【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.26100.01300.40510300.SH4.98600.00300.06159919.SZ4.90500.00000.00000300.SH4,913.350.950.02【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(%)3.3000.00250.04113.26140.01350.425.0000.01100.02814.98290.00290.064.9000.01960.01704.90260.00110.024,900.0082.0073.604,908.400.600.01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10.2518.8814.0017.5418.7216.3512021-11-248.1016.2611.9715.9917.5814.4012021-11-2411.5515.5713.8016.5917.9315.2412021-11-2414.6017.3715.7816.4817.8115.14182021-12-17【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546,329420,4610.770.07710,297464,5580.650.03317,646285,9300.900.09259,195285,8341.100.0648,55661,7191.270.4275,11675,3801.000.0530,68222,8950.750.0255,18645,8670.83-0.01 数据来源：wind，五矿期货期权事业部升贴水23.3615.824.543,010.22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SH300ETF0.0004-0.0031 -0.0024 -4.95 SZ300ETFHS300期权标的五矿期货金融期权日报2021年11月24日 星期三期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)716.08317.27SH50ETFSH300ETF成交额(亿)92.551.54(亿)【行情要点】。截至收盘，上证50ETF上涨0.40%报收于3.261；沪300ETF上涨0.06%报收于4.986；深300ETF上涨0.00%报收于4.905；沪深300指数上涨0.02%报收于4913.35。【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逐渐下降。截止收盘，上证50ETF期权下降3.35%至14.00%，沪300ETF期权下降0.79%至11.97%，深300ETF期权下降0.58%至13.80%，沪深300股指期权下降0.36%至15.78%。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0.65，沪300ETF期权持仓量PCR报收1.10，深300ETF期权持仓量PCR报收1.00，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3.40和支撑线为3.20；沪300ETF的压力线为5.25，支撑线为4.90；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5000，支撑线为4900。【结论与操作建议】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】3.2610 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-23成交量(万)收盘价4.9860 03006009001,2001,5001,8004.504.755.005.255.502021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-23成交量(万)收盘价4.9050 0601201802403004.504.755.005.255.502021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-23成交量(万)收盘价4,913.35 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-23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-90,000-80,000-70,000-60,000-50,000-40,000-30,000-20,000-10,00002.75 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_C3.03.23.43.63.82021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-23SH50ETF 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3.2610 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-05-192021-05-312021-06-102021-06-232021-07-052021-07-152021-07-272021-08-062021-08-182021-08-302021-09-092021-09-232021-10-122021-10-222021-11-032021-11-15CLOSEOI_PCR10152025302021-05-192021-05-272021-06-042021-06-152021-06-232021-07-012021-07-092021-07-192021-07-272021-08-042021-08-122021-08-202021-08-302021-09-072021-09-152021-09-272021-10-