【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.4580-0.0560 -1.59 510300.SH5.0760-0.0640 -1.25 159919.SZ5.0580-0.0640 -1.25 000300.SH5,077.24-58.22 -1.13 【当月合成期权】平值期权权利金C权利金P合成价格涨跌涨跌幅(%)3.5000.00670.05103.4557-0.0556 -1.58 5.0000.07630.01115.0652-0.0719 -1.40 5.0000.06500.01555.0495-0.0635 -1.24 5,100.0073.60129.605,044.00-76.00 -1.48 注：平值是以当月call与put权利金相减最小为基准；平值合成期权升贴水=(平值+call权利金-pu权利金)-标的价格【当月期权隐含波动率】IMP-CIMP-PIMP-TMA20UPLOW剩余天数到期日17.2024.4320.5717.0218.3115.7322021-04-289.4529.6118.4616.7918.2215.3522021-04-2815.5028.3721.3217.9519.4916.4122021-04-2815.6522.4018.0418.0519.4316.66162021-05-21【当月期权量仓】量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化1,098,079959,7730.870.06839,004548,9850.65-0.10 678,733548,1120.81-0.12 416,977390,5830.94-0.04 109,23390,3110.83-0.16 105,60588,5650.84-0.09 70,92339,0050.55-0.02 50,15736,9580.74-0.00 数据来源：wind，五矿经易期权事业部SZ300ETFHS300五矿经易期货金融期权日报2021年4月27日 星期二期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)730.60538.06SH50ETFSH300ETF成交额(亿)110.531.51(亿)【行情要点】盘，上证50ETF下跌1.59%报收3.458；沪300ETF下跌1.25%报收5.076；深300ETF下跌1.25%报收5.058；沪深300指数下跌1.13%报收5077.24。【期权盘面】至20.57%，沪300ETF期权上涨6.13%至18.46%，深300ETF期权上升7.06%至21.32%，沪深300股指期权下跌0.16%至18.04%。权持仓量PCR小幅变化，截止收盘，上证50ETF期权持仓量PCR报收于0.79，沪300ETF期权持仓量PCR报收1.04，深300ETF期权持仓量PCR报收0.88，沪深300股指期权持仓量PCR报收于0.72。和支撑线。截至收盘，上证50ETF的压力线下移一个行权价至3.50和支撑线为3.50；沪300ETF的压力线为5.25，支撑线为5.00；深300ETF的压力线为5.25，支撑线为5.00；沪深300指数的压力线为5000，支撑线为5000。【结论与操作建议】场行情变化，动态的调整持仓DELTA，如50ETF，SC_2105_3.50@10，SP_2105_3.50@10和SC_2105_3.60@10，SP_2105_3.30@10。SH50ETFSH300ETF期权标的SH300ETF-0.0023 -0.0108 -0.0085 -33.24 SZ300ETFHS300期权标的升贴水25.5227.625.643,257.60卢品先投资经理从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541 图3: SZ300ETF走势图图1: SH50ETF走势图图2 SH300ETF走势图图4: 沪深300走势图【标的价量关系】3.4580 02004006008001,0001,2001,4003.203.403.603.804.004.202020-10-212020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-26成交量(万)收盘价5.0760 02004006008001,0001,2004.004.505.005.506.002020-10-212020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-26成交量(万)收盘价5.0580 0501001502002503003504004.004.505.005.506.002020-10-212020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-26成交量(万)收盘价5,077.24 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020-10-212020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-26成交量(亿)收盘价 【SH50ETF期权持仓量PCR】【SH50ETF期权隐含波动率】【SH50ETF期权持仓分布】【SH50ETF期权最大未平仓】050,000100,000150,000200,000250,0002.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 3.90 4.00 4.10 4.20 4.30 4.40 4.50 SH50ETF期权持仓分布图OI_POI_C-60,000-40,000-20,000020,00040,00060,0002.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 3.90 4.00 4.10 4.20 4.30 4.40 4.50 SH50ETF期权持仓变化图OI CHANGE_POI CHANGE_C3.03.23.43.63.84.04.22020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-26SH50ETF 认购、认沽合约最大持仓量所在的行权价ETF期权到期日收盘价C最大持仓P最大持仓3.4580 0.000.200.400.600.801.001.201.402.52.72.93.13.33.53.73.94.12020-10-212020-11-022020-11-122020-11-242020-12-042020-12-162020-12-282021-01-082021-01-202021-02-012021-02-182021-03-022021-03-122021-03-242021-04-062021-04-16CLOSEOI_PCR10152025302020-10-212020-10-292020-11-062020-11-162020-11-242020-12-022020-12-102020-12-182020-12-282021-01-062021-01-142021-01-222021-02-012021-02-092021-02-242021-03-042021-03-122021-03-222021-03-302021-04-082021-04-162021-04-26IM