股票股指期权：上行降波可考虑备兑策略

请务必阅读正文之后的免责条款部分PAGE请务必阅读正文之后的免责条款部分PAGE1金融衍生品研究金 金融衍生品研究融衍 2022年12月5日生研品 股票股指期权：上行降波，可考虑备兑策略。研究股票股指期权日报张雪慧 资从业格：Z0015363 zhangxuehui022447@股票股指期权日报【观点及建议】上行降波，可考虑备兑策略。【正文】表1：期权市场数据统计标的市场统计 收盘价 涨跌 成交量(亿成交变化 当月 当月基差 次月 次月基差手) (亿手) 合成期货 合成期货中证1000指数6714.3733.83178.9229.496706.008.376688.7325.63沪深300指数3946.8875.93201.7584.963947.47-0.593956.47-9.59上证50ETF2.6800.06310.832.622.6790.0012.685-0.005华泰柏瑞300ETF4.0040.0718.76-1.544.009-0.0054.018-0.014南方500ETF6.2180.0433.891.846.220-0.0026.222-0.004嘉实300ETF4.0100.0741.46-0.034.012-0.0024.020-0.010嘉实500ETF6.3320.04320.0006.3260.006创业板ETF2.313-0.0037.623.232.315-0.0022.319-0.006期权市场统计成交量变化持仓量变化VL-PCR变化OI-PCR变化中证1000股指期权5280474268732233379.17%-20.54%88.97%5.04%沪深300股指期权12856241044173563-94273.11%-22.23%95.09%9.10%上证50ETF期权248308684620724257024288485.90%-5.25%93.65%7.54%华泰柏瑞300ETF期权123877535899217210222190687.68%1.24%115.16%5.04%南方500ETF期权304383-76723587774722381.82%-12.06%94.68%1.17%嘉实300ETF期权179184818142426032827096.36%-15.59%110.11%4.54%嘉实500ETF期权68302-55321857721103975.87%-3.08%114.00%-1.61%创业板ETF期权543285409257437359848776.43%-8.81%92.00%-7.07%期权波动率统计(近月)ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓中证1000股指期权18.95%0.04%12.26%-3.02%4.24%-0.69%68006700沪深300股指期权19.75%-0.08%20.63%1.71%1.50%-1.86%40003800上证50ETF期权20.16%0.18%24.68%1.24%4.44%2.14%2.612.51华泰柏瑞300ETF期权18.90%-0.08%19.64%0.55%1.16%-0.25%4.203.80南方500ETF期权16.60%-0.03%11.47%0.14%0.89%1.80%6.506.00嘉实300ETF期权19.20%0.02%20.34%0.51%0.02%-0.42%4.203.80嘉实500ETF期权16.37%0.29%11.56%0.19%-2.54%0.13%6.506.25创业板ETF期权23.26%0.41%19.53%-1.05%9.72%5.06%2.352.30资料来源：Wind、国泰君安期货研究金融衍生品研究金融衍生品研究请务必阅读正文之后的免责条款部分PAGE25请务必阅读正文之后的免责条款部分PAGE251000股指期权标的行情：10006714.3733.83178.92期权方面：5.286.87万手，其中，期权主力合约成交4.734.50万手。【最大持仓位分析】从行权价看，期权主力合约看涨期权最大持仓价位为6800，看跌期权最大持仓价位为6700。这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR73.30%PCR97.14%PCR79.17%PCR88.97%。【波动率分析】18.95%0.04%12.26%，相比于前一交易日变动了-3.02%。从隐含波动率和历史波动率的差值来看，预期隐含波动率的走势将下跌。【偏度分析】偏度值为4.24%，相比于前一交易日变动了-0.69%。从偏度数值变化来看，市场表现为看涨情绪下降。表2：中证1000股指期权主力合约行情统计资料来源：Wind、国泰君安期货研究表3：中证1000股指期权主力系列合约行情统计资料来源：Wind、国泰君安期货研究图1：中证1000股指期权主力合约波动率走势图750035%7300710030%6900670025%6500630020%6100590015%5700550010%2022/7/212022/8/212022/9/212022/10/212022/11/21000852 近月ATM-IV 20HV资料来源：Wind、国泰君安期货研究图2：中证1000指主力约仓量 图3：中证1000指全约PCR7800740071006800650062005900560053004000 2000 0 2000 call持仓量 Put持仓量

1.61.46900670069006700165000.863000.6610059000.457000.255000000852 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究图4：证1000股指期权力合约虚值隐含波动率曲线 图5：中证1000指主力约度势图

5300 5800 6300 6800 7300 8000主力合约今日IV 主力合约昨日IV

10.00%5.00%0.00%-5.00%-10.00%-15.00%-20.00%2022/7/21 2022/9/21 2022/11/21主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图6：中证1000指波动锥 图7：中证1000指波动期结构45%

30% 20230122%25%20221221%20%21%

90 75 50 10 HV ATM-IV

IV01 IV02 IV03 IV04 IV05 IV06今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究300股指期权标的行情：3003946.8875.93201.75期权方面：12.8617.36万手，其中，期权主力合约成10.6810.48万手。【最大持仓位分析】从行权价看，期权主力合约看涨期权最大持仓价位为4000，看跌期权最大持仓价位为3800。这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR70.34%PCR96.13%PCR73.11%PCR95.09%。【波动率分析】19.75%，相比于前一交易日变动了-0.08%，同期限历20.63%1.71%看，预期隐含波动率的走势将持平。【偏度分析】偏度值为1.50%，相比于前一交易日变动了-1.86%。从偏度数值变化来看，市场表现为看涨情绪下降。4300看涨期权

202212

看跌期权持仓量 成交量 IV 最新价 行权价 最新价 IV 成交量 持仓量324 51 0.00% 545.2 3400 0.4 30.77% 187 1416141 9 0.00% 490 3450 0.6 29.45% 244 1633276 40 0.00% 446 3500 1.2 29.24% 936 3941261 38 26.02% 398.6 3550 1.2 26.24% 595 1793673 574 23.62% 348.8 3600 1.8 24.77% 1819 35151289 200 19.48% 298.4 3650 2.4 22.74% 1484 32381632 891 19.34% 249.8 3700 4.4 22.01% 3188 42972150 1392 21.03% 205 3750 7.2 20.78% 3332 40653938 5076 19.96% 160 3800 13.2 20.33% 5579 56362741 5418 19.63% 119.8 3850 23.4 20.07% 6148 31704441 13526 19.36% 85 3900 38.6 19.74% 9745 46233684 10832 19.85% 58.8 3950 60.8 19.68% 5815 25397029 10910 19.93% 38 4000 90 19.75% 3425 27762567 4224 20.34% 24 4050 125.8 20.04% 893 7504049 3715 20.83% 14.8 4100 166.8 20.56% 208 4691734 1874 21.26% 8.8 4150 211.6 21.44% 47 1193758 1593 21.98% 5.4 4200 258 22.04% 53 4451417 627 22.27% 3 4250 315 30.92% 4 1362139 958 22.94% 1.8 4300 356 25.75% 35 384资料来源：Wind、国泰君安期货研究表5：沪深300股指期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221219.75%-0.08%20.63%1.71%1.50%-1.86%4000380020230119.45%-0.20%23.70%0.55%-0.75%-2.91%40003600资料来源：Wind、国泰君安期货研究图8：沪深300股指期权主力合约波动率走势图

30.00%25.00%20.00%3400320034003200300010.00%2022/6/12022/7/12022/8/12022/9/12022/10/12022/11/12022/12/1000300 20HV 近月ATM-IV资料来源：Wind、国泰君安期货研究图9：沪深300股期主力约仓量 图10：深300指全约PCR56005000470043504200405039003750360034503300315010000 5000 0 5000call持仓量 Put持仓量

0.5000300 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究300曲线

图12：沪深300股指期权主力合约偏度走势图

10.00%5.00%0.00%-5.00%

3150340036503900415044004900

-10.00%-15.00%-20.00%2022/6/1 2022/8/1 2022/10/1 2022/12主力合约今日IV 主力合约昨日IV

主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图13：深300指波动锥 图14：深300指波动期结构40%

202301

25%2022125%0%

IV01 IV02 IV03 IV04 IV05 IV0690 75 50 2510 HV ATM-IV

今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究50ETF期权标的行情：50ETF2.680.06310.83期权方面：248.31242.57万手，其中，期权主力合约207.66191.55万手。【最大持仓位分析】从行权价看，期权主力合约看涨期权最大持仓价位为2.613，看跌期权最大持仓价位为2.514。这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR83.30%PCR95.26%PCR85.90%PCR93.65%。【波动率分析】20.16%0.18%24.68%1.24%。从隐含波动率和历史波动率的差值来看，预期隐含波动率的走势将上涨。【偏度分析】4.44%2.14%情绪上升。表6：上证50ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价IV成交量持仓量6861220.00%0.55872.120.000333.94%124712157448970.00%0.50842.1690.000431.93%1199889519101190.00%0.46022.2180.000630.33%25151492729383180.00%0.41082.2680.000627.14%7391224364629123223.87%0.36262.3170.001126.14%1159337583991530720.00%0.31292.3660.001624.25%140766062846169220.79%0.28022.40.00222.74%65411027910682263021.52%0.2652.4160.002322.15%276337070362393120.67%0.2322.450.003721.65%11698959122412811621.89%0.2192.4650.004721.61%41592899542912980224.02%0.19052.50.007321.01%2716221424340161947620.63%0.17352.5140.008820.87%6155112583858271935719.99%0.1422.550.013720.40%4628925685639414846220.02%0.13082.5640.016320.29%103361122585189897679219.66%0.1032.60.025420.26%103556420866583410121219.98%0.09482.6130.029420.23%96195759915622016269820.03%0.07192.650.043520.26%149222499246108110837220.05%0.06532.6620.048520.13%80977376504192615137320.40%0.04792.70.06820.09%8550024888资料来源：Wind、国泰君安期货研究表7：上证50ETF期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221220.16%0.18%24.68%1.24%4.44%2.14%2.6132.51420230120.74%0.34%27.35%0.70%3.41%2.44%2.7612.65资料来源：Wind、国泰君安期货研究1550ETF3.23

30.00%2.8

25.00%

20.00%15.00%2 10.00%2022/6/1 2022/7/1 2022/8/1 2022/9/1 2022/10/1 2022/11/1 2022/12/1510050 20HV 近月ATM-IV资料来源：Wind、国泰君安期货研究图16：证50ETF期力合持量 图17：证50ETF期合约PCR3.2542.7612.6132.26810000050000

0 50000100000

0.40.2call持仓量 Put持仓量510050 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究50ETF线

图19：上证50ETF期权主力合约偏度走势图40% 10.00%35%

5.00%

0.00%-5.00%

2.122.3172.452.552.652.752.853.057主力合约今日IV 主力合约昨日IV

-10.00%-15.00%-20.00%2022/6/1 2022/8/1 2022/10/1 2022/12主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图20：证50ETF期动率锥 图21：证50ETF期动率限构40%

20221220230190 75 50 10 HV ATM-IV

IV01 IV02 IV03 IV04今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究300ETF期权标的行情：300ETF4.0040.0718.76期权方面：123.88172.10万手，其中，期权主力合约99.33131.56万手。【最大持仓位分析】4.23.8这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR92.83%PCR120.70%PCR87.68%PCR115.16%。【波动率分析】18.90%，相比于前一交易日变动了-0.08%，同期限历19.64%0.55%看，预期隐含波动率的走势将持平。【偏度分析】偏度值为1.16%，相比于前一交易日变动了-0.25%。从偏度数值变化来看，市场表现为看涨情绪下降。表8：华泰柏瑞300ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价IV成交量持仓量335530.00%0.80393.20.000432.41%94221682571970.00%0.69753.30.000428.38%254715228129922525.42%0.60983.40.000926.90%56642612447637490.00%0.50913.50.001724.80%16177789589624239619.44%0.41053.60.003222.61%2627711135820579712220.22%0.31523.70.00720.98%57414111778485093614419.25%0.22413.80.01619.73%87719119959732689656118.85%0.14493.90.036619.11%1217421115367777315766018.97%0.084740.074618.77%115793678987934510767819.16%0.04434.10.13519.14%3657126619863236514519.71%0.02174.20.21219.55%560411514565552182320.94%0.01124.30.30120.43%11785972248751224921.71%0.00534.40.397222.62%236265425357397222.81%0.00274.50.493723.13%86274617948105624.56%0.00174.60.590.00%1116692147262326.49%0.00124.70.696133.31%369932675470828.04%0.00084.80.799340.16%399752075784929.23%0.00054.90.89020.00%1361849资料来源：Wind、国泰君安期货研究表9：华泰柏瑞300ETF期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221218.90%-0.08%19.64%0.55%1.16%-0.25%4.23.820230119.68%0.02%23.43%0.47%-0.21%1.98%4.13.9资料来源：Wind、国泰君安期货研究22300ETF54

30.00%25.00%20.00%3.2310.00%2022/6/12022/7/12022/8/12022/9/12022/10/12022/11/12022/12/1510300 20HV 近月ATM-IV资料来源：Wind、国泰君安期货研究图23：泰瑞300ETF期权力约仓量 图24：泰瑞300ETF期权约PCR410000050000 0 50000100000150000call持仓量 Put持仓量

43

510300 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究300ETF率曲线

图26：华泰柏瑞300ETF期权主力合约偏度走势图

3.2 3.4 3.6 3.8 4 4.2 4.4 4.6 主力合约今日IV 力合约昨日IV

10.00%5.00%0.00%-5.00%-10.00%-15.00%-20.00%2022/6/1 2022/8/1 2022/10/1 2022/12主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图27：泰瑞300ETF期权动锥 图28：泰瑞300ETF期权动期结构40%

20221220230190 75 50 10 HV ATM-IV

IV01 IV02 IV03 IV04今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究500ETF期权标的行情：500ETF6.220.043.89期权方面：30.4458.78万手，其中，期权主力合约成24.0643.59万手。【最大持仓位分析】6.56两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR73.65%PCR96.77%PCR81.82%PCR94.68%。【波动率分析】16.60%11.47%和历史波动率的差值来看，预期隐含波动率的走势将下跌。【偏度分析】偏度值为0.89%。从偏度数值变化来看，市场表现为看涨情绪。表10：南方中证500ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价IV成交量持仓量211690.00%1.31754.90.000533.36%33107674485240.06%1.224150.000832.35%10671151854916622.35%0.97015.250.00126.46%57212710177723926.05%0.72585.50.002422.46%2470269466458187820.33%0.48015.750.008319.40%906541740227911373017.19%0.253660.03317.04%4211553842622507053616.42%0.09346.250.12516.65%4364247567652724189217.43%0.02646.50.305717.24%2479747337654720318.65%0.00646.750.535417.97%542146116905218320.91%0.002170.781319.38%66243719163024.52%0.00137.251.030.00%1290资料来源：Wind、国泰君安期货研究表11：南方中证500ETF期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221216.60%-0.03%11.47%0.14%0.89%1.80%6.5620230117.30%-0.47%16.97%0.05%-1.43%1.87%6.256资料来源：Wind、国泰君安期货研究图29：南方中证500ETF期权主力合约波动率走势图6.333%6.26.128%65.923%5.85.718%5.65.513%5.45.38%2022/9/192022/10/32022/10/172022/10/312022/11/142022/11/28510500 近月ATM-IV 20HV资料来源：Wind、国泰君安期货研究图30：方证500ETF期权力约仓量 图31：方证500ETF期权约PCR765100000 50000 0 50000 call持仓量 Put持仓量

6

2022/9/192022/9/232022/9/192022/9/232022/9/272022/10/12022/10/52022/10/92022/10/132022/10/172022/10/212022/10/252022/10/292022/11/22022/11/62022/11/102022/11/142022/11/182022/11/222022/11/262022/11/302022/12/4510500 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究图南方证500ETF期主力合约虚值隐含波动率曲线 图33：方证500ETF期权力约度势图

5.00%0.00%2022/9/16 2022/10/16 2022/11/16-5.00%-10.00%18% -15.00%13%

4.955.255.55.7566.256.56.7577.25

-20.00%主力合约今日IV 主力合约昨日IV

主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图34：方证500ETF期权动锥 图35：方证500ETF期权动期结构70%

20221220230190 75 50 10 HV ATM-IV

IV01 IV02 IV03 IV04今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究300ETF期权标的行情：300ETF4.010.0741.46期权方面：17.9224.26万手，其中，期权主力合约成15.4118.33万手。【最大持仓位分析】4.23.8这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR94.68%PCR114.31%PCR96.36%PCR110.11%。【波动率分析】19.20%0.02%20.34%0.51%。从隐含波动率和历史波动率的差值来看，预期隐含波动率的走势将持平。【偏度分析】偏度值为0.02%，相比于前一交易日变动了-0.42%。从偏度数值变化来看，市场表现为看涨情绪下降。表12：嘉实300ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价涨跌额成交量持仓量88420.00%0.81183.20.000331.55%130682693820.00%0.68093.30.000428.47%9453393245280.00%0.61043.40.000826.60%1001440358024923.01%0.51313.50.001524.46%1791561624541430.00%0.41143.60.003222.73%301412808346571020.88%0.31883.70.006820.98%12355130168336412720.13%0.22873.80.016720.19%1718920422108161208019.33%0.14873.90.036719.37%160091549780322098319.06%0.086640.075519.30%156247973119221980819.47%0.04654.10.133219.17%51863366125101078019.55%0.02184.20.210119.70%45410316791608720.73%0.01114.30.303522.87%544503868204321.41%0.00514.40.393221.61%11282536048122.97%0.00294.50.495227.37%4313168927324.01%0.00154.60.614142.62%3276163837225.06%0.00084.70.70944.59%1193291056726.47%0.00054.80.794337.95%2273481138327.64%0.00034.90.895642.83%1214资料来源：Wind、国泰君安期货研究表13：嘉实300ETF期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221219.20%0.02%20.34%0.51%0.02%-0.42%4.23.820230119.49%-0.06%23.82%0.50%0.29%1.36%4.23.7资料来源：Wind、国泰君安期货研究图36：嘉实300ETF期权主力合约波动率走势图54

30.00%25.00%20.00%3.2310.00%2022/6/12022/7/12022/8/12022/9/12022/10/12022/11/12022/12/1159919 20HV 近月ATM-IV资料来源：Wind、国泰君安期货研究图37：实300ETF期主力约仓量 图38：实300ETF期全约PCR420000 10000 0 10000 20000

43

0.3call持仓量 Put持仓量 159919 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究39300ETF曲线

图40：嘉实300ETF期权主力合约偏度走势图

3.2 3.4 3.6 3.8 4 4.2 4.4 4.6 主力合约今日IV 力合约昨日IV

10.00%5.00%0.00%-5.00%-10.00%-15.00%-20.00%2022/6/1 2022/8/1 2022/10/1 2022/12主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图41：实300ETF期波动锥 图42：实300ETF期波动期结构60%30%202212 2023010%90 75 50 10 HV ATM-IV

IV01 IV02 IV03 IV04今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究500ETF期权标的行情：500ETF6.330.051.14期权方面：6.8318.58万手，其中，期权主力合约成6.3215.11万手。【最大持仓位分析】6.56.25这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR73.34%PCR116.04%PCR75.87%PCR114.00%。【波动率分析】16.37%11.56%和历史波动率的差值来看，预期隐含波动率的走势将下跌。【偏度分析】偏度值为-2.54%。从偏度数值变化来看，市场表现为看跌情绪。表14：嘉实中证500ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价IV成交量持仓量276944.64%1.43514.90.000333.85%81231718300.00%050.000432.27%1932207305636.58%1.08725.250.000727.72%30219427792310.00%0.83125.50.001423.37%8624915106043817.85%0.58385.750.004119.86%2023106112846127917.37%0.348460.01817.75%748916826133471457816.54%0.15526.250.071516.22%1195433955238941240316.28%0.04576.50.214816.42%3521540615409574117.29%0.01096.750.429817.51%3241052528067419.18%0.00370.689428.46%26106549111422.93%0.00187.2500.00%01302资料来源：Wind、国泰君安期货研究表15：嘉实中证500ETF期权主力系列合约行情统计ATM-IVIV变动同期限HVHV变动SkewSkew变动C最大持仓P最大持仓20221216.37%0.29%11.56%0.19%-2.54%0.13%6.56.2520230117.06%-0.40%16.35%0.07%-0.79%2.18%7.255.25资料来源：Wind、国泰君安期货研究图43：嘉实中证500ETF期权主力合约波动率走势图652022/9/19 2022/10/3 2022/10/17 2022/10/31 2022/11/14

8%159922 近月ATM-IV 20HV资料来源：Wind、国泰君安期货研究图44：实证500ETF期权力约仓量 图45：实证500ETF期权约PCR76540000 20000 0 20000 call持仓量 Put持仓量

6

2022/9/192022/9/232022/9/192022/9/232022/9/272022/10/12022/10/52022/10/92022/10/132022/10/172022/10/212022/10/252022/10/292022/11/22022/11/62022/11/102022/11/142022/11/182022/11/222022/11/262022/11/302022/12/4159922 成交量PCR 持仓量PCR资料源：Wind、国君期研究 资料源：Wind、国君期研究图嘉实证500ETF期主力合约虚值隐含波动率曲线 图47：实证500ETF期权力约度势图

4.9 55.255.55.7566.256.56.7577.25

5.00%0.00%2022/9/16 2022/10/16 2022/11/16-5.00%-10.00%-15.00%-20.00%主力合约今日IV 主力合约昨日IV

主力合约偏度资料源：Wind、国君期研究 资料源：Wind、国君期研究图48：实证500ETF期权动锥 图49：实证500ETF期权动期结构

20230120221290 75 50 2510 HV ATM-IV

IV01 IV02 IV03 IV04今日 昨日资料源：Wind、国君期研究 资料源：Wind、国君期研究ETF期权标的行情：ETF2.310.007.62期权方面：54.3374.37万手，其中，期权主力合约成51.4664.94万手。【最大持仓位分析】2.352.3这两个期权持仓量密集的行权价将作为阻力位和支撑位重要参考数值。【PCR分析】PCRatioPCR76.26%PCR87.74%PCR76.43%PCR92.00%。【波动率分析】23.26%19.53%和历史波动率的差值来看，预期隐含波动率的走势将下跌。【偏度分析】偏度值为9.72%。从偏度数值变化来看，市场表现为看涨情绪。表16：创业板ETF期权主力合约行情统计看涨期权 202212 看跌期权持仓量成交量IV最新价行权价最新价IV成交量持仓量5701300.00%0.36461.950.000728.95%8475989435690.00%0.309820.001227.23%6859366134724418.61%0.26492.050.002125.56%324112641258435824.77%0.2192.10.003824.05%7717218084559347524.35%0.17362.150.007423.04%107812655180521515622.41%0.12912.20.014622.51%2129146713210563582722.62%0.09272.250.028422.79%3735447871603187595523.08%0.06372.30.04923.06%6273880080756836806623.77%0.04242.350.077423.63%5069029824566253975224.72%0.02792.40.113824.99%1863614185362062200225.27%0.01742.450.152325.02%77684409344971621026.49%0.01152.50