今日各股指均震荡下跌。沪深两市成交额5790亿元。两市超4000只个股下跌下跌，北向资金净卖出43.3亿元。随着稳定市场预期的政策密集落地，加上股指估值处于历史低位，股指继续下跌的空间有限。但是目前国内房地产销售仍低迷,海外高通胀高利率环境下对商品的需求持续下行，内外需全面承压,抑制股票业绩修复预期。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，北向资金连续净卖出,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。
　　由于短期内股指呈现区间震荡走势，上行与下行空间均有限，可以继续持有卖出宽跨式策略，赚取时间价值。
　　

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21日金融期权情绪偏弱股指震荡下跌核心观点今日各股指均震荡下跌沪深两市成交额5790亿元两市超4000只个股下跌下跌北向资金净卖出433亿元随着稳定市场预期的政策密集落地加上股指估值处于历史低位股指继续下跌的空间有限但是目前国内房地产销售仍低迷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姓名龙奥明承压抑制股票业绩修复预期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连续净卖出流入股市的增量资金仍有限总体而宝城期货投资咨询部言预计股指短期内以区间震荡为主由于短期内股指呈现区间震荡走势上行与下行空间均有限可以继续从业资格证号F3035632持有卖出宽跨式策略赚取时间价值投资咨询证号Z0014648仅供参考不构成任何投资建议电话0571-87006873邮箱longaomingbcqhgscom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21日50ETF跌096收于2572300ETF上交所跌093收于3742300ETF深交所跌088收于3812沪深300指数跌090收于367244中证1000指数跌072收于593966500ETF上交所跌080收于5713500ETF深交所跌088收于5830创业板ETF跌098收于1917深证100ETF跌113收于2618上证50指数跌102收于249574上证50ETF期权成交量PCR为9464上一交易日成交量PCR为8786持仓量PCR为6232上一交易日持仓量PCR为6685上交所3000ETF期权成交量PCR为8230上一交易日成交量PCR为8901持仓量PCR为6639上一交易日持仓量PCR为6987深交所300ETF期权成交量PCR为10383上一交易日成交量PCR为8916持仓量PCR为7200上一交易日持仓量PCR为7348沪深300指数期权成交量PCR为7262上一交易日成交量PCR为6346持仓量PCR为5931上一交易日持仓量PCR为6194中证1000指数期权成交量PCR为9653上一交易日成交量PCR为8001持仓量PCR为6164上一交易日持仓量PCR为6342上交所中证500ETF期权成交量PCR为10901上一交易日成交量PCR为9490持仓量PCR为9009上一交易日持仓量PCR为9283深交所中证500ETF期权成交量PCR为10385上一交易日成交量PCR为11706持仓量PCR为9063上一交易日持仓量PCR为9221创业板ETF期权成交量PCR为8617上一交易日成交量PCR为6962持仓量PCR为4977上一交易日持仓量PCR为4961深证100ETF期权成交量PCR为11900上一交易日成交量PCR为7979持仓量PCR为5414上一交易日持仓量PCR为5029上证50股指期权成交量PCR为7356上一交易日成交量PCR为6811持仓量PCR为5752上一交易日持仓量PCR为5969上证50ETF期权2023年09月平值期权隐含波动率为1663标的30交易日历史波动率为1352上交所300ETF期权2023年09月平值期权隐含波动率为1646标的30交易日历史波动率为1400深交所300ETF期权2023年09月平值期权隐含波动率为1624标的30交易日历史波动率为1408沪深300指数期权2023年10月平值期权隐含波动率为1524标的30交易日历史波动率为1420中证1000指数期权2023年10月平值期权隐含波动率为1707标的30交易日历史波动率为1892上交所中证500ETF期权2023年09月平值期权隐含波动率为1625标的30交易日历史波动率为1572深交所中证500ETF期权2023年09月平值期权隐含波动率为1644标的30交易日历史波动率为1570创业板ETF期权2023年09月平值期权隐含波动率为1916标的30交易日历史波动率为1782深证100ETF期权2023年09月平值期权隐含波动率为1886标的30交易日历史波动率为1664上证50股指期权2023年10月平值期权隐含波动率为1540标的30交易日历史波动率为1382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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-03-022022-03-282022-04-252022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-04-112023-06-052023-07-032023-07-272023-09-152022-01-282022-05-242022-09-022023-05-102023-08-222022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072022-01-042022-12-022022-12-27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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-08-312022-09-292022-11-032022-12-012022-12-292023-03-032023-03-312023-05-042023-06-012023-07-032023-08-282022-01-042022-07-062022-08-032023-02-032023-07-312022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-11-032022-12-012022-12-292023-02-032023-03-032023-06-012023-07-032023-07-312023-08-282022-01-042022-02-082022-08-312022-09-292023-03-312023-05-04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260017501700240016502200160020001550180015001450160014001400135012001300-769-577-385-192000192385577769202309202310202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-01-282022-03-282022-04-252022-05-242022-07-142022-08-092022-09-022022-11-012022-11-252022-12-212023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072022-03-022022-06-202022-09-292023-01-172023-02-172023-06-052023-09-152022-01-042022-01-272022-02-282022-03-232023-02-212023-03-162023-04-11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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-02-082022-03-082022-04-072022-06-082022-07-062022-08-032022-08-312022-09-292022-12-012022-12-292023-02-032023-03-032023-03-312023-06-012023-07-032023-07-312023-08-282022-05-102022-11-032023-05-042022-01-042022-02-082022-03-082022-04-072022-05-102022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012023-03-032023-03-312023-05-042023-06-012023-07-032022-06-082022-12-292023-02-032023-07-312023-08-28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370017001650320016002700155015002200145014001700135012001300-1053-789-526-2630002635267891053202309202310202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072022-01-042022-01-272022-02-282022-03-232023-02-212023-03-162023-04-112022-01-042022-02-072022-04-292022-05-312022-06-282022-07-252022-09-162022-10-202022-11-162022-12-132023-02-132023-03-102023-04-072023-05-092023-07-312023-08-252023-09-212022-03-042022-03-312022-08-192023-01-102023-06-052023-07-04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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-08-032022-08-312022-09-292022-11-032022-12-292023-02-032023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282022-01-042022-07-062022-12-012023-06-012022-03-082022-04-072022-05-102022-06-082022-07-062022-08-312022-09-292022-11-032022-12-012022-12-292023-03-312023-05-042023-06-012023-07-032023-07-312022-01-042022-02-082022-08-032023-02-032023-03-032023-08-28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37001750170032001650270016002200155015001700145012001400-1053-789-526-2630002635267891053202309202310202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072022-01-042022-01-272022-02-282022-03-232023-02-212023-03-162023-04-112022-02-072022-03-042022-03-312022-04-292022-06-282022-07-252022-08-192022-09-162022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312023-09-212022-01-042022-05-312022-10-202022-11-162023-04-072023-08-25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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-08-032022-08-312022-09-292022-11-032022-12-292023-02-032023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282022-01-042022-07-062022-12-012023-06-012022-03-082022-04-072022-05-102022-06-082022-07-062022-08-312022-09-292022-11-032022-12-012022-12-292023-03-312023-05-042023-06-012023-07-032023-07-312022-01-042022-02-082022-08-032023-02-032023-03-032023-08-28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166017001640165016201600160015501580150015601450154014001520135015001300-541-405-270-135000135270405541202310202311202312202403202406202409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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-252022-09-132022-10-242022-11-092022-12-132022-12-292023-02-092023-02-272023-03-312023-04-192023-05-262023-06-132023-07-192023-08-042023-09-072022-08-092022-09-292022-11-252023-01-172023-03-152023-05-102023-07-032023-08-222022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-12-152023-01-052023-02-212023-03-132023-03-312023-04-212023-06-052023-06-272023-08-042023-08-242023-09-132022-11-252023-02-012023-05-162023-07-17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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-112022-08-312022-11-072022-11-252022-12-152023-01-052023-02-012023-02-212023-03-132023-03-312023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132022-09-212022-10-182023-04-212023-05-162022-07-222022-08-112022-08-312022-11-072022-11-252022-12-152023-01-052023-02-012023-02-212023-03-132023-03-312023-04-212023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132022-09-212022-10-182023-05-16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2000170019001600180017001500160014001500140013001300120012001100110010001000-667-500-333-167000167333500667202310202311202312202403202406202409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66001400280064001200260024006200100022006000800200018005800600160014005600400120054002001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-08-302023-09-132023-01-032023-05-222022-10-282022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-09-192022-10-122023-01-302023-06-01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140000020000100000014000120000080000012000100000015000100008000006000008000100006000004000006000400000400050002000002000002000000000002022-09-192022-10-122022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-252023-08-282022-09-192022-10-122022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-252023-08-282023-06-012023-07-072023-08-102023-09-132023-06-012023-07-072023-08-102023-09-13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520017004700165042001600370015503200150027001450220014001700135012001300-1478-1304-870-43500043587013041739202309202310202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-08-302023-09-132023-01-032023-05-222022-10-282022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-09-192022-10-122023-01-302023-06-01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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-09-192022-10-122022-11-152022-12-012022-12-192023-01-302023-02-152023-03-032023-03-212023-04-252023-05-162023-06-012023-07-072023-07-252023-08-102023-08-282023-09-132022-09-192022-10-122022-11-152022-12-012022-12-192023-01-302023-02-152023-03-032023-03-212023-04-252023-05-162023-06-012023-07-072023-07-252023-08-102023-08-282023-09-132022-10-282023-01-052023-04-072023-06-192022-10-282023-01-052023-04-072023-06-19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4700165042001600370015503200150027001450220014001700135012001300-1667-1250-833-41700041783312501667202309202310202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-102022-10-242022-11-072022-11-212022-12-052022-12-192023-01-172023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-08-302023-09-132023-01-032023-05-222022-10-282022-11-152022-12-012022-12-192023-01-052023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132022-09-192022-10-122023-01-302023-06-01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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-122022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-252023-08-282022-09-192022-10-122022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-05-162023-06-192023-07-252023-08-282023-06-012023-07-072023-08-102023-09-132023-06-012023-07-072023-08-102023-09-13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3500212033002100310029002080270020602500230020402100202019001700200015001980-1026-769-5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