2.35金融期权日报2022年9月14日 星期三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】金融期权标的上证50ETF日内行情高开低走快速回升后盘整震荡，午后逐渐回落；沪深300指数日内行情高开高走午后逐渐下行；中证1000指数日内行情高开低走后窄幅波动；日线上看，上证50ETF延续宽幅矩形区间盘整震荡；沪深300指数上周反弹回升后逐渐上涨，上方有趋势线压力；中证1000指数上周超跌反弹持续上涨，而后受阻于空头压力弱势震荡。截至昨日收盘，上证50ETF涨幅0.29%报收于2.808，沪300ETF涨幅0.34%报收于4.173，深300ETF涨幅0.34%报收于4.179，沪深300指数涨幅0.42%报收于4111.11，中证1000指数跌幅0.14%报收于6904.08。【期权盘面】 ·隐含波动率：上证50ETF宽幅矩形区间盘整震荡，沪深300指数空头压力下超低反弹，上方有空头趋势线压力，中证1000指数上升受阻回落，弱势震荡，金融期权隐含波动率小幅波动。截止昨日收盘，上证50ETF期权隐含波动率下降0.67%报收于16.39%，沪300ETF期权隐含波动率下降1.11%报收于14.59%，深300ETF期权隐含波动率下降0.71%报收于15.64%，沪深300股指期权隐含波动率下降0.70%报收于14.40%，中证1000股指期权隐含波动率上升0.26%报收于18.69%。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区矩形间盘整，沪深300指数上方有压力的反弹回升，中证1000指数弱势偏空头，ETF期权持仓量PCR普遍小幅上升，而中证1000股指期权持仓量PCR小幅波动；截止收盘，上证50ETF期权持仓量PCR报收于0.86，沪300ETF期权持仓量PCR报收于0.98，深300ETF期权持仓量PCR报收于0.88，沪深300股指期权持仓量PCR报收于0.67，中证1000股指期权持仓量PCR报收于0.93。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2.85和支撑点为2.80；沪300ETF的压力点至4.30和支撑点为4.10；深300ETF的压力点为4.30和支撑点为4.20；沪深300指数的压力点为4200和支撑点为4100；中证1000指数的压力点为7000和支撑点为6800。【结论与操作建议】（1）上证50ETF期权 上证50ETF维持一周以来的宽幅矩形区间盘整震荡；期权隐含波动率持续下降，期权持仓量PCR大幅上升后窄幅波动。操作建议，构建卖出期权的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，则平仓离场，如上证50ETF期权，即S_510050C2209M02800@10，S_510050C2209M02850@10和S_510050P2209M02750@10，S_510050P2209M02800@10。（2）沪300ETF期权 沪300ETF宽幅区间震荡逐渐上行，上方有空头趋势线压力；期权隐含波动率延续下降通道，期权持仓量PCR小幅波动。操作建议，构建卖出宽跨式期权组合策略，获取时间价值，若市场行情快速大涨或大跌，则平仓离场，如沪300ETF期权，即S_510300C2209M04300@10，S_510300C2209M04200@8和S_510300P2209M04100@10，S_510300P2209M04000@10。（3）中证1000股指期权 中证1000指数上周超跌反弹回升后，受阻回落，延续弱势偏空头趋势；中证1000股指期权隐含波动率持续小幅波动，期权持仓量PCR小幅上涨。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，则逐渐平仓离场，如ZZ1000股指期权，S_MO2210-C-7000和S_MO2210-C-7100。 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.80800.00800.29510300.SH4.17300.01400.34159919.SZ4.17900.01400.34000300.SH4,111.1117.330.42000852.SH6,904.08-9.50 -0.14 【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(%)2.8000.04140.02962.81180.00630.224.2000.03660.06304.17360.01220.294.2000.04170.06154.18020.01490.364,100.0029.0018.004,111.0014.600.366,900.0051.0058.806,892.20-18.00 -0.26 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15.3215.4715.3917.1318.1216.15152022-09-2814.5014.6714.5916.9217.8116.03152022-09-2815.1416.1915.6417.4818.2816.69152022-09-2813.7915.2014.4017.0618.2015.9132022-09-1618.6518.7318.6922.3424.4420.2432022-09-16【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695,536619,6530.890.081,080,840929,1770.860.03447,237443,5040.990.02715,440699,0880.980.0382,63076,1250.920.08152,575134,9930.880.0640,48530,5040.750.0357,41438,6210.670.0118,29617,9000.980.0116,12515,0500.930.02数据来源：wind，五矿期货期权事业部期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)648.76327.43SH50ETFSH300ETF成交额(亿)1.26(亿)1,564.96ZZ1000-11.88 0.0038SH50ETFSH300ETF期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS3000.00060.0012-0.11 SZ300ETFHS300期权标的升贴水ZZ10001.12(亿)18.2313.682.512,185.2160.11 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2.8080 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-13成交量(万)收盘价4.1730 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-13成交量(万)收盘价4.1790 0601201802403003603.603.804.004.204.404.604.805.005.205.402022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-13成交量(万)收盘价4,111.11 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-