股票期权市场全景数据报告

上上50指数沪300指数中500指数中1000指50510050.)300510300.)300159919.Z)500510500.)创板159915.Z)500159922.Z)10,401.842,250.512,326.943,541.335,781.806,239.932.3653.6043.6025.7792.1875.896110.42--118.7758.16-56.1275.1511.51---366,6832303 2,336.00 -5.56188.4245.7112.74CX沪深300期货2.461.069.066.063.27-3.33-11.13-28.53-10.80CX中证500期货2211221223032306C2211C2212C2303C230622112212230323063,544.603,538.003,530.203,512.805,771.005,756.005,699.605,617.406,224.206,198.406,095.005,966.00----9,1318,9372,5653.2395.9627.38,637-3.36-3.35CX中证1000期货215,6774,21951.08-273.93-3.684.93127.94 -1410,288-3.754.38 -41.53322-3.927 -15.73649.551,2-4.024.4069.10 0116.88 -82.210,1166,0683.16 -25.803933-3.59879.7575,059-3.622.883.003122.88878.1181,5632.72.482306 2,333.00 6,4381,7992.712.513550,3.392211 2,329.40 -22212 2,328.00 -2CX上证50期货收盘价 涨跌幅 成交量手)成交额亿) 基差名称-3.07-3.44-3.182.382.330.137.80-0.431.254.110.46.71.874.3913.9616.267.0111.187.381.202.387.321.172.231-3.43-5.9673.73131.68-3.04116.572.4781-46.707.3032.462.28-145.61904.841,-3.71-181.825,243.97440.11-3.2439.3113,852.63292.5.25-22,915.93成量亿) 成额亿)成额化亿)2022-10-282,41,41,926267744410171363519785522553752607316424417401367679835称成量CR47.1172持量CR .92-0.05-22320787 0.00939. 61 -.0163223100.000.00.26690.12500.80110.261.121271.100.22399-0.03490.5911401000.90357.60.00550.2220-0.15310.74210.41821.310196.150.2836-0.17090.82080.261.234274.240.00.2193-0.027870.6330.127331.01488.460.04410.23380.12380.91260.251.166075.980.00.2202860.74820.08970.983966.1014800.2187-0.024390.56200.98050F所 沪300F沪深所 创板F深500F所 沪300中数 化 151081092545494581843992205771814451426308456280602110626308240817900253065065564258314469170593460021895594.2723.4542.6580.6761.0460.6183.9952.82314.74414.1518.7312.1566.3111.89910.3349.1042172902467442701397269674650F所 沪300F沪深所 创板F深500F所 沪300中化 成额亿） 变亿)二、上证50ETF权(51005.SH)1、成交持仓情况216354044680915007021535172163540446809150070215351727947498964700721325522355771478872485982172818155773717421949326967467013972467442217290CRCR1.01490.10600.51840.04710.99310.32230.58230.00270.67950.17960.77210.03141.43790.39791.39070.33840.98040.11720.56290.024320221028CRCR1361705290766157873116105513350414106318887115623550权269674670139724674422172900.98040.5629数据来：Wid资理图120TF期权主力合约执行价成交量情况 图.3：0F期权主力合约分行价持仓量情况00000000000000.2.5.3.5.4.5.5.5.6.5.7.5.8.5认购000000000.2.5.3.5.4.5.5.5.6.5.7.5.8.5认购数据来：Wid资理图14：0TF期权主力合约执行价成交量变化情况 图1.55EF期权主力合约分行价持仓量变化情况000000-0-0.2.5.3.5.4.5.5.5.6.5.7.5.8.5认购0-0-0.2.5.3.5.4.5.5.5.6.5.7.5.8.5认购数据来：Wid资理0认购0认购图1600认购0认购.2.5.3..2.5.3.5.4.5.5.5.6.5.7.5.8.5.9.53.1.2.3.4.5.2.5.3.5.4.5.5.5.6.5.7.5.8.5.9.53.1.2.3.4.50-0-0认购0-0-0认购0-0-0认购0-0-0认购.2.5.3..2.5.3.5.4.5.5.5.6.5.7.5.8.5.9.53.1.2.3.4.5.2.5.3.5.4.5.5.5.6.5.7.5.8.5.9.53.1.2.3.4.5000000000000000 总成交量 总持仓量3000000000000000 总成交量 总持仓量3.52.51.50 成交CR CR 成交CR --9--7---9--7--7--1--6--8--2--6--1--7--1--0--0--5--0--4--1--6--4--8--1--5--9--6--4--1--3 2、成交持仓活跃前10期权重要指标表1.2：成交量前10期权重要指标dltagmmagattao50沽11月2.400299486-0.56612.74290.0025-0.0016-0.000150购11月2.4002284110.43352.71680.0025-0.00160.000050购11月2.4502270510.30192.46740.0023-0.00140.000050沽11月2.350219801-0.42922.66500.0025-0.00160.000050购11月2.5001928740.20311.94020.0018-0.00110.000050沽11月2.450186073-0.70052.49930.0022-0.0013-0.000150购11月2.5501219850.12651.41370.0013-0.00080.000050购11月2.3501067970.56952.66370.0025-0.0016-0.000150沽11月2.300103958-0.30882.25830.0023-0.00150.0000数据来：Wid资理表1.3：持仓量前10期权重要指标期权代码持仓量dltagammagattao50购11月2.6001499580.07830.97010.0009-0.00060.000050购11月2.4501433690.30192.46740.0023-0.00140.000050购11月2.5001415580.20311.94020.0018-0.00110.000050购11月2.5501330880.12651.41370.0013-0.00080.000050购11月2.650937830.04780.64140.0006-0.00040.000050购11月2.400792480.43352.71680.0025-0.00160.000050购11月2.700776500.03100.43060.0005-0.00030.000050沽11月2.35067322-0.42922.66500.0025-0.00160.000050沽11月2.45066183-0.70052.49930.0022-0.0013-0.000150沽11月2.40064487-0.56612.74290.0025-0.0016-0.0001数据来：Wid资理3、历史波动率图1.1：50ETF滚动历史波动率 图1.13：50ETF3年历史波动率锥0_d_ol _d_vol _d_vol _d0_d_ol _d_vol _d_vol _d_vol555500 0 0 0 0 0 0 0 0 0 min % % % % % max 828282828282929292929292020202020202121212121212224、隐含波动率.5.3.5.2.5.1.5 .2.5..5.3.5.2.5.1.5 .2.5.3.5.4.5.5.5.6.5.7.5.8.5认购沽认_日_.5.4.5.3.5.2.5.1.2.5.3.5.4.5.5.5.6.5.7.5.8.5.9.53.1.2.3.4.5认购沽_日_数据来：Wid资理数据来：Wid讯理三、沪深300ETF权(51030.SH)1、成交持仓情况1445763260100103335990185144576326010010333599018524025066449505923313371979221309781529451697411662249313709620118955974600201705936144697CRCR1.13850.18430.74060.08000.92020.17880.78180.00950.32370.10550.66650.09341.39170.39931.13740.17600.98370.08970.74820.058620221028CRCR95557219761197580811173494002526240973012832963300权189559746002017059361446970.98370.7482数据来：Wid资理图120EF期权主力合分执行价成交量情况 图13：0EF期权主力合分执行价持仓量情况00000000000.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购0000000.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购数据来：Wid资理图14：0EF期权主力合分执行价成交量变化情况 图15：0EF期权主力合分执行价持仓量变化情况000000-0-0-0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购0-0-0-0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购数据来：Wid资理图160EF期权次主力约分执行价成交量情况 图1.730F期权次主力合分执行价持仓量情况0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购数据来：Wid资理图18：0EF期权次主力约分执行价成交量变化情况 图19：0EF期权次主力约分执行价持仓量变化情况0-0-0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购0-0-0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购数据来：Wid资理2、成交持仓活跃前10期权重要指标表1.2：成交量前10期权重要指标dltagmmagattao沪300购11月3.7002174160.34241.74780.0036-0.00210.0000沪300沽11月3.600216662-0.47321.81660.0039-0.0024-0.0001沪300沽11月3.700191907-0.65391.72730.0036-0.0022-0.0001沪300购11月3.8001366500.19191.30930.0027-0.00160.0000沪300沽11月3.500129498-0.30431.53320.0034-0.00220.0000沪300购11月3.6001075890.52541.81850.0039-0.0024-0.0001沪300购11月3.9001025410.09870.81480.0017-0.00100.0000沪300沽11月3.80096399-0.80831.31080.0027-0.0015-0.0002沪300沽11月3.40065801-0.18071.07910.0026-0.00180.0000数据来：Wid资理表1.3：持仓量前10期权重要指标期权代码持仓量dltagammagattao沪300购11月3.9001229080.09870.81480.0017-0.00100.0000沪300购11月3.8001202430.19191.30930.0027-0.00160.0000沪300购11月3.700930180.34241.74780.0036-0.00210.0000沪300购11月4.000921620.04580.44290.0009-0.00060.0000沪300沽11月3.80084793-0.80831.31080.0027-0.0015-0.0002沪300沽11月3.70074653-0.65391.72730.0036-0.0022-0.0001沪300沽11月3.50071092-0.30431.53320.0034-0.00220.0000沪300沽11月3.60069174-0.47321.81660.0039-0.0024-0.0001沪300购11月4.100587420.01910.21220.0005-0.00030.0000沪300沽11月3.40056255-0.18071.07910.0026-0.00180.0000数据来：Wid资理3、历史波动率55550555500 0 0 0 0 0 0 0 0 0 min % % % % % max 0_d_ol _d_vol _d_vol 0_d_ol _d_vol _d_vol _d_vol828282828282929292929292020202020202121212121212224、隐含波动率.3.5.2.5.1.5 .3 .4 .3.5.2.5.1.5 .3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购沽认_日_.5.3.5.2.5.1.50.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购沽_日_数据来：Wid资理数据来：Wid讯理四、沪深300ETF权(15991.SZ)1、成交持仓情况2706688154317224121143270668815431722412114325216408247072347388904886193181259173248621864333065069002524081726308CRCR1.06830.07680.64570.05920.78550.39900.54420.03660.37210.12170.73300.02141.46720.78050.96230.21631.01430.12730.63370.027820221028CRCR152166374421474051830315434052583934128005300权30650690025240817263081.01430.6337数据来：Wid资理图120EF期权主力合分执行价成交量情况 图13：0EF期权主力合分执行价持仓量情况0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购数据来：Wid资理图14：0EF期权主力合分执行价成交量变化情况 图15：0EF期权主力合分执行价持仓量变化情况0-0-0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购0-0-0.3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购数据来：Wid资理图160EF期权次主力约分执行价成交量情况 图1.730F期权次主力合分执行价持仓量情况0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购数据来：Wid资理图18：0EF期权次主力约分执行价成交量变化情况 图19：0EF期权次主力约分执行价持仓量变化情况0-0-0-0-0-0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购0-0-0.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购数据来：Wid资理2、成交持仓活跃前10期权重要指标表1.2：成交量前10期权重要指标dltagmmagattao深300购11月3.700454070.34670.34670.34670.34670.3467深300沽11月3.70034524-0.6579-0.6579-0.6579-0.6579-0.6579深300沽11月3.60033917-0.4705-0.4705-0.4705-0.4705-0.4705深300购11月3.800279460.19610.19610.19610.19610.1961深300沽11月3.50027702-0.3071-0.3071-0.3071-0.3071-0.3071深300沽11月3.40016748-0.1787-0.1787-0.1787-0.1787-0.1787深300购11月3.900164920.10210.10210.10210.10210.1021深300购11月3.600145920.52820.52820.52820.52820.5282深300沽11月3.30010821-0.0978-0.0978-0.0978-0.0978-0.0978数据来：Wid资理表1.3：持仓量前10期权重要指标期权代码持仓量dltagammagattao深300购11月3.800264350.19610.19610.19610.19610.1961深300购11月3.700171590.34670.34670.34670.34670.3467深300购11月3.900163270.10210.10210.10210.10210.1021深300沽11月3.70014133-0.6579-0.6579-0.6579-0.6579-0.6579深300沽11月3.50013682-0.3071-0.3071-0.3071-0.3071-0.3071深300沽11月3.60013670-0.4705-0.4705-0.4705-0.4705-0.4705深300购11月4.000122260.04830.04830.04830.04830.0483深300购11月4.10095140.02290.02290.02290.02290.0229深300购11月4.30085670.01010.01010.01010.01010.0101深300沽11月3.4007726-0.1787-0.1787-0.1787-0.1787-0.1787数据来：Wid资理3、历史波动率图1.1：300ETF滚动历史波动率 图1.13：300ETF4年历史波动率锥0_d_ol _d_vol _d_vol 0_d_ol _d_vol _d_vol _d_vol555500 0 0 0 0 0 0 0 0 0 min % % % % % max 828282828282929292929292020202020202121212121212224、隐含波动率.3.5.2.5.1.5 .3 .4 .3.5.2.5.1.5 .3 .4 .5 .6 .7 .8 .9 4 .1 .2 .3认购沽认_日_.5.3.5.2.5.1.50.3.4.5.6.7.8.94.1.2.3.4.5.6.7.8.9认购沽_日_数据来：Wid资理数据来：Wid讯理五、沪深300股指期权(000300SH)1、成交持仓情况表1.1：300股指期权合约成交与持仓情况成量CR持量CR22111141113331994620668922110.93070.16790.5163-0.0758221217181586046314237322120.81180.20460.62500.0248230137631112269672823011.3445-1.33741.37120.11942303292614791454330823030.2478-0.15170.47700.0069230618793711010841923060.53640.14520.9742-0.0755230927701851573240823091.3277-1.53361.48460.149514263043992174013109250.90300.14010.5919-0.034920221028CRCR749501899910931490596768024993646991866300权14263043992174013109250.90300.5919数据来：Wid资理0认购0认购0认购0-0-0认购0-0-0认购0-0-0认购图16股指期权次主力合分执行价成交量情况 图17：股指期权次主力合约分执行价持仓量情况00000000000000000认购00000000000000000认购数据来：Wid资理图18：股期权次主力合分执行价成交量变化情况 图19：股指期权次主力合分执行价持仓量变化情况0-0-0-0-00000000000000000认购0-0-00000000000000000认购数据来：Wid资理2、成交持仓活跃前10期权重要指标表1.2：成交量前10期权重要指标dltagmmagattaoO2211--360011176-0.58680.00193.4354-2.66-0.0688O2211-C-3700103770.23280.00162.6995-2.00-0.0161O2211-C-365092580.31220.00183.1241-2.29-0.0236O2211-C-360091380.40570.00203.4225-2.50-0.0340O2211--35509086-0.49180.00203.5197-2.66-0.0501O2211--36507712-0.68810.00183.1182-2.26-0.0863O2211--35006731-0.39430.00193.3971-2.61-0.0364O2211-C-380059060.12330.00101.8001-1.39-0.0076O2211-C-375056960.16740.00132.2125-1.65-0.0107数据来：Wid资理表1.3：持仓量前10期权重要指标期权代码持仓量dltagammagattaoO2211-C-380073340.12330.00101.8001-1.39-0.0076O2211-C-370058720.23280.00162.6995-2.00-0.0161O2211-C-400057310.03230.00030.6392-0.55-0.0017O2211-C-385054760.08310.00071.3510-1.04-0.0047O2211-C-390053890.06190.00061.0779-0.87-0.0035O2211-C-375046480.16740.00132.2125-1.65-0.0107O2211-C-365039220.31220.00183.1241-2.29-0.0236O2211-C-395036260.04190.00040.7896-0.64-0.0022O2211--34003058-0.23290.00142.6998-2.21-0.0188O2211-C-360029060.40570.00203.4225-2.5044-0.0340数据来：Wid资理3、历史波动率_d_vol _d_vol _d__d_vol _d_vol _d_ol _d_vol12 2255555082 92 02555500 0 0 0 0 0 0 0 0 0 min % % % % % max 数据来：Wd资理4、隐含波动率.6.5.4.3.2.10购沽认_前一交易日.6.5.4.3.2.10购沽认_前一交易日_.5.5.5.5.5.5..5.5.5.5.5.5.5认购沽认_前一交易日认_前一交易日六、中证1000股指期权(000852SH)1、成交持仓情况表1.1：1000股指期权合约成交与持仓情况成量CR持量CR2211763561770543590319322111.16120.29990.9013-0.21502212555917861255490222121.03180.00770.7870-0.045023011206391122218823010.43400.09570.76590.10622303595224416124223030.2448-0.17670.4662-0.0308230647027138563723060.72160.14220.5205-0.009523093762002296-1323090.80770.36510.47370.021584562205776767945491.12120.26610.8011-0.125020221028CRCR3986653743757648004469615203301032511000权84562205776767945491.12120.8011数据来：Wid资理图12股指期权主力合约执行价成交量情况 图.3：股指期权主力合约分执价持仓量情况000000000000000认购000000000000000认购数据来：Wid资理图14：股期权主力合约执行价成交量变化情况 图1.5：股指期权主力合约分执价持仓量变化情况0-0-0-000000000000000认购0-0-0-0-000000000000000认购数据来：Wid资理0认购0认购0认购0-0-0-0-0认购0-0-0-0-0认购0-0认购2、成交持仓活跃前10期权重要指标表1.2：成交量前10期权重要指标dltagmmagattaoO2211--62006635-0.45860.00106.1473-5.47-0.0936O2211-C-650064390.26360.00085.0627-4.35-0.0384O2211--63006176-0.55670.00106.1159-5.26-0.1233O2211--64005827-0.65260.00095.7175-4.85-0.1612O2211-C-660057070.18930.00074.1971-3.57-0.0248O2211-C-670046210.13160.00053.3065-2.81-0.0157O2211-C-640043200.34780.00095.7265-4.92-0.0559O2211--60004212-0.28640.00085.2739-5.00-0.0508O2211--61003531-0.36800.00095.8407-5.41-0.0704数据来：Wid资理表1.3：持仓量前10期权重要指标期权代码持仓量dltagammagattaoO2211-C-670033500.13160.00053.3065-2.81-0.0157O2211-C-660026650.18930.00074.1971-3.57-0.0248O2211--62002246-0.45860.00106.1473-5.47-0.0936O2211-C-680022160.09280.00042.5751-2.23-0.0105O2211-C-700021660.04330.00021.4259-1.28-0.0045O2211-C-650019250.26360.00085.0627-4.35-0.0384O2211--63001866-0.55670.00106.1159-5.26-0.1233O2211--59001800-0.22060.00064.5967-4.55-0.0376O2211-C-710017740.02980.00021.0505-0.96-0.0030O2211--60001631-0.28640.00085.2739-5.0014-0.0508数据来：Wid资理3、历史波动率_d_vol _d_vol _d_d_vol _d_vol _d_ol _d_vol082920212 225555500 0 0 0 0 0 0 0 0 0 min % % % % % max 数据来：Wid资理4、隐含波动率.4.5.3.5.2.5.1.50.4.5.3.5.2.5.1.50 00000000000000000 购 沽 认_前一交易日 _.5.5.5.5.5.5.5.5.5.5.5.5.5.5.5.5认购沽认_前一交易日认_前一交易日七、沪500ETF期(51050.SH)1、成交持仓情况表1.1：沪500ETF期权合约成交与持仓情况7001571975594365384572279506190701659744865521063548136568352726723974439174183444125171364351955855CRCR1.19560.30670.88510.13930.99410.04291.01590.09471.11670.00660.87580.02880.43270.11730.45350.01281.16600.25920.91260.123820221028CRCR38524379638336455478784491981720753070647977500权834441251713643519558551.16600.9126数据来：Wid资理图12沪0EF期权主力约分执行价成交量情况 图13：沪0EF期权主力约分执行价持仓量情况0000000000.9 5 .5 .5 .5 6 .5 .5 .5 7认购0.9 5 .5 .5 .5 6 .5 .5 .5 7认购数据来：Wid资理图14：沪0EF期权主力约分执行价成交量变化情况 图.5：沪50F期权主合约分执行价持仓量变化情况..9 5 .5 .5 .5 6 .5 .5 .5 7认购-0-000-0.9 5 .5 .5 .5 6 .5 .5 .5 7认购数据来：Wid资理2、成交持仓活跃前5期权重要指标表1.2：成交量前5期权重要指标dltagmmagattao500116.0001337440.28590.95220.00540.00340.0000500115.7501209020.45021.07410.00620.00400.0001500115.500934670.22600.73960.00470.00340.0000500116.000920020.71950.97130.00530.00320.0002500116.250873640.10980.52640.00300.00190.0000数据来：Wid资理表1.3：持仓量前5期权重要指标dltagmmagattao500116.250595140.10980.52640.00300.00190.0000500116.000582230.28590.95220.00540.00340.0000500116.500566150.03420.20790.00120.00080.0000500115.750559040.45021.07410.00620.00400.0001500116.000439200.71950.97130.00530.00320.0002数据来：Wid资理3、历史波动率0_d_ol _d_vo0_d_ol _d_vol _d_vol _d_vol55555000 0 0 0 min % % % % % max 828282828282929292828282828282929292929292020202020202121212121212224、隐含波动率图18沪0EF期权主力约隐含波动率情况 图19：沪0EF期权次主力合隐含波动率情况..5.3.5.2.5.1.5.9 5 .5 .5 .5 6 .5 .5 .5 7认购沽认_日_.3.5.2.5.1.50.9 5 .5 .5 .5 6 .5 .5 .5 7认购沽_日_数据来：Wid资理数据来：Wid讯理八、创业板ETF期权(15991.SZ1、成交持仓情况9800781813035108366251598007818130351083662515679722690457258142671089142213454621633314132434331890106225521375260607380835CRCR1.23840.26900.76290.20351.25510.32321.19460.11550.97980.25321.27460.01360.68310.32500.90620.22801.23420.26870.82080.170920221028CRCR475459437533328526914258679616999927322111693权1062255213752606073808351.23420.8208数据来：Wid资理图12创业板F期权主合约分执行价成交量情况 图13：创业板F期权主合约分执行价持仓量情况0000.52.5.1.5.2.5.3.5.4.5.5.5认购0.52.5.1.5.2.5.3.5.4.5.5.5认购数据来：Wid资理图14：创业板F期权主合约分执行价成交量变化情况图.5：创业板EF期权主合约分执行价持仓量变化情况0-0-0-0-0.52.5.1.5.2.5.3.5.4.5.5.5认购0-0-0-0.52.5.1.5.2.5.3.5.4.5.5.5认购数据来：Wid资理2、成交持仓活跃前5期权重要指标表1.2：成交量前5期权重要指标dltagmmagattao112.250949370.61452.13300.00230.00190.0001112.200856190.50602.19130.00240.00200.0001112.250831950.38382.13800.00230.00190.0000112.300746420.71271.90490.00200.00170.0001112.300733760.28141.93000.00200.00160.0000数据来：Wid资理表1.3：持仓量前5期权重要指标dltagmmagattao112.300457790.28141.93000.00200.00160.0000112.350438210.19341.59870.00160.00130.0000112.400403770.13831.23770.00130.00110.0000112.250354740.38382.13800.00230.00190.0000112.250349580.61452.13300.00230.00190.0001数据来：Wid资理3、历史波动率0_d_ol _d_v0_d_ol _d_vol _d_vol _d_vol00 0 0 0 0 0 0 0 0 0 min % % % % % max 82828282828292929828282828282929292929292020202020202121212121212224、隐含波动率图18创业板F期权主合约隐含波动率情况 图19：创业板F期权次力合约隐含波动率情况.4.4.5.3.5.2.5.1.5.5 2 .5.1.5.2.5.3.5.4