五矿期货金融期权日报

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，日线上小幅盘整震荡。截至收盘，上证50ETF涨幅0.18%报收于2.725；沪300ET涨幅0.43%报收于3.982；深300ETF涨幅0.66%报收于3.992；沪深300指数涨幅0.61%报收于3983.18。【期权盘面】 ·隐含波动率：金融期权标的市场行情经过前期大涨大跌后逐渐趋于平稳，金融期权隐含波动率急速下降。截止收盘，上证50ETF期权隐含波动率下降3.67%至20.09%，沪300ETF期权隐含波动率下降2.31%至20.66%，深300ETF期权隐含波动率下降2.71%至21.14%，沪深300股指期权隐含波动率下降0.07%至21.21%。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0.71，沪300ETF期权持仓量PCR报收于0.87，深300ETF期权持仓量PCR报收于0.96，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2.80；沪300ETF的压力点为4.00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4000。【结论与操作建议】 ·上证50ETF期权：上证50ETF经过持续大涨大跌后，回落至前期的宽幅矩形区间，市场行情逐渐趋于平稳；期权隐含波动率急速下降，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空头压力线下反弹回升后快速下降，下有前期地点支撑上有60天均线压力；期权隐含波动率急速下降，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和S_510300P2206M03800。五矿期货金融期权日报2022年5月26日 星期四期权研究 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.72500.00500.18510300.SH3.98200.01700.43159919.SZ3.99200.02600.66000300.SH3,983.1824.020.61【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(%)2.7500.04980.07182.72800.00670.254.0000.07340.10303.97040.01740.444.0000.07770.10413.97360.01760.444,000.0063.60105.403,958.2016.600.42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19.9320.2620.0924.2328.9519.51192022-06-2220.1421.1520.6624.8829.3920.37192022-06-2220.4021.8121.1425.8730.5921.14192022-06-2220.8521.6821.2124.1727.2921.05162022-06-17【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514,509471,8370.920.051,037,655734,9100.710.01475,876510,9491.070.03796,602691,4770.87-0.00 58,29564,0101.100.0995,96192,1370.960.0532,92525,3630.77-0.06 62,22247,3310.76-0.02 数据来源：wind，五矿期货期权事业部升贴水16.5718.153.671,887.01SH50ETFSH300ETF期权标的SH300ETF0.0030-0.0116 -0.0184 -24.98 SZ300ETFHS300期权标的期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)609.00457.68SH50ETFSH300ETF成交额(亿)92.411.08(亿)SZ300ETFHS300 qOrRrRoM8OaO9PmOrRoMsQfQrRsPfQoNmN9PrQnRvPnNmRwMrQtP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 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402021-11-152021-11-182021-11-232021-11-262021-12-012021-12-062021-12-092021-12-142021-12-172021-12-222021-12-272021-12-302022-01-052022-01-102022-01-132022-01-182022-01-212022-01-262022-02-072022-02-102022-02-152022-02-182022-02-232022-02-282022-03-032022-03-082022-03-112022-03-162022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-25成交量(万)收盘价3.9820 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402021-11-152021-11-182021-11-232021-11-262021-12-012021-12-062021-12-092021-12-142021-12-172021-12-222021-12-272021-12-302022-01-052022-01-102022-01-132022-01-182022-01-212022-01-262022-02-072022-02-102022-02-152022-02-182022-02-232022-02-282022-03-032022-03-082022-03-112022-03-162022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-25成交量(万)收盘价3.9920 0601201802403003603.603.804.004.204.404.604.805.005.205.402021-11-152021-11-182021-11-232021-11-262021-12-012021-12-062021-12-092021-12-142021-12-172021-12-222021-12-272021-12-302022-01-052022-01-102022-01-132022-01-182022-01-212022-01-262022-02-072022-02-102022-02-152022-02-182022-02-232022-02-282022-03-032022-03-082022-03-112022-03-162022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-25成交量(万)收盘价3,983.18 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002021-11-152021-11-182021-11-232021-11-262021-12-012021-12-062021-12-092021-12-142021-12-172021-12-222021-12-272021-12-302022-01-052022-01-102022-01-132022-01-182022-01-212022-01-262022-02-072022-02-102022-02-152022-02-182022-02-232022-02-282022-03-032022-03-082022-03-112022-03-162022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-25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-5,00005,00010,00015,00020,00025,00030,0002.40 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_C2.42.62.83.03.23.43.62021-12-062021-12-092021-12-142021-12-172021-12-222021-12-272021-12-302022-01-052022-01-102022-01-132022-01-182022-01-212022-01-262022-02-072022-02-102022-02-152022-02-182022-02-232022-02-282022-03-032022-03-082022-03-112022-03-162022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-20