金融期权市场表现
　　9月6日至12日，多数期权标的震荡回落，涨跌幅在-3.3%至0.3%之间，其中，中证1000指数涨幅居前。
　　成交方面，期权成交活跃度总体继续下降，日均总成交额为30.54亿元，较前周减少9.18%，其中上证50期权日均成交额为5.57亿元，沪深300期权日均成交额为10.47亿元，中证1000期权日均成交额为4.92亿元，中证500期权日均成交额为4.59亿元，创业板指期权日均成交额为2.12亿元，深证100期权日均成交额为0.42亿元，科创50期权日均成交额为2.44亿元。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波动率指数在16-17之间，相对前周变化不大，目前仍低于历史均值，中证500、中证1000波动率指数在15-17之间，创业板指、科创50波动率指数在19-27之间，相对前周小幅下降；偏度方面，各标的偏度指数总体有所增加，处于历史中等水平。总体而言，投资者对标的指数后市的波动预期偏低，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0.03，目前处于近一年较高水平；中证1000与中证500的差值为-1.10，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：金期权周报融成交活跃度下降投资者情绪仍偏中性工期权周报程分析师祝涛SACNOS11505160600022023年9月13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月日至日多数期权标的震荡回落涨跌幅在至之间9612-3303其中中证指数涨幅居前1000成交方面期权成交活跃度总体继续下降日均总成交额为3054亿元较证前周减少918其中上证50期权日均成交额为557亿元沪深300期权日均成交额为1047亿元中证1000期权日均成交额为492亿元中证券500期权日均成交额为459亿元创业板指期权日均成交额为212亿元深证100期权日均成交额为042亿元科创50期权日均成交额为244亿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波动率指数在16-17之间相对前周究变化不大目前仍低于历史均值中证500中证1000波动率指数在15-17之间创业板指科创50波动率指数在19-27之间相对前周小幅下降报偏度方面各标的偏度指数总体有所增加处于历史中等水平总体而言投资者对标的指数后市的波动预期偏低尾部风险预期提升告从品种间波动率指数差值来看沪深300与上证50的差值为003目前处于近一年较高水平中证1000与中证500的差值为-110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权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月波动率通周常会有一定回落可以卖空远月波动率进行对冲风险提示报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9月6日至12日多数期权标的震荡回落涨跌幅在-33至03之间其中中证1000指数涨幅居前成交方面期权成交活跃度总体继续下降日均总成交额为3054亿元较前周减少918其中上证50期权日均成交额为557亿元沪深300期权日均成交额为1047亿元中证1000期权日均成交额为492亿元中证500期权日均成交额为459亿元创业板指期权日均成交额为212亿元深证100期权日均成交额为042亿元科创50期权日均成交额为244亿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波动率指数在16-17之间相对前周变化不大目前仍低于历史均值中证500中证1000波动率指数在15-17之间创业板指科创50波动率指数在19-27之间相对前周小幅下降偏度方面各标的偏度指数总体有所增加处于历史中等水平总体而言投资者对标的指数后市的波动预期偏低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003目前处于近一年较高水平中证1000与中证500的差值为-110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12512115111051095090852023-01-102023-02-072023-03-032023-03-242023-04-172023-05-162023-06-062023-07-042023-07-252023-08-152023-09-082022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-082023-03-132023-03-162023-03-212023-03-292023-04-032023-04-072023-04-122023-04-202023-04-252023-04-282023-05-082023-05-112023-05-192023-05-242023-05-292023-06-012023-06-092023-06-142023-06-192023-06-262023-06-292023-07-072023-07-122023-07-172023-07-202023-07-282023-08-022023-08-072023-08-102023-08-182023-08-232023-08-282023-08-312023-09-05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3732272217122022-01-042022-01-262022-06-142022-07-062022-07-282022-08-192022-12-072022-12-292023-01-302023-02-212023-07-032023-07-252023-08-162023-09-072022-01-142022-02-142022-02-242022-03-082022-03-182022-03-302022-04-132022-04-252022-05-102022-05-202022-06-012022-06-242022-07-182022-08-092022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-192023-01-112023-02-092023-03-032023-03-152023-03-272023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-06-192023-07-132023-08-042023-08-2850ETF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35431429333027225225123102120190-11517-2-11510-313-22022-01-042022-03-142022-05-052022-05-202022-07-072022-09-072022-11-162023-01-182023-03-132023-03-282023-05-182023-07-212022-01-192022-02-102022-02-252022-03-292022-04-152022-06-072022-06-222022-07-222022-08-082022-08-232022-09-232022-10-172022-11-012022-12-012022-12-162023-01-032023-02-092023-02-242023-04-132023-04-282023-06-022023-06-192023-07-062023-08-072023-08-222023-09-062022-10-202022-10-282022-12-092023-01-302023-02-072023-03-212023-03-292023-05-162023-05-242023-07-072023-07-172023-08-182023-08-282022-09-192022-09-272022-10-122022-11-072022-11-152022-11-232022-12-012022-12-192022-12-272023-01-052023-01-132023-02-152023-02-232023-03-032023-03-132023-04-072023-04-172023-04-252023-05-082023-06-012023-06-092023-06-192023-06-292023-07-252023-08-022023-08-102023-09-05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100016E1090080014E1070012E106001E105008E094003006E092004E091002E090002020-08-072020-09-022020-09-282020-10-302021-08-192021-09-142021-10-192021-11-122022-09-292022-11-012022-11-252020-01-022020-02-052020-03-022020-03-262020-04-222020-05-212020-06-162020-07-142020-11-252020-12-212021-01-152021-02-102021-03-152021-04-092021-05-102021-06-032021-06-302021-07-262021-12-082022-01-042022-01-282022-03-022022-03-282022-04-252022-05-242022-06-202022-07-142022-08-092022-09-022022-12-212023-01-172023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032023-07-272023-08-222020-02-052020-06-162020-10-302021-03-152021-07-262021-12-082022-04-252022-09-022023-01-172023-06-052020-01-022020-03-022020-03-262020-04-222020-05-212020-07-142020-08-072020-09-022020-09-282020-11-252020-12-212021-01-152021-02-102021-04-092021-05-102021-06-032021-06-302021-08-192021-09-142021-10-192021-11-122022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-2250ETF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50ETF-121138112051781156016529893华泰柏瑞300ETF-1571414118917211515165610025嘉实300ETF-161141812191696157616799997沪深300股指-156149211711844129416469808中证1000股指0282132123214921647157710252南方500ETF-0291683125015711667168810972嘉实500ETF-0401676126015811594164114771创业板ETF-287197813412182202119549888深证100ETF-244177113911823169517219904上证50股指-117138612011945142616439583华夏科创50ETF-3082983191227162608262210582易方达科创50ETF-3252849192026782738264010101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50ETF06608612034894442629273华泰柏瑞300ETF0720899762104992006958嘉实300ETF071092177017089356467沪深300股指057069106881459248700中证1000股指06607987776492145666南方500ETF103100451985344828825嘉实500ETF098092134795115256472创业板ETF0580835881662121166736深证100ETF06708790449042176087上证50股指05106643353114113065华夏科创50ETF0440656562081771312934易方达科创50ETF043067244577067510380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7000000226000000220220060000005000000180185000000160164000000140400000014300000012030000001210012000000200000008008060100000010000000604000400202015-10-162016-08-122017-08-172018-08-202019-08-232020-07-022021-07-062022-07-122023-05-182023-07-182015-02-092015-04-152015-06-122015-08-112015-12-142016-02-172016-04-152016-06-162016-10-192016-12-152017-02-202017-04-202017-06-212017-10-202017-12-182018-02-142018-04-232018-06-222018-10-242018-12-202019-02-262019-04-252019-06-272019-10-292019-12-252020-03-022020-04-292020-08-282020-11-032020-12-302021-03-052021-05-072021-09-012021-11-082022-01-052022-03-102022-05-132022-09-072022-11-112023-01-112023-03-162018-03-192018-11-232019-08-022020-04-142020-12-212021-08-272022-05-162023-01-182015-02-092015-04-162015-06-162015-08-142015-10-222015-12-212016-02-252016-04-262016-06-282016-08-252016-11-022016-12-302017-03-082017-05-102017-07-112017-09-072017-11-132018-01-112018-05-222018-07-202018-09-182019-01-242019-04-012019-06-042019-10-092019-12-062020-02-132020-06-162020-08-172020-10-222021-02-252021-04-272021-06-302021-11-042022-01-042022-03-102022-07-142022-09-132022-11-172023-03-242023-05-292023-07-28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500000016300000020045000001801440000002500000160350000012200000014030000001202500000115000001002000000081000000080150000006010000000650000050000004000400202020-02-032020-03-052020-04-082020-05-142020-06-162020-07-212020-08-212020-09-232020-11-032023-08-022023-09-042019-12-232020-12-042021-01-072021-02-092021-03-192021-04-222021-05-282021-07-012021-08-032021-09-032021-10-152021-11-172021-12-202022-01-212022-03-022022-04-062022-05-122022-06-152022-07-182022-08-182022-09-212022-10-312022-12-012023-01-052023-02-142023-03-172023-04-202023-05-262023-06-302020-03-032020-06-092020-09-112020-12-222021-04-012021-07-092021-10-202023-05-082023-08-102019-12-232020-01-232020-04-022020-05-082020-07-132020-08-122020-10-212020-11-202021-01-222021-03-022021-05-072021-06-082021-08-102021-09-092021-11-192021-12-212022-01-212022-03-012022-03-312022-05-092022-06-092022-07-112022-08-102022-09-092022-10-192022-11-182022-12-202023-01-302023-03-012023-03-312023-06-072023-07-112023-09-11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10000001660000018090000016014500000800000140700000124000001206000005000001300000100400000080082000003000000602000000610000010000004000400202020-03-032020-06-092020-09-112020-12-222021-04-012021-07-092021-10-202023-05-082023-08-102019-12-232020-01-232020-04-022020-05-082020-07-132020-08-122020-10-212020-11-202021-01-222021-03-022021-05-072021-06-082021-08-102021-09-092021-11-192021-12-212022-01-212022-03-012022-03-312022-05-092022-06-092022-07-112022-08-102022-09-092022-10-192022-11-182022-12-202023-01-302023-03-012023-03-312023-06-072023-07-112023-09-112019-12-232020-04-082020-09-232021-01-072021-04-222021-10-152022-01-212022-07-182022-10-312023-04-202023-08-022020-02-032020-03-052020-05-142020-06-162020-07-212020-08-212020-11-032020-12-042021-02-092021-03-192021-05-282021-07-012021-08-032021-09-032021-11-172021-12-202022-03-022022-04-062022-05-122022-06-152022-08-182022-09-212022-12-012023-01-052023-02-142023-03-172023-05-262023-06-302023-09-04认购成交量张认沽成交量张认沽认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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70902060801050700604050-103040-202030-301020-400100-502015-2-252016-03-102016-05-242017-08-232017-11-092019-02-142019-04-292020-05-192020-07-312020-10-202021-11-052022-01-182023-04-252023-07-122015-05-112015-07-222015-10-122015-12-222016-08-052016-10-262017-01-062017-03-272017-06-132018-01-222018-04-122018-06-272018-09-062018-11-262019-07-152019-09-252019-12-122020-03-032020-12-302021-03-192021-06-042021-08-172022-04-082022-06-242022-09-052022-11-232023-02-1050ETF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2020-03-162020-04-172020-10-122020-11-122021-05-062021-06-082021-11-262021-12-292022-07-272023-02-222023-03-272023-09-122020-01-022020-02-122020-05-252020-06-292020-07-302020-09-012020-12-152021-01-182021-02-252021-03-302021-07-122021-08-122021-09-142021-10-262022-02-082022-03-112022-04-152022-05-232022-06-242022-08-292022-09-302022-11-092022-12-122023-01-132023-04-282023-06-052023-07-102023-08-10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2015-05-282015-08-102016-11-142017-01-252018-05-032018-07-162018-09-262019-12-312020-03-202021-06-242021-09-032021-11-242023-03-012023-05-172015-10-292016-01-112016-03-292016-06-142016-08-242017-04-172017-06-302017-09-112017-11-282018-02-082018-12-132019-03-052019-05-212019-08-012019-10-212020-06-052020-08-192020-11-062021-01-192021-04-082022-02-112022-04-272022-07-132022-09-232022-12-122023-07-31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