研究报告全文：金融期权日报期权研究2023年9月22日星期五行情回顾日内分时行情金融期权上证50ETF日内行情低开震荡下行后于窄幅区间盘整临近收盘缓慢下跌上证300ETF日内行情低开后先升后降之后窄幅盘整创业板ETF日内行情低开后缓慢震荡下行中证1000指数日内行情低开后先升卢品先后降午后震荡上行后又再次回落临近收盘窄幅波动投研经理日K线上看上证50ETF前期超跌反弹遇阻回落后在空头压力下窄幅盘整震荡上证300ETF前期超跌反弹近一周震荡0755-23375252上行后遇阻回落上周以来持续弱势下行昨日跌破今年以来的最低点市场行情整体偏弱势创业板ETF前期自低点弱势反弹后窄幅盘整近两周在空头压力下持续下行中证1000指数近一个月以来沿着空头趋势方向加速下跌跌破去lupxwkqhcn年12月以来低点弱势反弹回暖后宽幅盘整本周缓慢下行市场行情整体偏弱势截至收盘上证50ETF跌幅096报从业资格号收于2592上证300ETF跌幅093报收于3742创业板ETF跌幅098报收于1917中证1000指数跌幅072报收于F3047321593966交易咨询号期权分析隐含波动率金融期权隐含波动率不同程度地上升其中上证50ETF期权隐含波动率报收于1861121上Z0015541证300ETF期权隐含波动率报收于1784100创业板ETF期权隐含波动率报收于2239008中证1000股指期权隐含波动率报收于1974104常俊萍成交额PCR期权的成交额PCR是看跌期权成交金额与看涨期权成交金额的比值代表投资者资金投向是市场情绪更直接的体现成交额PCR与标的行情往往表现为反方向比值越大表明空头压力越大比值越小表明多头力量越强期权研究员截止收盘上证50ETF期权成交额PCR报收于142038上证300ETF期权成交额PCR报收于178025创业板changjpwkqhcnETF期权成交额PCR报收于213064中证1000股指期权成交额PCR报收于148039从业资格号持仓量PCR期权的持仓量PCR是从期权的卖方角度分析市场的参与程度期权持仓量PCR为100时一般认为是F03117406市场行情的多空分界线截止收盘上证50ETF期权持仓量PCR在较低位置盘整报收于054-006上证300ETF期权持仓量PCR窄幅盘整报收于059-006创业板ETF期权持仓量PCR延续前期震荡下行趋势报收于044-001中证1000股指期权持仓量PCR大幅上涨后连续回落报收于072-005最大未平仓所在的行权价期权最大未平仓所在的行权价是站在卖方的角度分析市场行情所在的压力线和支撑线截至收盘从期权卖方行权价的角度看上证50ETF的压力点行权价维持在265上证300ETF的压力点行权价维持在39支撑点行权价维持在37创业板ETF的压力点行权价维持在205中证1000指数的压力点行权价维持在6200结论与策略建议1上证50ETF期权方向上上证50ETF近两周窄幅盘整在上方有压力的弱势偏空头市场行情格局下短期偏中性波动上期权隐含波动率围绕下轨道线窄幅波动后缓慢上行达到上轨道线策略建议构建9月份卖出看涨看跌期权偏中性组合策略获取时间价值收益根据市场行情变化动态地调整持仓delta使得持仓保持中性若市场行情快速大涨或大跌则平仓离场如上证50ETF期权即S510050P2309M0250010S51005P2309M0255010和S510050C2309M0260010S510050C230M02650102上证300ETF期权方向上上证300ETF回暖乏力前两周持续缓慢下行后窄幅震荡昨日跌破今年以来的最低点整体表现为偏弱势的市场行情形态波动上期权隐含波动率围绕下轨道线小幅震荡后缓慢上行策略建议构建9月份看涨看跌偏中性的期权组合策略获取时间价值收益若市场行情快速大涨或大跌则逐渐平仓离场如上证300ETF期权即S510300P2309M0360010S510300P2309M0370010和S510300C2309M0380010S510300C2309M03900103创业板ETF期权方向上创业板ETF前期反弹回暖后受阻窄幅盘整近两周持续缓慢下行短期市场情绪弱势偏空波动上创业板ETF期权隐含波动率小幅盘整后突破历史平均水平上行策略建议构建看涨看跌期权偏中性的组合策略获取时间价值收益若市场行情快速上涨或下跌突破损益平衡点则平仓离场如CYBETF期权S159915P2309M0180010S159915P2309M0185010和S159915C2309M0200010S159915C2309M02050104中证1000股指期权方向上中证1000指数前两周在空头压力下宽幅盘整本周以来缓慢下行市场情绪弱势偏空波动上中证1000股指期权隐含波动率大幅波动半个月后上行突破历史平均水平策略建议构建熊市价差期权组合策略获取方向性收益和时间价值收益若市场行情快速上升突破损益平衡点则平仓离场如ZZ1000股指期权BMO2309-P-580010SMO2309-P-570010和SMO2309-C-610010BMO2309-C-620010235市场行情标的简称合约代码收盘价涨跌涨跌幅成交量万成交额亿SH50ETF510050SH25720-00250-096636131641SH300ETF510300SH37420-00350-093899203378SH500ETF510500SH57130-00460-080283291624CYBETF159915SZ19170-00190-098559421077SZ100ETF159901SZ26180-00300-1133764099ZZ1000000852SH593966-4289-072997095107167当月合成期权期权标的平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水SH50ETF26000034900124262250023309000505SH300ETF38000058300138384450061616301025SH500ETF5750003260066757159-00514-08900029CYBETF19500028500115196700030015500500SZ100ETF26500035600169266870021208000507ZZ100060000013620910060452053200891055362当月期权隐含波动率期权标的IMP-CIMP-PIMP-TMA20UPLOW剩余天数到期日SH50ETF18531867186117381881159562023-09-27SH300ETF18311732178416721821152362023-09-27SH500ETF17781704174016841849152062023-09-27CYBETF23722086223921452285200562023-09-27SZ100ETF21861937205118501992170762023-09-27ZZ1000197119771974180420251583292023-10-20当月期权量仓期权标的额-Call额-Put额-PCR变化仓-Call仓-Put仓-PCR变化SH50ETF14894212001420381098753593797054-006SH300ETF1109319723178025699384409541059-006SH500ETF735315281208050215804201993094-004CYBETF558411896213064575908250826044-001SZ100ETF84118562210638565541913049001ZZ100016402243541480392844420470072-005数据来源wind五矿期货期权事业部标的价量关系图1SH50ETF走势图280成交量万收盘价2000275175027015002651250257202601000255750250500245250240020230321202303242023032920230403202304072023041220230417202304202023042520230428202305082023051120230516202305192023052420230529202306012023060620230609202306142023061920230626202306292023070420230707202307122023071720230720202307252023072820230802202308072023081020230815202308182023082320230828202308312023090520230908202309132023091820230921图2SH300ETF走势图4203000成交量万收盘价27004102400400210018003901500120037420380900370600300360020230321202303242023032920230403202304072023041220230417202304202023042520230428202305082023051120230516202305192023052420230529202306012023060620230609202306142023061920230626202306292023070420230707202307122023071720230720202307252023072820230802202308072023081020230815202308182023082320230828202308312023090520230908202309132023091820230921图3CYBETF走势图2402000成交量万收盘价23015002202101000200500190180020230321202303242023032920230403202304072023041220230417202304202023042520230428202305082023051120230516202305192023052420230529202306012023060620230609202306142023061920230626202306292023070420230707202307122023071720230720202307252023072820230802202308072023081020230815202308182023082320230828202308312023090520230908202309132023091820230921图4中证1000走势图7200250成交量亿收盘价700020068006600150640010062005060005800020230321202303242023032920230403202304072023041220230417202304202023042520230428202305082023051120230516202305192023052420230529202306012023060620230609202306142023061920230626202306292023070420230707202307122023071720230720202307252023072820230802202308072023081020230815202308182023082320230828202308312023090520230908202309132023091820230921SH50ETF期权持仓分布SH50ETF期权持仓分布图SH50ETF期权持仓变化图20000010000180000500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