金融期權(quán)：隱波震蕩走低可考慮賣出跨式策略

國國泰君安期貨研究所(正文)1.期權(quán)市場交易概況回顧表1：期權(quán)市場交易概況回顧(日均)請務(wù)必閱讀正文之后的免責條款部分1金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分2動2.期權(quán)流動性萬手120010008006004002000總持倉量總成交量請務(wù)必閱讀正文之后的免責條款部分3億元7060504030200億元5000450040003500300025002000150010005000請務(wù)必閱讀正文之后的免責條款部分42023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/1410.5%13.6%7.2%10.0%19.2%30.8%隱含波動率標的資產(chǎn)收盤價0.180.160.142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/1410.5%13.6%7.2%10.0%19.2%30.8%隱含波動率標的資產(chǎn)收盤價0.180.160.140.12 0.10.080.060.040.02026202600258025602540252025002480246024402420上證50ETF期權(quán)TF嘉實500ETF期權(quán)上證50股指期權(quán)泰柏瑞300ETF期權(quán)方達科創(chuàng)50ETF期權(quán)上證50ETF期權(quán)TF嘉實500ETF期權(quán)上證50股指期權(quán)泰柏瑞300ETF期權(quán)方達科創(chuàng)50ETF期權(quán)創(chuàng)業(yè)板ETF期權(quán)股指期權(quán)6.8%2.4%2.1%9.5%2.1%9.5%5.9%21.7%032.4%上證50ETF期權(quán)嘉實500ETF期權(quán)上證50股指期權(quán)嘉實300ETF期權(quán)2.9%2.72.7%1.3%1.4%1.8%3.期權(quán)波動率水平率0.190.170.150.130.110.090.07平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為79%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)歷史波動率歷史波動率隱含波動率0.180.160.140.120.10.080.060.040.0200.150.145 0.140.135 0.130.125 0.120.115隱含波動率標的資產(chǎn)收盤價隱含波動率2023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/1467506700665066006550650064506400635063006250平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為請務(wù)必閱讀正文之后的免責條款部分52023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/140資料來源：WIND、國泰君安期貨研究平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為87%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)史波動率隱含波動率0.20.150.10.050收盤價426864258460.150.050.10.20平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為59%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)請務(wù)必閱讀正文之后的免責條款部分600.180.160.140.120.10.080.060.040.0203.953.853.753.83.94平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為89%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)歷史波動率歷史波動率隱含波動率0.180.160.140.120.10.080.060.040.020隱含波動率標的資產(chǎn)收盤價6.256.256.26.156.16.055.955.95.850.160.140.120.10.080.060.040.020平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為10%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分7隱含波動率標的資產(chǎn)收盤價1.120.251.080.21.060.151.040.11.021隱含波動率標的資產(chǎn)收盤價1.120.251.080.21.060.151.040.11.0210.980.050.31.10平值隱波和歷史波動率出現(xiàn)擴散跡象,當前平值隱波為標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)0.30.250.20.150.155501平值隱波和歷史波動率出現(xiàn)擴散跡象,當前平值隱波為59%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)00.180.160.140.120.10.080.060.040.0204.14.054.95.9.85.8平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分82.120.12.10.052.08 2.0602.120.12.10.052.08 2.0602.04 隱含波動率0.22隱含波動率標的資產(chǎn)收盤價0.252.22 2.22.182.162.140.20.150.140.120.10.20.180.16歷史波動率隱含波動率0.180.160.140.120.10.080.060.040.020隱隱含波動率標的資產(chǎn)收盤價0.180.160.140.120.10.080.060.040.0206.46.356.36.256.26.156.16.0565.95平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為72%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為23%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分62023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/2122023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142181614121隱含波動率標的資產(chǎn)收盤價2.942.922.942.922.92.882.862.842.822.82.782.760.180.160.140.120.10.080.060.040.020平值隱波和歷史波動率出現(xiàn)收斂跡象,當前平值隱波為65%。結(jié)合平值隱波和標的行情的相關(guān)走勢來看，上周標的資產(chǎn)和平值隱波呈現(xiàn)負相關(guān)性，該相關(guān)系數(shù)4.期權(quán)市場多空情緒期權(quán)的Put-Call-Ratio(PCR)指標在一定程度上可以反映市場的多空情緒。00.80.70.60.50.40.30.20.10Call成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)60.0040.0020.000.00-20.00-40.00-60.00-80.002023/6/1322023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/14金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分102023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/141 0.90.80.70.60.50.4Call成交量日環(huán)比(%)Put成交量日環(huán)比(%) call-put(%)2023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/14200.00150.00100.0050.000.00-50.001.51.41.31.21.110.90.80.7CallPut成交量日環(huán)比(%)call-put(%)80.0060.0040.0020.000.00.00.00.00.00WINDCallCall成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)6040200-20-40-60WIND金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分112023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/1922023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/141.210.80.60.40.201.1.1 0.90.80.70.60.50.4CallCall成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)60.0040.0020.000.00-20.00-40.00-60.00PutPut成交量日環(huán)比(%)call-put(%)150.00100.0050.000.0000100.001.51.41.31.21.110.90.80.70.60.5Call成交量日環(huán)比(%)FCall成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)100.0080.0060.0040.0020.000.00-20.00-40.00-60.00-80.00金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分122023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/2122023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/1411.41.2 0.80.60.40.2050.0000.000.000.00-50.00-100.002023/6/132023/6/142023/6/152023/6/162023/6/192023/6/2022023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/14 0.90.80.70.60.50.4Call成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)00.0080.0060.0040.0020.000.00-20.00-40.00-60.00-80.001.51.41.31.21.110.90.80.70.60.5Call成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)150.00100.0050.000.00-50.00-100.00金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分132023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/12202023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/142023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/7/102023/7/112023/7/122023/7/132023/7/141.110.90.80.70.60.5Call成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)200.00150.00100.0050.000.00-50.00-100.001.61.61.41.2 0.80.60.40.20Call成交量日環(huán)比(%)Put成交量日環(huán)比(%)call-put(%)100.0080.0060.0040.0020.000.00-20.00-40.00-60.005.市場支撐壓力位信息期權(quán)各行價下的成交持倉量在一定程度上可以幫助揭示期權(quán)標的資產(chǎn)當前行情下的支撐和壓力位。上為F金融衍生品研究請務(wù)必閱讀正文之后的免責條款部分14認沽期權(quán)持倉量29502850275026502550247524252375232522752225-8000-6000-4000-2000020004000坐標軸標題-100006000認購期權(quán)持倉量認沽期權(quán)持倉量75007300710069006700650063006100590057004000-8000-6000-4000-200004000-8000-認購期權(quán)持倉量認沽期權(quán)持倉量450044004300420041004000390038003700360035003400-50000000-倉量認沽期權(quán)持倉量2.82.82.75 2.72.65 2.62.55 2.52.45 2.42.352.3行權(quán)價000-50000050000100000150000200000認購期權(quán)持倉量認沽期權(quán)持倉量4.44.34.24.143.93.83.73.63.53.4-150000-100000100000150000-50000500000認購期認購期權(quán)持倉量認沽期權(quán)持倉量7.2576.75