研究报告全文：期权周报I20239182023922低位震荡波动上升本周摘要金融期权方面50ETF期权上周日均成交量为20190万张较前周上升1262其中认沽期权成交量要低于认购期权认沽-认购成交比为086相对前周有所下降高于历史均值水平上周认沽认购持仓比为074较前周上升高于历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交11770万张日均持仓量19729万张沪深300股指期权日均成交622万手日均持仓量1751万手嘉实300ETF期权日均成交1826万张日均持仓量3617万张中证1000股指期权日均成交569万手日均持仓1079万手期权活跃度整体上升波动率方面截止上周五收盘沪深300股指期权隐含波动率1836较一周前上升21850ETF期权隐含波动率2058较一周前上升393中证1000股指期权隐含波动率1869较一周前上升185隐含波动率高于历史波动率期权定价偏高南华50ETF期权波动率指数是1820南华沪深300期权波动率指数是1946南华中证1000期权波动率指数是1931与前一周相比南华期权波动率指数下降上周市场探底回升整体反弹期权市场情绪谨慎本周商品期权总体周均成交情况较上周周度下降133其中按截止周五数据来看期权成交量相较上周上升幅度前列的品种分别为铝豆一PVC铜和花生期权期权成交量相较上周下降幅度前列的品种分别为黄金白银聚丙烯工业硅和PTA期权期权标的走势来看商品价格整体回落其中农产品能化黑色价格整体下跌金属价格涨跌互现周度来看多数商品期权隐含波动率上升其中农产品有色期权隐含波动率整体上升能化黑色期权隐含波动率互有涨跌南华研究院投资咨询业务资格证监许可20111290号样式名称周小舒投资咨询证号Z0014889请务必阅读正文之后的免责条款部分低位震荡波动上升期权周报I202391820239221市场横盘震荡11策略说明标的行情判断横盘震荡策略构建卖出IO2310-C-3850IO2310-P-365012策略表现回顾图11期权策略净值图194174154134114净值094202005062020060820200714202008182020101620201207202101112021022520210331202105062021060720210716202108182021092220211101202112022022010520220214202203242022042820220606202207072022082220221018202211182022122220230214202303172023042020230526202306302023080220230904资料来源南华研究13策略总体点评上周策略收益205请务必阅读正文之后的免责条款部分第1页低位震荡波动上升期权周报I202391820239222金融期权数据金融期权方面50ETF期权上周日均成交量为20190万张较前周上升1262其中认沽期权成交量要低于认购期权认沽-认购成交比为086相对前周有所下降高于历史均值水平上周认沽认购持仓比为074较前周上升高于历史均值沪深300期权方面华泰柏瑞300ETF期权成交活跃度最高日均成交11770万张日均持仓量19729万张沪深300股指期权日均成交622万手日均持仓量1751万手嘉实300ETF期权日均成交1826万张日均持仓量3617万张中证1000股指期权日均成交569万手日均持仓1079万手期权活跃度整体上升波动率方面截止上周五收盘沪深300股指期权隐含波动率1836较一周前上升21850ETF期权隐含波动率2058较一周前上升393中证1000股指期权隐含波动率1869较一周前上升185隐含波动率高于历史波动率期权定价偏高南华50ETF期权波动率指数是1820南华沪深300期权波动率指数是1946南华中证1000期权波动率指数是1931与前一周相比南华期权波动率指数下降上周市场探底回升整体反弹期权市场情绪谨慎图2150ETF期权成交持仓情况700000016600000014500000012400000013000000082000000100000006004222023622023822023118202132320215252021722202191720211212022328202253120227282022926202233120231124202111292022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第2页低位震荡波动上升期权周报I20239182023922图2250ETF期权隐含波动率与历史波动率50004500隐含波动率20日历史波动率40003500300025002000150010005004720227820221920236120235172021630202181220219282021221202252520228222022228202341320237182023830202311172021123020211012202211242022资料来源wind南华研究图23华泰柏瑞300ETF期权成交持仓情况5000000164500000144000000123500000300000012500000082000000061500000041000000500000020079202191202126202311820213182021517202111320212252022422202262120228122022126202233020235292023724202391420231227202110132022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第3页低位震荡波动上升期权周报I20239182023922图24华泰柏瑞300ETF期权隐含波动率与历史波动率45004000隐含波动率20日历史波动率3500300025002000150010005004720227820221920236120235172021630202181220219282021221202252520228222022228202341320237182023830202311172021123020211012202211242022资料来源wind南华研究图25嘉实300ETF期权成交持仓情况8000001870000016600000145000001214000000830000006200000041000000200762021682022582023118202131720215132021826202121620224122022729202292120221112023310202363020238222023102720211217202111182022成交量持仓量成交PCR右轴持仓PCR右轴资料来源wind南华研究请务必阅读正文之后的免责条款部分第4页低位震荡波动上升期权周报I20239182023922图26嘉实300ETF期权隐含波动率与历史波动率6500隐含波动率历史波动率550045003500250015005004720227820221920236120235172021630202181220219282021221202252520228222022228202341320237182023830202311172021123020211012202211242022资料来源wind南华研究图27沪深300股指期权成交持仓情况400000143500001230000012500000820000006150000100000045000002006420218520211520237162020915202012220213312021221202242520226292022829202211420223142023518202372020239192023112320201014202112142021成交量持仓量成交PCR持仓PCR资料来源wind南华研究请务必阅读正文之后的免责条款部分第5页低位震荡波动上升期权周报I20239182023922图28沪深300股指期权隐含波动率与历史波动率4500隐含波动率历史波动率40003500300025002000150010005004720227820221920236120235172021630202181220219282021221202252520228222022228202341320237182023830202311172021123020211012202211242022资料来源wind南华研究图29中证1000股指期权成交持仓情况350000163000001425000012120000008150000061000000450000020015202333202347202361202377202372220228152022831202291920221212022130202321520233212023425202351620236192023725202381020238282023913202310122022102820221115202212192022持仓量成交量成交PCR持仓PCR资料来源wind南华研究请务必阅读正文之后的免责条款部分第6页低位震荡波动上升期权周报I20239182023922图210中证1000股指华期权隐含波动率与历史波动率3500隐含波动率历史波动率3000250020001500100050000089202229202374202387202398202372220228252022913202292920221192022117202322720233152023331202341920235102023529202361420237202023823202310242022112520221213202212292022资料来源wind南华研究图211南华50ETF期权波动率指数4550VIX50ETF右轴45404353035253201525102501512202068202049202161202196202141202227202377202322720204162020728202091420201192020219202172020211122021214202252620227142022831202232720235182023824202312252020122020211026202212132022资料来源南华研究请务必阅读正文之后的免责条款部分第7页低位震荡波动上升期权周报I20239182023922图212南华沪深300股指期权波动率指数506000300VIX沪深300股指右轴45405500355000302545002015400010350050300047202093202023202179202175202259202321820205282020717202033020215212021826202112920211272022323202251720228222022122202212020233162023628202381520231223201910292020121620201022202110172022资料来源南华研究图213南华中证1000股指期权波动率指数351000VIX中证1000股指右轴75003070002520650015600010550050500088202297202213202329202362202376202387202396202372220228232022923202211120221212022118202322420233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