【行情要点】日线上看，上周市场行情止跌反弹回升，再次进入宽幅矩形区间。截止周五收盘，上证50ETF上涨2.67%报收3.498；沪300ETF上涨2.52%报收5.127；深300ETF上涨2.39%报收5.108；沪深300指数上涨2.36%报收5110.59。 【期权盘面】上周金融期权日均成交量普遍增加。其中上证50ETF期权增加2.21万张至236.49万张；沪300ETF期权增加20.61万张至210.10万张；深300ETF期权增加0.11万张至33.38万张；沪深300股指期权增加0.63万张至12.88万张。上周金融期权日均持仓量持续增加。其中上证50ETF期权增加29.29万张至316.02万张；沪300ETF期权增加22.67万张至211.62万张；深300ETF期权增加4.20万张至39.35万张；沪深300股指期权增加1.32万张至19.48万张。上周金融期权隐含波动继续小幅波动。截止上周五，上证50ETF期权隐含波动率17.09%，沪300ETF期权隐含波动率为16.67%，深300ETF期权隐含波动率为17.81%，沪深300股指期权隐含波动率为18.32%。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大举反弹回升，其中上证50ETF期权持仓量PCR报收于0.94，沪300ETF期权持仓量PCR报收于1.03，深300ETF期权持仓量PCR报收于0.72，沪深300股指期权持仓量PCR报收于0.67。·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3.50和3.40；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5200和5000。【结论与操作建议】·操作建议： 50ETF在五一节假日后一周连续下跌，上周以来止跌反弹回升，上周五更是大幅上涨，修复节后下跌的幅度，站上20天均线而上有55天均线压力且压力均线仍为负值。操作建议，构建动态的DELTA中性策略，根据市场行情变化，动态的调整持仓DELTA，使得持仓保持中性。如50ETF期权，卖出5月合约虚一档的认购期权和认沽期权同时卖出5月份合约的认购和认沽的平值期权构成的组合策略，即SC_2105_3.60@10，SP_2105_3.40@10和SC_2105_3.50@10，SP_2105_3.50@10。卢品先从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541五矿经易期货金融期权周报2021年5月17日 星期一期权研究投资经理 【市场行情】收盘价涨跌涨跌幅(%)增减(万)3.49800.09902.91-1,086.00 5.12700.12702.54-502.64 5.10800.12002.41-127.45 5,110.59114.542.29-0.17(亿)【期权量仓】CallPut合计变化CallPut合计变化134.12102.37236.492.21178.92137.10316.0229.29110.3499.76210.1020.61114.2897.34211.6222.6717.8015.5933.380.1124.3415.0239.364.207.425.4612.880.6311.797.7019.481.32【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(%)3.5000.04540.04133.50410.09112.675.2500.02450.14595.12860.12812.565.0000.13620.02565.11060.12352.485,100.0062.2043.005,119.20124.602.49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17.8216.6817.3517.0918.3515.8382021-05-2616.0418.1816.9816.6718.1215.2282021-05-2618.0118.7518.3217.8119.2616.3682021-05-2620.0418.0719.2918.3218.8017.8452021-05-21【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1,559,7231,094,1300.70-0.15 908,346853,5240.940.261,262,478996,6900.79-0.20 597,493618,0571.030.29202,487146,8430.73-0.35 141,583102,3510.720.1575,20446,1480.61-0.27 45,16030,1420.670.04数据来源：wind资讯，五矿经易期权事业部市场周行情概要升贴水16.2323.574.202,677.11SH50ETFSH300ETF期权标的SH300ETF0.00610.00160.00268.61SZ300ETFHS300期权标的SZ300ETFHS300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期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称日均成交量(万)474.72468.52SH50ETFSH300ETF日均成交额(亿)83.591.4814(亿)期权日行情概要 图3: SZ300ETF走势图图1: SH50ETF走势图图2 SH300ETF走势图【标的价量关系】图4: 沪深300走势图3.4980 05001,0001,5002,0003.003.203.403.603.804.004.202020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-14SH50ETF成交量(万)收盘价5.1270 02004006008001,0001,2004.004.505.005.506.002020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-14SH300ETF成交量(万)收盘价5.1080 01002003004004.004.505.005.506.002020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-14SZ300ETF成交量(万)收盘价5,110.59 0.000.501.001.502.002.503.004,0004,5005,0005,5006,0002020-11-052020-11-102020-11-132020-11-182020-11-232020-11-262020-12-012020-12-042020-12-092020-12-142020-12-172020-12-222020-12-252020-12-302021-01-052021-01-082021-01-132021-01-182021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-14HS300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】050,000100,000150,000200,000250,000300,0002.90 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 4.60 SH50ETF期权持仓分布图OI_POI_C-120,000-100,000-80,000-60,000-40,000-20,000020,00040,00060,00080,0002.90 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期权持仓变化图OI CHANGE_POI CHANGE_C3.03.23.43.63.84.04.22020-11-262020-12-012020-12-042020-12-