五矿期货金融期权日报

2.35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】金融期权标的上证50ETF日内行情高开高走后窄幅盘整，沪深300指数日内行情高开冲高回落，午后有所反弹回升；中证1000指数高开低走无后快速拉升；日线上上证50ETF延续空头压力线下弱势盘整，沪深300指数震荡下行弱势偏空头低位震荡，中证1000指数多头趋势方向高位盘整震荡。截至昨日收盘，上证50ETF涨幅0.98%报收于2.777，沪300ETF涨幅0.75%报收于4.153，深300ETF涨幅0.80%报收于4.157，沪深300指数涨幅0.85%报收于4101.54，中证1000指数涨幅0.63%报收于6960.31。【期权盘面】 ·隐含波动率：上证50ETF持续空头下跌趋势弱势盘整，沪深300指数维持低位弱势盘整，中证1000指数高位震荡大幅回落后反弹回升，金融期权隐含波动率持续大幅下降。截止昨日收盘，上证50ETF期权隐含波动率下降2.23%报收于19.37%，沪300ETF期权隐含波动率下降1.47%报收于19.80%，深300ETF期权隐含波动率下降1.67%报收于20.29%，沪深300股指期权隐含波动率下降2.36%报收于19.88%，中证1000股指期权隐含波动率下降2.01%报收于24.69%。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。上证50ETF持续空头压力下盘整，沪深300指数市场行情弱势盘整震荡，中证1000指数多头趋势方向持续下跌而后反弹回暖，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0.58，沪300ETF期权持仓量PCR报收于0.75，深300ETF期权持仓量PCR报收于0.76，沪深300股指期权持仓量PCR报收于0.58，中证1000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2.90；沪300ETF的压力点至4.30；深300ETF的压力点为4.40和支撑点为4.20；沪深300指数的压力点为4300和支撑点为4100；中证1000指数的压力点为7800和支撑点为6900。【结论与操作建议】（1）上证50ETF期权 上证50ETF高位回落下行后连续一个多月以来的空头下跌趋势后弱势盘整；期权隐含波动率持续下降回落，期权持仓量PCR维持在较低水平。操作建议，构建卖出看涨期权组合策略，获取时间价值，若市场行情快速大涨至低行权价，则平仓离场，如上证50ETF期权，即S_510050C2208M02850@10，S_510050C2208M02900@10。（2）沪300ETF期权 沪300ETF震荡下行弱势偏空头下跌趋势；期权隐含波动率快速上涨后大幅下降，期权持仓量PCR持续小幅震荡。操作建议，构建认购期权熊市价差组合策略，若市场行情快速大涨，则平仓离场，如沪300ETF期权，即B_510300C2208M04400@10，B_510300C2208M04300@10和S_510300C2208M04000@10，S_510300C2208M04100@10。五矿期货金融期权日报2022年8月5日 星期五期权研究 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.77700.02700.98510300.SH4.15300.03100.75159919.SZ4.15700.03300.80000300.SH4,101.5434.560.85000852.SH6,960.3143.640.63【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(%)2.8000.04130.05902.78230.02640.964.2000.05440.10084.15360.03510.854.2000.05800.10004.15800.03350.814,100.0064.0070.804,093.2032.400.807,000.0092.00193.006,899.0013.600.20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19.2419.5019.3719.4620.8018.13142022-08-2419.1320.3519.8019.1720.6917.66142022-08-2419.3121.0720.2919.8321.1718.49142022-08-2419.7720.0019.8819.7621.3318.20112022-08-1923.6225.5224.6923.7425.9221.56112022-08-19【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743,274774,1481.04-0.05 1,075,151624,6620.580.03593,381719,4381.210.16660,123495,6270.750.0199,769125,1721.250.11135,224102,6650.760.0443,18337,4830.87-0.05 65,39037,9940.58-0.01 19,18324,4561.270.1913,82410,5020.76-0.04 数据来源：wind，五矿期货期权事业部24.0410.853.232,168.9977.850.00060.0010-8.34 SZ300ETFHS300期权标的升贴水ZZ10000.9(亿)SH50ETFSH300ETF期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS300期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)867.56261.75SH50ETFSH300ETF成交额(亿)1.58(亿)2,103.64ZZ1000-61.31 0.0053 图3: SZ300ETF走势图【标的价量关系】图1: SH50ETF走势图图2 SH300ETF走势图图4: 沪深300走势图2.7770 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-04成交量(万)收盘价4.1530 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-04成交量(万)收盘价4.1570 0601201802403003603.603.804.004.204.404.604.805.005.205.402022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-04成交量(万)收盘价4,101.54 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-04成交量(亿)收盘价 【SH50ETF期权持仓分布】【SH50ETF期权最大未平仓】【SH50ETF期权持仓量PCR】【SH50ETF期权隐含波动率】050,000100,000150,000200,000250,0002.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95 3.00 3.10 3.20 3.30 3.40 3.50 3.60 SH50ETF期权持仓分布图OI_POI_C-15,000-10,000-5,00005,00010,00015,00020,0002.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95 3.00