【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.2890-0.0150 -0.45 510300.SH4.9650-0.0160 -0.32 159919.SZ4.8900-0.0110 -0.22 000300.SH4,890.69-18.09 -0.37 【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(%)3.3000.05920.06063.2986-0.0119 -0.36 5.0000.07250.10024.9723-0.0135 -0.27 4.9000.08460.08694.8977-0.0135 -0.27 4,900.0072.0079.804,892.20-16.40 -0.33 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18.7717.2118.0118.1719.3317.02172021-11-2416.9717.2517.1116.5917.8815.30172021-11-2417.2617.8017.5217.2418.5915.90172021-11-2417.0018.2317.5116.7818.2315.33142021-11-19【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656,158630,2990.960.20958,091676,1570.710.00374,838379,2971.010.11539,493480,3480.890.0256,10154,1730.970.0492,83887,5470.940.0034,10824,5590.720.1055,78140,5430.73-0.01 数据来源：wind，五矿期货期权事业部SZ300ETFHS300五矿期货金融期权日报2021年11月2日 星期二期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)736.78195.00SH50ETFSH300ETF成交额(亿)34.261.72(亿)【行情要点】截至收盘，上证50ETF下跌0.45%报收于3.289；沪300ETF下跌0.32%报收于4.965；深300ETF下跌0.22%报收于4.890；沪深300指数下跌0.37%报收于4890.69。【期权盘面】 ·隐含波动率：金融期权标的市场行情窄幅盘整震荡，金融期权隐含波动率小幅回升。截止收盘，上证50ETF期权上升0.56%至18.01%，沪300ETF期权上升0.51%至17.11%，深300ETF期权上升0.20%至17.52%，沪深300股指期权上升1.02%至17.51%。权持仓量PCR小幅变化，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0.89，深300ETF期权持仓量PCR报收0.94，沪深300股指期权持仓量PCR报收于0.73。和支撑线。截至收盘，上证50ETF的压力线为3.40和支撑线为3.30；沪300ETF的压力线为5.00，支撑线为5.00；深300ETF的压力线为5.00，支撑线为4.90；沪深300指数的压力线为5100，支撑线为4900。【结论与操作建议】市场行情变化动态的调整持仓DELTA，使得持仓保持中性，若市场行情大涨或大跌，则平仓离场，如：S_510300_2011C5.00@8和S_510300_2011P4.90@10。SH50ETFSH300ETF期权标的SH300ETF0.00960.00730.00771.51SZ300ETFHS300期权标的升贴水24.239.681.683,797.31卢品先投资经理从业资格号0755-23375252lupx@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】3.2890 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-01成交量(万)收盘价4.9650 03006009001,2001,5001,8004.504.755.005.255.502021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-01成交量(万)收盘价4.8900 0601201802403004.504.755.005.255.502021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-01成交量(万)收盘价4,890.69 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-04-222021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-01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】050,000100,000150,000200,000250,000300,000350,0002.75 2.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 3.90 SH50ETF期权持仓分布图OI_POI_C-5,00005,00010,00015,00020,0002.75 2.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 3.90 SH50ETF期权持仓变化图OI CHANGE_POI CHANGE_C3.03.23.43.63.82021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-01SH50ETF 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3.2890 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-04-222021-05-072021-05-192021-05-312021-06-102021-06-232021-07-052021-07-152021-07-272021-08-062021-08-182021-08-302021-09-092021-09-232021-10-122021-10-22CLOSEOI_PCR10152025302021-04-222021-04-302021-05-132021-05-212021-05-312021-06-082021-06-172021-06-252021-07-052021-07-132021-07-212021-07-292021-08-062021-08-162021-08-242021-09-012021-09-092021-09-172021-09-292021-10-142021-10-222021-1