五矿经易期货金融期权周报2021年5月6日 星期四期权研究投资经理卢品先从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541【行情要点】日线上看，上证50ETF、沪300ETF、深300ETF，沪深300指数围绕20天均线弱势盘整震荡。截止周五收盘，上证50ETF下跌0.88%报收3.482；沪300ETF下跌0.87%报收5.128；深300ETF下跌0.85%报收5.115；沪深300指数下跌0.79%报收5123.49。 【期权盘面】上周ETF期权日均成交量小幅减少，而沪深300股指期权有所增加。其中上证50ETF期权5.57万张至243.09万张；沪300ETF期权减少12.83万张至197.58万张；深300ETF期权减少1.53万张至29.31万张；沪深300股指期权增加2.26万张至10.69万张。上周ETF期权日均持仓量大幅减少，沪深300股指期权小幅增加。其中上证50ETF期权减少27.90万张至287.81万张；沪300ETF期权减少16.66万张至196.34万张；深300ETF期权减少3.69万张至36.56万张；沪深300股指期权增加1.12万张至16.47万张。上周金融期权隐含波动在均线和上轨之间小幅波动。截止上周五，上证50ETF期权隐含波动率17.50%，沪300ETF期权隐含波动率为17.41%，深300ETF期权隐含波动率为18.23%，沪深300股指期权隐含波动率为17.82%。期权持仓量PCR为1.00时，一般认为是市场行情的多空分界线。截止上周五，金融期权持仓量PCR窄幅盘整，其中上证50ETF期权持仓量PCR报收于0.85，沪300ETF期权持仓量PCR报收于0.95，深300ETF期权持仓量PCR报收于0.67，沪深300股指期权持仓量PCR报收于0.69。·最大未平仓所在的行权价： 期权最大未平仓所在的行权价是站在卖方的角度分析市场行情的压力线和支撑线。截至上周五收盘，上证50ETF的压力线和支撑线分别为3.60和3.50；沪300ETF的压力线和支撑线分别为5.25和5.00；深300ETF的压力线和支撑线分别为5.25和5.00；沪深300指数的压力线和支撑线分别为5000和5000。【结论与操作建议】·操作建议： 市场行情逐渐形成弱势盘整震荡格局，上升有压力，此外，五一节假日期间，美国市场标普500下跌了0.83%，道琼斯工业指数上涨了0.57%，操作建议，市场行情延续弱势盘整震荡格局，构建动态的DELTA中性策略，根据市场行情变化，每变化半个行权价，则调整持仓，使得持仓保持中性。如50ETF期权，卖出5月合约认购期权平值3.50和虚一档3.60和卖出5月合约认沽期权平值3.50和3.40，即SC_2105_3.50@10，SC_2105_3.60@10和SP_2105_3.50@10，SP_2105_3.40@10。 【市场行情】收盘价涨跌涨跌幅(%)增减(万)3.4820-0.0320 -0.91 49.395.1280-0.0120 -0.23 -139.16 5.1150-0.0070 -0.14 -9.91 5,123.49-11.96 -0.23 0.08(亿)【期权量仓】CallPut合计变化CallPut合计变化131.02112.06243.09-5.57 160.44127.36287.81-27.90 106.9690.62197.58-12.83 98.7297.62196.34-16.66 15.8313.4829.31-1.53 21.7714.7936.56-3.69 6.524.1710.692.269.566.9116.471.12【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(%)3.5000.05580.07273.4831-0.0293 -0.83 5.2500.04550.17685.1187-0.0451 -0.87 5.0000.15510.05505.1001-0.0502 -0.97 5,100.0094.6081.405,113.20-46.00 -0.89 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16.6618.4817.5016.9318.2315.63152021-05-2614.9019.9517.4116.5318.0715.00152021-05-2615.9920.5618.2317.7719.3016.24152021-05-2616.2720.0017.8217.8419.1016.58122021-05-21【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963,077829,2720.860.11800,918684,6590.85-0.08 806,638796,4360.990.23547,653522,9340.95-0.12 136,275131,2940.960.23120,10880,9650.67-0.01 50,83436,3410.710.1452,52136,4170.69-0.03 数据来源：wind资讯，五矿经易期权事业部期权日行情概要期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称日均成交量(万)624.29388.47SH50ETFSH300ETF日均成交额(亿)84.421.3924(亿)上周日均总成交量（万张）上周日均总持仓量（万张）期权品种SH50ETFSH300ETFSZ300ETFHS300市场周行情概要升贴水21.7119.904.312,923.74SH50ETFSH300ETF期权标的SH300ETF0.0011-0.0093 -0.0149 -10.29 SZ300ETFHS300期权标的SZ300ETFHS300 图3: SZ300ETF走势图【标的价量关系】图4: 沪深300走势图图1: SH50ETF走势图图2 SH300ETF走势图3.4820 05001,0001,5002,0003.003.203.403.603.804.004.202020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-30SH50ETF成交量(万)收盘价5.1280 02004006008001,0001,2004.004.505.005.506.002020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-30SH300ETF成交量(万)收盘价5.1150 01002003004004.004.505.005.506.002020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-30SZ300ETF成交量(万)收盘价5,123.49 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-30HS300成交量(亿)收盘价 【SH50ETF期权持仓分布】【SH50ETF期权最大未平仓】【SH50ETF期权持仓量PCR】【SH50ETF期权隐含波动率】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 4.60 SH50ETF期权持仓分布图OI_POI_C-5,00005,00010,00015,00020,00025,00030,00035,00040,00045,0002.90 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 4.60 SH50ETF期权持仓变化