核心观点
　　今日各股指均震荡下跌。沪深两市全天成交额6982亿元,表现缩量,反映市场情绪偏弱。北向资金净卖出65.92亿元,外资风险偏好持续走弱。当前宏观需求预期差以及增量资金流入偏少仍抑制投资者信心。宏观面,目前需求下行的压力仍较大,房地产销售仍低迷,居民与企业部门的中长期信贷数据表现疲弱;海外高通胀高利率环境下对商品的需求持续下行，内外需全面走弱,股票业绩预期承压。资金面，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，北向资金净卖出,流入股市的增量资金仍有限。总体而言，预计股指短期内以区间震荡为主。
　　宏观需求走弱预期与政策托底预期相互博弈,股指呈现区间震荡走势，上行与下行空间均有限，选择合适的隐含波动率水平,可以构建卖出宽跨式策略。
　　

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13日金融期权市场情绪偏弱股指回调核心观点今日各股指均震荡下跌沪深两市全天成交额6982亿元表现缩量反映市场情绪偏弱北向资金净卖出6592亿元外资风险偏好持续走弱当前宏观需求预期差以及增量资金流入偏少仍抑制投资者信心宏观面目前需求下行的压力仍较大房地产销售仍低迷居民与企业部门的中长期信贷数据表现姓名龙奥明疲弱海外高通胀高利率环境下对商品的需求持续下行内外需全面走弱股票业绩预期承压资金面目前新发股票基金份额位于历年低位融资资金宝城期货投资咨询部余额持续走低北向资金净卖出流入股市的增量资金仍有限总体而言预计股指短期内以区间震荡为主从业资格证号F3035632宏观需求走弱预期与政策托底预期相互博弈股指呈现区间震荡走势上投资咨询证号Z0014648行与下行空间均有限选择合适的隐含波动率水平可以构建卖出宽跨式策略电话0571-87006873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13日50ETF跌031收于2601300ETF上交所跌065收于3807300ETF深交所跌074收于3874沪深300指数跌064收于373665中证1000指数跌132收于610314500ETF上交所跌100收于5817500ETF深交所跌108收于5929创业板ETF跌120收于1974深证100ETF跌092收于2695上证50指数跌029收于252454上证50ETF期权成交量PCR为9124上一交易日成交量PCR为7741持仓量PCR为6531上一交易日持仓量PCR为6583上交所3000ETF期权成交量PCR为9285上一交易日成交量PCR为8413持仓量PCR为6989上一交易日持仓量PCR为7164深交所300ETF期权成交量PCR为8729上一交易日成交量PCR为7604持仓量PCR为7122上一交易日持仓量PCR为6952沪深300指数期权成交量PCR为7925上一交易日成交量PCR为6908持仓量PCR为5645上一交易日持仓量PCR为5747中证1000指数期权成交量PCR为9764上一交易日成交量PCR为6992持仓量PCR为6118上一交易日持仓量PCR为6608上交所中证500ETF期权成交量PCR为12994上一交易日成交量PCR为9625持仓量PCR为9799上一交易日持仓量PCR为10350深交所中证500ETF期权成交量PCR为12303上一交易日成交量PCR为8471持仓量PCR为9449上一交易日持仓量PCR为9796创业板ETF期权成交量PCR为8904上一交易日成交量PCR为7850持仓量PCR为5353上一交易日持仓量PCR为5515深证100ETF期权成交量PCR为8520上一交易日成交量PCR为7547持仓量PCR为6374上一交易日持仓量PCR为6455上证50股指期权成交量PCR为7301上一交易日成交量PCR为6123持仓量PCR为5033上一交易日持仓量PCR为5056上证50ETF期权2023年09月平值期权隐含波动率为1597标的30交易日历史波动率为1383上交所300ETF期权2023年09月平值期权隐含波动率为1555标的30交易日历史波动率为1436深交所300ETF期权2023年09月平值期权隐含波动率为1528标的30交易日历史波动率为1443沪深300指数期权2023年10月平值期权隐含波动率为1545标的30交易日历史波动率为1446中证1000指数期权2023年10月平值期权隐含波动率为1389标的30交易日历史波动率为1889上交所中证500ETF期权2023年09月平值期权隐含波动率为1488标的30交易日历史波动率为1575深交所中证500ETF期权2023年09月平值期权隐含波动率为1505标的30交易日历史波动率为1573创业板ETF期权2023年09月平值期权隐含波动率为2002标的30交易日历史波动率为1813深证100ETF期权2023年09月平值期权隐含波动率为1749标的30交易日历史波动率为1674上证50股指期权2023年10月平值期权隐含波动率为1550标的30交易日历史波动率为1365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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-282022-03-022022-04-252022-05-242022-06-202022-08-092022-09-022022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-05-102023-06-052023-07-032023-07-272023-08-222022-01-042022-03-282022-07-142022-09-292023-04-112022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-10-172022-12-022023-01-202023-03-162023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072022-09-152022-11-092022-12-272023-02-212023-04-11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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-08-282022-02-082022-04-072022-06-082022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-07-032023-08-282022-01-042022-03-082022-05-102022-07-062023-06-012023-07-31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220017502100170020001650190016001800155017001500160015001450140014001300135012001300-769-577-385-192000192385577769202309202310202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-01-282022-03-022022-04-252022-05-242022-07-142022-08-092022-09-022022-09-292022-11-012022-11-252023-01-172023-02-172023-04-112023-05-102023-06-052023-07-272023-08-222022-01-272022-03-232022-05-172022-07-052022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-09-072022-03-282022-06-202022-12-212023-03-152023-07-032022-01-042022-02-282022-04-192022-06-102022-07-282023-06-282023-08-15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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-02-082022-03-082022-04-072022-05-102022-07-062022-08-312022-11-032022-12-292023-03-032023-05-042023-07-032023-08-282022-06-082022-08-032022-09-292022-12-012023-02-032023-03-312023-06-012023-07-312022-01-042022-03-082022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-06-012023-07-312022-02-082022-04-072023-05-042023-07-032023-08-28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2600165024001600220015502000150018001450160014001400135012001300-1053-789-526-2630002635267891053202309202310202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-272022-03-232022-05-172022-07-052022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-09-072022-01-042022-02-282022-04-192022-06-102022-07-282023-06-282023-08-152022-01-042022-01-282022-03-282022-04-252022-05-242022-06-202022-09-022022-09-292022-11-012022-11-252023-01-172023-02-172023-03-152023-04-112023-07-032023-07-272023-08-222022-03-022022-07-142022-08-092022-12-212023-05-102023-06-05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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-10-202022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-06-052023-07-042023-07-312022-03-042022-09-162023-02-132023-08-252022-02-072022-03-042022-03-312022-04-292022-06-282022-07-252022-08-192022-09-162022-11-162022-12-132023-01-102023-02-132023-04-072023-05-092023-06-052023-07-042023-08-252022-01-042022-05-312022-10-202023-03-102023-07-31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26002000180024001600220014002000120010001800800160060040014002001200000-1026-769-513-2560002565137691026202309202310202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-272022-03-232022-05-172022-07-052022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-09-072022-01-042022-02-282022-04-192022-06-102022-07-282023-06-282023-08-152022-01-042022-03-022022-03-282022-04-252022-05-242022-06-202022-09-022022-09-292022-11-012022-11-252023-02-172023-03-152023-04-112023-05-102023-07-272023-08-222022-01-282022-07-142022-08-092022-12-212023-01-172023-06-052023-07-03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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-10-202022-11-162022-12-132023-01-102023-03-102023-04-072023-05-092023-06-052023-07-042023-07-312022-03-042022-09-162023-02-132023-08-252022-02-072022-03-042022-03-312022-04-292022-06-282022-07-252022-08-192022-09-162022-11-162022-12-132023-01-102023-02-132023-04-072023-05-092023-06-052023-07-042023-08-252022-01-042022-05-312022-10-202023-03-102023-07-31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1750190017001800170016501600160015001550140015001300-533-400-267-133000133267400533202309202310202311202312202403202406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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-092022-08-252022-09-132022-10-242022-11-092022-11-252022-12-132023-01-172023-02-092023-02-272023-03-152023-04-192023-05-102023-05-262023-06-132023-07-192023-08-042023-08-222023-09-072022-09-292022-12-292023-03-312023-07-032022-07-222022-08-102022-08-292022-09-162022-10-122022-10-312022-11-172022-12-062022-12-232023-01-122023-02-072023-04-032023-04-212023-05-152023-06-012023-06-202023-07-112023-07-282023-08-162023-09-042023-02-242023-03-15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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-112022-10-182022-11-072022-11-252022-12-152023-01-052023-02-012023-02-212023-04-212023-05-162023-06-052023-06-272023-07-172023-08-042023-08-242022-08-312022-09-212023-03-132023-03-312023-09-132022-07-222022-08-112022-09-212022-10-182022-11-072022-11-252022-12-152023-01-052023-02-012023-02-212023-04-212023-05-162023-06-052023-06-272023-07-172023-08-042023-08-242022-08-312023-03-132023-03-312023-09-13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180018001700170016001600150015001400140013001300120012001100110010001000-645-484-323-161000161323484645202309202310202311202312202403202406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66001400280064001200260024006200100022006000800200018005800600160014005600400120054002001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132022-12-192023-02-072023-03-212023-08-162022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-302023-07-172023-08-012023-08-162023-08-312022-12-122023-05-292023-06-13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14000002000090000014000120000080000012000150007000001000000600000100008000005000008000100006000004000006000400000300000500020000040002000001000002000000000002022-09-192022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-12-012023-03-032023-06-012022-09-192022-12-012023-03-032023-06-012023-08-28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370017001650320016002700155015002200145014001700135012001300-1667-1250-833-41700041783312501667202309202310202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132022-12-192023-02-072023-03-212023-08-162022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012023-08-162023-08-312022-12-122023-05-29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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-09-192022-12-012023-03-032023-06-012023-08-282022-09-192022-12-012023-03-032023-06-012023-08-28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3700160015503200150027001450220014001700135012001300-1667-1250-833-41700041783312501667202309202310202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052023-01-032023-01-172023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132022-12-192023-02-072023-03-212023-08-162022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-072023-03-222023-04-072023-04-242023-05-122023-06-302023-07-172023-08-012023-08-162023-08-312022-12-122023-05-292023-06-13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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-09-192022-10-122022-10-282022-11-152022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-12-012023-03-032023-06-012022-12-012023-03-032023-06-01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27002050250020002300195021001900190018501700180015001750-1000-750-500-2500002505007501000202309202310202312202403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34001202400320010022002000300080280018006026001600240040140022002012001000200002022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-152023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-07-032023-07-132023-07-252023-08-042023-08-162023-08-282023-03-032023-03-272023-06-192023-09-072022-12-192022-12-302023-01-132023-02-022023-02-152023-06-012023-06-142023-06-292023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-19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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-192023-07-252023-08-072023-08-182023-08-312023-09-132023-06-012023-06-142023-06-292023-07-122022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-192023-07-252023-08-072023-08-182023-08-312023-09-132023-06-012023-06-142023-06-292023-07-12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176021002000174019001720180017001700168016001660150016401400162013001600-741-556-370-185000185370556741202309202310202312202403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290000080240028000007022002700000602000050260000180004025000016000301400240000020120023000001010002200000002022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-152023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-07-032023-07-132023-07-252023-08-042023-08-162023-08-282023-03-032023-03-272023-06-192023-09-072022-12-192022-12-302023-01-132023-02-022023-02-152023-06-012023-06-142023-06-292023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-19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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-192023-07-252023-08-072023-08-182023-08-312023-09-132022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-05-192023-07-252023-08-072023-08-182023-08-312023-09-132023-06-012023-06-142023-06-292023-07-122023-06-012023-06-142023-06-292023-07-12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210020002000190019001800170018001600170015001600140015001300140012001300110012001000-588-490-392-196000196392588784202309202310202311202312202403202406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