金融期权日报

【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH3.1640-0.0180 -0.57 510300.SH4.9110-0.0180 -0.37 159919.SZ4.8410-0.0090 -0.19 000300.SH4,832.03-19.40 -0.40 【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(%)3.2000.03900.06473.1743-0.0168 -0.53 4.9000.08050.06524.9153-0.0181 -0.37 4.8000.09650.05444.8421-0.0147 -0.30 4,850.0055.2069.204,836.00-14.20 -0.29 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17.3814.8116.1817.0718.3215.82162021-12-2214.8715.4115.1615.4616.9114.01162021-12-2214.8116.5615.7716.0117.2014.81162021-12-2215.0715.8115.4315.9317.1714.69132021-12-17【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739,810648,0030.88-0.03 1,339,408808,4920.60-0.03 513,523575,0991.12-0.17 673,417656,6150.98-0.04 73,79889,4531.210.16109,915117,0061.06-0.05 44,14142,1120.950.0667,12149,2680.73-0.01 数据来源：wind，五矿期货期权事业部升贴水12.629.043.682,792.68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SH300ETF0.01030.00430.00113.97SZ300ETFHS300期权标的五矿期货金融期权日报2021年12月1日 星期三期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)398.17183.68SH50ETFSH300ETF成交额(亿)76.091.3(亿)【行情要点】宽幅矩形区间波动。截至收盘，上证50ETF下跌0.57%报收于3.164；沪300ETF下跌0.37%报收于4.911；深300ETF下跌0.19%报收于4.841；沪深300指数下跌0.40%报收于4832.03。【期权盘面】 ·隐含波动率：金融期权标的市场行情弱势下行，金融期权隐含波动率逐渐回落。截止收盘，上证50ETF期权下降0.34%至16.18%，沪300ETF期权下降0.31%至15.16%，深300ETF期权下降0.08%至15.77%，沪深300股指期权下降0.50%至15.43%。权持仓量PCR小幅下降，截止收盘，上证50ETF期权持仓量PCR报收于0.60，沪300ETF期权持仓量PCR报收0.98，深300ETF期权持仓量PCR报收1.06，沪深300股指期权持仓量PCR报收于0.73。和支撑线。截至收盘，上证50ETF的压力线为3.20和支撑线为3.10；沪300ETF的压力线为5.00，支撑线为4.90；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4900，支撑线为4900。【结论与操作建议】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_2112C3.20@10和S_510050_2112P3.10@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】3.1640 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-30成交量(万)收盘价4.9110 03006009001,2004.504.755.005.255.502021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-30成交量(万)收盘价4.8410 0601201802403004.504.755.005.255.502021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-30成交量(万)收盘价4,832.03 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-30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】010,00020,00030,00040,00050,00060,00070,0002.75 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_C3.03.23.43.63.82021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-30SH50ETF 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3.1640 0.200.400.600.801.001.201.403.03.23.43.63.84.04.22021-05-262021-06-072021-06-182021-06-302021-07-122021-07-222021-08-032021-08-132021-08-252021-09-062021-09-162021-09-302021-10-192021-10-292021-11-102021-11-22CLOSEOI_PCR10152025302021-05-262021-06-032021-06-112021-06-222021-06-302021-07-082021-07-162021-07-262021-08-032021-08-112021-08-192021-08-272021-09-062021-09-142021-09-242021-10-