金融期权周报

【行情要点】日线上看，金融期权标的上周延续趋势线以下偏空头震荡，上证50ETF上有60天均线压力；沪300ETF，深300ETF，沪深300指数弱势震荡。截止周五收盘，上证50ETF跌幅1.08%报收3.403；沪300ETF跌幅0.98%报收5.156；深300ETF下跌0.89%报收5.146；沪深300指数下跌1.10%报收5094.77。 【期权盘面】上周金融期权日均成交量连续两周小幅增加。其中上证50ETF期权增加38.55万张至254.25万张；沪300ETF期权增加7.68万张至177.69万张；深300ETF期权增加1.62万张至26.82万张；沪深300股指期权增加1.81万张至14.22万张。上周ETF期权日均持仓量不同程度增加，而股指期权小幅下降。其中上证50ETF期权增加26.31万张至365.33万张；沪300ETF期权增加17.43万张至223.33万张；深300ETF期权增加5.31万张至42.45万张；沪深300股指期权减少0.19万张至20.73万张。上周金融期权标的延续震荡偏空头，期权隐含波动率小幅波动。截止上周五，上证50ETF期权隐含波动率为15.87%，沪300ETF期权隐含波动率为15.74%，深300ETF期权隐含波动率为16.31%，沪深300股指期权隐含波动率为15.96%。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弱势震荡，其中上证50ETF期权持仓量PCR报收于0.50，沪300ETF期权持仓量PCR报收于0.77，深300ETF期权持仓量PCR报收于0.59，沪深300股指期权持仓量PCR报收于0.73。·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5000和5000。【结论与操作建议】·操作建议：略，若市场行情反弹至低行权价，则平仓离场。期权隐含波动率相对低位，注意控制风险管控仓位。如上证50ETF，卖出7月合约3.50的认购期权和卖出7月份合约3.60的认购期权构成的卖出看涨期权组合策略，即S_510050_2107C3.50@10和S_510050_2107C3.60@10。卢品先从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541五矿期货金融期权周报2021年7月19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)3.40300.02100.62-31.04 5.15600.04400.86-12.47 5.14600.04400.868.115,094.7725.340.500.31(亿)【期权量仓】CallPut合计变化CallPut合计变化145.46108.80254.2538.55230.94134.40365.3326.3198.6679.02177.697.68117.48105.84223.3317.4314.9311.9026.821.6225.3317.1242.455.318.685.5414.221.8112.308.4320.73-0.19 【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(%)3.4000.04150.03353.4080-0.0361 -1.05 5.2500.02370.11455.1592-0.0519 -1.00 5.2500.02230.12115.1512-0.0431 -0.83 5,100.0092.60113.805,078.80-55.40 -1.08 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16.6714.8315.8717.0818.7615.4182021-07-2815.8215.6315.7416.7918.1515.4282021-07-2816.3716.2516.3117.8820.0515.7182021-07-2814.4518.7015.9616.0217.5614.47252021-08-20【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1,049,987803,4450.770.051,571,176786,5180.50-0.09 625,908498,3650.80-0.04 757,173585,0370.77-0.11 94,72785,4870.900.07169,20599,1460.59-0.07 36,83820,1210.55-0.07 46,59934,2410.730.00数据来源：wind资讯，五矿期货期权事业部市场周行情概要升贴水18.8021.224.343,812.36SH50ETFSH300ETF期权标的SH300ETF0.00500.00320.0052-15.97 SZ300ETFHS300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)551.90410.22SH50ETFSH300ETF日均成交额(亿)84.161.8242(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3.4030 02004006008001,0001,2001,4003.203.403.603.804.004.202021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-16SH50ETF成交量(万)收盘价5.1560 05001,0001,5004.504.755.005.255.505.756.002021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-16SH300ETF成交量(万)收盘价5.1460 0501001502002503004.504.755.005.255.505.756.002021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-16SZ300ETF成交量(万)收盘价5,094.77 0.000.501.001.502.002.503.004,5004,7505,0005,2505,5005,7506,0002021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-16HS300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】050,000100,000150,000200,000250,000300,000350,000400,000450,000500,0002.90 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-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_C3.23.43.63.84.04.22021-01-282021-02-022021-02-05202