金融期权策略早报

15.0726.5911.3713.1728.7338.4827.360.6068.4120.2621.84-0.4243.859.9310.853.3411.24-2.242.551.181.590.4234.078.88成交额(亿元)2025/06/26邮箱：lupx@wkqh.cn邮箱：huangkh@wkqh.cnPE 35.411.046,202176.101.729,82631.811.171,02356.031.443,61796.721.682,39381.501.323,3500.0401.43974.130.0651.651,724.120.1091.88372.460.0191.854,227.910.0191.891,072.620.0671.65274.890.0411.77108.420.0521.9458.780.0653.181,638.20金融期权策略早报涨跌幅（%）成交量(万份)从业资格号：F3047321从业资格号：F03138607交易咨询号：Z0015541电话：0755-23375252涨跌涨跌幅（%）成交额(亿元) 3,455.977531,1292,747.731333,960.076755,862.554736,276.163132.832964.544.0011,711.875.913368.621.0484,194.821.0221,065.104.126271.562.361107.832.73258.342.1091,625.81收盘价额变化涨跌量变化收盘价额变化（亿元） 表4：期权因子—压力点和支撑点上证50ETF2.8322.852.750.002.750.0067,110100,348上证300ETF4.0014.004.000.103.900.0053,10866,382上证500ETF5.9136.006.000.005.750.0074,08890,319华夏科创50ETF1.0481.051.050.001.000.0079,72373,881易方达科创50ETF1.0221.001.050.001.000.0021,97518,943深证300ETF4.1264.104.100.004.000.0010,2377,804深证500ETF2.3612.352.350.052.250.009,57910,770深证100ETF2.7322.752.700.002.450.003,5695,703创业板ETF2.1092.102.100.052.000.0064,93172,980上证502,747.732,7502,70002,65003,5852,172沪深3003,960.073,9504,0001003,85006,5235,647中证10006,276.166,3006,20006,00007,1037,606数据来源：WIND、五矿期货期权服务部期权因子压力点和支撑点，从认购期权和认沽期权最大持仓量所在的行权价来看期权标的的压力点和支撑点。期权品种标的收盘价平值行权价压力点沽最大持仓压力点偏移支撑点支撑点偏移购最大持仓期权因子PCR指标，持仓量PCR=认沽期权持仓量/认购期权持仓量，主要是用来描述期权标的行情的强弱；成交量PCR=认沽期权成交量/认购期权成交量，主要是用来描述标的行情是否出现转折时机。2025/6/252 期权因子期权隐含波动率，平值期权隐含波动率，认购和认沽平值期权隐含波动率的算术平均值；加权期权隐含波动率运用的是当月和次月期权合约成交量加权平均。2025/6/253 金融股板块：上证50ETF、上证50大盘蓝筹股板块：上证300ETF、深证300ETF、沪深300期权因子研究期权策略建议标的行情分析期权因子研究期权策略建议标的行情分析策略与建议：（1）金融期权板块主要分为大盘蓝筹股，中小板，创业板；其中金融股板块：上证50、上证50ETF；大中型股板块：深证100ETF；大盘蓝筹股板块：沪深300、上证300ETF、深证300ETF；中小板板块：上证500ETF、深证500ETF、中证1000；创业板板块：华夏科创50ETF、易方达科创50ETF、创业板ETF。（2）每个板块选择部分品种给期权策略与建议；（3）每个期权品种按照标的行情分析，期权因子研究和期权策略建议编写期权策略报告。2025/6/25 （1）上证300ETF期权隐含波动率维持均值偏上水平波动（2）上证300ETF期权持仓量PCR报收于1.01，表明上证300ETF多头增强。（3）期权的角度看标的压力位和支撑位，上证300ETF压力位为4.00和支撑位为3.90（1）方向性策略：无（2）波动性策略：构建做空波动率的卖出认购+认沽期权组合策略，获取期权时间价值。如：S_510300P2507M03900和S_510300C2507M04100（3）现货多头备兑策略：持有现货上证300ETF（510300）+卖出认购期权如：LONG_510300 +SELL_510300C2507M04000上证50ETF4月份以来止跌反弹回暖上升后温和上涨震荡上行，5月份以来先扬后抑延续小幅区间盘整震荡，近期加速上涨，表现为短期偏多上行的行情走势形态。（1）上证50ETF期权隐含波动率维持均值偏上水平波动（2）上证50ETF期权持仓量PCR上升至1.20以上，表明上证50ETF多头增强。（3）期权的角度看标的压力位和支撑位，上证50ETF压力位为2.75和支撑位为2.75（1）方向性策略：构建看涨期权牛市价差组合策略，获取方向性收益。如：B_510050C2507M02750和S_510050P2507M02900（2）波动性策略：构建卖方中性策略策略，获取时间价值收益收益，动态调整持仓delta，使得持仓保持中性。如：SELL_510050P2507M02700和SELL_510050P2507M02900（3）现货多头备兑策略：持有现货上证50ETF+卖出认购期权如：LONG_510050 +SELL_510050C2507M02800上证300ETF4月份以来高位盘整震荡后快速下跌后逐渐反弹回暖上升，5月份以来小幅盘整震荡后加速上涨，修复4月份下跌的空间，近期加速上涨，表现为短期偏多上行的行情走势形态。4 上证50ETF期权图表上证50ETF期权当月持仓量分布03/0503/1003/1303/1803/2103/2603/3104/0304/0904/14us_amount(亿)us_close05/2605/27 05/28 05/29 05/30 06/03 06/04 06/05 06/06 06/09 06/10 06/11 06/12 06/13 06/16 06/17 06/18 06/19 06/20 06/23 06/24 06/25op_volume(万)op_oi(万)250,000-200,000-150,000-100,000-50,0002.302.402.502.602.702.802.903.00 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部上证50ETF期权成交量和持仓量（万张）上证50ETF期权当月成交量分布507090110130150170190-250,000-150,000-50,00050,0002.302.352.402.452.502.552.602.652.702.752.802.852.902.953.00沽量购量2025/6/25 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部隐波率微笑上证50ETF期权隐含波动率051015202530354012/2312/3101/0901/1701/2702/1202/2002/2803/1003/1803/2604/03us_closeop_impv0.080.100.120.140.160.180.200.222.302.35 2.40 2.452.502.55 2.60 2.65 2.702.752.80 2.85 2.902.95250725072025/6/25 上证300ETF期权图表02/2803/0503/1003/1303/1803/2103/2603/3104/0304/0904/14us_amount(亿)us_close05/2605/27 05/28 05/29 05/30 06/03 06/04 06/05 06/06 06/09 06/10 06/11 06/12 06/13 06/16 06/17 06/18 06/19 06/20 06/23 06/24 06/25op_volume(万)op_oi(万)250,000-150,000-100,0003.203.403.603.804.004.204.404.60 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部上证300ETF期权成交量和持仓量（万张）507090110130150170-250,000-150,000-50,00050,0003.203.403.603.804.004.204.404.60沽量购量2025/6/25 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部上证300ETF期权隐含波动率隐波率微笑05101520253035404512/2312/3101/0901/1701/2702/1202/2002/2803/1003/1803/2604/03us_closeop_impv0.080.100.120.140.160.180.200.220.243.203.303.403.503.603.703.803.904.004.104.204.304.404.50250725072025/6/25 上证500ETF期权图表当月持仓量分布02/2803/0503/1003/1303/1803/2103/2603/3104/0304/0904/14us_amount(亿)us_close05/2605/27 05/28 05/29 05/30 06/03 06/04 06/05 06/06 06/09 06/10 06/11 06/12 06/13 06/16 06/17 06/18 06/19 06/20 06/23 06/24 06/25op_volume(万)op_oi(万)050,000100,000150,000200,000-100,0004.504.704.905.255.756.256.757.25 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部上证500ETF期权成交量和持仓量（万张）当月成交量分布507090110130150170190210-200,000-150,000-100,000-50,0004.504.704.905.255.756.256.757.25沽量购量2025/6/25 数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部数据来源：WIND、五矿期货期权服务部上证500ETF期权隐含波动率隐波率微笑0510152025303540455012/2312/3101/0901/1701/2702/1202/2002/2803/1003/1803/2604/03us_closeop_impv0.120.170.220.270.320.374.504.60 4.70 4.80 4.90 5.00 5.25 5.50 5.75 6.00 6.25 6.50250725072025/6/25 创业板ETF期权图表当月持仓量分布03/0503/1