股指期权周报：中小盘股强于大盘股 均线黏合 关注做多波动率

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3800，期权最痛点是3850 2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-06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缩小2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-23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0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-30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，持仓量回升0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-13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平稳 30003200340036003800400042004400460048002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-132024-06-262024-07-092024-07-222024-08-022024-08-152024-08-282024-09-102024-09-252024-10-152024-10-282024-11-082024-11-21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格区间扩大 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缩小3000.003500.004000.004500.005000.005500.006000.006500.007000.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-17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1500.002500.003500.004500.005500.006500.007500.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-23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3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-132024-06-26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成交量萎缩，持仓量回升2000.002500.003000.003500.004000.004500.005000.005500.006000.006500.007000.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-052024-02-262024-03-082024-03-212024-04-032024-04-182024-05-062024-05-172024-05-302024-06-132024-06-26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、期权持仓量PCR都上升0.001000.002000.003000.004000.005000.006000.007000.008000.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-10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期权看涨、看跌期权最大持仓量行权价格平稳3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.008000.002023-05-162023-05-292023-06-092023-06-262023-07-072023-07-202023-08-022023-08-152023-08-282023-09-082023-09-212023-10-122023-10-252023-11-072023-11-202023-12-012023-12-142023-12-272024-01-102024-01-232024-02-05202