五矿期货金融期权日报

【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.2540-0.0190 -0.58 510300.SH4.9780-0.0190 -0.38 159919.SZ4.8980-0.0170 -0.35 000300.SH4,896.44-20.22 -0.41 【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(%)3.3000.03990.07583.2641-0.0209 -0.64 5.0000.06650.09154.9750-0.0194 -0.39 4.9000.07770.08004.8977-0.0182 -0.37 4,900.0068.0070.004,898.00-18.60 -0.38 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16.7815.1916.0217.3718.6116.13192021-12-2213.6115.9614.7415.7917.3614.21192021-12-2214.4415.8415.1216.3317.6515.01192021-12-2214.4415.4114.8516.2617.6214.89162021-12-17【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573,503517,9240.90-0.01 1,019,641740,1110.73-0.04 387,223355,6970.92-0.13 538,629611,2781.13-0.04 48,09246,3420.96-0.06 85,304101,1671.19-0.06 35,81826,1620.73-0.07 61,07247,5810.78-0.05 数据来源：wind，五矿期货期权事业部升贴水11.886.832.402,554.51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SH300ETF0.0101-0.0030 -0.0003 1.56SZ300ETFHS300期权标的五矿期货金融期权日报2021年11月26日 星期五期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)364.60137.26SH50ETFSH300ETF成交额(亿)49.021.16(亿)【行情要点】近三周以来的宽幅巨型区间震荡。截至收盘，上证50ETF下跌0.58%报收于3.254；沪300ETF下跌0.38%报收于4.978；深300ETF下跌0.35%报收于4.898；沪深300指数下跌0.41%报收于4896.44。【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持续下降。截止收盘，上证50ETF期权下降0.39%至16.02%，沪300ETF期权下降0.60%至14.74%，深300ETF期权下降0.39%至15.12%，沪深300股指期权下降0.52%至14.85%。权持仓量PCR小幅下跌，截止收盘，上证50ETF期权持仓量PCR报收于0.73，沪300ETF期权持仓量PCR报收1.13，深300ETF期权持仓量PCR报收1.19，沪深300股指期权持仓量PCR报收于0.78。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】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】3.2540 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-25成交量(万)收盘价4.9780 03006009001,2001,5001,8004.504.755.005.255.502021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-25成交量(万)收盘价4.8980 0601201802403004.504.755.005.255.502021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-25成交量(万)收盘价4,896.44 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-25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】050,000100,000150,000200,000250,000300,0002.75 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-5,00005,00010,00015,00020,00025,00030,00035,00040,00045,0002.75 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_C3.03.23.43.63.82021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-25SH50ETF 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3.2540 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-05-212021-06-022021-06-152021-06-252021-07-072021-07-192021-07-292021-08-102021-08-202021-09-012021-09-132021-09-272021-10-142021-10-262021-11-052021-11-17CLOSEOI_PCR10152025302021-05-212021-05-312021-06-082021-06-172021-06-252021-07-052021-07-132021-07-212021-07-