核心观点：
　　金融期权市场表现
　　8月30日至9月5日，多数期权标的继续反弹，涨跌幅在-0.5%至1.5%之间，其中，科创50ETF涨幅居前。
　　成交方面，期权成交活跃度总体明显下降，日均总成交额为33.63亿元，较前周减少36.74%，其中上证50期权日均成交额为7.08亿元，沪深300期权日均成交额为10.70亿元，中证1000期权日均成交额为5.12亿元，中证500期权日均成交额为5.00亿元，创业板指期权日均成交额为2.20亿元，深证100期权日均成交额为0.39亿元，科创50期权日均成交额为3.13亿元。综合成交和持仓信息来看，投资者对标的指数的情绪总体仍是较为中性。
　　波动率方面，目前上证50、沪深300和深证100波动率指数在17附近，相对前周下降近3个点，目前仍低于历史均值，中证500、中证1000波动率指数在16-17.1之间，创业板指、科创50波动率指数在20-28之间，也均有较大幅度的下降；偏度方面，各标的偏度指数有所增加，处于历史中等偏低水平。总体而言，投资者对标的指数后市的波动预期回落，尾部风险预期提升。
　　从品种间波动率指数差值来看，沪深300与上证50的差值为-0.2，目前处于近一年中等水平；中证1000与中证500的差值为-0.9，处于近一年较低水平，二者均处于合理区间范围内。
　　策略推荐
　　长期来看，仍然可以持有备兑策略，结合目前的市场趋势和隐含波动率水平，可以选择卖出虚值期权，历史上备兑策略相对于标的指数可以取得更好的收益风险比；也可以逢低利用牛市价差组合、对角价差组合等策略来做多指数。
　　对于中短线投资者，近期可以继续持有做多波动率的策略。目前各标的波动率指数已从近一年90%分位值回落至年度均值附近，明显低于长期均值，50ETF期权波动率指数近五年波动中枢稳定在20-23的区间内，相对而言，做多波动率的收益风险比会更高一些。从日历效应上来看，9-11月波动率通常会有一定回落，可以卖空远月波动率进行对冲。
　　风险提示
　　模型根据历史数据总结，未来存在失效的风险；突发事件造成市场剧烈波动的风险。
　　

研究报告全文：金期权周报融标的多数反弹波动率指数明显回落工期权周报程分析师祝涛SACNOS11505160600022023年9月6日研证券分析师祝涛核心观点究022-28451653金融期权市场表现zhutaobhzqcom月日至月日多数期权标的继续反弹涨跌幅在至之83095-0515间其中科创涨幅居前50ETF成交方面期权成交活跃度总体明显下降日均总成交额为3363亿元较证前周减少3674其中上证50期权日均成交额为708亿元沪深300期权日均成交额为1070亿元中证1000期权日均成交额为512亿元中证券500期权日均成交额为500亿元创业板指期权日均成交额为220亿元深证100期权日均成交额为039亿元科创50期权日均成交额为313亿研元综合成交和持仓信息来看投资者对标的指数的情绪总体仍是较为中性波动率方面目前上证50沪深300和深证100波动率指数在17附近相究对前周下降近3个点目前仍低于历史均值中证500中证1000波动率指数在16-171之间创业板指科创50波动率指数在20-28之间也均报有较大幅度的下降偏度方面各标的偏度指数有所增加处于历史中等偏低水平总体而言投资者对标的指数后市的波动预期回落尾部风险预期告提升从品种间波动率指数差值来看沪深300与上证50的差值为-02目前处于近一年中等水平中证1000与中证500的差值为-09处于近一年较低水平二者均处于合理区间范围内策略推荐长期来看仍然可以持有备兑策略结合目前的市场趋势和隐含波动率水平可以选择卖出虚值期权历史上备兑策略相对于标的指数可以取得更好的收益风险比也可以逢低利用牛市价差组合对角价差组合等策略来做多指数期对于中短线投资者近期可以继续持有做多波动率的策略目前各标的波动权率指数已从近一年90分位值回落至年度均值附近明显低于长期均值50ETF期权波动率指数近五年波动中枢稳定在20-23的区间内相对而言周做多波动率的收益风险比会更高一些从日历效应上来看9-11月波动率通常会有一定回落可以卖空远月波动率进行对冲报风险提示模型根据历史数据总结未来存在失效的风险突发事件造成市场剧烈波动的风险请务必阅读正文之后的声明渤海证券股份有限公司具备证券投资咨询业务资格1of14期权周报目录1金融期权市场表现52策略推荐11请务必阅读正文之后的声明2of14期权周报图目录图1各标的指数价格走势以2022-12-30收盘价为基准5图2各金融期权波动率指数走势6图350ETF和300ETF期权波动率指数差值6图4中证1000和500ETF期权波动率指数差值6图5各金融期权成交额元6图6各金融期权成交额占比变化6图750ETF期权成交量8图850ETF期权持仓量8图9华泰柏瑞300ETF期权成交量8图10华泰柏瑞300ETF期权持仓量8图11嘉实300ETF期权成交量8图12嘉实300ETF期权持仓量8图13沪深300股指期权成交量9图14沪深300股指期权持仓量9图15中证1000股指期权成交量9图16中证1000股指期权持仓量9图17南方500ETF期权成交量9图18南方500ETF期权持仓量9图19嘉实500ETF期权成交量10图20嘉实500ETF期权持仓量10图21创业板ETF期权成交量10图22创业板ETF期权持仓量10图23深证100ETF期权成交量10图24深证100ETF期权持仓量10图25上证50股指期权成交量11图26上证50股指期权持仓量11图27华夏科创50ETF期权成交量11图28华夏科创50ETF期权持仓量11图29易方达科创50ETF期权成交量11图30易方达科创50ETF期权持仓量11图31金融期权波动率指数12图32金融期权偏度指数12图3350ETF期权波动率指数波动中枢13图34中美波动率指数差值13图35中证500ETF期权波动率指数波动中枢13图36标的指数波动率月度变化日历效应13请务必阅读正文之后的声明3of14期权周报表目录表1金融期权波动率概况7表2金融期权成交概况7请务必阅读正文之后的声明4of14期权周报1金融期权市场表现8月30日至9月5日多数期权标的继续反弹涨跌幅在-05至15之间其中科创50ETF涨幅居前成交方面期权成交活跃度总体明显下降日均总成交额为3363亿元较前周减少3674其中上证50期权日均成交额为708亿元沪深300期权日均成交额为1070亿元中证1000期权日均成交额为512亿元中证500期权日均成交额为500亿元创业板指期权日均成交额为220亿元深证100期权日均成交额为039亿元科创50期权日均成交额为313亿元综合成交和持仓信息来看投资者对标的指数的情绪总体仍是较为中性波动率方面目前上证50沪深300和深证100波动率指数在17附近相对前周下降近3个点目前仍低于历史均值中证500中证1000波动率指数在16-171之间创业板指科创50波动率指数在20-28之间也均有较大幅度的下降偏度方面各标的偏度指数有所增加处于历史中等偏低水平总体而言投资者对标的指数后市的波动预期回落尾部风险预期提升从品种间波动率指数差值来看沪深300与上证50的差值为-02目前处于近一年中等水平中证1000与中证500的差值为-09处于近一年较低水平二者均处于合理区间范围内图1各标的指数价格走势以2022-12-30收盘价为基准12512115111051095090852022-12-302023-01-182023-02-102023-04-172023-05-082023-05-242023-06-092023-06-292023-07-172023-08-022023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-242023-03-292023-04-032023-04-072023-04-122023-04-202023-04-252023-04-282023-05-112023-05-162023-05-192023-05-292023-06-012023-06-062023-06-142023-06-192023-06-262023-07-042023-07-072023-07-122023-07-202023-07-252023-07-282023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-05上证50沪深300中证1000中证500创业板指深证100科创50资料来源同花顺iFinD渤海证券研究所请务必阅读正文之后的声明5of14期权周报图2各金融期权波动率指数走势3732272217122022-01-142022-02-242022-03-302022-05-102022-06-142022-07-182022-11-252022-12-292023-02-092023-03-152023-04-192023-05-262023-07-032022-01-042022-01-262022-02-142022-03-082022-03-182022-04-132022-04-252022-05-202022-06-012022-06-242022-07-062022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-12-072022-12-192023-01-112023-01-302023-02-212023-03-032023-03-272023-04-072023-05-042023-05-162023-06-072023-06-192023-07-132023-07-252023-08-042023-08-162023-08-2850ETF华泰柏瑞300ETF中证1000股指南方500ETF创业板ETF深证100ETF易方达科创50ETF资料来源同花顺iFinD渤海证券研究所图350ETF和300ETF期权波动率指数差值图4中证1000和500ETF期权波动率指数差值35431429333027225225123102120190-11517-2-11510-313-22022-03-142022-04-152022-05-202022-06-222022-10-172022-11-162022-12-162023-04-132023-05-182023-06-192023-07-212022-01-042022-01-192022-02-102022-02-252022-03-292022-05-052022-06-072022-07-072022-07-222022-08-082022-08-232022-09-072022-09-232022-11-012022-12-012023-01-032023-01-182023-02-092023-02-242023-03-132023-03-282023-04-282023-06-022023-07-062023-08-072023-08-222022-10-202022-12-012023-01-052023-01-132023-02-232023-03-292023-04-072023-05-162023-06-192023-06-292023-08-022022-09-192022-09-272022-10-122022-10-282022-11-072022-11-152022-11-232022-12-092022-12-192022-12-272023-01-302023-02-072023-02-152023-03-032023-03-132023-03-212023-04-172023-04-252023-05-082023-05-242023-06-012023-06-092023-07-072023-07-172023-07-252023-08-102023-08-182023-08-282023-09-05右轴华泰柏瑞中证右轴中证股指南方300ETF-50ETF50ETF300ETF1000-500ETF1000500ETF资料来源同花顺iFinD渤海证券研究所图5各金融期权成交额元图6各金融期权成交额占比变化100016E1090080014E1070012E106001E105008E094003006E092004E091002E090002020-04-222020-06-162020-12-212021-02-102021-08-192021-10-192022-04-252022-06-202022-12-212023-02-172023-08-222020-01-022020-02-052020-03-022020-03-262020-05-212020-07-142020-08-072020-09-022020-09-282020-10-302020-11-252021-01-152021-03-152021-04-092021-05-102021-06-032021-06-302021-07-262021-09-142021-11-122021-12-082022-01-042022-01-282022-03-022022-03-282022-05-242022-07-142022-08-092022-09-022022-09-292022-11-012022-11-252023-01-172023-03-152023-04-112023-05-102023-06-052023-07-032023-07-272020-03-022020-03-262020-10-302020-11-252021-06-032021-06-302022-01-042022-01-282022-08-092022-09-022023-03-152023-04-112020-01-022020-02-052020-04-222020-05-212020-06-162020-07-142020-08-072020-09-022020-09-282020-12-212021-01-152021-02-102021-03-152021-04-092021-05-102021-07-262021-08-192021-09-142021-10-192021-11-122021-12-082022-03-022022-03-282022-04-252022-05-242022-06-202022-07-142022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-05-102023-06-052023-07-032023-07-272023-08-2250ETF华泰柏瑞300ETF嘉实300ETF沪深300股指中证1000股指南方500ETF50ETF华泰柏瑞300ETF嘉实300ETF沪深300股指中证1000股指南方500ETF嘉实500ETF创业板ETF深证100ETF上证50股指华夏科创50ETF易方达科创50ETF嘉实500ETF创业板ETF深证100ETF上证50股指华夏科创50ETF易方达科创50ETF资料来源同花顺iFinD渤海证券研究所请务必阅读正文之后的声明6of14期权周报表1金融期权波动率概况已实现波动认购加权隐认沽加权隐标的周涨跌幅20日波动率波动率指数偏度指数率含波动率含波动率上证50ETF134156921891759160016759822华泰柏瑞300ETF0881542208117281537165010157嘉实300ETF0891538213317611593167210041沪深300股指080160620101885148416649894中证1000股指096209521571634168616179935南方500ETF0321703217015821606170210884嘉实500ETF0421688217616131642168410171创业板ETF-048202024562230196020569660深证100ETF072184122511831169917359842上证50股指129156221011921146716949387华夏科创50ETF052278532072823255627599958易方达科创50ETF149263532592760260627339706资料来源同花顺iFinD渤海证券研究所表2金融期权成交概况标的认沽认购成交比认沽认购持仓比日均成交量张日均成交额亿元持仓量张上证50ETF06808113122065552291738华泰柏瑞300ETF0930868948375231498399嘉实300ETF069079172096109257825沪深300股指05305794412439209712中证1000股指06907377981512111633南方500ETF115118465973368615698嘉实500ETF091095131980132188035创业板ETF057076509151220998986深证100ETF07908873578039143301上证50股指0520524919915489161华夏科创50ETF0550577765402331164558易方达科创50ETF042048275264080399817资料来源同花顺iFinD渤海证券研究所请务必阅读正文之后的声明7of14期权周报图750ETF期权成交量图850ETF期权持仓量7000000226000000220220060000005000000180185000000160164000000140400000014300000012030000001210012000000200000008008060100000010000000604000400202015-06-122015-12-142016-06-162016-12-152020-03-022020-08-282021-03-052021-09-012022-03-102022-09-072015-02-092015-04-152015-08-112015-10-162016-02-172016-04-152016-08-122016-10-192017-02-202017-04-202017-06-212017-08-172017-10-202017-12-182018-02-142018-04-232018-06-222018-08-202018-10-242018-12-202019-02-262019-04-252019-06-272019-08-232019-10-292019-12-252020-04-292020-07-022020-11-032020-12-302021-05-072021-07-062021-11-082022-01-052022-05-132022-07-122022-11-112023-01-112023-03-162023-05-182023-07-182015-12-212017-03-082017-05-102018-07-202019-10-092019-12-062021-02-252022-07-142015-02-092015-04-162015-06-162015-08-142015-10-222016-02-252016-04-262016-06-282016-08-252016-11-022016-12-302017-07-112017-09-072017-11-132018-01-112018-03-192018-05-222018-09-182018-11-232019-01-242019-04-012019-06-042019-08-022020-02-132020-04-142020-06-162020-08-172020-10-222020-12-212021-04-272021-06-302021-08-272021-11-042022-01-042022-03-102022-05-162022-09-132022-11-172023-01-182023-03-242023-05-292023-07-28认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源同花顺iFinD渤海证券研究所图9华泰柏瑞300ETF期权成交量图10华泰柏瑞300ETF期权持仓量500000016300000020045000001801440000002500000160350000012200000014030000001202500000115000001002000000081000000080150000006010000000650000050000004000400202020-05-082020-10-212021-04-012021-09-092022-03-012022-08-102023-01-302023-07-112019-12-232020-01-232020-03-032020-04-022020-06-092020-07-132020-08-122020-09-112020-11-202020-12-222021-01-222021-03-022021-05-072021-06-082021-07-092021-08-102021-10-202021-11-192021-12-212022-01-212022-03-312022-05-092022-06-092022-07-112022-09-092022-10-192022-11-182022-12-202023-03-012023-03-312023-05-082023-06-072023-08-102020-06-022020-07-032020-08-032020-09-012021-09-132021-10-212021-11-192021-12-202023-02-092023-03-102023-04-112019-12-232020-01-222020-02-282020-03-302020-04-292020-09-302020-11-062020-12-072021-01-062021-02-042021-03-122021-04-132021-05-172021-06-162021-07-152021-08-132022-01-192022-02-242022-03-252022-04-272022-05-312022-06-302022-07-292022-08-292022-09-282022-11-032022-12-022023-01-042023-05-152023-06-132023-07-142023-08-14认购持仓量张认沽持仓量张认沽认购持仓比认购成交量张认沽成交量张认沽认购成交比资料来源同花顺iFinD渤海证券研究所图11嘉实300ETF期权成交量图12嘉实300ETF期权持仓量10000001660000018090000016014500000800000140700000124000001206000005000001300000100400000080082000003000000602000000610000010000004000400202020-06-022020-07-032020-08-032020-09-012021-09-132021-10-212021-11-192021-12-202023-02-092023-03-102023-04-112019-12-232020-01-222020-02-282020-03-302020-04-292020-09-302020-11-062020-12-072021-01-062021-02-042021-03-122021-04-132021-05-172021-06-162021-07-152021-08-132022-01-192022-02-242022-03-252022-04-272022-05-312022-06-302022-07-292022-08-292022-09-282022-11-032022-12-022023-01-042023-05-152023-06-132023-07-142023-08-142019-12-232020-06-092020-08-122021-01-222021-07-092021-09-092022-03-012022-05-092022-10-192023-03-312023-06-072020-01-232020-03-032020-04-022020-05-082020-07-132020-09-112020-10-212020-11-202020-12-222021-03-022021-04-012021-05-072021-06-082021-08-102021-10-202021-11-192021-12-212022-01-212022-03-312022-06-092022-07-112022-08-102022-09-092022-11-182022-12-202023-01-302023-03-012023-05-082023-07-112023-08-10认购成交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3-03-222023-04-102023-04-182023-05-092023-05-172023-06-022023-06-122023-06-302023-07-102023-07-262023-08-032023-08-212023-08-29认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源同花顺iFinD渤海证券研究所图23深证100ETF期权成交量图24深证100ETF期权持仓量2500002925000012011020000024200000100090150000191500000800701000001410000006005050000095000004003000400202023-02-082023-02-152023-02-222023-05-162023-05-232023-05-302023-06-062023-08-242023-08-312022-12-122022-12-192022-12-262023-01-042023-01-112023-01-182023-02-012023-03-012023-03-082023-03-152023-03-222023-03-292023-04-062023-04-132023-04-202023-04-272023-05-092023-06-132023-06-202023-06-292023-07-062023-07-132023-07-202023-07-272023-08-032023-08-102023-08-172022-12-122023-01-042023-02-012023-02-222022-12-192022-12-262023-01-112023-01-182023-02-082023-02-152023-03-012023-03-082023-03-152023-03-222023-03-292023-04-062023-04-132023-04-202023-04-272023-05-092023-05-162023-05-232023-05-302023-06-062023-06-132023-06-202023-06-292023-07-062023-07-132023-07-202023-07-272023-08-032023-08-102023-08-172023-08-242023-08-31认购持仓量张认沽持仓量张认沽认购持仓比认购成交量张认沽成交量张认沽认购成交比资料来源同花顺iFinD渤海证券研究所请务必阅读正文之后的声明10of14期权周报图25上证50股指期权成交量图26上证50股指期权持仓量160000121400001401400001112000012012000011000001001000000980000800000808060000600000706040000400000604020000052000000400202022-12-262023-02-082023-03-012023-03-152023-04-062023-05-162023-06-062023-07-132023-08-032022-12-192023-01-042023-01-112023-01-182023-02-012023-02-152023-02-222023-03-082023-03-222023-03-292023-04-132023-04-202023-04-272023-05-092023-05-232023-05-302023-06-132023-06-202023-06-292023-07-062023-07-202023-07-272023-08-102023-08-172023-08-242023-08-312022-12-192023-02-012023-02-222023-03-292023-04-202023-05-302023-06-202023-07-272023-08-312022-12-262023-01-042023-01-112023-01-182023-02-082023-02-152023-03-012023-03-082023-03-152023-03-222023-04-062023-04-132023-04-272023-05-092023-05-162023-05-232023-06-062023-06-132023-06-292023-07-062023-07-132023-07-202023-08-032023-08-102023-08-172023-08-24认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源同花顺iFinD渤海证券研究所图27华夏科创50ETF期权成交量图28华夏科创50ETF期权持仓量1400000161400000090120000012000000801410000001000000070128000008000000601600000600000050084000004000000400620000020000003000400202023-06-192023-06-212023-07-132023-07-172023-08-042023-08-082023-08-242023-08-282023-06-052023-06-072023-06-092023-06-132023-06-152023-06-272023-06-292023-07-032023-07-052023-07-072023-07-112023-07-192023-07-212023-07-252023-07-272023-07-312023-08-022023-08-102023-08-142023-08-162023-08-182023-08-222023-08-302023-09-012023-09-052023-06-052023-06-072023-06-092023-06-132023-06-152023-06-192023-06-212023-06-272023-06-292023-07-032023-07-052023-07-072023-07-112023-07-132023-07-172023-07-192023-07-212023-07-252023-07-272023-07-312023-08-022023-08-042023-08-082023-08-102023-08-142023-08-162023-08-182023-08-222023-08-242023-08-282023-08-302023-09-012023-09-05认购成交量张认沽成交量张认沽认购成交比认购持仓量张认沽持仓量张认沽认购持仓比资料来源同花顺iFinD渤海证券研究所图29易方达科创50ETF期权成交量图30易方达科创50ETF期权持仓量60000014500000080134500005000001207040000011400000350000060130000030000009250000050082000002000000400715000006100000100000030055000000400202023-06-052023-06-072023-06-092023-06-132023-06-152023-06-192023-06-212023-06-272023-06-292023-07-032023-07-052023-07-072023-07-112023-07-132023-07-172023-07-192023-07-212023-07-252023-07-272023-07-312023-08-022023-08-042023-08-082023-08-102023-08-142023-08-162023-08-182023-08-222023-08-242023-08-282023-08-302023-09-012023-09-052023-06-052023-06-072023-06-092023-06-132023-08-302023-09-012023-09-052023-06-152023-06-192023-06-212023-06-272023-06-292023-07-032023-07-052023-07-072023-07-112023-07-132023-07-172023-07-192023-07-212023-07-252023-07-272023-07-312023-08-022023-08-042023-08-082023-08-102023-08-142023-08-162023-08-182023-08-222023-08-242023-08-28认购持仓量张认沽持仓量张认沽认购持仓比认购成交量张认沽成交量张认沽认购成交比资料来源同花顺iFinD渤海证券研究所请务必阅读正文之后的声明11of14期权周报图31金融期权波动率指数图32金融期权偏度指数140454013035120301102510020159010802019-12-232020-01-232020-03-032021-01-222021-03-022021-04-012021-05-072022-05-092022-06-092022-07-112022-08-102023-07-102023-08-092020-04-022020-05-082020-06-092020-07-132020-08-122020-09-112020-10-212020-11-202020-12-222021-06-082021-07-092021-08-102021-09-092021-10-202021-11-192021-12-212022-01-212022-03-012022-03-312022-09-092022-10-192022-11-182022-12-202023-01-202023-02-282023-03-302023-05-052023-06-062020-03-032020-08-122021-01-222021-05-072021-07-092021-10-202021-12-212022-03-312022-06-092022-09-092022-11-182023-02-282023-05-052023-08-092019-12-232020-01-232020-04-022020-05-082020-06-092020-07-132020-09-112020-10-212020-11-202020-12-222021-03-022021-04-012021-06-082021-08-102021-09-092021-11-192022-01-212022-03-012022-05-092022-07-112022-08-102022-10-192022-12-202023-01-202023-03-302023-06-062023-07-1050ETF华泰柏瑞300ETF中证1000股指南方500ETF50ETF华泰柏瑞300ETF中证1000股指资料来源同花顺iFinD渤海证券研究所2策略推荐长期关注做多指数的机会长期来看仍然可以持有备兑策略结合目前的市场趋势和隐含波动率水平可以选择卖出虚值期权长期来看备兑策略相对于标的指数可以取得更好的收益风险比也可以逢低利用牛市价差组合对角价差组合等策略来做多指数中短期关注做多波动率的机会对于中短线投资者近期可以继续持有做多波动率的策略目前各标的波动率指数已从近一年90分位值回落至年度均值附近且明显低于长期均值50ETF期权波动率指数近五年波动中枢稳定在20-23的区间内相对而言做多波动率的收益风险比会更高一些从日历效应上来看9-11月波动率通常会有一定回落可以卖空远月波动率进行对冲请务必阅读正文之后的声明12of14期权周报图3350ETF期权波动率指数波动中枢图34中美波动率指数差值70902060801050700604050-103040-202030-301020-400100-502015-2-252015-05-112015-07-222017-03-272017-06-132017-08-232019-02-142019-04-292019-07-152020-12-302021-03-192021-06-042022-11-232023-02-102023-04-252015-10-122015-12-222016-03-102016-05-242016-08-052016-10-262017-01-062017-11-092018-01-222018-04-122018-06-272018-09-062018-11-262019-09-252019-12-122020-03-032020-05-192020-07-312020-10-202021-08-172021-11-052022-01-182022-04-082022-06-242022-09-052023-07-1250ETF期权波动率指数年度均值滚动一年10分位值滚动一年90分位值2020-04-172020-05-252020-11-122020-12-152021-06-082021-07-122022-02-082022-03-112022-08-292022-09-302023-03-272023-04-282020-01-022020-02-122020-03-162020-06-292020-07-302020-09-012020-10-122021-01-182021-02-252021-03-302021-05-062021-08-122021-09-142021-10-262021-11-262021-12-292022-04-152022-05-232022-06-242022-07-272022-11-092022-12-122023-01-132023-02-222023-06-052023-07-102023-08-10差值右轴沪深300波指VIX指数资料来源同花顺iFinD渤海证券研究所图35中证500ETF期权波动率指数波动中枢图36标的指数波动率月度变化日历效应90400080703500605030004030250020102000015002015-3-161月2月3月4月5月6月7月8月9月10月11月12月2015-10-292016-03-292016-11-142017-04-172017-11-282018-05-032019-05-212020-06-052021-06-242021-11-242022-07-132022-12-122023-07-312015-05-282015-08-102016-01-112016-06-142016-08-242017-01-252017-06-302017-09-112018-02-082018-07-162018-09-262018-12-132019-03-052019-08-012019-10-212019-12-312020-03-202020-08-192020-11-062021-01-192021-04-082021-09-032022-02-112022-04-272022-09-232023-03-012023-05-17上证50沪深300深证100创业板指中证500中证1000500ETF期权波动率指数年度均值滚动一年10分位值滚动一年90分位值资料来源同花顺iFinD渤海证券研究所风险提示模型根据历史数据总结未来存在失效的风险突发事件造成市场剧烈波动的风险请务必阅读正文之后的声明13of14期权周报投资评级说明项目名称投资评级评级说明买入未来6个月内相对沪深300指数涨幅超过20增持未来6个月内相对沪深300指数涨幅介于1020之间公司评级标准中性未来6个月内相对沪深300指数涨幅介于-1010之间减持未来6个月内相对沪深300指数跌幅超过10看好未来12个月内相对于沪深300指数涨幅超过10行业评级标准中性未来12个月内相对于沪深300指数涨幅介于-10-10之间看淡未来12个月内相对于沪深300指数跌幅超过10分析师声明本报告署名分析师在此声明我们具有中国证券业协会授予的证券投资咨询执业资格并登记为证券分析师以勤勉尽责的职业态度专业审慎的研究方法使用合法合规的数据和信息独立客观地出具本报告本报告所表述的任何观点均精准地如实地反映研究人员的个人观点结论不受任何第三方的授意或影响我们所获取报酬的任何部分无论是在过去现在及将来均不会与本报告中的具体投资建议或观点有直接或间接的联系免责声明本报告中的信息均来源于已公开的资料我公司对这些信息的准确性和完整性不作任何保证不保证该信息未经任何更新也不保证本公司做出的任何建议不会发生任何变更在任何情况下报告中的信息或所表达的意见并不构成所述证券买卖的出价或询价在任何情况下我公司不就本报告中的任何内容对任何投资做出任何形式的担保投资者自主作出投资决策并自行承担投资风险任何形式的分享证券投资收益或者分担证券投资损失书面或口头承诺均为无效我公司及其关联机构可能会持有报告中提到的公司所发行的证券并进行交易还可能为这些公司提供或争取提供投资银行或财务顾问服务我公司的关联机构或个人可能在本报告公开发表之前已经使用或了解其中的信息本报告的版权归渤海证券股份有限公司所有未获得渤海证券股份有限公司事先书面授权任何人不得对本报告进行任何形式的发布复制如引用刊发需注明出处为渤海证券股份有限公司也不得对本报告进行有悖原意的删节和修改渤海证券研究所机构销售团队高级销售经理朱艳君高级销售经理王文君座机862228451995座机861068104637手机13502040941手机18611705783邮箱zhuyanjunbhzqcom邮箱wangwjbhzqcom天津北京天津市南开区水上公园东路宁汇大厦A座写字楼北京市西城区西直门外大街甲143号凯旋大厦A座2层邮政编码300381邮政编码100086电话862228451888电话861068104192传真862228451615传真861068104192渤海证券股份有限公司网址wwwewwwcomcn请务必阅读正文之后的声明14of14