成交额再破万亿 北上资金连续净流入——股指期权周报2024.2.18研究员 ：丁文联系方式：0371-68599112电子邮箱：dingw_qh@ccnew.com执业证书编号：F3066473投资咨询编号：Z0014838上交所期权策略顾问：YZ16008281投资咨询业务资格证监发【2014】217号 本期观点品种主要逻辑策略建议趋势策略波动率策略股指期权股指期权：节前最后一周指数触底反弹，两市成交额再破万亿。北向资金连续8个交易日净流入，一周4个交易日累计净买入160.82亿元（其中沪股通净买入86.18亿元，深股通净买入74.65亿元）。沪深300指数节前四连阳，周线阳包阴，日三彩K线指标转为红色，周三彩K线指标转为蓝色。IF期货当月合约期现基差贴水标的缩小，次月合约贴水当月合约缩小。沪深300股指期权持仓量减少，成交量萎缩，期权成交量PCR下降，期权持仓量PCR上升，期权隐含波动降低，看涨、看跌期权最大持仓量行权价格上移。中证1000指数日线三连阳，三彩K线指标转红色，周线结束五连阴，三彩K线指标转为蓝色。IM期货当月合约期现基差贴水标的缩小，次月合约贴水当月合约缩小。中证1000股指期权MO成交量、持仓量再创上市以来极值，期权成交量PCR下降，期权持仓量PCR上升，期权隐含波动率先升后降，中证1000标的回到看涨、跌破看跌期权最大持仓量行权价格之间。2月19日（周一）是中金所股指期货、期权2月合约最后交易日，投资者可在当天上午参与日内末日轮交易。逢低买入牛市看涨价差指数上涨时卖出宽跨式做空波动率 12目录Content沪深300股指期权（IO）中证1000股指期权（MO） 1沪深300股指期权（IO） 数据来源：文华财经沪深300指数周K线图沪深300指数周线阳包阴，三彩K线指标转为蓝色 数据来源：文华财经沪深300指数日K线图沪深300指数节前四连阳，三彩K线指标转为红色 数据来源：咏春沪深300股指期权当月期权T型报价300股指期权2403合约看涨、看跌最大持仓量行权价格分别是3500、3300，期权最痛点讲到3350 数据来源：策略星学院沪深300股指期权隐含波动率股指期权隐含波动降低 数据来源：Wind当月IF期货与沪深300指数基差统计IF期货当月合约期现基差贴水标的缩小-120-70-2030801301802,000.00002,500.00003,000.00003,500.00004,000.00004,500.00005,000.00005,500.00006,000.00002019-12-232020-01-152020-02-142020-03-092020-03-312020-04-232020-05-202020-06-112020-07-072020-07-292020-08-202020-09-112020-10-132020-11-042020-11-262020-12-182021-01-122021-02-032021-03-042021-03-262021-04-202021-05-172021-06-082021-07-012021-07-232021-08-162021-09-072021-10-082021-11-012021-11-232021-12-152022-01-072022-02-072022-03-012022-03-232022-04-182022-05-132022-06-072022-06-292022-07-212022-08-122022-09-052022-09-282022-10-272022-11-182022-12-122023-01-042023-02-022023-02-242023-03-202023-04-122023-05-092023-05-312023-06-262023-07-182023-08-092023-08-312023-09-222023-10-242023-11-152023-12-072023-12-292024-01-23沪深300当月合约基差图（当月合约—标的）基差（期货-标的）【右】沪深300收盘价【左】 数据来源：WindIF期货当月与近月价差统计次月合约贴水当月合约缩小-100-500501001502000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-152020-02-142020-03-092020-03-312020-04-232020-05-202020-06-112020-07-072020-07-292020-08-202020-09-112020-10-132020-11-042020-11-262020-12-182021-01-122021-02-032021-03-042021-03-262021-04-202021-05-172021-06-082021-07-012021-07-232021-08-162021-09-072021-10-082021-11-012021-11-232021-12-152022-01-072022-02-072022-03-012022-03-232022-04-182022-05-132022-06-072022-06-292022-07-212022-08-122022-09-052022-09-282022-10-272022-11-182022-12-122023-01-042023-02-022023-02-242023-03-202023-04-122023-05-092023-05-312023-06-262023-07-182023-08-092023-08-312023-09-222023-10-242023-11-152023-12-072023-12-292024-01-23沪深300月间价差图（次月—当月）月间价差（次月-当月）【右】沪深300收盘价【左】 数据来源：Wind沪深300股指期货持仓量、成交量统计沪深300股指期货成交量萎缩，持仓量减少01000002000003000004000005000006000000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-152020-02-142020-03-092020-03-312020-04-232020-05-202020-06-112020-07-072020-07-292020-08-202020-09-112020-10-132020-11-042020-11-262020-12-182021-01-122021-02-032021-03-042021-03-262021-04-202021-05-172021-06-082021-07-012021-07-232021-08-162021-09-072021-10-082021-11-012021-11-232021-12-152022-01-072022-02-072022-03-012022-03-232022-04-182022-05-132022-06-072022-06-292022-07-212022-08-122022-09-052022-09-282022-10-272022-11-182022-12-122023-01-042023-02-022023-02-242023-03-202023-04-122023-05-092023-05-312023-06-262023-07-182023-08-092023-08-312023-09-222023-10-242023-11-152023-12-072023-12-292024-01-23沪深300股指期货成交持仓图沪深300股指期货成交量【右】沪深300收盘价【左】沪深300股指期货持仓量【右】 数据来源：Wind沪深300股指期权持仓量、成交量统计沪深300股指期权持仓量减少，成交量萎缩01000002000003000004000005000006000000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-152020-02-142020-03-092020-03-312020-04-232020-05-202020-06-112020-07-072020-07-292020-08-202020-09-112020-10-132020-11-042020-11-262020-12-182021-01-122021-02-032021-03-042021-03-262021-04-202021-05-172021-06-082021-07-012021-07-232021-08-162021-09-072021-10-082021-11-012021-11-232021-12-152022-01-072022-02-072022-03-012022-03-232022-04-182022-05-132022-06-072022-06-292022-07-212022-08-122022-09-052022-09-282022-10-272022-11-182022-12-122023-01-042023-02-022023-02-242023-03-202023-04-122023-05-092023-05-312023-06-262023-07-182023-08-092023-08-312023-09-222023-10-242023-11-152023-12-072023-12-292024-01-23沪深300股指期权成交持仓图沪深300股指期权成交量【右】沪深300收盘价【左】沪深300股指期权持仓量【右】 数据来源：Wind沪深300股指期权PCR统计本周期权成交量PCR下降，期权持仓量PCR上升0.00%20.00%40.00%60.00%80.00%100.00%120.00%140.00%160.00%180.00%200.00%0.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00002019-12-232020-01-152020-02-142020-03-092020-03-312020-04-232020-05-202020-06-112020-07-072020-07-292020-08-202020-09-112020-10-132020-11-042020-11-262020-12-182021-01-122021-02-032021-03-042021-03-262021-04-202021-05-172021-06-082021-07-012021-07-232021-08-162021-09-072021-10-082021-11-012021-11-232021-12-152022-01-072022-02-072022-03-012022-03-232022-04-182022-05-132022-06-072022-06-292022-07-212022-08-122022-09-052022-09-282022-10-272022-11-182022-12-122023-01-042023-02-022023-02-242023-03-202023-04-122023-05-092023-05-312023-06-262023-07-182023-08-092023-08-312023-