核心观点
　　今日各股指均低开低走，单边下跌。权重板块大幅回调，白酒、银行、保险等板块领跌；当日北向资金大幅净卖出117.04亿元。消息面上，隔夜海外美债收益率大幅飙升至4.9%以上，美元强势抑制人民币资产风险偏好。另外某房地产企业海外债券面临违约风险，银行、保险板块承压下行。资金面，目前流入股市的增量资金较少，股指反弹动能偏弱。国内公募股票基金赚钱效应差，新发股票基金份额处于历年低位；海外美联储紧缩货币政策促使美元强势，压制人民币资产偏好，自8月以来北向资金连续净卖出，累计净卖出超1500亿元。宏观面,目前宏观经济需求端表现偏弱，抑制股票业绩修复预期。国内方面，房地产行业周期下行，内需恢复动能有所不足；海外方面，逆全球化背景以及海外高利率环境下中国出口下行压力大。总体来看，虽然股指估值位于历史低位，但股市投资者信心有所不足,预计短期内股指以震荡筑底为主。
　　由于短期内股指上行与下行空间均有限，平值期权的隐含波动率快速回升,可以卖出认沽期权策略赚取时间价值以及“低吸筹码”。
　　

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10月19日金融期权权重股大跌市场情绪偏弱核心观点今日各股指均低开低走单边下跌权重板块大幅回调白酒银行保险等板块领跌当日北向资金大幅净卖出11704亿元消息面上隔夜海外美债收益率大幅飙升至49以上美元强势抑制人民币资产风险偏好另外某房地产企业海外债券面临违约风险银行保险板块承压下姓名龙奥明行资金面目前流入股市的增量资金较少股指反弹动能偏弱国内公募股票基金赚钱效应差新发股票基金份额处于历年低位海外美联储紧缩货宝城期货投资咨询部币政策促使美元强势压制人民币资产偏好自8月以来北向资金连续净卖出累计净卖出超1500亿元宏观面目前宏观经济需求端表现偏弱抑制从业资格证号F3035632股票业绩修复预期国内方面房地产行业周期下行内需恢复动能有所不投资咨询证号Z0014648足海外方面逆全球化背景以及海外高利率环境下中国出口下行压力大总体来看虽然股指估值位于历史低位但股市投资者信心有所不足预计电话0571-87006873短期内股指以震荡筑底为主邮箱longaomingbcqhgscom由于短期内股指上行与下行空间均有限平值期权的隐含波动率快速回升可以卖出认沽期权策略赚取时间价值以及低吸筹码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10月19日50ETF跌271收于2474300ETF上交所跌209收于3600300ETF深交所跌203收于3669沪深300指数跌213收于353354中证1000指数跌110收于584289500ETF上交所跌116收于5561500ETF深交所跌099收于5686创业板ETF跌106收于1867深证100ETF跌199收于2512上证50指数跌265收于240193上证50ETF期权成交量PCR为8942上一交易日成交量PCR为7950持仓量PCR为5436上一交易日持仓量PCR为6357上交所3000ETF期权成交量PCR为10316上一交易日成交量PCR为9368持仓量PCR为6333上一交易日持仓量PCR为6954深交所300ETF期权成交量PCR为10721上一交易日成交量PCR为9663持仓量PCR为6557上一交易日持仓量PCR为6865沪深300指数期权成交量PCR为8187上一交易日成交量PCR为7536持仓量PCR为4804上一交易日持仓量PCR为5198中证1000指数期权成交量PCR为9604上一交易日成交量PCR为8587持仓量PCR为5664上一交易日持仓量PCR为5924上交所中证500ETF期权成交量PCR为12969上一交易日成交量PCR为10852持仓量PCR为8210上一交易日持仓量PCR为8538深交所中证500ETF期权成交量PCR为11848上一交易日成交量PCR为10034持仓量PCR为9180上一交易日持仓量PCR为9048创业板ETF期权成交量PCR为8338上一交易日成交量PCR为8446持仓量PCR为4955上一交易日持仓量PCR为4954深证100ETF期权成交量PCR为11052上一交易日成交量PCR为10061持仓量PCR为7591上一交易日持仓量PCR为7421上证50股指期权成交量PCR为9563上一交易日成交量PCR为6797持仓量PCR为4480上一交易日持仓量PCR为4967上证50ETF期权2023年10月平值期权隐含波动率为1877标的30交易日历史波动率为1248上交所300ETF期权2023年10月平值期权隐含波动率为1457标的30交易日历史波动率为1190深交所300ETF期权2023年10月平值期权隐含波动率为1484标的30交易日历史波动率为1194沪深300指数期权2023年11月平值期权隐含波动率为1754标的30交易日历史波动率为1327中证1000指数期权2023年11月平值期权隐含波动率为1776标的30交易日历史波动率为1401上交所中证500ETF期权2023年10月平值期权隐含波动率为1410标的30交易日历史波动率为1158深交所中证500ETF期权2023年10月平值期权隐含波动率为1404标的30交易日历史波动率为1155创业板ETF期权2023年10月平值期权隐含波动率为1897标的30交易日历史波动率为1467深证100ETF期权2023年10月平值期权隐含波动率为2044标的30交易日历史波动率为1366上证50股指期权2023年11月平值期权隐含波动率为1576标的30交易日历史波动率为1468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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-02-072022-03-042022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-02-132023-03-102023-04-072023-05-092023-07-042023-07-312023-08-252022-03-312023-06-052023-09-212022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-12-212023-01-172023-02-172023-03-152023-05-102023-06-052023-07-032023-07-272023-09-152023-10-192022-04-252022-09-022022-11-252023-04-112023-08-22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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-092022-03-102022-04-122022-05-162022-06-152022-07-142022-08-122022-09-132022-11-172022-12-162023-01-172023-03-232023-04-242023-05-262023-06-282023-07-272023-08-252023-09-252022-10-192023-02-222022-01-042022-02-092022-04-122022-05-162022-06-152022-08-122022-09-132022-10-192022-12-162023-01-172023-02-222023-05-262023-06-282023-07-272023-09-252022-03-102022-07-142022-11-172023-03-232023-04-242023-08-25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2800175026001700165024001600220015502000150018001450160014001400135012001300-784-588-392-196000196392588784202310202311202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-02-072022-03-042022-04-292022-05-312022-06-282022-08-192022-09-162022-10-202022-12-132023-01-102023-02-132023-04-072023-05-092023-06-052023-07-312023-08-252023-09-212022-01-042022-03-022022-03-282022-04-252022-05-242022-07-142022-08-092022-09-292022-11-252022-12-212023-02-172023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152022-03-312022-07-252022-11-162023-03-102023-07-042022-01-282022-06-202022-09-022022-11-012023-01-172023-03-152023-06-052023-10-19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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-02-092022-03-102022-04-122022-06-152022-07-142022-08-122022-09-132022-10-192022-11-172023-01-172023-02-222023-03-232023-05-262023-06-282023-07-272023-09-252022-01-042022-05-162022-12-162023-04-242023-08-252022-02-092022-03-102022-04-122022-06-152022-07-142022-08-122022-09-132022-11-172022-12-162023-01-172023-03-232023-04-242023-05-262023-07-272023-08-252023-09-252022-01-042022-05-162022-10-192023-02-222023-06-28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37001650160032001550270015002200145014001700135012001300-1081-811-541-2700002705418111081202310202311202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-042022-03-022022-03-282022-04-252022-05-242022-07-142022-08-092022-09-292022-11-252022-12-212023-02-172023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152022-01-282022-06-202022-09-022022-11-012023-01-172023-03-152023-06-052023-10-192022-02-072022-03-042022-04-292022-05-312022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-03-102023-04-072023-06-052023-07-042023-08-252023-09-212022-01-042022-03-312022-06-282023-02-132023-05-092023-07-31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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-09-292022-11-032022-12-012022-12-292023-03-032023-05-042023-06-012023-07-032023-07-312023-09-252022-02-082022-08-312023-02-032023-03-312023-08-282022-01-042022-02-082022-03-082022-04-072022-06-082022-07-062022-08-032022-08-312022-11-032022-12-292023-02-032023-03-312023-06-012023-07-032023-08-282022-05-102022-09-292022-12-012023-03-032023-05-042023-07-312023-09-25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32001750300017002800165026002400160022001550200015001800145016001400140012001350-1081-811-541-2700002705418111081202310202311202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-03-022022-03-282022-04-252022-05-242022-07-142022-08-092022-09-292022-11-252022-12-212023-02-172023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152022-01-282022-06-202022-09-022022-11-012023-01-172023-03-152023-06-052023-10-192022-01-042022-02-072022-03-312022-04-292022-05-312022-06-282022-09-162022-10-202022-11-162023-02-132023-03-102023-04-072023-07-042023-07-312023-08-252022-03-042022-07-252022-08-192022-12-132023-01-102023-05-092023-06-052023-09-21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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-03-082022-04-072022-05-102022-06-082022-07-062022-08-032022-09-292022-11-032022-12-012022-12-292023-03-032023-05-042023-06-012023-07-032023-07-312023-09-252022-02-082022-08-312023-02-032023-03-312023-08-282022-01-042022-02-082022-03-082022-04-072022-06-082022-07-062022-08-032022-08-312022-11-032022-12-292023-02-032023-03-312023-06-012023-07-032023-08-282022-05-102022-09-292022-12-012023-03-032023-05-042023-07-312023-09-25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170019001680166018001640170016201600160015801560150015401400152015001300-556-417-278-139000139278417556202310202311202312202403202406202409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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-102022-09-162022-10-122022-10-312022-11-172022-12-062022-12-232023-02-072023-02-242023-03-152023-04-032023-04-212023-06-202023-07-112023-07-282023-08-162023-09-042023-10-182022-08-292023-01-122023-05-152023-06-012023-09-212022-07-222022-08-112022-08-312022-09-212022-10-182022-11-072022-12-152023-01-052023-02-012023-02-212023-03-132023-03-312023-06-052023-06-272023-07-172023-08-042023-08-242023-09-132022-11-252023-04-212023-05-162023-10-11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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-122022-09-262022-10-242022-11-142022-12-052022-12-262023-01-172023-02-142023-03-072023-04-192023-05-152023-06-052023-07-192023-08-092023-08-302023-10-192022-09-022023-03-282023-06-282023-09-202022-07-222022-08-122022-09-262022-10-242022-11-142022-12-262023-01-172023-02-142023-03-072023-03-282023-04-192023-05-152023-06-052023-07-192023-08-092023-08-302023-10-192022-09-022022-12-052023-06-282023-09-20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18002000190017001800160017001500160014001500130014001300120012001100110010001000-678-508-339-169000169339508678202310202311202312202403202406202409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660014002800640012002600620024001000220060008002000580018006001600560014005400400120052002001000800500002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-05-292023-06-302023-07-172023-08-012023-08-162023-09-152023-10-102022-12-122023-03-072023-06-132023-08-312022-09-192022-10-122022-10-282022-11-152022-12-012023-01-052023-01-302023-02-152023-03-032023-03-212023-05-162023-06-012023-06-192023-07-072023-07-252023-09-132023-10-092022-12-192023-04-072023-04-252023-08-102023-08-28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140000020000100000014000120000080000012000100000015000100008000006000008000100006000004000006000400000400050002000002000002000000000002022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-12-072023-05-162023-10-192022-12-072023-05-162023-10-19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4700150042001480146037001440320014201400270013802200136013401700132012001300-1478-1304-870-43500043587013041739202310202311202312202403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68002502800660026006400200240022006200150200060001800100160058001400560050120054001000800520002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-05-292023-06-302023-07-172023-08-012023-08-162023-09-152023-10-102022-12-122023-03-072023-06-132023-08-312022-09-192022-10-122022-10-282022-11-152022-12-012023-01-052023-01-302023-02-152023-03-032023-03-212023-05-162023-06-012023-06-192023-07-072023-07-252023-09-132023-10-092022-12-192023-04-072023-04-252023-08-102023-08-28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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-09-192022-10-132022-11-012022-11-182023-03-162023-04-042023-04-242023-05-162023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222023-10-192022-09-192022-10-132022-11-012022-11-182023-03-162023-04-042023-04-242023-05-162023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222023-10-192022-12-072022-12-262023-01-132023-02-082023-02-272022-12-072022-12-262023-01-132023-02-082023-02-27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47001480146042001440370014201400320013802700136013402200132017001300128012001260-1478-1304-870-43500043587013041739202310202311202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-112022-10-262022-11-102022-11-252022-12-272023-01-122023-02-032023-02-202023-03-222023-04-072023-04-242023-05-122023-05-292023-06-302023-07-172023-08-012023-08-162023-09-152023-10-102022-12-122023-03-072023-06-132023-08-312022-09-192022-10-122022-10-282022-11-152022-12-012023-01-052023-01-302023-02-152023-03-032023-03-212023-05-162023-06-012023-06-192023-07-072023-07-252023-09-132023-10-092022-12-192023-04-072023-04-252023-08-102023-08-28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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-12-072023-05-162023-10-192022-12-072023-05-162023-10-19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400020003500195030001900250018502000180015001750-1053-789-526-2630002635267891053202310202311202312202403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34001202400320010022002000300080280018006026001600240040140022002012001000200002022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-09-262022-12-192023-02-022023-05-192023-06-292023-10-172022-12-192023-01-032023-01-172023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192023-02-072023-05-222023-07-192023-08-30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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192023-01-032023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132023-10-192023-01-172023-08-162023-09-272022-12-192023-01-032023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132023-10-192023-01-172023-08-162023-09-27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18502500230018002100175019001700170016501500160013001550-784-588-392-196000196392588784202310202311202312202403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290000080240028000007022002700000602000260000050180025000004016002400000301400230000020120022000001010002100000002022-12-302023-01-132023-02-152023-02-282023-03-132023-03-242023-04-072023-04-202023-05-082023-06-012023-06-142023-07-122023-07-252023-08-072023-08-182023-08-312023-09-132023-09-262022-12-192023-02-022023-05-192023-06-292023-10-172022-12-192023-01-032023-01-172023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192023-02-072023-05-222023-07-192023-08-30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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192023-01-032023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132023-10-192022-12-192023-01-032023-02-072023-02-212023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-302023-09-132023-10-192023-01-172023-08-162023-09-272023-01-172023-08-162023-09-27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1800180017001700160016001500150014001300140012001300110012001000-404-303-202-101000101303505707202310202311202312202403202406202409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