282022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-05-162023-06-012023-06-192023-07-072023-07-252023-08-282022-10-122023-02-152023-06-192022-10-282023-01-302023-04-252023-08-10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28001800260017501700240016502200160020001550180015001450160014001400135012001300-1478-1304-870-43500043587013041739202309202310202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-052023-08-022023-08-162023-08-302022-12-052023-01-032023-06-192023-07-192022-09-192022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-162023-08-312022-10-112023-02-032023-05-292023-08-01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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-05-162023-06-012023-06-192023-07-072023-07-252023-08-282022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-05-162023-06-012023-06-192023-07-072023-07-252023-08-282022-10-282023-01-302023-04-252023-08-102022-10-282023-01-302023-04-252023-08-10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3000200028001800260016001400240012002200100020008001800600160040014002001200000-1667-1250-833-41700041783312501667202309202310202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-07-052023-08-022023-08-162023-08-302022-12-052023-01-032023-06-192023-07-192022-09-192022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-162023-08-312022-10-112023-02-032023-05-292023-08-01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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-03-032023-03-212023-04-072023-04-252023-05-162023-06-012023-07-072023-07-252023-08-102023-08-282022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-03-032023-03-212023-04-072023-04-252023-05-162023-06-012023-07-072023-07-252023-08-102023-08-282022-10-122023-02-152023-06-192022-10-122023-02-152023-06-19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2500225024002200230021502200210021002050200020001900195018001900170018501600180015001750-976-732-488-244000244488732976202309202310202312202403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34001202400320010022002000300080280018006026001600240040140022002012001000200002022-12-282023-01-092023-01-182023-02-032023-02-142023-03-062023-03-152023-03-242023-04-042023-04-252023-05-092023-05-182023-05-292023-06-072023-06-292023-07-102023-07-192023-07-282023-08-172023-08-282022-12-192023-02-232023-04-142023-06-162023-08-082022-12-192022-12-292023-01-112023-01-302023-02-212023-03-032023-03-152023-03-272023-04-072023-05-162023-05-262023-06-072023-06-192023-07-032023-07-252023-08-042023-08-162023-08-282023-02-092023-04-192023-05-042023-07-13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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-202023-05-082023-05-192023-06-012023-06-292023-07-122023-07-252023-08-072023-08-312023-02-022023-04-072023-06-142023-08-182022-12-192022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-202023-05-082023-05-192023-06-012023-06-292023-07-122023-07-252023-08-072023-08-312023-02-022023-04-072023-06-142023-08-18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20002100195020001900190018501800180017001750160017001500165016001400155013001500-727-545-364-182000182364545727202309202310202312202403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290000080240028000007022002700000602000050260000180004025000016000301400240000020120023000001010002200000002022-12-282023-01-092023-01-182023-02-032023-02-142023-03-062023-03-152023-03-242023-04-042023-04-252023-05-092023-05-182023-05-292023-06-072023-06-292023-07-102023-07-192023-07-282023-08-172023-08-282022-12-192023-02-232023-04-142023-06-162023-08-082022-12-192022-12-292023-01-112023-01-302023-02-212023-03-032023-03-152023-03-272023-04-072023-05-162023-05-262023-06-072023-06-192023-07-032023-07-252023-08-042023-08-162023-08-282023-02-092023-04-192023-05-042023-07-13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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-202023-05-082023-05-192023-06-012023-06-292023-07-122023-07-252023-08-072023-08-312022-12-192022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-202023-05-082023-05-192023-06-012023-06-292023-07-122023-07-252023-08-072023-08-312023-02-022023-04-072023-06-142023-08-182023-02-022023-04-072023-06-142023-08-18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240020001900220018001700200016001800150014001600130014001200110012001000-500-400-300-200000200400600800202309202310202311202312202403202406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