五矿期货金融期权日报

五矿期货金融期权日报2022年5月27日 星期五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开低走后窄幅盘整，日线上延续空头压力线下小幅盘整震荡。截至收盘，上证50ETF涨幅0.00%报收于2.725；沪300ET涨幅0.25%报收于3.992；深300ETF涨幅0.03%报收于3.993；沪深300指数涨幅0.25%报收于3993.04。【期权盘面】 ·隐含波动率：金融期权标的市场行情小幅盘整震荡，金融期权隐含波动率持续下降回落。截止收盘，上证50ETF期权隐含波动率下降0.39%至19.70%，沪300ETF期权隐含波动率下降0.52%至20.15%，深300ETF期权隐含波动率下降0.51%至20.62%，沪深300股指期权隐含波动率下降0.77%至20.44%。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。市场行情空头压力线下小幅盘整震荡，金融期权持仓量PCR窄幅波动，截止收盘，上证50ETF期权持仓量PCR报收于0.70，沪300ETF期权持仓量PCR报收于0.93，深300ETF期权持仓量PCR报收于0.98，沪深300股指期权持仓量PCR报收于0.76。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4.00和支撑点为4.00；深300ETF的压力点为4.00和支撑点为3.90；沪深300指数的压力点为4200和支撑点为4000。【结论与操作建议】 ·上证50ETF期权：上证50ETF经过前期的大涨大跌后逐渐趋于平稳，趋势线方向仍向下；期权隐含波动率处于降波通道，期权持仓量PCR窄幅波动。操作建议，构建卖出宽跨式组合策略，获取时间价值，若市场行情快速大涨或大跌，突破区间上下限，则平仓离场，如S_510050C2206M02800@10和S_510050P2206M02650@10。 ·沪300ETF期权：沪300ETF维持一周以来20天均线和60天均线之间盘整震荡；期权隐含波动率逐渐下行，期权持仓量PCR窄幅波动。操作建议，构建卖出宽跨式组合策略，获取时间价值，若市场行情快速大涨或大跌，则平仓离场，如S_510300C2206M04100，_510300C2206M04000和S_510300P2206M03900，_510300P2206M04000。 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.72500.00000.00510300.SH3.99200.01000.25159919.SZ3.99300.00100.03000300.SH3,993.049.870.25【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(%)2.7500.04500.07062.7244-0.0036 -0.13 4.0000.07410.09213.98200.01160.294.0000.07710.09183.98530.01170.294,000.0063.0091.403,971.6013.400.34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19.6019.8219.7023.2026.1620.25182022-06-2219.6620.6320.1523.9026.8920.92182022-06-2219.7221.5520.6224.8728.2721.48182022-06-2220.2420.6520.4423.6026.2520.95152022-06-17【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927,957801,2700.86-0.05 1,125,498791,3350.70-0.01 874,788883,5361.01-0.06 815,883762,1090.930.07149,795145,3330.97-0.13 112,887111,1000.980.0251,91045,1170.870.1063,54848,2410.76-0.00 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)545.81481.61SH50ETFSH300ETF成交额(亿)133.731.26(亿)SH50ETFSH300ETF期权标的SH300ETF-0.0006 -0.0100 -0.0077 -21.44 SZ300ETFHS300期权标的升贴水14.8519.145.322,169.87 qOnNoOnP9P9RbRoMoOpNoMlOmMtOkPtQrQ9PoPnRxNpPqNwMpPyR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】2.7250 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-102021-12-152021-12-202021-12-232021-12-282021-12-312022-01-062022-01-112022-01-142022-01-192022-01-242022-01-272022-02-082022-02-112022-02-162022-02-212022-02-242022-03-012022-03-042022-03-092022-03-142022-03-172022-03-222022-03-252022-03-302022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-26成交量(万)收盘价3.9920 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-102021-12-152021-12-202021-12-232021-12-282021-12-312022-01-062022-01-112022-01-142022-01-192022-01-242022-01-272022-02-082022-02-112022-02-162022-02-212022-02-242022-03-012022-03-042022-03-092022-03-142022-03-172022-03-222022-03-252022-03-302022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-26成交量(万)收盘价3.9930 0601201802403003603.603.804.004.204.404.604.805.005.205.402021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-102021-12-152021-12-202021-12-232021-12-282021-12-312022-01-062022-01-112022-01-142022-01-192022-01-242022-01-272022-02-082022-02-112022-02-162022-02-212022-02-242022-03-012022-03-042022-03-092022-03-142022-03-172022-03-222022-03-252022-03-302022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-26成交量(万)收盘价3,993.04 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002021-11-162021-11-192021-11-242021-11-292021-12-022021-12-072021-12-102021-12-152021-12-202021-12-232021-12-282021-12-312022-01-062022-01-112022-01-142022-01-192022-01-242022-01-272022-02-082022-02-112022-02-162022-02-212022-02-242022-03-012022-03-042022-03-092022-03-142022-03-172022-03-222022-03-252022-03-302022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-26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】020,00040,00060,00080,000100,000120,000140,000160,0002.40 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-5,00005,00010,00015,00020,0002.40 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_C2.42.62.83.03.23.43.62021-12-072021-12-102021-12-152021-12-202021-12-232021-12-282021-12-312022-01-062022-01-112022-01-142022-01-192022-01-242022-01-272022-02-082022-02-112022-02-162022-02-212022-02-242022-03-012022-03-042022-03-092022-03-142022-03-172022-03-222022-03-252022-03-302022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-0