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.SH3.18200.00000.00510300.SH4.9290-0.0070 -0.14 159919.SZ4.8500-0.0120 -0.25 000300.SH4,851.42-8.70 -0.18 【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(%)3.2000.04820.05713.1911-0.0391 -1.21 4.9000.09260.05924.9334-0.0012 -0.02 4.9000.05580.09904.8568-0.0035 -0.07 4,850.0065.2065.004,850.20-6.00 -0.12 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17.1115.8616.5217.2118.5015.91172021-12-2214.9115.9015.4715.6017.1514.05172021-12-2215.3316.3515.8516.1317.4214.84172021-12-2215.2616.6815.9316.0917.4614.71142021-12-17【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674,673612,2510.91-0.02 1,248,865785,2040.63-0.00 386,421499,3681.290.23636,126644,6381.010.0172,91277,0771.060.13101,366113,3201.120.0143,51639,1140.900.1765,92248,9610.74-0.01 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30日 星期二期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)519.45233.86SH50ETFSH300ETF成交额(亿)66.301.34(亿)【行情要点】天均线附近震荡，延续近一个月以来的宽幅矩形区间震荡。截至收盘，上证50ETF下跌0.00%报收于3.182；沪300ETF下跌0.14%报收于4.929；深300ETF下跌0.25%报收于4.850；沪深300指数下跌0.18%报收于4851.42。【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有所上升。截止收盘，上证50ETF期权上升0.80%至16.52%，沪300ETF期权上升0.94%至15.47%，深300ETF期权上升0.85%至15.85%，沪深300股指期权上升1.28%至15.93%。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1.01，深300ETF期权持仓量PCR报收1.12，沪深300股指期权持仓量PCR报收于0.74。和支撑线。截至收盘，上证50ETF的压力线为3.20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4.90，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】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和S_510050_2112P3.10@8。SH50ETFSH300ETF期权标的SH300ETF0.00910.00440.0068-1.22 SZ300ETFHS300期权标的升贴水16.4911.513.222,859.95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】3.1820 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价4.9290 03006009001,2001,5001,8004.504.755.005.255.502021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价4.8500 0601201802403004.504.755.005.255.502021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价4,851.42 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29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】05,00010,00015,00020,00025,00030,00035,00040,0002.75 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-350,000-300,000-250,000-200,000-150,000-100,000-50,00002.75 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_C3.03.23.43.63.82021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29SH50ETF 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3.1820 0.200.400.600.801.001.201.401.603.03.23.43.63.84.04.22021-05-252021-06-042021-06-172021-06-292021-07-092021-07-212021-08-022021-08-122021-08-242021-09-032021-09-152021-09-292021-10-182021-10-282021-11-092021-11-19CLOSEOI_PCR10152025302021-05-252021-06-022021-06-102021-06-212021-06-292021-07-072021-07-152021-07-232021-08-022021-08-102021-08-182021-08-262021-09-032021