四月合约到期 行权交割价下降 行权率走低——股指期权周报2024.4.21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本周指数分化，大盘股强于微小盘股，上证综指周内一度突破3100点。北向资金一周累计净卖出66.91亿元（其中沪股通净卖出26.47亿元，深股通净卖出40.44亿元）。沪深300指数先扬后抑，周线收阳，最高曾突破3600，日三彩K线指转为红色，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，次月合约转为升水当月合约。沪深300股指期权4月合约持仓量创近十个月低点，成交量放大，期权成交量PCR先降后升、期权持仓量PCR先升后降，股指期权隐含波动上升，看涨期权最大持仓量行权价格一度上移。沪深300股指期权4月合约到期交割结算价较上月下降，行权率创近40个月低点。中证1000指数先抑后扬，三彩K线指标转为蓝色，周线两连阴，三彩K线指标维持绿色。IM期货当月合约期现基差一度转为升水标的，次月合约贴水当月合约扩大。中证1000股指期权MO成交量放大，4月阶段持仓量低于上月，期权成交量PCR维持在1以上，期权持仓量PCR下降，中证1000股指期权隐含波动率升至30%以上，中证1000看涨、看跌期权最大持仓量行权价格区间平稳。中证1000股指期权4月合约到期交割结算价较上月降低，行权率创近16个月低点。4月24日（周三）是上交所、深交所ETF期权4月合约最后交易日。多OI空OM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指数周线收阳，最高突破3600，三彩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指数先扬后抑，三彩K线指转为红色 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2404合约到期，2405合约看涨、看跌最大持仓量行权价格分别是3600、3500，期权最痛点3550 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上升 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-120.00-70.00-20.0030.0080.00130.00180.002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00005,000.00005,500.00006,000.00002019-12-232020-01-162020-02-182020-03-122020-04-072020-04-302020-05-282020-06-222020-07-172020-08-112020-09-032020-09-282020-10-292020-11-232020-12-162021-01-112021-02-032021-03-052021-03-302021-04-232021-05-212021-06-162021-07-092021-08-032021-08-262021-09-222021-10-222021-11-162021-12-092022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072023-10-102023-11-022023-11-272023-12-202024-01-152024-02-072024-03-112024-04-03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转为升水当月合约-100-500501001502000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-162020-02-182020-03-122020-04-072020-04-302020-05-282020-06-222020-07-172020-08-112020-09-032020-09-282020-10-292020-11-232020-12-162021-01-112021-02-032021-03-052021-03-302021-04-232021-05-212021-06-162021-07-092021-08-032021-08-262021-09-222021-10-222021-11-162021-12-092022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072023-10-102023-11-022023-11-272023-12-202024-01-152024-02-072024-03-112024-04-03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01000002000003000004000005000006000000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-162020-02-182020-03-122020-04-072020-04-302020-05-282020-06-222020-07-172020-08-112020-09-032020-09-282020-10-292020-11-232020-12-162021-01-112021-02-032021-03-052021-03-302021-04-232021-05-212021-06-162021-07-092021-08-032021-08-262021-09-222021-10-222021-11-162021-12-092022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072023-10-102023-11-022023-11-272023-12-202024-01-152024-02-072024-03-112024-04-03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4月合约持仓量创近十个月低点，成交量放大01000002000003000004000005000006000000.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00007,000.00002019-12-232020-01-162020-02-182020-03-122020-04-072020-04-302020-05-282020-06-222020-07-172020-08-112020-09-032020-09-282020-10-292020-11-232020-12-162021-01-112021-02-032021-03-052021-03-302021-04-232021-05-212021-06-162021-07-092021-08-032021-08-262021-09-222021-10-222021-11-162021-12-092022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023-06-012023-06-282023-07-212023-08-152023-09-072023-10-102023-11-022023-11-272023-12-202024-01-152024-02-072024-03-112024-04-03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先降后升、期权持仓量PCR先升后降0.00%20.00%40.00%60.00%80.00%100.00%120.00%140.00%160.00%180.00%200.00%0.00001,000.00002,000.00003,000.00004,000.00005,000.00006,000.00002019-12-232020-01-162020-02-182020-03-122020-04-072020-04-302020-05-282020-06-222020-07-172020-08-112020-09-032020-09-282020-10-292020-11-232020-12-162021-01-112021-02-032021-03-052021-03-302021-04-232021-05-212021-06-162021-07-092021-08-032021-08-262021-09-222021-10-222021-11-162021-12-092022-01-042022-01-272022-02-282022-03-232022-04-192022-05-172022-06-102022-07-052022-07-282022-08-222022-09-152022-10-172022-11-092022-12-022022-12-272023-01-202023-02-212023-03-162023-04-112023-05-092023