【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.2480-0.0020 -0.06 510300.SH4.98300.01300.26159919.SZ4.90500.01600.33000300.SH4,912.4022.340.46【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(%)3.2000.05200.00413.2479-0.0064 -0.20 5.0000.01700.03704.98000.00480.104.9000.02650.02504.90150.00750.154,900.0085.2077.404,907.809.000.18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17.5817.0517.3617.7318.5716.8822021-11-249.2117.1412.7516.1317.4514.8122021-11-2412.1317.0114.3816.6517.8915.4122021-11-2414.9717.7716.1516.5417.8715.21192021-12-17【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576,481402,5720.700.01889,464558,3400.630.03411,143332,3290.81-0.03 351,481365,1191.040.0976,43165,3630.860.0895,65991,1850.950.0336,62226,5970.730.0153,65744,9030.840.01数据来源：wind，五矿期货期权事业部升贴水16.8417.624.863,161.49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SH300ETF-0.0001 -0.0030 -0.0035 -4.60 SZ300ETFHS300期权标的五矿期货金融期权日报2021年11月23日 星期二期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)517.61353.65SH50ETFSH300ETF成交额(亿)99.121.38(亿)【行情要点】至收盘，上证50ETF下跌0.06%报收于3.248；沪300ETF上涨0.26%报收于4.983；深300ETF上涨0.33%报收于4.905；沪深300指数上涨0.46%报收于4912.40。【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小幅波动。截止收盘，上证50ETF期权上升1.04%至17.36%，沪300ETF期权下降1.65%至12.75%，深300ETF期权下降0.47%至14.38%，沪深300股指期权上升0.16%至16.15%。权持仓量PCR小幅波动，截止收盘，上证50ETF期权持仓量PCR报收于0.63，沪300ETF期权持仓量PCR报收1.04，深300ETF期权持仓量PCR报收0.95，沪深300股指期权持仓量PCR报收于0.84。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4.90；深300ETF的压力线为5.00，支撑线为4.80；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@10，S_510050_2112C3.40@10和S_510050_2112P3.20@10，S_510050_2112P3.10@10。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】3.2480 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价4.9830 03006009001,2001,5001,8004.504.755.005.255.502021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价4.9050 0601201802403004.504.755.005.255.502021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价4,912.40 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22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-50,000-40,000-30,000-20,000-10,000010,00020,0002.75 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_C3.03.23.43.63.82021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22SH50ETF 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3.2480 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-05-182021-05-282021-06-092021-06-222021-07-022021-07-142021-07-262021-08-052021-08-172021-08-272021-09-082021-09-222021-10-112021-10-212021-11-022021-11-12CLOSEOI_PCR10152025302021-05-182021-05-262021-06-032021-06-112021-06-222021-06-302021-07-082021-07-162021-07-262021-08-032021-08-112021-08-192021-08-272021-09-062021-09-1420