股指期权周报：A股短期震荡 小盘股强于大盘股

投资咨询业务资格 证监发【2014】217号 A股短期震荡小盘股强于大盘股 ——股指期权周报2024.10.28 研究员：丁文 联系方式：0371-68599112 电子邮箱：dingw_qh@ccnew.com执业证书编号：F3066473 投资咨询编号：Z0014838 上交所期权策略顾问：YZ16008281 本期观点 品种 主要逻辑 策略建议 趋势策略 波动率策略 股指期权 本周A股三大指数走势分化，中小盘股强于大盘股，市场成交额维持在1.5万亿。沪深300指数日三彩K线指标维持蓝色，周线二连阳，周三彩K线指标维持红色。IF期货当月合约期现基差升水标的缩小，次月合约转为贴水当月合约。IO期权持仓量回升，成交量萎缩，期权成交量PCR、期权持仓量PCR都下降，期权隐含波动率下降，看涨、看跌期权最大持仓量行权价格扩大。中证1000指数日线走强，日三彩K线指标维持蓝色；周线二连阳，周三彩K线指标保持红色。IM期货当月合约期现基差转为升水标的，次月合约贴水当月合约缩小。期权MO成交量萎缩，持仓量回升，期权成交量PCR先降后升，期权持仓量PCR上升，期权隐含波动率下降，看涨、看跌期权最大持仓量行权价格区间扩大。上证50指数日三彩K线指标维持蓝色，周线三连阴，但周三彩K线指标仍维持红色。IH期货当月合约期现基差升水标的缩小，次月合约升水当月合约基差平稳。期权HO成交量萎缩，持仓量回升，期权成交量PCR、期权持仓量PCR都下降，期权隐含波动率下降，HO看涨、看跌期权最大持仓量行权价格价差扩大。。 逢高平仓多头仓位 卖出宽跨式做空波动率 1 3 目录 2 Content 沪深300股指期权（IO）中证1000股指期权（MO）上证50股指期权（HO） 1沪深300股指期权（IO） 沪深300指数周K线图 沪深300指数周线二连阳，周三彩K线指标维持红色 数据来源：文华财经 沪深300指数日K线图 沪深300指数日三彩K线指标维持蓝色 数据来源：文华财经 沪深300股指期权当月期权T型报价 300股指期权2411合约看涨、看跌最大持仓量行权价格 分别是4100、3900，期权最痛点3900 数据来源：咏春 沪深300股指期权隐含波动率 股指期权隐含波动率下降 数据来源：策略星学院 当月IF期货与沪深300指数基差统计 沪深300当月合约基差图（当月合约—标的） 4,500.0000 基差（期货-标的）【右】 沪深300收盘价【左】 4,000.0000 3,500.0000 3,000.0000 2,500.0000 2,000.0000 数据来源：Wind 2022-09-29 2022-10-17 2022-10-26 2022-11-04 2022-11-15 2022-11-24 2022-12-05 2022-12-14 2022-12-23 2023-01-04 2023-01-13 2023-01-31 2023-02-09 2023-02-20 2023-03-01 2023-03-10 2023-03-21 IF期货当月合约期现基差升水标的缩小 2023-03-30 2023-04-11 2023-04-20 2023-05-04 2023-05-15 2023-05-24 2023-06-02 2023-06-13 2023-06-26 2023-07-05 2023-07-14 2023-07-25 2023-08-03 2023-08-14 2023-08-23 2023-09-01 2023-09-12 2023-09-21 2023-10-10 2023-10-19 2023-10-30 2023-11-08 2023-11-17 2023-11-28 2023-12-07 2023-12-18 2023-12-27 2024-01-08 2024-01-17 2024-01-26 2024-02-06 2024-02-23 2024-03-05 2024-03-14 2024-03-25 2024-04-03 2024-04-16 2024-04-25 2024-05-09 2024-05-20 2024-05-29 2024-06-07 2024-06-19 2024-06-28 2024-07-09 2024-07-18 2024-07-29 2024-08-07 2024-08-16 2024-08-27 2024-09-05 2024-09-18 2024-09-27 2024-10-15 180.00 130.00 80.00 30.00 -20.00 -70.00 2024-10-24 IF期货当月与近月价差统计 沪深300月间价差图（次月—当月） 4,500.0000 4,000.0000 3,500.0000 3,000.0000 2,500.0000 2,000.0000 数据来源：Wind 2022-09-29 2022-10-17 2022-10-26 2022-11-04 2022-11-15 2022-11-24 2022-12-05 2022-12-14 2022-12-23 2023-01-04 2023-01-13 2023-01-31 2023-02-09 2023-02-20 2023-03-01 2023-03-10 2023-03-21 2023-03-30 2023-04-11 2023-04-20 次月合约转为贴水当月合约 2023-05-04 2023-05-15 2023-05-24 2023-06-02 2023-06-13 2023-06-26 2023-07-05 2023-07-14 2023-07-25 2023-08-03 2023-08-14 2023-08-23 2023-09-01 2023-09-12 2023-09-21 2023-10-10 2023-10-19 2023-10-30 2023-11-08 2023-11-17 2023-11-28 2023-12-07 2023-12-18 2023-12-27 2024-01-08 2024-01-17 2024-01-26 月间价差（次月-当月）【右】 沪深300收盘价【左】 2024-02-06 2024-02-23 2024-03-05 2024-03-14 2024-03-25 2024-04-03 2024-04-16 2024-04-25 2024-05-09 2024-05-20 2024-05-29 2024-06-07 2024-06-19 2024-06-28 2024-07-09 2024-07-18 2024-07-29 2024-08-07 2024-08-16 2024-08-27 2024-09-05 2024-09-18 2024-09-27 2024-10-15 150 130 110 90 70 50 30 10 -10 -30 -50 2024-10-24 沪深300股指期货持仓量、成交量统计 沪深300股指期货成交持仓图 4,500.0000 4,000.0000 3,500.0000 3,000.0000 2,500.0000 2,000.0000 1,500.0000 1,000.0000 500.0000 0.0000 数据来源：Wind 2022-09-29 2022-10-17 2022-10-26 2022-11-04 2022-11-15 2022-11-24 2022-12-05 2022-12-14 2022-12-23 2023-01-04 2023-01-13 2023-01-31 2023-02-09 沪深300股指期货成交量萎缩，持仓量增加 2023-02-20 2023-03-01 2023-03-10 2023-03-21 2023-03-30 2023-04-11 2023-04-20 2023-05-04 2023-05-15 2023-05-24 2023-06-02 2023-06-13 2023-06-26 2023-07-05 2023-07-14 2023-07-25 2023-08-03 2023-08-14 2023-08-23 2023-09-01 2023-09-12 2023-09-21 2023-10-10 2023-10-19 2023-10-30 2023-11-08 2023-11-17 2023-11-28 2023-12-07 2023-12-18 2023-12-27 2024-01-08 2024-01-17 2024-01-26 2024-02-06 2024-02-23 沪深300股指期货成交量【右】 沪深300收盘价【左】 沪深300股指期货持仓量【右】 2024-03-05 2024-03-14 2024-03-25 2024-04-03 2024-04-16 2024-04-25 2024-05-09 2024-05-20 2024-05-29 2024-06-07 2024-06-19 2024-06-28 2024-07-09 2024-07-18 2024-07-29 2024-08-07 2024-08-16 2024-08-27 2024-09-05 2024-09-18 2024-09-27 2024-10-15 500000 450000 400000 350000 300000 250000 200000 150000 100000 50000 0 2024-10-24 沪深300股指期权持仓量、成交量统计 沪深300股指期权成交持仓图 4,500.0000 4,000.0000 3,500.0000 3,000.0000 2,500.0000 2,000.0000 1,500.0000 1,000.0000 500.0000 0.0000 数据来源：Wind 2022-09-29 2022-10-17 2022-10-26 2022-11-04 2022-11-15 2022-11-24 2022-12-05 2022-12-14 2022-12-23 2023-01-04 2023-01-13 2023-01-31 2023-02-09 2023-02-20 2023-03-01 2023-03-10 2023-03-21 2023-03-30 2023-04-11 IO期权持仓量回升，成交量萎缩 2023-04-20 2023-05-04 2023-05-15 2023-05-24 2023-06-02 2023-06-13 2023-06-26 2023-07-05 2023-07-14 2023-07-25 2023-08-03 2023-08-14 2023-08-23 2023-09-01 2023-09-12 2023-09-21 2023-10-10 2023-10-19 2023-10-30 2023-11-08 2023-11-17 2023-11-28 2023-12-07 2023-12-18 2023-12-27 2024-01-08 2024-01-17 2024-01-26 2024-02-06 2024-02-23 2024-03-05 2024-03-14 2024-03-25 2024-04-03 2024-04-16 2024-04-25 沪深300股指期权成交量【右】 沪深300收盘价【左】 沪深300股指期权持仓量【右】 2024-05-09 2024-05-20 2024-05-29 2024-06-07 2024-06-19 2024-06-28 2024-07-09 2024-07-18 2024-07-29 2024-08-07 2024-08-16 2024-08-27 2024-09-05 2024-09-18 2024-09-27