【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.42900.03000.88510300.SH5.02500.02600.52159919.SZ5.01200.02800.56000300.SH5,023.0630.640.61【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(%)3.4000.06620.03163.43460.03130.925.0000.08260.05625.02640.02740.555.0000.07530.06505.01030.02650.535,000.0068.6052.605,016.0026.400.53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17.9616.4717.3217.1318.4015.85112021-05-2616.5417.8217.1616.7918.3515.23112021-05-2617.6518.5418.0617.8819.3916.37112021-05-2616.4019.6117.9018.2219.0417.3982021-05-21【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1,109,286831,2040.75-0.00 1,089,947772,9430.710.07920,015859,9760.930.03719,337543,1360.760.03157,389131,3370.83-0.19 157,91489,8040.570.0149,73243,2880.870.0455,63035,3010.630.01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5月12日 星期三期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)489.61397.93SH50ETFSH300ETF成交额(亿)64.341.52(亿)【行情要点】报收5.025；深300ETF上涨0.56%报收5.012；沪深300指数上涨0.61%报收5023.06。【期权盘面】17.32%，沪300ETF期权上涨0.07%至17.16%，深300ETF期权下跌0.12%至18.06%，沪深300股指期权下跌0.52%至18.22%。权持仓量PCR小幅下跌，截止收盘，上证50ETF期权持仓量PCR报收于0.71，沪300ETF期权持仓量PCR报收0.76，深300ETF期权持仓量PCR报收0.57，沪深300股指期权持仓量PCR报收于0.63。和支撑线。截至收盘，上证50ETF的压力线为3.50和支撑线为3.40；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】值，若市场行情快速反弹一个行权价，则平仓离场，如50ETF，SC_2105_3.50@10和SC_2105_3.60@10。SH50ETFSH300ETF期权标的SH300ETF0.00560.0014-0.0017 -7.06 SZ300ETFHS300期权标的升贴水16.6519.863.202,709.32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】3.4290 02004006008001,0001,2001,4003.203.403.603.804.004.202020/11/022020/11/052020/11/102020/11/132020/11/182020/11/232020/11/262020/12/012020/12/042020/12/092020/12/142020/12/172020/12/222020/12/252020/12/302021/01/052021/01/082021/01/132021/01/182021/01/212021/01/262021/01/292021/02/032021/02/082021/02/182021/02/232021/02/262021/03/032021/03/082021/03/112021/03/162021/03/192021/03/242021/03/292021/04/012021/04/072021/04/122021/04/152021/04/202021/04/232021/04/282021/05/062021/05/11成交量(万)收盘价5.0250 02004006008001,0001,2004.004.505.005.506.002020/11/022020/11/052020/11/102020/11/132020/11/182020/11/232020/11/262020/12/012020/12/042020/12/092020/12/142020/12/172020/12/222020/12/252020/12/302021/01/052021/01/082021/01/132021/01/182021/01/212021/01/262021/01/292021/02/032021/02/082021/02/182021/02/232021/02/262021/03/032021/03/082021/03/112021/03/162021/03/192021/03/242021/03/292021/04/012021/04/072021/04/122021/04/152021/04/202021/04/232021/04/282021/05/062021/05/11成交量(万)收盘价5.0120 0501001502002503003504004.004.505.005.506.002020/11/022020/11/052020/11/102020/11/132020/11/182020/11/232020/11/262020/12/012020/12/042020/12/092020/12/142020/12/172020/12/222020/12/252020/12/302021/01/052021/01/082021/01/132021/01/182021/01/212021/01/262021/01/292021/02/032021/02/082021/02/182021/02/232021/02/262021/03/032021/03/082021/03/112021/03/162021/03/192021/03/242021/03/292021/04/012021/04/072021/04/122021/04/152021/04/202021/04/232021/04/282021/05/062021/05/11成交量(万)收盘价5,023.06 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020/11/022020/11/052020/11/102020/11/132020/11/182020/11/232020/11/262020/12/012020/12/042020/12/092020/12/142020/12/172020/12/222020/12/252020/12/302021/01/052021/01/082021/01/132021/01/182021/01/212021/01/262021/01/292021/02/032021/02/082021/02/182021/02/232021/02/262021/03/032021/03/082021/03/112021/03/162021/03/192021/03/242021/03/292021/04/012021/04/072021/04/122021/04/152021/04/202021/04/232021/04/282021/05/062021/05/11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】050,000100,000150,000200,000250,000300,000350,000400,0002.90 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-20,000-10,000010,00020,00030,00040,00050,0002.90 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_C3.03.23.43.63.84.04.22020/11/232020/11/262020/12/012020/12/042020/12/092020/12/142020/12/172020/12/222020/12/252020/12/302021/01/052021/01/082021/01/132021/01/182021/01/212021/01/262021/01/292021/02/032021/02/082021/02/182021/02/232021/02/262021/03/032021/03/082021/03/112021/03/162021/03/192021/03/242021/03/292021/04/012021/04/072021/04/122021/04/152021/04/202021/04/232021/04/282021/05/062021/05/11SH50ETF 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3.4290 0.000.200.400.600.801.001.201.402.52.72.93.13.33.53.73.94.12020/11/022020/11/122020/11/242020/12/042020/12/162020/12/282021/01/082021/01/202021/02/012021/02/182021/03/022021/03/122021/03/242021/04/062021/04/162021/04/28CLOSEOI_PCR10152025302020/11/022020/11/102020/11/182020/11/262020/12/042020/12/142020/12/222020/12/302021/01/082021/01/182021/01/262021/02/032021/02/182021/02/262021/03/082021/03/162021/03/242021/04/012021/04/122021/04/202021/04/282021/05/11IMPVMA20UPLOW 【SH300ETF期权持仓分布】【SH300ETF期权最大未平仓】【SH300ETF期权持仓量PCR】【SH300ETF期权隐含波动率】050,000100,