【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.27300.01200.37510300.SH4.99700.01100.22159919.SZ4.91500.01000.20000300.SH4,916.663.310.07【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(%)3.3000.05090.06593.28500.01340.415.0000.08010.08574.99440.00950.194.9000.09160.07574.91590.00940.194,900.0082.0065.404,916.608.200.17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17.2915.4616.4117.4618.6616.25202021-12-2214.0716.5415.3315.9017.4814.33202021-12-2214.6916.3215.5216.4717.8015.14202021-12-2214.6216.3015.3716.3917.7415.04172021-12-17【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561,180514,2240.920.04918,500707,7890.770.02367,597385,7541.05-0.02 510,769597,8491.17-0.01 49,88551,1661.03-0.38 76,84395,9241.25-0.07 39,26731,5450.800.0657,16947,2600.83-0.00 数据来源：wind，五矿期货期权事业部升贴水18.608.923.332,897.07卢品先投资经理从业资格号0755-23375252lupx@wkjyqh.comF3047321投资咨询号Z0015541SH50ETFSH300ETF期权标的SH300ETF0.0120-0.0026 0.0009-0.06 SZ300ETFHS300期权标的五矿期货金融期权日报2021年11月25日 星期四期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)569.23178.59SH50ETFSH300ETF成交额(亿)67.801.37(亿)【行情要点】震荡，维持近三周以来的区间震荡。截至收盘，上证50ETF上涨0.37%报收于3.273；沪300ETF上涨0.22%报收于4.997；深300ETF上涨0.20%报收于4.915；沪深300指数上涨0.07%报收于4916.66。【期权盘面】 ·隐含波动率：金融期权标的市场行情弱势盘整震荡，金融期权隐含波动率维持较低水平。截止收盘，上证50ETF期权上升2.41%至16.41%，沪300ETF期权上升3.37%至15.33%，深300ETF期权上升1.72%至15.52%，沪深300股指期权下降0.41%至15.37%。权持仓量PCR快速上升，截止收盘，上证50ETF期权持仓量PCR报收于0.77，沪300ETF期权持仓量PCR报收1.17，深300ETF期权持仓量PCR报收1.25，沪深300股指期权持仓量PCR报收于0.83。和支撑线。截至收盘，上证50ETF的压力线为3.30和支撑线为3.20；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4.60；沪深300指数的压力线为5000，支撑线为4900。【结论与操作建议】构建动态DELTA中性组合策略，根据市场行情变化，动态的调整持仓DELTA，使得持仓保持中性，若市场行情快速上涨或大跌，则平仓离场，如：S_510050_2112C3.30@7，S_510050_2112C3.40@10和S_510050_2112P3.20@20。SZ300ETFHS300 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】3.2730 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-24成交量(万)收盘价4.9970 03006009001,2001,5001,8004.504.755.005.255.502021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-24成交量(万)收盘价4.9150 0601201802403004.504.755.005.255.502021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-24成交量(万)收盘价4,916.66 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-24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】050,000100,000150,000200,000250,0002.75 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-5,00005,00010,00015,00020,00025,00030,00035,0002.75 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_C3.03.23.43.63.82021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-24SH50ETF 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3.2730 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-05-202021-06-012021-06-112021-06-242021-07-062021-07-162021-07-282021-08-092021-08-192021-08-312021-09-102021-09-242021-10-132021-10-252021-11-042021-11-16CLOSEOI_PCR10152025302021-05-202021-05-282021-06-072021-06-162021-06-242021-07-022021-07-122021-07-202021-07-282021-08-052021-08-132021-08-232021-08-312021-09-082021-09-162021-09-282021-10-1320