股指期权周报：5月合约到期 交割结算价上涨

——股指期权周报2025.5.19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 12沪深300股指期权（IO）中证1000股指期权（MO）3上证50股指期权（HO） 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 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，受850日均线压制，日三彩K线指标维持红色 300股指期权2505合约到期，2506合约看涨、看跌最大持仓量行权价格分别是4000和3900，期权最痛点是3850 2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-17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：Wind当月IF期货与沪深300指数基差统计IF期货当月合约期贴水标的期现基差缩小 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基差扩大2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-09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0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-172024-04-262024-05-10沪深300股指期货成交持仓图 数据来源：Wind沪深300股指期权持仓量、成交量统计IO期权成交量萎缩，五月阶段持仓量创近十个月低点0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-172024-04-262024-05-102024-05-21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】 期权成交量PCR下降，期权持仓量PCR先升后降 30003200340036003800400042004400460048002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-172024-04-262024-05-102024-05-212024-05-302024-06-112024-06-202024-07-012024-07-102024-07-192024-07-302024-08-082024-08-192024-08-282024-09-062024-09-192024-09-302024-10-162024-10-25沪深300股指期权最大持仓行权价图沪深300股指期权CALL最大持仓行权价沪深300股指期权PUT最大持仓行权价沪深300指数收盘价数据来源：Wind沪深300股指期权当月合约最大持仓量行权价位统计看涨、看跌期权最大持仓量行权价都上移 沪深300股指期权5月合约到期交割结算价较上月上升，行权率上升 中证1000股指期权（MO） 数据来源：文华财经中证1000指数周K线图 数据来源：文华财经中证1000指数日K线图 中证1000股指期权2505合约到期，2506合约看涨、看跌期权最大持仓量行权价格分别是6200、5400，期权最痛点6000 数据来源：策略星学院 数据来源：Wind当月IM期货与中证1000指数基差统计IM期货当月合约转为升水标的3000.003500.004000.004500.005000.005500.006000.006500.007000.002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-172024-04-26中证1000股指期货当月合约基差图（当月合约—标的） 数据来源：WindIM期货当月与近月价差统计次月合约贴水当月合约基差扩大1500.002500.003500.004500.005500.006500.007500.002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-09中证1000股指期货月间价差图（次月—当月） 数据来源：Wind中证1000股指期货持仓量、成交量统计中证1000股指期货IM成交量萎缩，持仓量减少3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-02-072024-02-262024-03-062024-03-152024-03-262024-04-082024-04-172024-04-262024-05-102024-05-212024-05-302024-06-11中证1000股指期货成交持仓图 数据来源：Wind中证1000股指期权持仓量、成交量统计期权MO成交量放大，五月阶段持仓量创上市以来最大值2000.003000.004000.005000.006000.007000.008000.002023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-07-262023-08-042023-08-152023-08-242023-09-042023-09-132023-09-222023-10-112023-10-202023-10-312023-11-092023-11-202023-11-292023-12-082023-12-192023-12-282024-01-092024-01-182024-01-292024-0