金融期权：下行升波市场避险情绪上升

表2：期权波动率统计(本周最后一个交易日)期权波动率统计(近月)ATM-IVIV变动同期限HVHV变动SkewSkew变动VIXVIX变动上证50股指期权14.73%0.70%13.39%-0.81%7.92%3.84%16.340.08沪深300股指期权14.57%0.52%13.08%-1.80%2.42%1.86%15.990.36中证1000股指期权14.08%-0.14%15.88%-3.11%-0.60%1.19%15.260.07上证50ETF期权14.12%0.18%12.26%-0.90%2.02%0.89%15.290.17华泰柏瑞300ETF期权13.80%0.48%11.72%-1.00%-0.65%2.66%14.950.19南方500ETF期权13.30%-0.09%13.92%-0.51%-8.45%2.04%15.680.04华夏科创50ETF20.66%0.37%15.81%-2.07%1.57%-2.71%22.870.10易方达科创50ETF20.77%0.37%15.52%-1.89%4.20%0.18%22.980.14嘉实300ETF期权13.82%0.25%12.05%-1.10%0.56%3.27%14.790.00嘉实500ETF期权13.09%-0.15%13.91%-0.72%-6.93%0.96%15.310.16创业板ETF期权18.29%0.47%15.23%-1.28%-0.22%-0.10%19.070.41深证100ETF期权16.06%0.11%13.62%-1.06%0.64%1.34%16.41(0.32)资料来源：期权流动性图1：金融期权总成交量与总持仓量变化万手 总持仓量 总成交量120010008006004002000资料来源：、图2：金融期权总成交额变化亿元 总成交额706050403020100资料来源：、图3：金融期权总成交市值与总持仓市值变化亿元 总持仓值 总成交值5000450040003500300025002000150010005000资料来源：、图4：金期各种交量比 图5：金期各种仓量比上证期权 华泰柏瑞期权南方期权华夏科创期权易方达创期权嘉实期权嘉实期权创业板期权 深证期权上证股指期权中证股指权沪深股指期权

上证期权华泰柏瑞期权南方期权华夏科创期权易方达科创期权嘉实期权嘉实期权创业板期权深证期权上证股指期权中证股指期权沪深股指期权2023/6/62023/6/72023/6/82023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/78.83.53.8.83.53.28.413.61.31.710.05.521.90.81.730.52.710.53513.82.810.21.37.219.01.41.730.7资料来源：、 资料来源：、期权波动率水平图6：上证50股期动率势 图7：上证50股和平值 0.15 0.15 0.13 0.11 0.09 0.07历史波动率 隐含波动率0.19 0.17 隐含波动率 标的资产收盘价0.2 26200.18 26000.16 25800.14 25600.12 25400.1 25200.08 2500 0.0624800.04 0.02 0 资料来源： 资料来源：比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为14.73%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-90.89%。 历史波动率 隐含波动率0.18 0.16 0.14 0.12 0.1 历史波动率 隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 0 隐含波动率 标的资产收盘价0.18 0.16 0.14 0.12 0.1 65500.08 650064500.06 64000.04 63500.02 63000 6250资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为2023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/7/32023/7/42023/7/52023/7/62023/7/7历史波动率隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06历史波动率隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 0 0.155 39500.15 0.145 3900 0.14 38500.135 38000.13 0.125 37500.12 370040000.16隐含波动率标的资产收盘价资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为14.57%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-96.86%。0.2 0.15 0.1 0.05 0隐含波动率历史波动率0.2 0.15 0.1 0.05 0隐含波动率历史波动率0.2 2.620.15 2.6 2.560.1 2.542.520.05 2.5 0 标的资产收盘价隐含波动率资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为14.12%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-96.71%。图14：泰瑞300ETF波动走势 图15：泰瑞300ETF和主值IV历史波动率 隐含波动率0.2 历史波动率 隐含波动率0.2 0.15 0.1 0.05 0隐含波动率标的资产收盘价0.18 40.16 3.950.14 0.12 3.90.1 3.850.080.06 3.80.04 3.750.02 0 3.7资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为13.80%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-92.91%。图16：方500ETF波率走势 图17：方500ETF和力值IV历史波动率历史波动率隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 0隐含波动率标的资产收盘价0.18 6.250.16 6.20.14 6.150.12 6.10.1 6.050.08 0.06 60.04 0.02 5.90 5.85资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为13.30%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-96.74%。历史波动率 隐含波动率0.3 0.25 0.2 0.15 0.1 隐含波动率 标的资产收盘价0.3 1.120.25 1.10.2 1.080.15 1.06历史波动率 隐含波动率0.3 0.25 0.2 0.15 0.1 隐含波动率 标的资产收盘价0.3 1.120.25 1.10.2 1.080.15 1.060.1 1.040.05 01资料来源： 资料来源：比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为20.66。结合平隐波标的行的相走势，上周的资和平波呈现相关，该关系数达到29.39。历史波动率 隐含波动率0.3 0.25 0.2 0.15 0.10 0.98 历史波动率 隐含波动率0.3 0.25 0.2 0.15 0.10 0.98 1.030.1 1.02 1.010.05 1 0.990.15 1.04 1.050.2 隐含波动率 标的资产收盘价0.3 1.09 1.080.25 1.071.06资料来源： 资料来源：比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为20.77%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现正相关性，该相关系数达到13.83%。图22：实300ETF波率走势 图23：实300ETF和力值IV历史波动率 隐含波动率0.18历史波动率 隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 03.753.80.020隐含波动率标的资产收盘价0.18 0.16 4.050.14 0.12 40.1 3.950.08 3.90.06 3.850.04资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为13.82%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-97.78%。历史波动率 隐含波动率0.18 0.16 0.14 0.12 0.1 0.08历史波动率 隐含波动率0.18 0.16 0.14 0.12 0.1 0.08 0.06 0.04 0.02 00.16 6.350.14 6.30.12 6.250.1 6.20.08 6.150.06 6.10.04 6.050.02 60 5.956.40.18隐含波动率 标的资产收盘价资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为13.09%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-90.16%。图26：业板ETF波走势 图27：业板ETF和平值历史波动率 隐含波动率历史波动率 隐含波动率 隐含波动率 标的资产收盘价0.24 0.250.22 2.250.2 0.2 2.20.18 0.150.16 2.150.14 0.1 2.10.12 0.05 2.050.10 2资料来源：WIND、 资料来源：WIND、比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为18.29%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-93.61%。2023/6/52023/6/62023/6/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/7图28：深100ETF动走势 图29：深100ETF主平值IV历史波动率 隐含波动率0.2历史波动率 隐含波动率0.2 0.18 0.16 0.14 0.12 0.1隐含波动率标的资产收盘价0.2 2.950.18 2.90.16 0.142.850.12 2.80.1 0.08 2.750.06 2.70.04 0.02 2.650 2.6资料来源： 资料来源：比较期权平值隐波和历史波动率来看，上周平值隐波和历史波动率出现收敛迹象,当前平值隐波为16.06%。结合平值隐波和标的行情的相关走势来看，上周标的资产和平值隐波呈现负相关性，该相关系数达到-81.19%。期权市场多空情绪期权的Put-Call-Ratio（PCR）指标在一定程度上可以反映市场的多空情绪。 0.2 01.2 1 0.8 0.6 0.4 Call成交量日环比(%) Put成交量日环比(%) call-put(%)150.00 0.2 01.2 1 0.8 0.6 0.4 Call成交量日环比(%) Put成交量日环比(%) call-put(%)150.00 0.00-50.00 -100.00资料来源： 资料来源：2023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/7金融衍生品研究321000PCR走势3310001.51.41.31.21.110.90.80.7 Call成交量日环比(%)call-put(%)Put成交量日环比(%)200.00 0.00-50.00资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究图34：沪深300股指期权PCR走势1.2 1.1 1 0.9 0.8 0.7 0.6 0.5 0.435300PCRCall成交量日环比(%)Put成交量日环比(%)call-put(%)150.00 100.0050.000.00-50.00-100.00资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究36：50ETFPCR37：50ETF1.110.9 Call成交量日环比(%)Put成交量日环比(%)call-put(%) 100 80 600.80.70.60.50.4 4020 0-20 -40-60资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究请务必阅读正文之后的免责条款部分102023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/7金融衍生品研究38300ETFPCR39300ETF1.21.110.90.80.70.60.50.4 Call成交量日环比(%)Put成交量日环比(%)call-put(%)100.00 80.0060.0040.0020.000.00-20.00-40.00 -60.00资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究40500ETFPCR41500ETF1.51.41.31.21.110.90.80.70.60.5 Call成交量日环比(%)Put成交量日环比(%)call-put(%)150.00 100.0050.000.00-50.00 -100.00资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究4250ETFPCR4350ETF1.61.41.210.80.60.40.20Call成交量日环比(%)Put成交量日环比(%)call-put(%) 资料来源：国泰君安期货研究资料来源：国泰君安期货研究请务必阅读正文之后的免责条款部分11金融衍生品研究4450ETFPCR4550ETF1.61.41.210.80.60.40.20Call成交量日环比(%)Put成交量日环比(%)call-put(%) 金融衍生品研究4450ETFPCR4550ETF1.61.41.210.80.60.40.20Call成交量日环比(%)Put成交量日环比(%)call-put(%) 0.00-50.00 -100.00 -150.00资料来源：国泰君安期货研究资料来源：国泰君安期货研究46300ETFPCR47300ETFCall成交量日环比(%)Put成交量日环比(%)call-put(%)1.21.110.90.80.70.60.50.4 100.00 80.0060.0040.0020.000.00-20.00-40.00 -60.00资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究48500ETFPCR49500ETFCall成交量日环比(%)Put成交量日环比(%)call-put(%)1.51.41.31.21.110.90.80.70.60.5 0.00-50.00 -100.00 -150.00 资料来源：WIND、国泰君安期货研究资料来源：WIND、国泰君安期货研究请务必阅读正文之后的免责条款部分122023/6/52023/6/62023/6/72023/6/82023/6/92023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/71.1 1 0.9 0.8 0.7 0.6 1.1 1 0.9 0.8 0.7 0.6 0.5Call成交量日环比(%) Put成交量日环比(%) call-put(%)200.00 0.00-50.00 -100.002023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/52023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/72023/6/62023/6/72023/6/82023/6/92023/6/122023/6/132023/6/142023/6/152023/6/162023/6/192023/6/202023/6/212023/6/262023/6/272023/6/282023/6/292023/6/302023/7/32023/7/42023/7/52023/7/62023/7/7资料来源：WIND、 资料来源：WIND、 0.4 0.2 01.6 1.4 1.2 0.4 0.2 01.6 1.4 1.2 1 0.8 0.6 Call成交量日环比(%) Put成交量日环比(%) call-put(%)-20.00-40.00-60.00-80.00 资料来源： 资料来源：市场支撑压力位信息5025002600100064003003850390050ETF2.552.6300ETF3.93.9500ETF5.756.2550ETF1.051.150ETF1.05300ETF3.94500ETF66.5ETF2.152.2100ETF2.75，3。图54：证50股期各行价的交量 图55：证1000指权各权下成量29502850275029502850275026502550247524252375232522752225-12000-10000-8000-6000-4000-2000 0 200040006000认购期持仓量 认沽期持仓量坐标轴标题认购期权持仓量 认沽期权持仓量7500730071006900670065006300610059005700-6000-4000-2000020004