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22日金融期权情绪企稳回暖股指触底反弹核心观点今日各股指均单边上行大幅收涨沪深两市成交额7655亿元两市超4600只个股上涨北向资金净买入7492亿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由于目前接近底部区域市场情绪企稳股指容易触底回升不过要形成趋势反转还姓名龙奥明需看到经济内生动能恢复或者资金流入股市的明确信号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宝城期货投资咨询部压抑制股票业绩修复预期加上流入股市的增量资金有限股市向上反弹的动能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投资咨询证号Z0014648持有卖出宽跨式策略赚取时间价值电话0571-87006873仅供参考不构成任何投资建议邮箱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22日50ETF涨241收于2634300ETF上交所涨200收于3817300ETF深交所涨189收于3884沪深300指数涨181收于373893中证1000指数涨194收于605493500ETF上交所涨172收于5811500ETF深交所涨172收于5930创业板ETF涨245收于1964深证100ETF涨202收于2671上证50指数涨221收于255098上证50ETF期权成交量PCR为8600上一交易日成交量PCR为9464持仓量PCR为7426上一交易日持仓量PCR为6232上交所3000ETF期权成交量PCR为8298上一交易日成交量PCR为8230持仓量PCR为7353上一交易日持仓量PCR为6639深交所300ETF期权成交量PCR为9939上一交易日成交量PCR为10383持仓量PCR为7578上一交易日持仓量PCR为6992沪深300指数期权成交量PCR为6312上一交易日成交量PCR为7262持仓量PCR为5910上一交易日持仓量PCR为5931中证1000指数期权成交量PCR为8434上一交易日成交量PCR为9653持仓量PCR为6198上一交易日持仓量PCR为6164上交所中证500ETF期权成交量PCR为9159上一交易日成交量PCR为10901持仓量PCR为9705上一交易日持仓量PCR为9009深交所中证500ETF期权成交量PCR为8442上一交易日成交量PCR为10385持仓量PCR为9353上一交易日持仓量PCR为8998创业板ETF期权成交量PCR为7453上一交易日成交量PCR为8617持仓量PCR为5582上一交易日持仓量PCR为4767深证100ETF期权成交量PCR为8354上一交易日成交量PCR为11900持仓量PCR为5942上一交易日持仓量PCR为5113上证50股指期权成交量PCR为5941上一交易日成交量PCR为7356持仓量PCR为5810上一交易日持仓量PCR为5752上证50ETF期权2023年10月平值期权隐含波动率为1663标的30交易日历史波动率为1374上交所300ETF期权2023年10月平值期权隐含波动率为1549标的30交易日历史波动率为1407深交所300ETF期权2023年10月平值期权隐含波动率为1570标的30交易日历史波动率为1415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10月平值期权隐含波动率为1625标的30交易日历史波动率为1574深交所中证500ETF期权2023年10月平值期权隐含波动率为1490标的30交易日历史波动率为1572创业板ETF期权2023年10月平值期权隐含波动率为2151标的30交易日历史波动率为1772深证100ETF期权2023年10月平值期权隐含波动率为1886标的30交易日历史波动率为1672上证50股指期权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3420003500321800160030003140028120025001000268002000246004001500222002010002022-01-042022-01-282022-03-022022-03-282022-04-252022-05-242022-06-202022-07-142022-08-092022-09-022022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032023-07-272023-08-222023-09-152022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-07-212023-08-152023-09-072022-01-042022-07-052022-12-272023-06-28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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312022-01-042023-08-282022-01-042022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032023-03-312023-05-042023-06-012023-07-032023-07-312023-08-282022-12-012022-12-292023-02-032023-03-03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240027002200250023002000210018001900160017001400150012001300000000000000000000000000000202309202310202312202403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5130003500492500473000200045250043150020004110003915003750035010002022-01-042022-01-282022-03-022022-03-282022-04-252022-05-242022-06-202022-07-142022-08-092022-09-022022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-04-112023-05-102023-06-052023-07-032023-07-272023-08-222023-09-152022-01-042022-01-272022-02-282022-03-232022-04-192022-07-052022-07-282022-08-222022-09-152022-10-172022-12-272023-01-202023-02-212023-03-162023-04-112023-06-012023-06-282023-07-212023-08-152023-09-072022-05-172022-06-102022-11-092022-12-022023-05-09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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-08-282022-08-032022-08-312022-09-292022-11-032022-01-042022-02-082022-03-082022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-05-042023-06-012022-04-072022-05-102022-06-082022-07-062023-07-032023-07-312023-08-28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240027002200250023002000210018001900160017001400150012001300000000000000000000000000000202309202310202312202403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51006003500490050047003000400450025004300300200041002003900150037001003500010002022-01-042022-01-272022-02-282022-03-232022-04-192022-07-052022-07-282022-08-222022-09-152022-10-172022-12-272023-01-202023-02-212023-03-162023-04-112023-06-012023-06-282023-07-212023-08-152023-09-072022-05-172022-06-102022-11-092022-12-022023-05-092022-01-042022-03-042022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-11-162023-01-102023-03-102023-04-072023-05-092023-06-052023-07-042023-07-312023-09-212022-02-072022-03-312022-10-202022-12-132023-02-132023-08-25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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-07-312023-08-282022-01-042023-05-042023-06-012023-07-032022-01-042022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292023-02-032023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-08-282022-11-032022-12-012022-12-29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2400100090220008007020000601800050040160003014000200101200000000000000000000000000000000202309202310202312202403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5100003003500490000250470000300020045000025004300001502000410000100390000150037000005035000000010002022-01-042022-01-272022-02-282022-03-232022-04-192022-07-052022-07-282022-08-222022-09-152022-10-172022-12-272023-01-202023-02-212023-03-162023-04-112023-06-012023-06-282023-07-212023-08-152023-09-072022-05-172022-06-102022-11-092022-12-022023-05-092022-02-072022-03-312022-04-292022-06-282022-08-192022-09-162022-10-202022-11-162023-01-102023-02-132023-03-102023-04-072023-06-052023-07-312023-08-252023-09-212022-01-042022-03-042022-05-312022-07-252022-12-132023-05-092023-07-04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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292022-11-032022-12-012022-12-292023-02-032023-03-032023-03-312023-07-312023-08-282022-01-042023-05-042023-06-012023-07-032022-01-042022-02-082022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-09-292023-02-032023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-08-282022-11-032022-12-012022-12-29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31002700290025002700230025002100230019002100190017001700150015001300NANANA000000000000000000202310202311202312202403202406202409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750000250300028007000002002600240065000015022002000600000100180016005500000501400120010005000000002022-07-222022-08-092022-09-132022-09-292022-10-242022-11-092022-11-252023-01-172023-02-092023-02-272023-03-152023-03-312023-05-102023-05-262023-06-132023-07-032023-07-192023-08-042023-09-072022-08-252022-12-132022-12-292023-04-192023-08-222022-07-222022-08-112022-08-312022-10-182022-11-252023-01-052023-02-012023-02-212023-03-132023-03-312023-04-212023-05-162023-06-052023-06-272023-07-172023-08-242022-09-212022-11-072022-12-152023-08-042023-09-13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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-11-252022-12-152023-03-132023-03-312023-04-212023-05-162023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132023-01-052023-02-012023-02-212022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-11-252022-12-152023-02-212023-03-132023-03-312023-04-212023-05-162023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132023-01-052023-02-01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2000200019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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3400120220032001002000300080180028006016002600140024004012002200201000200002022-12-192023-01-302023-02-092023-02-212023-03-032023-03-152023-03-272023-04-072023-04-192023-05-262023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-162023-08-282022-12-292023-01-112023-05-042023-05-162023-09-072023-09-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-142023-06-292023-07-122023-07-252023-08-072023-08-312023-09-132022-12-192023-03-132023-06-012023-08-18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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-03-132023-06-292022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-03-132023-06-29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10027000902500080230007006021000501900040170003015000200101300000000000000000000000000000000202309202310202312202403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3000000802200250000070200006018002000000501500000401600100000030140002012005000001010000000002022-12-192023-01-302023-02-092023-02-212023-03-032023-03-152023-03-272023-04-072023-04-192023-05-262023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-162023-08-282022-12-292023-01-112023-05-042023-05-162023-09-072023-09-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-142023-06-292023-07-122023-07-252023-08-072023-08-312023-09-132022-12-192023-03-132023-06-012023-08-18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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-03-242023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-03-132023-06-292023-03-132023-06-29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240020001900220018001700200016001800150014001600130014001200110012001000NANANA000000000000000000202310202311202312202403202406202409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