金融期权日报

2.35金融期权日报2022年10月14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、沪深300指数日内行情低开后窄幅盘整震荡；中证1000指数日内行情低开高走后冲高回落；日线上看，上证50ETF延续空头下跌趋势；沪深300指数维持空头下跌趋势弱势向下；中证1000指数连续报收大阴线后低位超跌反弹连续报收阳线。截至昨日收盘，上证50ETF跌幅1.16%报收于2.564，沪300ETF跌幅0.86%报收于3.815，深300ETF跌幅0.73%报收于3.815，沪深300指数跌幅0.84%报收于3752.67，中证1000指数涨幅0.96%报收于6252.22。【期权盘面】 ·隐含波动率：上证50ETF延续弱势空头下行趋势，沪深300指数空头压力线下弱势震荡，中证1000指数沿着空头趋势方向连续大幅下跌后报复性反弹上升，连续三天报收阳线，金融期权隐含波动率持续小幅波动。截止昨日收盘，上证50ETF期权隐含波动率上升0.73%报收于19.93%，沪300ETF期权隐含波动率上升0.38%报收于19.10%，深300ETF期权隐含波动率上升0.13%报收于19.61%，沪深300股指期权隐含波动率上升0.42%报收于25.69%，中证1000股指期权隐含波动率下降0.17%报收于25.69%。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延续弱势空头下行趋势，沪深300指数上方有空头趋势压力的弱势下行，中证1000指数延续空头趋势方向下超跌反弹连续报收阳线，ETF期权持仓量PCR小幅变化，而中证1000股指期权持仓量PCR大幅上涨；截止收盘，上证50ETF期权持仓量PCR报收于0.50，沪300ETF期权持仓量PCR报收于0.70，深300ETF期权持仓量PCR报收于0.80，沪深300股指期权持仓量PCR报收于0.52，中证1000股指期权持仓量PCR报收于0.84。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2.70；沪300ETF的压力点至4.00和支撑点为3.90；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3900和支撑点为3700；中证1000指数的压力点为6500和支撑点为6000。【结论与操作建议】（1）上证50ETF期权 上证50ETF本周以来不断下行，跌破今年5月以来的低点后反弹上升受阻回落延续弱势空头趋势；期权隐含波动率窄幅波动，期权持仓量PCR持续下跌。操作建议，构建卖出认购期权组合策略，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_510050C2210M02700@10和S_510050C2210M02650@10。（2）沪300ETF期权 沪300ETF偏空头趋势逐渐下降后小幅盘整，低位回升尚未改变趋势线方向；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_510300C2210M03900@10和S_510300C2210M04000@10。（3）中证1000股指期权 中证1000指数经过前期的连续报收大阴线后，超低反弹连续报收阳线，而空头趋势线方向仍向下；中证1000股指期权隐含波动率小幅下降，期权持仓量PCR大幅上涨。操作建议，构建卖出宽跨式期权期权组合策略，获取时间价值，根据市场行情变化，动态地调整持仓，使得持仓合约的行权价尽可能处于行情的对称两边，若市场行情急速大涨或大跌，则逐渐平仓离场，如ZZ1000股指期权，S_MO2210-C-6400和S_MO2210-P-6100。 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.5640-0.0300 -1.16 510300.SH3.8150-0.0330 -0.86 159919.SZ3.8150-0.0280 -0.73 000300.SH3,752.67-31.63 -0.84 000852.SH6,252.2259.570.96【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(%)2.5500.04860.02862.5700-0.0300 -1.15 3.8000.06340.04543.8180-0.0317 -0.82 3.8000.06570.04653.8192-0.0303 -0.79 3,750.0045.8041.803,754.00-30.80 -0.81 6,300.0066.00130.606,235.4062.001.00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19.7920.1019.9318.5720.5316.61132022-10-2619.0819.1319.1018.2720.3216.23132022-10-2619.8519.3519.6119.0821.2816.88132022-10-2619.8419.4219.6719.0721.2816.8682022-10-2125.1726.2625.6923.4126.1220.7182022-10-21【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708,270592,5850.84-0.05 1,027,457512,0750.50-0.01 524,055500,8810.96-0.06 615,027429,4060.70-0.02 91,27886,3130.95-0.04 123,03597,8530.800.0153,67135,3650.66-0.09 60,38231,6730.520.0241,15937,6280.910.0223,00719,3220.840.19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)641.40345.14SH50ETFSH300ETF成交额(亿)1.29(亿)1,570.55ZZ1000-16.82 0.0060SH50ETFSH300ETF期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS3000.00300.00421.33SZ300ETFHS300期权标的升贴水ZZ10000.99(亿)16.4613.192.991,983.6978.30 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2.5640 02505007501,0001,2501,5002.402.602.803.003.203.402022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-262022-05-312022-06-062022-06-092022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-13成交量(万)收盘价3.8150 03006009001,2001,5001,8003.603.804.004.204.404.604.802022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-262022-05-312022-06-062022-06-092022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-13成交量(万)收盘价3.8150 0601201802403003603.603.804.004.204.404.604.802022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-262022-05-312022-06-062022-06-092022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-13成交量(万)收盘价3,752.67 0501001502002503003,6003,8004,0004,2004,4004,6004,8002022-04-062022-04-112022-04-142022-04-192022-04-222022-04-272022-05-052022-05-102022-05-132022-05-182022-05-232022-05-262022-05-312022-06-062022-06-092022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-13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