股指期权周报：期权成交量PCR上升 隐含波动率上升

——股指期权周报2025.6.16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指数日线震荡整理均线粘合，日三彩K线指标转为绿色 2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-13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2,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-30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0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-242024-06-06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0.0000500.00001,000.00001,500.00002,000.00002,500.00003,000.00003,500.00004,000.00004,500.00002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-242024-06-062024-06-20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上升，期权持仓量PCR平稳 30003200340036003800400042004400460048002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-242024-06-062024-06-202024-07-032024-07-162024-07-292024-08-092024-08-222024-09-042024-09-192024-10-092024-10-222024-11-042024-11-152024-11-28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缩小到都是3900 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 中证1000指数周线收阴，周三彩K线指标转为绿色 数据来源：文华财经中证1000指数日K线图 中证1000指数日线先扬后抑，日三彩K线指标维持红色 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3000.003500.004000.004500.005000.005500.006000.006500.007000.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-24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1500.002500.003500.004500.005500.006500.007500.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-30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3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-242024-06-062024-06-202024-07-03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2000.002500.003000.003500.004000.004500.005000.005500.006000.006500.007000.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-172024-01-302024-02-202024-03-042024-03-152024-03-282024-04-122024-04-252024-05-132024-05-242024-06-062024-06-202024-07-03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上升到1以上，期权持仓量PCR平稳0.001000.002000.003000.004000.005000.006000.007000.008000.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272023-12-082023-12-212024-01-042024-01-17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区间平稳3000.003500.004000.004500.005000.005500.006000.006500.007000.007500.008000.002023-05-232023-06-052023-06-162023-07-032023-07-142023-07-272023-08-092023-08-222023-09-042023-09-152023-09-282023-10-192023-11-012023-11-142023-11-272