金融期权日报

银河期货金融期权日报 400-880-7799www.yhqh.cn银河期货衍生品业务总部权银河金融期权日报2024-3-22星期五2024-3-22 3月22日，沪深两市全天呈现弱势下跌，受人民币汇率贬值影响，两市盘面震荡下行，于平线下 震 荡 整 理 ， 尾 盘 收 阴 。 截 至 收 盘 ， 上 证 指 数 下 跌0.95%， 收 报3048.03点 ， 深 证 成 指 下 跌1.21%，收报9565.56点，创业板指下跌1.47%，收报1869.17点。沪深两市个股大面积下跌，全市场超4000只个股呈现下跌，其中高速铜连接、Kimi概念、IDC(算力租赁)、文化传媒主题等板块涨幅居前。沪深两市今日成交额高达10973亿，较上个交易日放量296亿。北向资金呈现小幅流出，全天净卖出31.38亿，其中沪股通净卖出17.14亿元，深股通净卖出14.24亿元。在期权成交与持仓量方面，今日各期权品种成交量呈现大幅上涨，各品种持仓量基本呈现稳定。近期指数偏震荡整理，市场情绪逐渐平稳，股指期货由贴水状态转接近平水。在波动率方面，今日多数期权品种波动率呈现升波，中证500、创业板ETF、中证1000等中小盘期权标的品种波动率处于相对高位。在IV-HV波动率指数方面，上证50、沪深300期权标的品种处于相对高位水平。在峰度与跨期价差指数方面，科创板50ETF、500ETF、创业板ETF期权标的品种处于相对高位水平，可考虑蝶式策略、日历价差策略做相关波动率回归操作。当下指数目前整体偏震荡整理，避免过分追涨，可考虑反比例认购策略。创业板ETF期权1.56%-1.41%-1.57%3545.005595.880.72%2.00%1.42%1.48%-1.01%-0.99%-0.70%-1.65%-0.98%-1.04%2.01%1.94%-1.93%1.63%1.95%0.83类别标的代码 收盘价 日涨跌幅 本周涨跌幅 振幅沪500ETF期权1.50%-0.87%-0.92%-1.50%1.57%上证50ETF期权股指期权-1.46%1.82一、行情导读股票期权科创50ETF期权科创50ETF期权510050.OF510300.OF159919.OF510500.OF159922.OF2.48588080.OF深100ETF期权159915.OF159901.OF588000.OF2.00%2.01%深300ETF期权0.815.472.443.54-1.77%沪深300股指期权-0.89%-0.93%-0.62%-0.59%-1.51%-1.31%中证1000股指期权000016.SH000300.SH000852.SH上证50股指期权3.68-0.44%-0.87%-1.10%沪300ETF期权深500ETF期权5.592403.20（一）市场综述（二）标的变化情况 数据来源：Wind, 权银河135.68103.2492.8272.74%687,556183,6529.88%111.33370,413412,6511,463,04395,54889.90%176,57534.06%中证1000股指期权140,074类别成交量 变化 持仓量347,2131,598,167沪300ETF期权73.90%276,256股票期权2,313,54576.23%上证50ETF期权华夏科创50ETF期权易方达科创50ETF期权61.41%68.23%12.54%沪500ETF期权57.34%15.56%深500ETF期权创业板ETF期权110.29沪深300股指期权1,900,928深100ETF期权138,73542.84%3.69%88.15-1.04%6.80%9.30%变化变化深300ETF期权54.82正常0.29%正常88.54较高较高2,075,223较高成交量PCR1.05%1,136,444132,2411,347,644持仓量PCR变化98.9093.81112.0696.22较高109.3162.5778.79较高较高正常1,216,969321,142较高较高较高较高较高82.37101.9691.36较高61.03正常64.24较高89.71正常正常正常正常118.76较高较高正常股指期权上证50股指期权34,1672.84%67.4192.58%图1 期权成交与持仓情况100.4911.57%-0.02%1,441,97657,967654,538-0.02%5.95%（三）成交量与持仓量概览0.0万50.0万100.0万150.0万200.0万250.0万上证50ETF期权沪300ETF期权深300ETF期权沪500ETF期权深500ETF期权创业板ETF期权深100ETF期权华夏科创50ETF期权易方达科创50ETF期权上证50股指期权沪深300股指期权中证1000股指期权持仓量成交量 类别到期月份24032404 -24062409 -平值IV15.58%15.96%16.92%17.22%IV变化0.74%1.12%0.09%0.19%平值IV15.17%16.09%17.25%17.54%IV变化0.41%0.86%0.54%0.26%平值IV15.70%16.44%17.19%17.20%IV变化0.76%0.81%0.43%0.02%平值IV19.10%20.38%20.67%20.41%IV变化0.36%0.56%0.05%0.04%平值IV20.50%21.40%21.29%20.85%IV变化1.20%1.27%0.35%0.07%平值IV23.74%24.30%24.20%23.72%IV变化1.08%0.96%0.91%0.46%平值IV18.18%18.88%18.04%18.89%IV变化0.20%0.68%-0.12%0.12%平值IV28.07%26.10%24.99%24.77%IV变化5.29%0.98%0.60%0.10%平值IV24.39%24.94%24.38%24.57%IV变化1.29%1.52%0.65%0.51%到期月份240424052406240924122503平值IV15.99%16.63%16.91%16.87%16.99%17.07%IV变化0.79%1.01%0.40%0.35%0.08%0.20%平值IV16.18%16.89%17.18%17.18%16.88%16.85%IV变化0.63%0.85%0.80%0.80%0.09%0.38%平值IV24.06%24.14%24.23%24.43%23.73%23.37%IV变化-0.12%0.84%0.06%0.26%-0.01%0.19%数据来源：Wind, 权银河二、波动率分析沪500ETF期权深300ETF期权股票期权上证50ETF期权深100ETF期权深500ETF期权易方达科创50ETF期权创业板ETF期权华夏科创50ETF期权沪300ETF期权图2 标的与IV变化情况上证50股指期权股指期权沪深300股指期权中证1000股指期权（一）波动率情况上证50ETF沪300ETF深300ETF沪500ETF深500ETF创业板ETF深100ETF科创50ETF科创50ETF上证50股指沪深300股指中证1000股指-1.0%-0.5%0.0%0.5%1.0%-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%IV涨跌幅变化（纵）标的涨跌幅变化（横） -0.54%-11.63%股票期权52.20%上证50股指期权中证1000股指期权上证50ETF期权深300ETF期权沪500ETF期权沪300ETF期权易方达科创50ETF期权深100ETF期权类别股指期权股指期权17.25%17.09%20.68%27.88%中证1000股指期权类别股票期权沪300ETF期权深300ETF期权上证50ETF期权沪500ETF期权深500ETF期权创业板ETF期权深100ETF期权21.72%16.02%13.71%华夏科创50ETF期权20.46%21.03%25.04%16.97%13.15%15.44%12.40%10.61%14.69%21.95%25.32%28.15%19.49%21.57%30.02%25.22%29.21%23.92%18.62%30.63%83.90%20HV90HV平值加权IV60HV16.83%16.07%25分位数70.50%69.40%14.91%25.66%50分位数18.29%13.05%16.70%17.58%20.68%27.53%12.50%65.10%16.33%80.90%14.73%81.70%14.05%12.52%14.01%75分位数16.13%20.47%16.81%19.97%14.45%41.40%81.30%75.20%20.00%87.90%Kurt分位数Skew分位数Skew1.16%3.94%4.86%IV-HV分位数-0.75%-1.49%-0.83%创业板ETF期权3.57%23.20%11.20%IV-HV-4.91%80.90%85.80%82.70%40.10%1.45%4.23%95.90%88.30%6.35%-0.05%13.16%73.90%70.50%84.80%87.90%85.10%83.90%#VALUE!12.00% -4.23%-3.11%-0.86%0.89%1.27%华夏科创50ETF期权-4.84%4.80%15.48%1.20%深500ETF期权11.06%20.50%15.10%-3.15%-0.79%0.54%40.30%16.20%-0.36%0.10%46.40%沪深300股指期权3.55%-0.36%0.24%50.40%89.80%78.30%25.20%24.00%38.20%24.90%19.50%5.53%31.10%0.17%0.64%0.71%跨期波动率价差0.95%1.41%0.85%1.20%2.01%1.11%0.93%-0.65%1.22%#VALUE!23.80%76.20%82.60%70.60%跨期波动率分位数91.10%91.40%95.50%85.00%21.59%36.30%74.50%3.00%76.80%15.01%58.90%13.98%68.00%55.60%30.47%86.30%16.98%2.42%Kurt12.87%13.26%16.77%13.86%14.35%31.02%11.42%15.09%13.36%23.74%易方达科创50ETF期权26.63%24.54%16.91%26.89%36.28%沪深300股指期权16.94%上证50股指期权（二）波动率分位数情况（三）波动率相关指标分析16.45%14.78%29.88%30.36%26.05%13.97%17.64%19.22%IV当前分位数11.40%14.16%18.84%25.73%11.50%13.93%29.46% 数据来源：Wind, 权银河-8.72IM-37.08-41.82-22.18-11.52-3.905.9813.60%-0.66IC-17.57-66.71-38.80-21.19-8.08-0.335.2055.10%-0.33-4.29IH-0.60年化升贴水率-4.80-39.12-18.91-7.96-0.257.5959.20%-0.14-1.78IF当前基差 10分位数 30分位数 50分位数 70分位数 90分位数当前分位数升贴水率-17.22-7.13-1.712.006.6855.90%-0.03三、股指基差分析Tel: 021-65789078邮箱：zhuwangchao_qh@chinastock.com.cn李松坤期货从业证号：F03108510Tel: 021-65789383邮箱：lisongkun_qh@chinastock.com.cn银河期货有限公司 衍生品业务总部上海：上海市虹口区东大