研究报告全文：期权周报I2023828202391低位震荡情绪谨慎本周摘要金融期权方面50ETF期权上周日均成交量为120万张较前周下降2796其中认沽期权成交量要低于认购期权认沽-认购成交比为084相对前周有所下降高于历史均值水平上周认沽认购持仓比为066较前周下降低于历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交12321万张日均持仓量17988万张沪深300股指期权日均成交1364万手日均持仓量2417万手嘉实300ETF期权日均成交2445万张日均持仓量2944万张中证1000股指期权日均成交1253万手日均持仓1327万手期权活跃度整体下降综合期权的成交及持仓信息来看本周市场情绪谨慎波动率方面截止上周五收盘沪深300股指期权隐含波动率1782较一周前下降10350ETF期权隐含波动率1732较一周前下降078中证1000股指期权隐含波动率1752较一周前下降477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1945南华沪深300期权波动率指数是1981南华中证1000期权波动率指数是1886与前一周相比南华期权波动率指数大幅回落上周市场高开低走期权市场情绪回归平淡本周商品期权总体周均成交情况较上周周度上升1742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工业硅LPG橡胶铝和豆油期权期权成交量相较上周下降幅度前列的品种分别为白银锌玉米花生和螺纹钢期权期权标的走势来看商品价格整体走强其中金属能化黑色价格整体上涨周度来看各板块商品期权隐含波动率走势分化其中金属黑色期权隐含波动率整体上升农产品期权隐含波动率回落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低位震荡情绪谨慎期权周报I20238282023911市场横盘震荡11策略说明标的行情判断横盘震荡策略构建卖出IO2309-C-3850IO2309-P-370012策略表现回顾图11期权策略净值图194184174164154144134124114104净值0942020050620200608202007142020081820201016202012072021011120210225202103312021050620210607202107162021081820210922202111012021120220220105202202142022032420220428202206062022070720220822202210182022111820221222202302142023031720230420202305262023063020230802资料来源南华研究13策略总体点评上周策略收益105请务必阅读正文之后的免责条款部分第1页低位震荡情绪谨慎期权周报I20238282023912金融期权数据金融期权方面50ETF期权上周日均成交量为120万张较前周下降2796其中认沽期权成交量要低于认购期权认沽-认购成交比为084相对前周有所下降高于历史均值水平上周认沽认购持仓比为066较前周下降低于历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交12321万张日均持仓量17988万张沪深300股指期权日均成交1364万手日均持仓量2417万手嘉实300ETF期权日均成交2445万张日均持仓量2944万张中证1000股指期权日均成交1253万手日均持仓1327万手期权活跃度整体下降综合期权的成交及持仓信息来看本周市场情绪谨慎波动率方面截止上周五收盘沪深300股指期权隐含波动率1782较一周前下降10350ETF期权隐含波动率1732较一周前下降078中证1000股指期权隐含波动率1752较一周前下降477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1945南华沪深300期权波动率指数是1981南华中证1000期权波动率指数是1886与前一周相比南华期权波动率指数大幅回落上周市场高开低走期权市场情绪回归平淡图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页低位震荡情绪谨慎期权周报I2023828202391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50000001645000001440000001235000003000000125000000820000000615000000410000005000000200762021682022582023118202131720215132021826202121620224122022729202292120221112023310202363020238222023102720211217202111182022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页低位震荡情绪谨慎期权周报I2023828202391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80000018700000166000001450000012140000008300000062000000410000002007120212720229520226620231182021316202151120218202021129202132920225252022715202211220222202023412202372820231020202112222022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页低位震荡情绪谨慎期权周报I2023828202391图26嘉实300ETF期权隐含波动率与历史波动率6500隐含波动率历史波动率55004500350025001500500882022282023592023842023517202162920218102021923202121120223252022513202262720229202022118202232220236212023111120211223202112202022资料来源wind南华研究图27沪深300股指期权成交持仓情况40000014350000123000001250000082000000615000010000004500000200642021852021152023716202091520201222021331202122120224252022629202282920221142022314202351820237202023112320201014202112142021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页低位震荡情绪谨慎期权周报I2023828202391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35000016300000142500001212000000815000006100000045000002008820221920233220234320235920236820237222022829202291420229292022117202212720221312023215202331720234192023524202362720237122023727202381120238282023102120221122202212222022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页低位震荡情绪谨慎期权周报I2023828202391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30002500200015001000500000882022972022132023292023652023772023882023722202282320229232022111202212120221182023224202331320233282023413202342820235182023620202372420238232023101720221116202212162022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页低位震荡情绪谨慎期权周报I2023828202391图212南华沪深300股指期权波动率指数506000300VIX沪深300股指右轴45405500355000302545002015400010350050300047202093202023202179202175202259202321820205282020717202033020215212021826202112920211272022323202251720228222022122202212020233162023628202381520231223201910292020121620201022202110172022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750030700025206500156000105500505000882022972022132023292023622023762023872023722202282320229232022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