今日各股指均震荡整理,小幅下跌。沪深两市成交额7317亿元,两市超3600只个股下跌，北向资金净卖出16.46亿元。消息面，近期市场利率有所上升，银行利差压力较大，结合周一的MLF利率维持不变，因此10月LPR利率维持不变，符合市场预期。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,北向资金连续净卖出，8月累计净卖出超1600亿元。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外需持续下行。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20日金融期权市场信心不足股指震荡整理核心观点今日各股指均震荡整理小幅下跌沪深两市成交额7317亿元两市超3600只个股下跌北向资金净卖出1646亿元消息面近期市场利率有所上升银行利差压力较大结合周一的MLF利率维持不变因此10月LPR利率维持不变符合市场预期资金面目前流入股市的增量资金较姓名龙奥明少股指反弹动能偏弱国内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宝城期货投资咨询部北向资金连续净卖出8月累计净卖出超1600亿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从业资格证号F3035632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投资咨询证号Z0014648下外需持续下行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电话0571-87006873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邮箱longaomingbcqhgscom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20日50ETF跌057收于2460300ETF上交所跌050收于3582300ETF深交所跌071收于3643沪深300指数跌065收于351059中证1000指数跌117收于577432500ETF上交所跌068收于5523500ETF深交所跌067收于5648创业板ETF跌091收于1850深证100ETF跌076收于2493上证50指数跌053收于238922上证50ETF期权成交量PCR为10001上一交易日成交量PCR为8942持仓量PCR为5223上一交易日持仓量PCR为5436上交所3000ETF期权成交量PCR为10168上一交易日成交量PCR为10316持仓量PCR为6247上一交易日持仓量PCR为6333深交所300ETF期权成交量PCR为8475上一交易日成交量PCR为10721持仓量PCR为6060上一交易日持仓量PCR为6124沪深300指数期权成交量PCR为8511上一交易日成交量PCR为8187持仓量PCR为5025上一交易日持仓量PCR为4804中证1000指数期权成交量PCR为12050上一交易日成交量PCR为9604持仓量PCR为5743上一交易日持仓量PCR为5664上交所中证500ETF期权成交量PCR为11912上一交易日成交量PCR为12969持仓量PCR为7780上一交易日持仓量PCR为8210深交所中证500ETF期权成交量PCR为10712上一交易日成交量PCR为11848持仓量PCR为9201上一交易日持仓量PCR为9193创业板ETF期权成交量PCR为8177上一交易日成交量PCR为8338持仓量PCR为5106上一交易日持仓量PCR为4727深证100ETF期权成交量PCR为9122上一交易日成交量PCR为11052持仓量PCR为6519上一交易日持仓量PCR为6945上证50股指期权成交量PCR为9375上一交易日成交量PCR为9563持仓量PCR为4920上一交易日持仓量PCR为4480上证50ETF期权2023年11月平值期权隐含波动率为1877标的30交易日历史波动率为1462上交所300ETF期权2023年11月平值期权隐含波动率为1839标的30交易日历史波动率为1322深交所300ETF期权2023年11月平值期权隐含波动率为1840标的30交易日历史波动率为1325沪深300指数期权2023年11月平值期权隐含波动率为1785标的30交易日历史波动率为1328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1427上交所中证500ETF期权2023年11月平值期权隐含波动率为1655标的30交易日历史波动率为1187深交所中证500ETF期权2023年11月平值期权隐含波动率为1608标的30交易日历史波动率为1184创业板ETF期权2023年11月平值期权隐含波动率为2216标的30交易日历史波动率为1493深证100ETF期权2023年11月平值期权隐含波动率为2044标的30交易日历史波动率为1454上证50股指期权2023年11月平值期权隐含波动率为1845标的30交易日历史波动率为1469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34200055003218005000160045003140040002812003500100026800300024600250040020002220015002010002022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-06-052023-07-042023-07-312023-08-252023-09-212023-02-132023-03-102023-04-072023-05-092022-01-042022-03-022022-03-282022-04-252022-05-242022-07-142022-08-092022-09-022022-09-292022-11-252022-12-212023-01-172023-02-172023-04-112023-05-102023-06-052023-07-032023-07-272023-08-222023-10-192022-01-282022-06-202022-11-012023-03-152023-09-15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700000014000400000016000600000012000350000014000500000010000300000012000400000080002500000100002000000800030000006000150000060002000000400010000004000100000020005000002000000000002022-01-042022-02-092022-03-102022-04-122022-05-162022-08-122022-09-132022-10-192022-11-172022-12-162023-01-172023-02-222023-03-232023-04-242023-05-262023-08-252023-09-252022-06-152022-07-142023-06-282023-07-272022-01-042022-02-092022-03-102022-04-122022-05-162022-06-152022-07-142022-08-122023-01-172023-02-222023-03-232023-04-242023-05-262023-06-282023-07-272023-08-252023-09-252022-09-132022-10-192022-11-172022-12-16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3200200030001900280026001800240017002200200016001800150016001400140012001300-816-612-408-204000204408612816202310202311202312202403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5130005000492500450047400045200035004315003000411000250039200037500150035010002022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-11-162022-12-132023-01-102023-02-132023-03-102023-04-072023-05-092023-06-052022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152023-07-042023-07-312023-08-252023-09-212022-04-252022-09-022023-01-172023-06-052023-10-19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50000001400030000001600040000001200025000001400012000100002000000300000080001000015000008000200000060006000400010000001000000400020005000002000000000002022-03-102022-04-122022-05-162022-06-152022-07-142022-08-122022-09-132022-10-192022-11-172023-03-232023-04-242023-05-262023-06-282023-07-272023-08-252023-09-252022-01-042022-02-092022-12-162023-01-172023-02-222022-05-162022-06-152022-07-142022-08-122022-09-132022-10-192022-11-172022-12-162023-01-172023-02-222023-03-232023-04-242023-05-262022-01-042022-02-092022-03-102022-04-122023-06-282023-07-272023-08-252023-09-25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42001900370018003200170027001600220015001700140012001300-1111-833-556-2780002785568331111202310202311202312202403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51006005000490050045004700400040045003500430030030004100200250039002000370010015003500010002022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152022-04-252022-09-022023-01-172023-06-052023-10-192022-02-072022-03-312022-04-292022-05-312022-06-282022-07-252022-08-192022-09-162022-10-202022-12-132023-02-132023-04-072023-06-052023-07-042023-07-312023-08-252023-09-212022-01-042022-03-042022-11-162023-01-102023-03-102023-05-09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8000002000050000016000700000140006000001500040000012000500000300000100004000001000080003000002000006000200000500010000040001000002000000000002022-01-042022-02-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-11-032022-12-012022-12-292023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-09-252022-03-082022-09-292023-02-032023-08-282022-01-042022-02-082022-04-072022-05-102022-06-082022-08-032022-08-312022-09-292022-12-012022-12-292023-02-032023-03-312023-05-042023-06-012023-08-282023-09-252022-03-082022-07-062022-11-032023-03-032023-07-032023-07-31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4200200018003700160014003200120027001000800220060017004002001200000-1081-811-541-2700002705418111081202310202311202312202403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51000030040004900002503500470000450000200300043000015025004100001002000390000370000050150035000000010002022-01-042022-01-282022-03-022022-03-282022-05-242022-06-202022-07-142022-08-092022-09-292022-11-012022-11-252022-12-212023-02-172023-03-152023-04-112023-05-102023-07-032023-07-272023-08-222023-09-152022-04-252022-09-022023-01-172023-06-052023-10-192022-01-042022-02-072022-03-042022-03-312022-04-292022-05-312022-06-282022-07-252022-12-132023-01-102023-02-132023-03-102023-04-072023-05-092023-06-052023-07-042023-07-312023-08-252023-09-212022-08-192022-09-162022-10-202022-11-16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4000001200030000014000350000100002500001200030000080002000001000025000080002000006000150000600015000040001000001000004000500002000500002000000000002022-01-042022-02-082022-04-072022-05-102022-06-082022-07-062022-08-032022-08-312022-11-032022-12-012022-12-292023-03-032023-03-312023-05-042023-06-012023-07-032023-07-312023-09-252022-03-082022-09-292023-02-032023-08-282022-01-042022-02-082022-04-072022-05-102022-06-082022-08-032022-08-312022-09-292022-12-012022-12-292023-02-032023-03-312023-05-042023-06-012023-08-282023-09-252022-03-082022-07-062022-11-032023-03-032023-07-032023-07-31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2000270019502500190018502300180021001750170019001650170016001500155015001300-563-423-282-141000141282423563202310202311202312202403202406202409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7500002503500700000200300065000015025006000001002000550000050150010005000000002022-07-222022-08-102022-08-292022-09-162022-10-122022-10-312022-11-172022-12-062022-12-232023-01-122023-02-072023-04-032023-04-212023-05-152023-06-012023-06-202023-07-112023-07-282023-08-162023-09-042023-09-212023-10-182023-02-242023-03-152022-07-222022-09-212022-10-182022-11-072022-11-252022-12-152023-01-052023-02-212023-03-132023-03-312023-04-212023-05-162023-06-052023-06-272023-08-042023-08-242023-09-132023-10-112022-08-112022-08-312023-02-012023-07-17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18000016000160000140001600001400014000012000140000120001200001000012000010000010000010000800080008000080000600060000600060000400004000400004000200002000200002000000000002022-07-222022-08-122022-09-022022-09-262022-10-242022-11-142022-12-052022-12-262023-01-172023-02-142023-03-282023-05-152023-06-052023-06-282023-07-192023-08-092023-08-302023-09-202023-10-192023-03-072023-04-192022-07-222022-09-022022-09-262022-10-242022-11-142022-12-052022-12-262023-01-172023-02-142023-03-282023-05-152023-06-052023-06-282023-07-192023-08-092023-08-302023-09-202023-10-192022-08-122023-03-072023-04-19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22002800260020002400180022002000160018001400160014001200120010001000-690-517-345-172000172345517690202310202311202312202403202406202409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660014002800640012002600620024001000220060008002000580018006001600560014005400400120052002001000800500002022-09-192022-10-112022-10-262022-11-102022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012023-08-312023-09-152023-10-102022-11-252023-02-202023-05-292023-08-162022-09-192022-10-122022-10-282022-11-152022-12-012023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132023-10-092022-12-192023-01-052023-05-162023-06-01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140000020000100000014000120000080000012000100000015000100008000006000008000100006000004000006000400000400050002000002000002000000000002022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-12-072023-02-082023-05-162023-10-192022-12-072023-02-082023-05-162023-10-19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4700180042001750170037001650320016001550270015002200145014001700135012001300-1273-1091-909-45500045590913641818202310202311202312202403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680025028006600260064002002400620022001502000600018005800100160056001400540012005010005200800500002022-09-192022-10-112022-10-262022-11-102022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012023-08-312023-09-152023-10-102022-11-252023-02-202023-05-292023-08-162022-09-192022-10-122022-10-282022-11-152022-12-012023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132023-10-092022-12-192023-01-052023-05-162023-06-01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350000200003000002000030000025000015000150002500002000002000001000015000010000150000100000100000500050005000050000000000002022-09-192022-11-182022-12-072022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-05-162023-07-122023-07-312023-08-172023-09-052023-09-222023-10-192022-09-192022-11-182022-12-072022-12-262023-01-132023-02-082023-02-272023-03-162023-04-042023-04-242023-05-162023-07-122023-07-312023-08-172023-09-052023-09-222023-10-192022-10-132022-11-012023-06-022023-06-212022-10-132022-11-012023-06-022023-06-21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470017001650420016003700155032001500270014501400220013501700130012001250-1478-1304-870-43500043587013041739202310202311202312202403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270020003500250030001500230025002100100020001900500150017001000150002022-09-192022-10-112022-10-262022-11-102022-12-122022-12-272023-01-122023-02-032023-03-072023-03-222023-04-072023-04-242023-05-122023-06-132023-06-302023-07-172023-08-012023-08-312023-09-152023-10-102022-11-252023-02-202023-05-292023-08-162022-09-192022-10-122022-10-282022-11-152022-12-012023-01-302023-02-152023-03-032023-03-212023-04-072023-04-252023-06-192023-07-072023-07-252023-08-102023-08-282023-09-132023-10-092022-12-192023-01-052023-05-162023-06-01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18000001400016000002000016000001200014000001400000100001200000150001200000100000010000008000800000100008000006000600000600000400000400040000050002000002000200000000000002022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-09-192022-10-132022-11-012022-11-182022-12-262023-01-132023-02-272023-03-162023-04-042023-04-242023-06-022023-06-212023-07-122023-07-312023-08-172023-09-052023-09-222022-12-072023-02-082023-05-162023-10-192022-12-072023-02-082023-05-162023-10-19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4000230022003500210030002000250019002000180015001700-1081-811-541-2700002705418111081202310202311202312202403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34001202400320010022002000300080280018006026001600240040140022002012001000200002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-252023-08-072023-08-182023-08-312023-09-132023-09-262023-03-132023-03-242023-06-292023-07-122023-10-172023-01-032023-02-072023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-08-302023-09-132023-09-272023-10-192022-12-192023-01-172023-02-212023-03-21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250000160002500001200014000200000120002000001000015000010000150000800080006000100000100000600040005000040005000020002000000000002022-12-192023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192023-01-032023-02-212023-07-192023-08-302022-12-192023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192023-01-032023-02-212023-07-192023-08-30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250033003100290020002700250015002300210010001900170050015001300000-800-600-400-200000200400600800202310202311202312202403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290000080240028000007022002700000602000260000050180025000004016002400000301400230000020120022000001010002100000002022-12-192022-12-302023-01-132023-02-022023-02-152023-02-282023-04-072023-04-202023-05-082023-05-192023-06-012023-06-142023-07-252023-08-072023-08-182023-08-312023-09-132023-09-262023-03-132023-03-242023-06-292023-07-122023-10-172023-01-032023-02-072023-03-072023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-07-192023-08-022023-08-162023-08-302023-09-132023-09-272023-10-192022-12-192023-01-172023-02-212023-03-21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1600001200014000014000140000100001200001200012000010000010000100000800080000800080000600060000600060000400040000400004000200002000200002000000000002022-12-192023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192022-12-192023-01-172023-02-072023-03-072023-03-212023-04-042023-04-192023-05-082023-05-222023-06-052023-06-192023-07-052023-08-022023-08-162023-09-132023-09-272023-10-192023-01-032023-02-212023-07-192023-08-302023-01-032023-02-212023-07-192023-08-30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2000280019002600240018002200170020001600180015001600140014001300120012001000-417-313-208-104000104208313417202310202311202312202403202406202409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