核心观点
　　今日各股指均窄幅震荡,小幅反弹。沪深两市成交额7165亿元,两市超2900只个股上涨，北向资金净买入18.03亿元。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，股指接近底部区域,回调的空间有限。消息面上,8月规上工业企业利润同比降幅有所缩减，央行三季度会例会报告强调加大宏观政策调控力度，市场情绪有所回暖。但是股指要形成趋势反转还需看到经济内生动能恢复或者资金流入股市的明确信号。目前国内房地产周期下行,海外高利率环境下外需走弱,需求端表现偏弱将抑制股票业绩修复预期。资金面,流入股市的增量资金较为有限，股市反弹的动能有所不足。总体来看,预计股指延续底部震荡。
　　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。临近长假，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27日金融期权假期临近可持有卖出宽跨式核心观点今日各股指均窄幅震荡小幅反弹沪深两市成交额7165亿元两市超2900只个股上涨北向资金净买入1803亿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接近底部区域回调的空间有限消息面上8月规上工业企业利润同比降幅有所缩减央行三季度会例会报告姓名龙奥明强调加大宏观政策调控力度市场情绪有所回暖但是股指要形成趋势反转还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宝城期货投资咨询部周期下行海外高利率环境下外需走弱需求端表现偏弱将抑制股票业绩修复预期资金面流入股市的增量资金较为有限股市反弹的动能有所不足总从业资格证号F3035632体来看预计股指延续底部震荡投资咨询证号Z0014648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临近长假可以继续持有卖出宽跨式策略赚取时间价值电话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27日50ETF涨046收于2604300ETF上交所涨027收于3778300ETF深交所涨029收于3847沪深300指数涨021收于370050中证1000指数涨063收于603406500ETF上交所涨043收于5784500ETF深交所涨044收于5903创业板ETF涨093收于1956深证100ETF涨053收于2649上证50指数涨027收于252014上证50ETF期权成交量PCR为8212上一交易日成交量PCR为8890持仓量PCR为6655上一交易日持仓量PCR为6591上交所3000ETF期权成交量PCR为7891上一交易日成交量PCR为8727持仓量PCR为6548上一交易日持仓量PCR为6625深交所300ETF期权成交量PCR为7962上一交易日成交量PCR为9872持仓量PCR为7260上一交易日持仓量PCR为6839沪深300指数期权成交量PCR为5518上一交易日成交量PCR为5925持仓量PCR为5557上一交易日持仓量PCR为5793中证1000指数期权成交量PCR为7875上一交易日成交量PCR为8256持仓量PCR为5644上一交易日持仓量PCR为6014上交所中证500ETF期权成交量PCR为11222上一交易日成交量PCR为13747持仓量PCR为9804上一交易日持仓量PCR为9501深交所中证500ETF期权成交量PCR为11469上一交易日成交量PCR为11975持仓量PCR为8636上一交易日持仓量PCR为8279创业板ETF期权成交量PCR为7106上一交易日成交量PCR为8594持仓量PCR为4993上一交易日持仓量PCR为4710深证100ETF期权成交量PCR为7540上一交易日成交量PCR为9288持仓量PCR为4708上一交易日持仓量PCR为4850上证50股指期权成交量PCR为6244上一交易日成交量PCR为5515持仓量PCR为5236上一交易日持仓量PCR为5431上证50ETF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1390上交所300ETF期权2023年10月平值期权隐含波动率为1539标的30交易日历史波动率为1397深交所300ETF期权2023年10月平值期权隐含波动率为1583标的30交易日历史波动率为1403沪深300指数期权2023年10月平值期权隐含波动率为1569标的30交易日历史波动率为1397中证1000指数期权2023年10月平值期权隐含波动率为1590标的30交易日历史波动率为1901上交所中证500ETF期权2023年10月平值期权隐含波动率为1464标的30交易日历史波动率为1566深交所中证500ETF期权2023年10月平值期权隐含波动率为1460标的30交易日历史波动率为1564创业板ETF期权2023年10月平值期权隐含波动率为1915标的30交易日历史波动率为1831深证100ETF期权2023年10月平值期权隐含波动率为1622标的30交易日历史波动率为1685上证50股指期权2023年10月平值期权隐含波动率为1591标的30交易日历史波动率为1397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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-03-022022-03-282022-04-252022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-01-172023-02-172023-03-152023-05-102023-06-052023-07-032023-07-272023-09-152022-01-282022-09-022023-04-112023-08-222022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-07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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-092022-03-102022-05-162022-06-152022-07-142022-08-122022-10-192022-11-172022-12-162023-01-172023-03-232023-04-242023-05-262023-06-282023-08-252023-09-252022-04-122022-09-132023-02-222023-07-272022-01-042022-02-092022-03-102022-05-162022-06-152022-08-122022-09-132022-10-192022-11-172023-01-172023-02-222023-04-242023-05-262023-06-282023-07-272023-09-252022-04-122022-07-142022-12-162023-03-232023-08-25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21001900200018001900180017001700160016001500150014001400130012001300-769-577-385-192000192385577769202309202310202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-08-092022-09-022022-09-292022-11-012022-12-212023-01-172023-03-152023-04-112023-05-102023-06-052023-07-272023-08-222022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-07-282022-09-152022-10-172022-11-092022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-06-282023-08-152023-09-072022-04-252022-07-142022-11-252023-02-172023-07-032023-09-152022-01-272022-05-172022-08-222022-12-022023-04-112023-07-21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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-01-042022-02-092022-03-102022-04-122022-05-162022-06-152022-07-142022-08-122022-09-132022-11-172022-12-162023-01-172023-02-222023-04-242023-05-262023-06-282023-07-272023-09-252022-10-192023-03-232023-08-252022-01-042022-02-092022-04-122022-05-162022-07-142022-08-122022-09-132022-10-192022-12-162023-01-172023-03-232023-04-242023-05-262023-06-282023-08-252023-09-252022-03-102022-06-152022-11-172023-02-222023-07-27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24001900220018002000170018001600160015001400140012001300-1053-789-526-2630002635267891053202309202310202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-07-282022-09-152022-10-172022-11-092022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-06-282023-08-152023-09-072022-01-272022-05-172022-08-222022-12-022023-04-112023-07-212022-01-042022-03-312022-04-292022-05-312022-07-252022-08-192022-09-162022-10-202022-12-132023-01-102023-02-132023-03-102023-05-092023-06-052023-07-042023-07-312023-09-212022-02-072022-03-042022-06-282022-11-162023-04-072023-08-25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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-082022-03-082022-04-072022-06-082022-07-062022-08-032022-09-292022-11-032022-12-292023-02-032023-03-032023-05-042023-06-012023-07-032023-07-312023-08-282023-09-252022-05-102022-08-312022-12-012023-03-312022-01-042022-03-082022-04-072022-05-102022-07-062022-08-032022-08-312022-11-032022-12-012022-12-292023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282023-09-252022-02-082022-06-082022-09-292023-02-032023-06-01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2400200018002200160014002000120018001000800160060014004002001200000-1053-789-526-2630002635267891053202309202310202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-02-282022-03-232022-04-192022-06-102022-07-052022-07-282022-09-152022-10-172022-11-092022-12-272023-01-202023-02-212023-03-162023-05-092023-06-012023-06-282023-08-152023-09-072022-01-272022-05-172022-08-222022-12-022023-04-112023-07-212022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-02-132023-08-252023-09-212023-03-102023-04-072023-05-092023-06-052023-07-042023-07-31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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-082022-03-082022-04-072022-06-082022-07-062022-08-032022-09-292022-11-032022-12-292023-02-032023-03-032023-05-042023-06-012023-07-032023-07-312023-08-282023-09-252022-05-102022-08-312022-12-012023-03-312022-01-042022-03-082022-04-072022-05-102022-07-062022-08-032022-08-312022-11-032022-12-012022-12-292023-03-032023-03-312023-05-042023-07-032023-07-312023-08-282023-09-252022-02-082022-06-082022-09-292023-02-032023-06-01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18001900175018001700170016501600160015001550140015001300-541-405-270-135000135270405541202310202311202312202403202406202409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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-08-092022-09-132022-10-242022-11-252022-12-292023-02-092023-03-152023-04-192023-05-262023-06-132023-07-032023-07-192023-08-042023-08-222023-09-072023-09-252022-07-222022-08-252022-09-292022-11-092022-12-132023-01-172023-02-272023-03-312023-05-102022-07-222022-08-112022-08-312022-10-182022-11-072022-11-252022-12-152023-01-052023-02-212023-03-132023-03-312023-04-212023-05-162023-06-272023-07-172023-08-042023-08-242023-09-132022-09-212023-02-012023-06-05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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-11-252022-12-152023-01-052023-02-012023-03-132023-03-312023-05-162023-06-052023-07-172023-08-042023-08-242023-09-132023-02-212023-04-212023-06-272022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-11-252023-01-052023-02-012023-03-132023-03-312023-05-162023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132022-12-152023-02-212023-04-21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66001400280064001200260024006200100022006000800200018005800600160014005600400120054002001000800520002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-302023-07-172023-08-012023-08-162023-09-152023-02-032023-04-072023-06-132023-08-312022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-04-072023-04-252023-05-162023-06-012023-06-192023-07-072023-07-252023-08-102023-09-132022-10-122023-03-212023-08-28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140000020000100000014000120000080000012000100000015000100008000006000008000100006000004000006000400000400050002000002000002000000000002022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-10-282023-03-032023-06-012023-08-282022-10-282023-03-032023-06-012023-08-28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28002000260019002400180022001700200016001800150016001400140012001300-1478-1304-870-43500043587013041739202309202310202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-132023-06-302023-07-172023-08-012023-08-162023-09-152023-02-032023-04-072023-08-312022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-04-072023-04-252023-05-162023-06-012023-06-192023-07-072023-07-252023-08-102023-09-132022-10-122023-03-212023-08-28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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-252023-05-162023-06-012023-06-192023-07-072023-07-252023-08-282022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-252023-05-162023-06-012023-06-192023-07-072023-07-252023-08-282022-09-192022-10-282023-03-032023-04-072023-08-102023-09-132022-09-192022-10-282023-03-032023-04-072023-08-102023-09-13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2800250026002000240022001500200018001000160050014001200000-1667-1250-833-41700041783312501667202309202310202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-122022-12-272023-01-122023-02-202023-03-072023-03-222023-04-242023-05-122023-05-292023-06-302023-07-172023-08-012023-08-162023-09-152023-02-032023-04-072023-06-132023-08-312022-09-192022-10-282022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-032023-04-072023-04-252023-05-162023-06-012023-06-192023-07-072023-07-252023-08-102023-09-132022-10-122023-03-212023-08-28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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-09-192022-10-122022-11-152022-12-012022-12-192023-01-052023-01-302023-02-152023-03-212023-04-072023-04-252023-05-162023-06-192023-07-072023-07-252023-08-102023-09-132022-10-282023-03-032023-06-012023-08-282022-10-282023-03-032023-06-012023-08-28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24002500230022002000210015002000190010001800170050016001500000-1026-769-513-2560002565137691026202309202310202312202403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34001202400320010022002000300080280018006026001600240040140022002012001000200002022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-152023-03-272023-04-072023-04-192023-05-042023-05-162023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-282023-09-192023-03-032023-05-262023-08-162023-09-072022-12-192022-12-302023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-05-082023-05-192023-06-142023-06-292023-07-122023-07-252023-08-072023-08-182023-09-132023-09-262023-01-132023-04-202023-06-012023-08-31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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192023-01-032023-01-172023-02-072023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-08-302023-09-132023-09-272023-03-212023-07-192022-12-192023-01-032023-01-172023-02-072023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-08-302023-09-132023-09-272023-03-212023-07-19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250020001900200018001500170016001000150014005001300000-755-566-377-189000189377566755202309202310202312202403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290000080240028000007022002700000602000050260000180004025000016000301400240000020120023000001010002200000002022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-152023-03-272023-04-072023-04-192023-05-042023-05-162023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-282023-09-192023-03-032023-05-262023-08-162023-09-072022-12-192022-12-302023-02-022023-02-152023-02-282023-03-132023-03-242023-04-072023-05-082023-05-192023-06-142023-06-292023-07-122023-07-252023-08-072023-08-182023-09-132023-09-262023-01-132023-04-202023-06-012023-08-31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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192023-01-032023-01-172023-02-072023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-08-302023-09-132023-09-272022-12-192023-01-032023-01-172023-02-072023-02-212023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-08-302023-09-132023-09-272023-03-212023-07-192023-03-212023-07-19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2000190019001800170018001600170015001600140015001300140012001300110012001000-500-400-300-200000200400600800202310202311202312202403202406202409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