2023年四季度期权展望：静水深流

2023I 20239 zhouxiaoshu@nawaa.com :Z0014889 jieting@nawaa.com F03114103 202350ETF 150ETF 12ETF 2 12 3 12 2023I 20239 i 1. ......................................................................................................1 2. 2023 .............................................................................6 3. ..............................................................................................11 4. .................................................................................................36 2023I 20239 1 1. 1.12023 1.150ETF 992550ETF20.58%14.15%70%80% 1.1.150ETF 50ETF5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%2021/5/172021/6/112021/7/92021/8/52021/9/12021/9/302021/11/32021/11/302021/12/272022/1/242022/2/252022/3/242022/4/222022/5/242022/6/212022/7/182022/8/122022/9/82022/10/132022/11/92022/12/62023/1/32023/2/62023/3/32023/3/302023/4/272023/5/302023/6/282023/7/252023/8/212023/9/15 20 2023I 20239 2 50ETF50ETF50ETF 1.1.2 1.2. 950BP 92511.14%5.61%50%60% 2023I 20239 3 1.2.1 1.2.2 1.3. 0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%2022/2/102022/3/12022/3/182022/4/82022/4/272022/5/192022/6/82022/6/272022/7/142022/8/22022/8/192022/9/72022/9/272022/10/212022/11/92022/11/282022/12/152023/1/42023/1/302023/2/162023/3/72023/3/242023/4/132023/5/52023/5/242023/6/122023/7/32023/7/202023/8/82023/8/252023/9/13 2023I 20239 4 92519.92%11.85%90% 1.3.1 1.3.2 0.00%5.00%10.00%15.00%20.00%25.00%30.00%2022/2/102022/3/12022/3/182022/4/82022/4/272022/5/192022/6/82022/6/272022/7/142022/8/22022/8/192022/9/72022/9/272022/10/212022/11/92022/11/282022/12/152023/1/42023/1/302023/2/162023/3/72023/3/242023/4/132023/5/52023/5/242023/6/122023/7/32023/7/202023/8/82023/8/252023/9/13 2023I 20239 5 1.4. 2023 9    2023I 20239 6 2. 2023 2.1. 5%GDP 662150ETF18.06%13.43%60%70% 2.1.150ETF 202363050ETF2.54250ETF82.550ETF82.482350ETF92.550ETF92.49226016.06%2.79% 5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%2021/5/172021/6/92021/7/52021/7/282021/8/202021/9/142021/10/182021/11/102021/12/32021/12/282022/1/212022/2/222022/3/172022/4/132022/5/112022/6/62022/6/292022/7/222022/8/162022/9/82022/10/112022/11/32022/11/282022/12/212023/1/162023/2/152023/3/102023/4/42023/4/282023/5/292023/6/21 20 2023I 20239 7 2.1.2 2.2. 2023 4140.2 10.3%CF401CF309CF30919.67%CF40117.49% 2.2.1 20237316785/CF309C16800CF401C16800 839237.59%3.67% 0.90.9511.051.11.151.2 16.00%16.50%17.00%17.50%18.00%18.50%19.00%19.50%20.00%CF309CF311CF401CF403CF405 2023I 20239 8 2.2.2 2.3. 62117.91%18.45%40%50% 2.3.1 20237318120/AL2309P180000.90.920.940.960.9811.021.041.061.081.11.12 0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%2022/2/102022/2/252022/3/142022/3/292022/4/152022/5/52022/5/202022/6/72022/6/222022/7/72022/7/222022/8/82022/8/232022/9/72022/9/232022/10/172022/11/12022/11/162022/12/12022/12/162023/1/32023/1/182023/2/92023/2/242023/3/132023/3/282023/4/132023/4/282023/5/182023/6/22023/6/19 2023I 20239 9 AL2309P1750082539945/ 2.4. 2.1922 ETF 2023I 20239 10 2023I 20239 11 3. 3.1. 50ETF 3.1.1. 50ETF 202392250ETF3.57263.54200.49434.2075.37228.991396.897.8522.262.57 3.1.150ETF 3.1.250ETFCPR 01,000,0002,000,0003,000,0004,000,0005,000,0006,000,0007,000,0002020/7/162021/7/162022/7/162023/7/16 00.511.522.50500,0001,000,0001,500,0002,000,0002,500,0003,000,0003,500,0004,000,0002020/7/162021/7/162022/7/162023/7/16() () CPR 2023I 20239 12 3.1.350ETFCPR CPR1.13CPR1.890.86CPR1.171.910.67CPRCPR50ETF50ETFCPR50ETFCPR 3.1.450ETF 1.1.2. 50ETF 50ETF50ETF00.511.522.50500,0001,000,0001,500,0002,000,0002,500,0003,000,0002020/7/162021/7/162022/7/162023/7/16() () CPR 0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00% 2023I 20239 13 50ETF 3.1.550ETF 3.1.650ETF -20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00% 20 50ETFIV-HV 1M3M9M0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00% 2023I 20239 14 3.1.750ETF 3.1.850ETF 3.2300 3.2.1300 20239223001791.2918.9010.0622.324.0817.154.8812.232.18 0.00%20.00%40.00%60.00%80.00%100.00%120.00%2023072120230822202309220.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%1M2M3M6M9M1Y202307212023082220230922 2023I 20239 15 3.2.1 wind 3.2.2CPR wind 050,000100,000150,000200,000250,000300,000350,000400,0002020/7/162021/7/162022/7/162023/7/16 00.511.522.53050,000100,000150,000200,000250,0002020/7/162021/7/162022/7/162023/7/16() () CPR 2023I 20239 16 3.2.3CPR wind 202311922CPR1.33CPR2.450.90CPR1.271.990.75 3.2.4300CPR wind 3.2.2. 300 30050ETF 00.511.522.5020,00040,00060,00080,000100,000120,000140,000160,000180,0002020/7/162021/7/162022/7/162023/7/16() () CPR 0100020003000400050006000700000.511.522.532020/7/162021/7