【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.4440-0.0380 -1.09 510300.SH5.0610-0.0670 -1.31 159919.SZ5.0450-0.0700 -1.37 000300.SH5,061.12-62.36 -1.22 【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(%)3.4000.08060.03563.4450-0.0381 -1.09 5.0000.11220.05605.0562-0.0625 -1.22 5.0000.10740.06335.0441-0.0560 -1.10 5,100.0054.00104.005,050.00-63.20 -1.24 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17.2718.2717.7317.0018.3015.69142021-05-2616.3919.3017.8316.6218.1815.07142021-05-2617.5219.1818.3117.8019.3316.26142021-05-2617.3120.4318.6417.9219.1816.65112021-05-21【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1,126,193970,6670.860.00964,361721,4370.75-0.11 818,158802,1560.98-0.01 600,758516,6530.86-0.09 148,664134,4740.90-0.06 127,42287,1020.680.0149,73137,0920.750.0356,28235,9850.64-0.05 数据来源：wind，五矿经易期权事业部升贴水23.1020.734.193,232.58卢品先投资经理从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541SH50ETFSH300ETF期权标的SH300ETF0.0010-0.0048 -0.0009 -11.12 SZ300ETFHS300期权标的五矿经易期货金融期权日报2021年5月7日 星期五期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)665.84407.57SH50ETFSH300ETF成交额(亿)82.401.59(亿)【行情要点】证50ETF下跌1.09%报收3.444；沪300ETF下跌1.31%报收5.061；深300ETF下跌1.37%报收5.045；沪深300指数下跌1.22%报收5061.12。【期权盘面】17.73%，沪300ETF期权上涨0.42%至17.83%，深300ETF期权上涨0.08%至18.31%，沪深300股指期权上涨0.82%至18.64%。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0.75，沪300ETF期权持仓量PCR报收0.86，深300ETF期权持仓量PCR报收0.68，沪深300股指期权持仓量PCR报收于0.64。和支撑线。截至收盘，上证50ETF的压力线为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】变化，动态的调整持仓DELTA，如50ETF，SC_2105_3.50@10，SP_2105_3.40@10和SC_2105_3.60@10，SP_2105_3.30@10。SZ300ETFHS300 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】3.4440 02004006008001,0001,2001,4003.203.403.603.804.004.202020-10-282020-11-022020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-06成交量(万)收盘价5.0610 02004006008001,0001,2004.004.505.005.506.002020-10-282020-11-022020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-06成交量(万)收盘价5.0450 0501001502002503003504004.004.505.005.506.002020-10-282020-11-022020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-06成交量(万)收盘价5,061.12 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020-10-282020-11-022020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-06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】050,000100,000150,000200,000250,000300,0002.90 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-10,000010,00020,00030,00040,00050,00060,00070,0002.90 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_C3.03.23.43.63.84.04.22020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-06SH50ETF 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3.4440 0.000.200.400.600.801.001.201.402.52.72.93.13.33.53.73.94.12020-10-282020-11-092020-11-192020-12-012020-12-112020-12-232021-01-052021-01-152021-01-272021-02-082021-02-252021-03-092021-03-192021-03-312021-04-132021-04-23CLOSEOI_PCR10152025302020-10-282020-11-052020-11-132020-11-232020-12-012020-12-092020-12-172020-12-252021-01-052021-01-132021-01-212021-01-292021-02-082021-02-232021-03-032021-03-112021-03-192021-03-292021-04-072021-04-152021-04-232021-05-06IM