股指期权周报：指数先抑后扬 ETF期权即将到期 策略以防守为主

——股指期权周报2025.5.26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 300股指期权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3900 2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-18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扩大 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缩小2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-10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股指期货成交量放大，持仓量增加0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-17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期权成交量放大，持仓量回升0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-30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先升后降，期权持仓量PCR上升 30003200340036003800400042004400460048002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-132024-06-262024-07-092024-07-222024-08-022024-08-152024-08-282024-09-102024-09-252024-10-152024-10-282024-11-08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标的指数跌破看跌期权最大持仓量行权价 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2506合约看涨、看跌期权最大持仓量行权价格分别是6200、5800，期权最痛点6000 数据来源：Wind当月IM期货与中证1000指数基差统计IM期货当月合约贴水标的期现基差先扩后缩3000.003500.004000.004500.005000.005500.006000.006500.007000.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-06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1500.002500.003500.004500.005500.006500.007500.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-10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成交量放大，持仓量增加3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-13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，持仓量回升2000.002500.003000.003500.004000.004500.005000.005500.006000.006500.007000.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-13中证1000期权成交持仓图中证1000期权成交量【右】中证1000收盘价【左】 数据来源：Wind中证1000股指期权PCR统计本周期权成交量PCR上升，期权持仓量PCR先升后降0.001000.002000.003000.004000.005000.006000.007000.008000.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-27中证1000期权成交量PCR【右】中证1000收盘价【左】 数据来源：Wind中证1000股指期权当月合约最大持仓量行权价位统计中证1000期权看跌期权最大持仓量行权价格上移3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.008000.002023-04-282023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024