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.SH3.22500.01000.31510300.SH4.9740-0.0050 -0.10 159919.SZ4.89700.00000.00000300.SH4,892.62-8.40 -0.17 【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(%)3.2000.05880.02823.23060.00970.305.0000.04500.07024.9748-0.0070 -0.14 4.9000.05640.05894.8975-0.0046 -0.09 4,900.0046.8046.804,900.00-2.40 -0.05 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15.8014.6215.2916.4917.7215.27122021-12-2213.3414.8914.1414.8716.1513.60122021-12-2213.3415.9514.7615.4516.4714.42122021-12-2214.6113.6114.2115.2616.2614.2592021-12-17【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1,013,145780,2060.77-0.07 1,195,934966,6950.810.09501,429526,4401.05-0.02 589,286677,9101.150.00106,392125,6171.18-0.02 110,596123,7041.12-0.06 59,12840,2860.68-0.10 59,40452,0990.880.03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12月7日 星期二期权研究期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)613.98332.90SH50ETFSH300ETF成交额(亿)73.941.74(亿)【行情要点】盘，上证50ETF涨幅0.31%报收于3.225；沪300ETF下跌0.10%报收于4.974；深300ETF涨幅0.00%报收于4.897；沪深300指数跌幅0.17%报收于4892.62。【期权盘面】 ·隐含波动率：金融期权标的市场行情弱势盘整，金融期权隐含波动率持续下降后有所回升。截止收盘，上证50ETF期权上升0.63%至15.29%，沪300ETF期权上升0.92%至14.14%，深300ETF期权上升0.75%至14.76%，沪深300股指期权上升0.70%至14.21%。权持仓量PCR逐渐回升，截止收盘，上证50ETF期权持仓量PCR报收于0.81，沪300ETF期权持仓量PCR报收1.15，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0.88。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5.00，支撑线为4.90；沪深300指数的压力线为5100，支撑线为4900。【结论与操作建议】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。SH50ETFSH300ETF期权标的SH300ETF0.00560.00080.00057.38SZ300ETFHS300期权标的升贴水19.8716.633.643,334.06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】3.2250 02004006008001,0001,2001,4003.003.103.203.303.403.503.603.703.802021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价4.9740 03006009001,2004.504.755.005.255.502021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价4.8970 0601201802403004.504.755.005.255.502021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价4,892.62 0.000.501.001.502.002.503.003.504,5004,7505,0005,2505,5002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06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】020,00040,00060,00080,000100,000120,000140,000160,0002.80 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-10,000010,00020,00030,00040,00050,00060,0002.80 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_C3.03.23.43.63.82021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06SH50ETF 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3.2250 0.200.400.600.801.001.201.403.03.23.43.63.84.04.22021-06-012021-06-112021-06-242021-07-062021-07-162021-07-282021-08-092021-08-192021-08-312021-09-102021-09-242021-10-132021-10-252021-11-042021-11-162021-11-26CLOSEOI_PCR10152025302021-06-012021-06-092021-06-182021-06-282021-07-062021-07-142021-07-222021-07-302021-08-092021-08-172021-08-252021-09-022021-09-102021-09-222021-09-302021-10-152021-10-252021-11-0220