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、沪深300指数日内行情低开高走震荡上行；中证1000指数日内行情低开高走持续上涨；日线上看，上证50ETF空头趋势线下反弹回升；沪深300指数维持空头趋势线下震荡上行；中证1000指数超跌反弹“V”型反转，连续五天报收大阳线。截至昨日收盘，上证50ETF跌幅0.06%报收于2.623，沪300ETF跌幅0.03%报收于3.902，深300ETF涨幅0.03%报收于3.905，沪深300指数涨幅0.10%报收于3846.41，中证1000指数涨幅1.03%报收于6742.45。【期权盘面】 ·隐含波动率：截止昨日收盘，金融期权普遍下降回落，其中上证50ETF期权隐含波动率下降0.38%报收于17.49%，沪300ETF期权隐含波动率下降1.09%报收于18.45%，深300ETF期权隐含波动率下降0.80%报收于17.63%，沪深300股指期权隐含波动率下降0.66%报收于18.06%，中证1000股指期权隐含波动率下降1.87%报收于22.47%。 ·成交量PCR：期权的成交量PCR，是从期权的买方角度分析市场的活跃程度。截止收盘，上证50ETF期权成交量PCR报收于0.80，沪300ETF期权成交量PCR报收于0.96，深300ETF期权成交量PCR报收于1.04，沪深300股指期权成交量PCR报收于0.72，中证1000股指期权成交量PCR报收于1.06。期权的持仓量PCR，是从期权的卖方角度分析市场的参与程度。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。截止收盘，上证50ETF期权持仓量PCR报收于0.61，沪300ETF期权持仓量PCR报收于0.87，深300ETF期权持仓量PCR报收于0.93，沪深300股指期权持仓量PCR报收于0.61，中证1000股指期权持仓量PCR报收于1.03。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4.10和支撑点为3.80；沪深300指数的压力点为3900和支撑点为3800；中证1000指数的压力点为6600和支撑点为6200。【结论与操作建议】（1）上证50ETF期权 上证50ETF延续空头趋势方向下低位弱势震荡，反弹回升；期权隐含波动率逐渐下降回落，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空头压力线下宽幅矩形区间震荡；期权隐含波动率之间下降，期权持仓量PCR窄幅波动。操作建议，构建卖出10月份宽跨式期权组合策略，获取时间价值，若市场行情快速大涨大涨或大跌，则平仓离场，如沪300ETF期权，即S_510300C2210M04000@10，S_510300C2210M03900@10和S_510300P2210M03800@10，S_510300P2210M03900@10。（3）中证1000股指期权 中证1000指数超跌反弹“V”型反转，连续五天报收阳线，市场行情格局发生转变，逐渐偏向多头市场；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，构建看跌期权牛市价差组合策略，获取方向性收益，若市场行情急速大跌，则逐渐平仓离场，如ZZ1000股指期权，B_MO2210-P-6300和S_MO2210-P-6600。金融期权日报2022年10月18日 星期二期权研究 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.6230-0.0020 -0.08 510300.SH3.9020-0.0010 -0.03 159919.SZ3.90500.00100.03000300.SH3,846.413.940.10000852.SH6,472.4565.991.03【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(%)2.6000.04310.01922.6239-0.0051 -0.19 3.9000.04480.04153.9033-0.0010 -0.03 3.9000.04630.04193.9044-0.0013 -0.03 3,850.0028.6038.203,840.40-0.80 -0.02 6,500.0050.0095.006,455.0038.200.60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17.6217.3217.4918.7120.5416.8892022-10-2617.0417.2717.1518.4520.3516.5492022-10-2617.6417.6317.6319.2121.2917.1392022-10-2617.9918.1618.0619.3521.2417.4742022-10-2121.7023.1822.4723.4126.0820.7542022-10-21【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643,368517,0500.800.14917,635556,8020.61-0.05 462,419444,9140.960.11549,265476,4500.87-0.02 74,17977,0351.040.03105,75997,9220.93-0.02 42,04530,3430.720.1351,31831,2050.61-0.00 34,49336,6731.060.2121,73722,3921.030.03数据来源：wind，五矿期货期权事业部13.6615.133.012,204.8977.250.0013-0.0006 -6.01 SZ300ETFHS300期权标的升贴水ZZ10001.04(亿)SH50ETFSH300ETF期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS300期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)522.89388.76SH50ETFSH300ETF成交额(亿)1.32(亿)1,711.29ZZ1000-17.45 0.0009 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2.6230 02505007501,0001,2501,5002.402.602.803.003.203.402022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-17成交量(万)收盘价3.9020 03006009001,2001,5001,8003.603.804.004.204.404.604.802022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-17成交量(万)收盘价3.9050 0601201802403003603.603.804.004.204.404.604.802022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-17成交量(万)收盘价3,846.41 0501001502002503003,6003,8004,0004,2004,4004,6004,8002022-04-082022-04-132022-04-182022-04-212022-04-262022-04-292022-05-092022-05-122022-05-172022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-17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】020,000