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金融期权日报

2022-11-24卢品先五矿期货劣***
金融期权日报

2.35卢品先投研经理从业资格号0755-23375252lupx@wkjyqh.comF3047321交易咨询号Z0015541【行情要点】 ·市场行情:金融期权标的上证50ETF日内行情低开高走冲高回落后窄幅波动;沪深300指数低开后窄幅波动午后冲高回落;中证1000指数日内行情低开低走后逐渐上涨回暖;日线上看,上证50ETF上周上升受阻回落连续报收阴线,形成55天均线压力下的弱势盘整;沪深300指数延续近一周以来21天均线和55天均线之间盘整震荡;中证1000指数延续近三周以来高位宽幅区间震荡。截至昨日收盘,上证50ETF涨幅0.19%报收于2.575,沪300ETF涨幅0.08%报收于3.834,深300ETF涨幅0.13%报收于3.837,沪深300指数涨幅0.10%报收于3773.53,中证1000指数跌幅0.23%报收于6567.99。【期权盘面】 ·隐含波动率:截止昨日收盘,金融ETF期权隐含波动率小幅波动,而股指期权隐含波动率则小幅下降。其中上证50ETF期权隐含波动率下降1.31%报收于20.53%,沪300ETF期权隐含波动率上升0.85%报收于19.67%,深300ETF期权隐含波动率下降0.76%报收于20.11%,沪深300股指期权隐含波动率下降0.03%报收于20.61%,中证1000股指期权隐含波动率下降0.45%报收于21.93%。 ·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0.83,沪300ETF期权成交量PCR报收于1.07,深300ETF期权成交量PCR报收于1.32,沪深300股指期权成交量PCR报收于0.83,中证1000股指期权成交量PCR报收于0.93。 ·持仓量PCR: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0.68,沪300ETF期权持仓量PCR报收于0.92,深300ETF期权持仓量PCR报收于0.86,沪深300股指期权持仓量PCR报收于0.72,中证1000股指期权持仓量PCR报收于0.89。 ·最大未平仓所在的行权价: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2.60和支撑点为2.55;沪300ETF的支撑点为3.80和压力点为3.90;深300ETF的支撑点为3.80和压力点为3.90;沪深300指数的压力点为4000和支撑点为3500;中证1000指数的压力点为7000和支撑点为6600。【结论与操作建议】(1)上证50ETF期权 上证50ETF上周冲高回落连续报收阴线而后反弹回暖上升,形成空头压力线下的弱势盘整;期权隐含波动率小幅下降,期权持仓量PCR逐渐回落。操作建议,构建卖出12月份认购+认沽期权组合策略,获取时间价值,若市场行情快速大涨或大跌,则平仓离场,如上证50ETF期权,即S_510050C2212M02600@10,510050C2212M02650@10和S_510050P2212M02500@10,S_510050P2212M02550@10。(2)沪300ETF期权 沪300ETF上周以来冲高回落逐渐下行后反弹回升,形成下有21天均线支撑上有55天均线压力的市场行情;期权隐含波动率小幅波动,期权持仓量PCR逐渐下降。操作建议,构建卖出12月份宽跨式组合策略,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_510300C2212M04000@10,S_510300C2212M03900@10和S_510300P2212M03800@10,S_510300P2212M03700@10。(3)中证1000股指期权 中证1000指数维持近三周以来偏多头趋势方向上的高位宽幅区间盘整震荡;中证1000股指期权隐含波动率小幅波动,期权持仓量PCR逐渐回落。操作建议,构建卖出偏多头的宽跨式期权组合策略,获取时间价值,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_MO2212-C-6700@1,S_MO2212-C-6600@1和S_MO2212-P-6400@1,S_MO2212-P-6500@1。金融期权日报2022年11月24日 星期四期权研究 【市场行情】合约代码收盘价涨跌涨跌幅(%)510050.SH2.57500.00500.19510300.SH3.83400.00300.08159919.SZ3.83700.00500.13000300.SH3,773.533.960.10000852.SH6,567.99-15.24 -0.23 【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(%)2.6000.05850.07552.58300.00760.303.8000.11900.07373.84530.00570.153.8000.12270.07313.84960.00700.183,750.0096.8066.603,780.201.800.056,600.00122.60167.606,555.00-8.00 -0.12 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20.5520.5020.5321.6322.8020.45352022-12-2819.6019.7319.6720.6121.8519.37352022-12-2820.1020.1220.1121.1922.2420.14352022-12-2820.2421.0520.6121.2922.4120.18232022-12-1621.3622.5421.9323.5125.9921.03232022-12-16【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708,964589,0580.830.15931,602630,6250.680.04416,702447,4221.070.04613,082563,1300.920.0040,54953,6291.320.4571,05961,0060.860.1146,49438,6980.830.0562,81145,2890.720.0232,00629,8090.93-0.02 22,00319,4950.89-0.07 数据来源:wind,五矿期货期权事业部24.0621.046.142,010.71159.970.01266.67SZ300ETFHS300期权标的升贴水ZZ10001.45(亿)0.0080期权标的SH300ETFZZ1000ZZ1000SZ300ETFHS300SH50ETFSH300ETF期权标的SH50ETFSZ300ETFHS300SH50ETFSH300ETFSZ300ETFHS300标的简称成交量(万)933.06548.79SH50ETFSH300ETF成交额(亿)1.44(亿)1,795.21ZZ1000-12.99 0.0113 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2.5750 02505007501,0001,2501,5001,7502,0002.202.402.602.803.003.202022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-23成交量(万)收盘价3.8340 03006009001,2001,5003.403.603.804.004.204.404.602022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-23成交量(万)收盘价3.8370 0601201802403.403.603.804.004.204.404.604.802022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-23成交量(万)收盘价3,773.53 0501001502002503003,4003,6003,8004,0004,2004,4004,6004,8002022-05-202022-05-252022-05-302022-06-022022-06-082022-06-132022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192

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