【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.44200.01300.38510300.SH5.05600.03100.62159919.SZ5.03700.02500.50000300.SH5,044.5521.490.43【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(%)3.4000.07050.02713.44340.00880.265.0000.09930.04495.05440.02800.565.0000.09080.05325.03760.02730.545,000.0082.2039.205,043.0027.000.54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16.2417.2116.6517.1318.4115.85102021-05-2615.7518.6517.1216.8118.3615.25102021-05-2617.1918.9718.0517.9119.4116.40102021-05-2617.8018.9818.3118.3019.0417.5672021-05-21【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820,816609,9560.74-0.01 1,069,005784,8660.730.03762,382681,2750.89-0.04 669,916558,3500.830.08118,703110,0070.930.09150,40789,3750.590.0341,61532,4780.78-0.09 53,89835,2630.650.02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13日 星期四期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)318.19253.97SH50ETFSH300ETF成交额(亿)40.361.27(亿)【行情要点】盘，上证50ETF上涨0.38%报收3.442；沪300ETF上涨0.62%报收5.056；深300ETF上涨0.50%报收5.037；沪深300指数上涨0.43%报收5044.55。。【期权盘面】16.65%，沪300ETF期权下跌0.03%至17.12%，深300ETF期权下跌0.01%至18.05%，沪深300股指期权上涨0.42%至18.31%。融期权持仓量PCR逐渐回升，截止收盘，上证50ETF期权持仓量PCR报收于0.73，沪300ETF期权持仓量PCR报收0.83，深300ETF期权持仓量PCR报收0.59，沪深300股指期权持仓量PCR报收于0.65。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】有卖出看涨期权组合策略，获取时间价值，若市场行情快速反弹半个行权价，则平仓离场，如50ETF，SC_2105_3.50@10和SC_2105_3.60@10。SH50ETFSH300ETF期权标的SH300ETF0.0014-0.0016 0.0006-1.55 SZ300ETFHS300期权标的升贴水10.9312.782.022,283.44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】3.4420 02004006008001,0001,2001,4003.203.403.603.804.004.202020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价5.0560 02004006008001,0001,2004.004.505.005.506.002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价5.0370 0501001502002503003504004.004.505.005.506.002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价5,044.55 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12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-12,000-10,000-8,000-6,000-4,000-2,00002,0004,0006,0008,00010,0002.90 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_C3.03.23.43.63.84.04.22020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12SH50ETF 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3.4420 0.000.200.400.600.801.001.201.402.52.72.93.13.33.53.73.94.12020-11-032020-11-132020-11-252020-12-072020-12-172020-12-292021-01-112021-01-212021-02-022021-02-192021-03-032021-03-152021-03-252021-04-072021-04-192021-04-29CLOSEOI_PCR10152025302020-11-032020-11-112020-11-192020-11-272020-12-072020-12-152020-12-232020-12-312021-01-112021-01-192021-01-272021-02-042021-02-192021-03-012021-03-092021-03-172021-03-252021-04-022021-04-132021-04-212021-04-292021-05-12IMPVMA20UPLOW 【