五矿期货金融期权日报

五矿期货金融期权日报2022年5月17日 星期二期权研究卢品先投研经理从业资格号0755-23375252lupx@wkjyqh.comF3047321投资咨询号Z0015541【行情要点】金融期权标的日内行情高低低走后弱势盘整，日线上维持空头趋势线下反弹上升受阻回落，且上方有20天均线和60天均线压力。截至收盘，上证50ETF跌幅0.99%报收于2.702；沪300ET跌幅0.78%报收于3.951；深300ETF跌幅0.65%报收于3.957；沪深300指数跌幅0.80%报收于3956.54。【期权盘面】 ·隐含波动率：金融期权标的市场行情反弹上升受阻回落，金融期权隐含波动率小幅波动。截止收盘，上证50ETF期权隐含波动率下降0.55%至22.24%，沪300ETF期权隐含波动率上升0.04%至23.65%，深300ETF期权隐含波动率上升0.46%至24.54%，沪深300股指期权隐含波动率上升0.13%至23.22%。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。市场行情弱势震荡偏空头，金融期权持仓量PCR有所回落，截止收盘，上证50ETF期权持仓量PCR报收于0.68，沪300ETF期权持仓量PCR报收于1.07，深300ETF期权持仓量PCR报收于1.11，沪深300股指期权持仓量PCR报收于0.73。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所在的压力线和支撑线。截至收盘，从期权卖方行权价的角度看，上证50ETF的压力点为2.75；沪300ETF的压力点为4.10和支撑点为3.80；深300ETF的压力点为4.00和支撑点为3.80；沪深300指数的压力点为4200和支撑点为3800。【结论与操作建议】 ·上证50ETF期权：上证50ETF空头趋势线下反弹上升受阻回落延续弱势偏空头，且上方有20天均线和60天均线压力；期权隐含波动率小幅波动，期权持仓量PCR快速下降。操作建议，持有卖出看涨组合策略，获取时间价值，若市场行情快速大涨，平仓离场，如S_510050C2205M02800@10和510050C2205M02750@10。 ·沪300ETF期权：沪300ETF上周低位反弹回暖上升后形成新的宽幅矩形区间，上方有压力且趋势线斜率仍为负值；期权隐含波动率降波通道小幅回升，期权持仓量PCR维持在0.80-1.20之间。操作建议，构建卖方期权的DELTA中性组合策略，获取时间价值，根据市场行情变化，动态地调整持仓DELTA，使得持仓保持中性，若市场行情快速大涨或大跌，平仓离场，如S_510300C2205M04000@10，510300C2205M04100@10和S_510300C2205M03800@10，S_510300C2205M03900@10。 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.7020-0.0270 -0.99 510300.SH3.9510-0.0310 -0.78 159919.SZ3.9570-0.0260 -0.65 000300.SH3,956.54-32.06 -0.80 【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(%)2.7000.04120.03982.7014-0.0296 -1.08 4.0000.03300.10003.9330-0.0386 -0.97 4.0000.03510.09933.9358-0.0395 -0.99 3,950.0038.0053.403,934.60-40.60 -1.02 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22.2522.2322.2424.4929.2219.7572022-05-2523.2124.0823.6524.9129.5720.2572022-05-2523.3625.6724.5425.7730.6320.9272022-05-2522.5224.0323.2224.3027.7520.8542022-05-20【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913,390844,7460.920.051,072,277730,7780.68-0.06 764,122790,9871.040.02650,612699,2601.07-0.08 125,244132,2081.060.09135,999151,0631.11-0.05 52,72545,8000.870.0967,11648,8200.73-0.01 数据来源：wind，五矿期货期权事业部SZ300ETFHS300期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)592.28442.58SH50ETFSH300ETF成交额(亿)94.041.12(亿)SH50ETFSH300ETF期权标的SH300ETF-0.0006 -0.0180 -0.0212 -21.94 SZ300ETFHS300期权标的升贴水16.0617.553.731,997.18 dViXiYdVaXiYnW8VnU9PdN9PtRqQsQoMkPmMmRjMpNnN7NmNpQNZmMoOuOrRnQ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】2.7020 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)收盘价3.9510 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)收盘价3.9570 0601201802403003603.603.804.004.204.404.604.805.005.205.402021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)收盘价3,956.54 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16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】020,00040,00060,00080,000100,000120,000140,000160,000180,000200,0002.40 2.45 2.50 2.55 2.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 SH50ETF期权持仓分布图OI_POI_C-15,000-10,000-5,00005,00010,00015,00020,00025,00030,00035,0002.40 2.45 2.50 2.55 2.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 SH50ETF期权持仓变化图OI CHANGE_POI CHANGE_C2.42.62.83.03.23.43.62021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-1