股指期权数据分析-20210525-东吴期货-18正式版

股指期权数据分析20210525东吴期货-研究所李高锋2012年03月29日投资有风险，入市需谨慎目录一、沪深300股指期权二、上证300ETF期权三、上证50ETF期权四、股指收益率分布五、策略建议投资有风险，入市需谨慎沪深300股指期权405560005035455500304050003525304500252020400015153500ATM-IV均值10标的价格-右105300020HV均值均值-1*方差均值+1*方差52017-11-292018-11-292019-11-292020-11-2920100-10ATM(P-C)IV差值-20-30投资有风险，入市需谨慎16看涨持仓量看跌持仓量持仓量PCR-MA5-右1.4141.2121100.880.660.440.2沪深300股指期权16看跌成交量1.2看涨成交量成交量PCR-MA5-右14112100.880.660.440.2214000持仓分布1200010000CP80006000400020000投资有风险，入市需谨慎70波动率微笑曲线605040302010C-IVP-IV0

沪深300股指期权23波动率期限结构22212019181716152021/5/242021/5/202021/5/21141M2M3M6M9M12M投资有风险，入市需谨慎沪深300股指期权沪深300股指期权希腊字母表日期标的物标的价格合约月份2021/5/24000300.SH5155.59202106C-IVRhoThetaVegaGammaDeltaC<K>PDeltaGammaVegaThetaRhoP-IV0.002.5601-0.23130.00000.00001.000036000000.0000052.170.002.6312-0.23770.00000.00001.000037000000.0000047.940.002.7023-0.24410.00000.00001.000038000000.0000044.440.002.7734-0.25050.00000.00001.000039000000.0000040.420.002.8445-0.25710.00030.00001.00004000000.0003-0.0001038.150.002.9156-0.26410.00180.00001.00004100000.0018-0.0007-0.000134.820.002.9862-0.27330.00860.00000.99984200-0.000200.0086-0.0035-0.000631.540.003.1192-0.32840.11160.00000.99744400-0.002600.1116-0.0458-0.009827.290.003.1192-0.32840.11160.00000.99744400-0.002600.1116-0.0458-0.009827.290.003.1469-0.36310.18870.00000.99534450-0.004700.1887-0.0772-0.017626.010.003.1697-0.41400.30550.00010.99194500-0.00810.00010.3055-0.1249-0.030425.170.003.1853-0.48590.47430.00010.98664550-0.01340.00010.4743-0.1936-0.050423.720.003.1907-0.58370.70720.00020.97854600-0.02150.00020.7072-0.2882-0.080522.850.003.1827-0.71101.01380.00020.96704650-0.0330.00021.0138-0.4123-0.124122.050.003.1575-0.86961.39890.00030.95094700-0.04910.00031.3989-0.5677-0.184821.760.003.1117-1.05831.86050.00050.92944750-0.07060.00051.8605-0.7532-0.266221.240.003.0418-1.27212.38740.00060.90164800-0.09840.00062.3874-0.9638-0.371721.240.002.9454-1.50232.95910.00070.86694850-0.13310.00072.9591-1.1907-0.503620.800.002.8215-1.73643.54630.00090.82514900-0.17490.00093.5463-1.4216-0.663120.7712.012.6703-1.95964.11340.00100.77634950-0.22370.0014.1134-1.6417-0.849820.9213.852.4939-2.15644.62240.00110.72125000-0.27880.00114.6224-1.8352-1.061820.8016.262.0822-2.41375.32740.00130.59675100-0.40330.00135.3274-2.0861-1.544621.0117.011.6313-2.43145.46720.00130.46415200-0.53590.00135.4672-2.0973-2.066621.9517.821.1941-2.20885.02890.00120.33775300-0.66230.00125.0289-1.8683-2.574923.4518.760.8147-1.81634.17150.00100.22935400-0.77070.0014.1715-1.4694-3.025525.6619.640.5175-1.35783.13830.00080.14515500-0.85490.00083.1383-1.0045-3.393728.1620.960.3062-0.92702.15270.00050.08565600-0.91440.00052.1527-0.5673-3.676131.0821.940.1689-0.58061.35320.00030.04715700-0.95290.00031.3532-0.2144-3.884534.1523.880.0870-0.33500.78310.00020.02425800-0.97580.00020.78310.0376-4.037638.1128.300.0190-0.08870.20820.00010.00536000-0.99470.00010.20820.2967-4.247945.1632.500.0032-0.01770.04170.00000.00096200-0.999100.04170.3805-4.405851.3235.900.0004-0.00280.00650.00000.00016400-0.999900.00650.4084-4.550857.42数据来源：Wind、东吴期货研究所

沪深300股指期权价值分析日期标的物标的价格合约月份2021/5/24000300.SH5155.5875202106时间价值内在价值理论价收盘价C<K>P收盘价理论价内在价值时间价值(34.19)1555.591561.611521.4036000.800.000.000.80(21.19)1455.591461.771434.4037000.600.000.000.60(46.79)1355.591361.941308.8038000.800.000.000.80(71.19)1255.591262.111184.4039000.600.000.000.60(30.19)1155.591162.271125.4040000.800.000.000.80(21.79)1055.591062.441033.8041000.800.000.000.80(43.39)955.59962.62912.2042001.000.010.001.00(29.99)755.59763.18725.6044001.800.240.001.80(29.99)755.59763.18725.6044001.800.240.001.80(36.59)705.59713.48669.0044502.000.450.002.00(35.19)655.59663.93620.4045002.400.820.002.40(38.79)605.59614.63566.8045502.601.430.002.60(31.39)555.59565.70524.2046003.402.420.003.40(31.59)505.59517.32474.0046504.403.960.004.40(12.79)455.59469.70442.8047006.206.250.006.20(19.19)405.59423.10386.4047508.809.570.008.80(7.39)355.59377.84348.20480013.0014.230.0013.00(4.19)305.59334.26301.40485017.8020.560.0017.804.21255.59292.70259.80490025.8028.920.0025.8015.81205.59253.53221.40495036.4039.670.0036.4027.81155.59217.07183.40500049.0053.130.0049.0068.8155.59153.30124.40510085.6089.180.0085.6077.000.00102.6377.005200139.60138.3544.4195.1945.800.0064.9345.805300209.20200.48144.4164.7927.000.0038.7227.005400291.00274.10244.4146.5915.400.0021.7315.405500378.40356.95344.4133.999.800.0011.489.805600475.80446.53444.4131.396.200.005.716.205700603.80540.59544.4159.394.800.002.674.805800688.20637.39644.4143.793.600.000.493.606000904.00834.87844.4159.593.000.000.073.0062001085.001034.121044.4140.592.400.000.012.4064001293.401233.721244.4148.99数据来源：Wind、东吴期货研究所投资有风险，入市需谨慎300ETF期权4539405.534355293025244.5201915414103.5标的价格ATM-IV均值-右9520HV均值均值-1*方差均值+1*方差02017-11-232018-11-232019-11-232020-11-2325ATM(P-C)IV差值20151050-5-10投资有风险，入市需谨慎300ETF期权1601.72701.3看涨持仓量看跌持仓量持仓量PCR-MA5-右看涨成交量看跌成交量成交量PCR--MA5-右1401.51.22201.11201.31.01701001.10.9801200.80.9600.7700.7400.6200.5200.52020-03-182020-04-182020-05-182020-06-182020-07-182020-08-182020-09-182020-10-182020-11-182020-12-182021-01-182021-02-182021-03-182021-04-182021-05-182020-03-182020-04-182020-05-182020-06-182020-07-182020-08-182020-09-182020-10-182020-11-182020-12-182021-01-182021-02-182021-03-182021-04-182021-05-18投资有风险，入市需谨慎300ETF期权160000140持仓分布波动率微笑曲线14000012012000010010000080CP80000C-IVP-IV606000040400002020000004.54.64.74.84.955.255.55.7566.254.54.64.74.84.955.255.55.7566.2521波动率期限结构20.52021/5/24 2021/5/20 2021/5/212019.51918.51817.5171M 2M 3M 6M 9M 12M投资有风险，入市需谨慎300ETF期权上证300ETF期权希腊字母表日期标的物标的价格合约月份2021/5/24510300.SH5.163202105C-IVRhoThetaVegaGammaDeltaC<K>PDeltaGammaVegaThetaRhoP-IV0.000.0004-0.00030.00000.00001.00004.50000.0000051.560.000.0004-0.00030.00000.00001.00004.60000.0000043.750.000.0004-0.00030.00000.00001.00004.70000.0000037.500.000.0004-0.00030.00000.00420.99994.8-0.00010.004200.0000028.910.000.0004-0.00050.00010.11440.99614.9-0.00390.11440.0001-0.0002025.390.000.0004-0.00210.00051.01950.94925-0.05081.01950.0005-0.0018020.9015.750.0001-0.00490.00132.77720.20525.25-0.79482.77720.0013-0.0046-0.000322.9927.540.00000.00000.00000.02570.00085.5-0.99920.025700.0003-0.000547.4443.360.00000.00000.00000.00000.00005.75-1000.0004-0.000572.8054.690.00000.00000.00000.00000.00006-1000.0004-0.000598.3468.750.00000.00000.00000.00000.00006.25-1000.0004-0.0005120.17数据来源：Wind、东吴期货研究所上证300ETF期权价值分析日期标的物标的价格合约月份2021/5/24510300.SH5.163202105时间价值内在价值理论价收盘价C<K>P收盘价理论价内在价值时间价值-0.01250.66300.66390.650504.50.0001000.00000.0001-0.01080.56300.56390.552204.60.0001000.00000.0001-0.01190.46300.46390.451104.70.0002000.00000.0002-0.00830.36300.36390.354704.80.0001000.00000.0001-0.00750.26300.26410.255504.90.000400.00010.00000.0004-0.00700.16300.16620.1560050.001800.00220.00000.00180.00450.00000.01170.004505.250.099300.09770.08700.01230.00020.000000.000205.50.344700.3360.33700.00770.00020.000000.000205.750.596200.58590.58700.00920.00010.000000.0001060.844300.83580.83700.00730.00010.000000.000106.251.110801.08581.08700.0238数据来源：Wind、东吴期货研究所投资有风险，入市需谨慎50ETF期权50454035302520151020HV均值均值-1*方差均值+1*方差502017-11-292018-11-292019-11-292020-11-2940

504.54540435303.525320152.510ATM-IV均值标的价格-右5212-0601-0602-0603-0604-0605-0606-0607-0608-0609-0610-0611-0612-0601-0602-0603-0604-0605-062019-2020-2020-2020-2020-2020-2020-2020-2020-2020-2020-2020-2020-2021-2021-2021-2021-2021-3020100-10-20

ATM(P-C)IV差值12-0601-0602-0603-0604-0605-0606-0607-0608-0609-0610-0611-0612-0601-0602-0603-0604-0605-06------------------201920202020202020202020202020202020202020202020202020212021202120212021投资有风险，入市需谨慎50ETF期权3001.63801.2看涨持仓量看跌持仓量持仓量PCR-MA5-右看跌成交量看涨成交量成交量PCR-MA5-右1.11.425033011.22800.920023010.81501800.70.81300.61000.6800.5500.4300.42019-12-062020-01-062020-02-062020-06-062020-07-062020-11-062019-12-062020-01-062020-02-062020-06-062020-07-062020-11-062020-12-062021-01-062021-02-062021-03-062021-04-062021-05-06投资有风险，入市需谨慎50ETF期权250000100持仓分布波动率微笑曲线902000008070C-IVP-IV150000605010000040305000020100033.13.23.33.43.53.63.73.83.9433.13.23.33.43.53.63.73.83.9427波动率期限结构2523211917152021/5/24 2021/5/20 2021/5/21131M 2M 3M 6M 9M 12M投资有风险，入市需谨慎50ETF期权日期标的物标的价格合约月份2021/5/24510050.SH3.489202105C-IVRhoThetaVegaGammaDeltaC<K>PDeltaGammaVegaThetaRhoP-IV0.000.0002-0.00020.00000.00001.000030000.0000057.810.000.0003-0.00020.00000.00001.00003.10000.0000046.090.000.0003-0.00020.00000.00021.00003.200.000200.0000036.330.000.0003-0.00030.00000.07980.99843.3-0.00160.07980-0.0001024.610.000.0003-0.00190.00052.33160.91533.4-0.08472.33160.0005-0.0017018.3614.840.0001-0.00450.00125.93090.44223.5-0.55785.93090.0012-0.0043-0.000217.6518.070.0000-0.00120.00031.60830.05243.6-0.94761.60830.0003-0.0010-0.000327.5925.390.00000.00000.00000.05580.00113.7-0.99890.055800.0002-0.000345.6135.550.00000.00000.00000.00030.00003.8-10.000300.0002-0.000357.9642.970.00000.00000.00000.00000.00003.9-1000.0003-0.000371.2952.340.00000.00000.00000.00000.00004-1000.0003-0.000387.89数据来源：Wind、东吴期货研究所日期标的物标的价格合约月份2021/5/24510050.SH3.489202105时间价值内在价值理论价收盘价C<K>P收盘价理论价内在价值时间价值-0.00320.48900.48960.4858030.0001000.00000.0001-0.00290.38900.38960.386103.10.0001000.00000.0001-0.00280.28900.28960.286203.20.0001000.00000.0001-0.00350.18900.18970.185503.30.0001000.00000.0001-0.00260.0