五矿期货金融期权周报2021年12月6日 星期一期权研究投资经理卢品先从业资格号0755-82927766lupx@wkjyqh.comF3047321投资咨询号Z0015541【行情要点】日线上看，上周金融期权标的上证50ETF、沪300ETF、深300ETF和沪深300指数先抑后扬，围绕着20天均线和60天均线附近上下波动，形成一个月以来的宽幅矩形区间震荡。截止周五收盘，上证50ETF上涨0.85%报收于3.215；沪300ETF上涨0.91%报收于4.979；深300ETF上涨0.91%报收于4.897；沪深300指数上涨0.92%报收于4901.02。 【期权盘面】上周ETF期权日均成交量连续两周下降，沪深300股指期权日均成交量小幅增加。其中上证50ETF期权减少9.23万张至163.44万张；沪300ETF期权减少7.85万张至117.23万张；深300ETF期权减少1.31万张至15.98万张；沪深300股指期权增加1.20万张至9.05万张。上周金融期权日均持仓量小幅变化。其中上证50ETF期权增加5.57万张至281.48万张；沪300ETF期权增加4.41万张至171.84万张；深300ETF期权减少2.00万张至27.80万张；沪深300股指期权增加2.37万张至17.02万张。上周金融期权标的先行震荡回落而后回暖上升，金融期权隐含波动率逐渐下降，截止上周五，上证50ETF期权隐含波动率为14.66%，沪300ETF期权隐含波动率为13.22%，深300ETF期权隐含波动率为14.01%，沪深300股指期权隐含波动率为13.50%。期权持仓量PCR为1.00时，一般认为是市场行情的多空分界线。截止上周五，市场行情区间震荡，金融期权持仓量PCR窄幅波动，其中上证50ETF期权持仓量PCR报收于0.72，沪300ETF期权持仓量PCR报收于1.15，深300ETF期权持仓量PCR报收于1.17，沪深300股指期权持仓量PCR报收于0.85。·最大未平仓所在的行权价： 期权最大未平仓所在的行权价是站在卖方的角度分析市场行情的压力线和支撑线。截至上周五收盘，上证50ETF的压力线和支撑线分别为3.20和3.20；沪300ETF的压力线和支撑线分别为5.00和5.00；深300ETF的压力线和支撑线分别为5.00和4.60；沪深300指数的压力线和支撑线分别为5000和4900。【结论与操作建议】（1）上证50ETF期权 上证50ETF先跌后涨，围绕20天和60天均线附近上下波动，延续近一个月以来的宽幅矩形区间震荡。操作建议，构建动态DELTA中性组合策略，获取时间价值，根据市场行情变化，动态的调整持仓DELT，使得持仓保持中性，若市场行情快速大涨或大跌，则平仓离场，如上证50ETF期权，即S_510050_2112C3.30@20和S_510050_2112P3.20@10。 【市场行情】收盘价涨跌涨跌幅(%)增减(万)3.21500.03301.04-168.62 4.97900.04300.87-108.29 4.89700.03500.7218.034,901.0240.890.840.02(亿)【期权量仓】CallPut合计变化CallPut合计变化86.7576.69163.44-9.23 164.02117.47281.485.5755.0662.17117.23-7.85 84.8487.00171.844.417.518.4715.98-1.31 13.5914.2127.80-2.00 4.784.279.051.209.407.6217.022.37【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(%)3.2000.05330.03243.22090.02450.775.0000.05080.06904.98180.04170.844.9000.06060.05854.90210.04010.824,900.0051.0048.604,902.4042.200.87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15.0714.1714.6616.6517.9215.38182021-12-2212.4213.9613.2215.0216.3613.67182021-12-2213.2314.6514.0115.5816.6814.47182021-12-2212.8314.3613.5015.4516.6014.30102021-12-17【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897,039752,8990.84-0.03 1,237,537892,8620.720.06552,434590,4481.07-0.00 597,013685,3591.150.1082,86399,3291.200.02107,267125,9521.170.0349,20738,6250.78-0.06 61,53852,1660.850.07数据来源：wind资讯，五矿期货期权事业部1.357(亿)期权日行情概要0.00280.00511.38SH300ETF0.0059期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称日均成交量(万)414.76201.97SH50ETFSH300ETFSH300ETFSZ300ETFHS300日均成交额(亿)85.3313.209.964.13SZ300ETFHS300期权标的升贴水期权标的SH50ETFSH300ETFSZ300ETFHS300市场周行情概要2,798.67上周日均总成交量（万张）上周日均总持仓量（万张）期权品种SH50ETF 图3: SZ300ETF走势图【标的价量关系】图4: 沪深300走势图图1: SH50ETF走势图图2 SH300ETF走势图3.2150 02505007501,0001,2501,5003.003.103.203.303.403.503.603.702021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-03SH50ETF成交量(万)收盘价4.9790 05001,0001,5002,0004.504.755.005.255.502021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-03SH300ETF成交量(万)收盘价4.8970 0501001502002503004.504.755.005.255.502021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-03SZ300ETF成交量(万)收盘价4,901.02 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-03HS300成交量(亿)收盘价 【SH50ETF期权隐含波动率】【SH50ETF期权持仓分布】【SH50ETF期权最大未平仓】【SH50ETF期权持仓量PCR】010,00020,00030,00040,00050,00060,00070,00080,00090,0002.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 SH50ETF期权持仓分布图OI_POI_C-5,00005,00010,00015,00020,0002.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 SH50ETF期权持仓变化图OI CHANGE_POI CHANGE_C3.03.23.43.63.82021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-