五矿期货金融期权周报2021年12月13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指数低位反弹回暖上升后，延续多头上涨趋势，上突近一个月以来的震荡区间上限，并且突破10月以来的高点。截止周五收盘，上证50ETF周涨幅4.17%报收于3.349；沪300ETF周涨幅3.29%报收于5.143；深300ETF周涨幅3.23%报收于5.055；沪深300指数周涨幅3.14%报收于5055.15。 【期权盘面】上周金融期权日均成交量大幅度上涨。其中上证50ETF期权增加139.23万张至302.67万张；沪300ETF期权增加61.56万张至178.79万张；深300ETF期权增加16.78万张至32.76万张；沪深300股指期权增加7.56万张至16.60万张。上周金融期权日均持仓量持续增加。其中上证50ETF期权增加39.64万张至321.12万张；沪300ETF期权增加21.03万张至192.87万张；深300ETF期权增加5.38万张至33.19万张；沪深300股指期权增加1.44万张至18.45万张。上周金融期权标的多头持续大幅上涨，金融期权隐含波动率快速拉升后逐渐回落，截止上周五，上证50ETF期权隐含波动率为16.82%，沪300ETF期权隐含波动率为15.69%，深300ETF期权隐含波动率为16.84%，沪深300股指期权隐含波动率为17.05%。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，市场行情突破上涨，金融期权持仓量PCR不断上升，ETF期权持仓量PCR维持在1.00以上，其中上证50ETF期权持仓量PCR报收于1.05，沪300ETF期权持仓量PCR报收于1.25，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0.97。·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3.40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5.25和5.00；沪深300指数的压力线和支撑线分别为5100和4900。【结论与操作建议】（1）上证50ETF期权 上证50ETF低位反弹后，连续8天报收阳线，突破10月以来的高点，市场行情偏多头趋势。操作建议，构建认沽期权牛市价差组合策略，若市场行情快速快速回落跌破低行权价，则平仓离场，如上证50ETF期权，即B_510050_2112P3.30@10和S_510050_2112P3.40@10。 【市场行情】收盘价涨跌涨跌幅(%)增减(万)3.34900.13404.17274.675.14300.16403.29144.895.05500.15803.2343.585,055.12154.103.140.49(亿)【期权量仓】CallPut合计变化CallPut合计变化173.51129.17302.67139.23163.70157.43321.1239.6494.6484.16178.7961.5687.89104.98192.8721.0317.0115.7432.7616.7815.4017.7833.195.389.746.8616.607.569.508.9518.451.44【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(%)3.3000.07450.01823.3563-0.0009 -0.03 5.2500.02250.12405.1485-0.0179 -0.35 5.0000.09550.03005.0655-0.0163 -0.32 5,100.0032.8060.005,072.80-17.60 -0.35 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17.2216.2816.8216.3017.4315.16182021-12-2215.0616.4415.6914.8116.1313.49182021-12-2217.9515.3416.8415.3516.4114.29182021-12-2219.1613.3217.0515.3516.5314.1752021-12-17【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1,004,911745,5630.740.111,113,1881,164,3581.05-0.06 451,308385,5830.850.16552,594691,0881.25-0.08 108,10879,8170.740.03113,969133,1891.17-0.01 56,81132,2090.57-0.05 51,28649,8700.97-0.09 数据来源：wind资讯，五矿期货期权事业部1.849(亿)期权日行情概要0.00550.010517.68SH300ETF0.0073期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称日均成交量(万)814.48383.17SH50ETFSH300ETFSH300ETFSZ300ETFHS300日均成交额(亿)121.0226.9619.506.07SZ300ETFHS300期权标的升贴水期权标的SH50ETFSH300ETFSZ300ETFHS300市场周行情概要3,571.37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3.3490 02505007501,0001,2501,5003.003.103.203.303.403.503.603.702021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-10SH50ETF成交量(万)收盘价5.1430 05001,0001,5002,0004.504.755.005.255.502021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-10SH300ETF成交量(万)收盘价5.0550 0501001502002503004.504.755.005.255.502021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-10SZ300ETF成交量(万)收盘价5,055.12 0.0050.00100.00150.00200.00250.004,5004,7505,0005,2505,5002021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-10HS300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】050,000100,000150,000200,000250,0002.85 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-15,000-10,000-5,00005,00010,00015,00020,0002.85 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_C3.03.23.43.63.82021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-