五矿期货金融期权周报2021年8月2日 星期一期权研究投资经理【行情要点】日线上看，金融期权标的上证50ETF，沪300ETF，深300ETF，沪深300指数大暴跌破位下行，而后弱势偏空震荡。截止周五收盘，上证50ETF周跌幅6.64%报收3.163；沪300ETF周跌幅5.53%报收4.872；深300ETF周跌幅5.46%报收4.865；沪深300指数周跌幅5.46%报收4811.17。 【期权盘面】上周金融期权日均成交量大幅增加。其中上证50ETF期权增加109.85万张至362.40万张；沪300ETF期权增加128.61万张至290.63万张；深300ETF期权增加18.80万张至46.15万张；沪深300股指期权7.44万张至16.02万张。上周ETF期权日均持仓量小幅下降，而股指期权小幅增加。其中上证50ETF期权减少19.14万张至350.60万张；沪300ETF期权减少0.50万张至222.18万张；深300ETF期权减少0.36万张至42.71万张；沪深300股指期权增加3.02万张至18.88万张。上周金融期权标的空头大跌后弱势震荡，期权隐含波动率大涨后快速回落。截止上周五，上证50ETF期权隐含波动率为19.14%，沪300ETF期权隐含波动率为17.92%，深300ETF期权隐含波动率为18.03%，沪深300股指期权隐含波动率为16.74%。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先抑后扬，其中上证50ETF期权持仓量PCR报收于0.60，沪300ETF期权持仓量PCR报收于0.82，深300ETF期权持仓量PCR报收于0.65，沪深300股指期权持仓量PCR报收于0.62。·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3.40和3.20；沪300ETF的压力线和支撑线分别为5.00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】（1）上证50ETF期权 上证50ETF空头大幅下挫，市场行情整体偏空趋势。操作建议，构建卖出看涨期权组合策略，若市场行情反弹半个行权价，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8月合约3.30的认购期权和卖出8月份合约3.40的认购期权构成的卖出看涨期权组合策略，即S_510050_2108C3.30@10和S_510050_2108C3.40@10。卢品先从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541 【市场行情】收盘价涨跌涨跌幅(%)增减(万)3.1630-0.2250 -6.64 432.654.8720-0.2850 -5.53 290.164.8650-0.2810 -5.46 95.594,811.17-278.06 -5.46 0.32(亿)【期权量仓】CallPut合计变化CallPut合计变化188.66173.75362.40109.85233.62116.98350.60-19.14 141.58149.05290.63128.61126.9695.23222.18-0.50 24.0022.1646.1518.8027.4715.2442.71-0.36 8.717.3116.027.4411.477.4118.883.02【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(%)3.2000.04850.08163.1669-0.0484 -1.51 4.9000.06900.11604.8530-0.0346 -0.71 4.9000.06770.12254.8452-0.0288 -0.59 4,800.0071.0095.404,775.60-26.80 -0.56 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19.2719.0219.1417.8420.6615.03182021-08-2514.6420.5417.9216.7618.5914.92182021-08-2516.5921.2718.9318.0321.0115.05182021-08-2513.7623.3118.2316.7419.2114.27152021-08-20【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1,003,0191,058,5471.060.261,178,748701,4230.60-0.03 824,0271,029,3231.250.32714,254583,7650.82-0.01 147,305146,7241.000.22134,77387,6470.650.0043,73538,5810.880.0964,87140,2070.62-0.02 数据来源：wind资讯，五矿期货期权事业部期权日行情概要期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称日均成交量(万)984.55700.38SH50ETFSH300ETF市场周行情概要升贴水31.6134.348.764,545.25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日均成交额(亿)179.752.026(亿)SH50ETFSH300ETF期权标的SH300ETF0.0039-0.0190 -0.0198 -35.57 SZ300ETFHS300期权标的SZ300ETFHS300 图3: SZ300ETF走势图【标的价量关系】图4: 沪深300走势图图1: SH50ETF走势图图2 SH300ETF走势图05001,0001,5003.203.403.603.804.004.202021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-30SH50ETF成交量(万)收盘价4.8720 05001,0001,5004.504.755.005.255.505.756.002021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-30SH300ETF成交量(万)收盘价4.8650 0501001502002503004.504.755.005.255.505.756.002021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-30SZ300ETF成交量(万)收盘价4,811.17 0.000.501.001.502.002.503.004,5004,7505,0005,2505,5005,7506,0002021-01-212021-01-262021-01-292021-02-032021-02-082021-02-182021-02-232021-02-262021-03-032021-03-082021-03-112021-03-162021-03-192021-03-242021-03-292021-04-012021-04-072021-04-122021-04-152021-04-202021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-30HS300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-15,000-10,000-5,00005,00010,00015,00020,00025,00030,00035,0002.90 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.