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金融期权日报

2022-09-23卢品先五矿期货余***
金融期权日报

2.35金融期权日报2022年9月23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】金融期权标的上证50ETF日内行情低开后弱势盘整震荡;沪深300指数日内行情低开后窄幅盘整;中证1000指数日内行情低开高后逐渐下行回落;日线上看,上证50ETF延续上方有压力的弱势偏空头下跌趋势;沪深300指数维持空头压力线下弱势下行;中证1000指数上周沿着空头趋势方向加速下跌,本周以来低位弱势盘整震荡。截至昨日收盘,上证50ETF跌幅0.78%报收于2.670,沪300ETF跌幅0.73%报收于3.932,深300ETF跌幅0.76%报收于3.936,沪深300指数跌幅0.88%报收于3869.34,中证1000指数涨幅0.10%报收于6487.27。【期权盘面】 ·隐含波动率:上证50ETF上方有压力的偏空头下行,沪深300指数沿着空头方向持续下跌,中证1000指数空头趋势方向下低位盘整震荡,金融期权隐含波动率普遍小幅上升。截止昨日收盘,上证50ETF期权隐含波动率上升0.84%报收于20.08%,沪300ETF期权隐含波动率上升0.54%报收于19.23%,深300ETF期权隐含波动率上升0.96%报收于20.27%,沪深300股指期权隐含波动率上升0.79%报收于20.62%,中证1000股指期权隐含波动率上升0.09%报收于25.47%。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延续弱势偏空头,沪深300指数上方有空头压力的弱势下行,中证1000指数延续空头下低位盘整震荡,ETF期权持仓量PCR小幅下降,而中证1000股指期权持仓量PCR有所上涨;截止收盘,上证50ETF期权持仓量PCR报收于0.53,沪300ETF期权持仓量PCR报收于0.66,深300ETF期权持仓量PCR报收于0.70,沪深300股指期权持仓量PCR报收于0.77,中证1000股指期权持仓量PCR报收于0.87。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和支撑点为2.70;沪300ETF的压力点至4.10和支撑点为3.90;深300ETF的压力点为4.10和支撑点为4.00;沪深300指数的压力点为4300和支撑点为3900;中证1000指数的压力点为7000和支撑点为6200。【结论与操作建议】(1)上证50ETF期权 上证50ETF上周盘整震荡后连续大幅下跌,跌破近两周以来的震荡区间下限,本周以来延续空头下行趋势;期权隐含波动率小幅上升,期权持仓量PCR低位窄幅盘整。操作建议,构建卖出10月份认购期权组合策略,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_510050C2210M02800@10和S_510050C2210M02750@10。(2)上证300ETF期权 上证300ETF维持空头压力线下弱势偏空头下行;期权隐含波动率持续下降小幅上升,期权持仓量PCR小幅波动。操作建议,构建卖出10月份认购期权组合策略,获取时间价值,若市场行情快速大涨,则平仓离场,如沪300ETF期权,即S_510300C2210M04100@10和S_510300C2210M04200@10。(3)中证1000股指期权 中证1000指数高位回落后沿着空头趋势方向加速下跌,本周以来低位弱势盘整震荡,短期趋势线方向仍向下;中证1000股指期权隐含波动率小幅上升,期权持仓量PCR窄幅波动。操作建议,构建卖出看涨期权组合策略,获取时间价值,若市场行情快速上涨至低行权价,则逐渐平仓离场,如ZZ1000股指期权,S_MO2210-C-6600和S_MO2210-C-6700。 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.6700-0.0210 -0.78 510300.SH3.9320-0.0290 -0.73 159919.SZ3.9360-0.0300 -0.76 000300.SH3,869.34-34.39 -0.88 000852.SH6,487.276.670.10【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(%)2.6500.03960.01482.6748-0.0188 -0.70 3.9000.05670.02243.9343-0.0278 -0.70 3.9000.05950.02173.9378-0.0274 -0.69 3,850.0091.6069.603,872.00-27.60 -0.71 6,500.00130.40196.206,434.2020.200.31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19.6720.5120.0816.9918.2415.7462022-09-2819.3619.1219.2316.8718.0915.6662022-09-2819.4920.9220.2717.5418.6916.3962022-09-2820.2321.0020.6217.6219.2116.02292022-10-2124.2126.7725.4722.5924.7720.40292022-10-21【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714,826666,3960.930.021,191,758631,8340.53-0.02 517,754641,5071.240.17739,897486,0810.66-0.03 99,438118,6041.190.03164,368115,5360.700.0334,99336,3211.040.0345,44035,1730.77-0.08 24,55523,6550.96-0.17 17,52615,2450.87-0.01 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)658.25279.85SH50ETFSH300ETF成交额(亿)1.05(亿)1,291.39ZZ1000-53.07 0.0048SH50ETFSH300ETF期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS3000.00230.00182.66SZ300ETFHS300期权标的升贴水ZZ10000.81(亿)17.6011.022.111,611.3453.64 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2.6700 02505007501,0001,2501,5002.602.702.802.903.003.103.203.303.402022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-22成交量(万)收盘价3.9320 03006009001,2001,5001,8003.603.804.004.204.404.604.805.005.205.402022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-22成交量(万)收盘价3.9360 0601201802403003603.603.804.004.204.404.604.805.005.205.402022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-22成交量(万)收盘价3,869.34 01002003003,6003,8004,0004,2004,4004,6004,8005,0005,2002022-03-212022-03-242022-03-292022-04-012022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-22成交量(亿)收盘价 【SH50ETF期权持仓分布】【SH50ETF期权最大未平仓】【

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