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认购期权增持认沽期权减持

2017-09-07 09:51:58   中国经济网

周三A股延续振荡上行格局,沪指创3391点新高,创业板突破1900点整数关口上涨0.94%。板块方面,锂电、芯片、电子元器件、化工新材料等涨幅居前;银行、证券、旅游等板块回调。期指方面, IF和IH主力合约下跌,走势弱于现货指,IC主力合约上涨0.41%,目前贴水率为0.2%。期权方面,标的资产50ETF下跌0.65%收于2.764,9月合约中实值及浅虚值认沽期权上涨明显。隐含波动率整体继续上行,目前上海证券交易所公布的iVX指数为15.22%,为近期新高。

期权持仓量增加,成交量减小。当日全市场合计成交64.72万张,较上一交易日减小6.41万张。其中认购期权合约总成交39.56万张,较上一交易日减小3.84万张,认沽合约总成交25.77万张,较上一交易日减小2.64万张。日成交量PCR为0.65,保持不变。持仓方面,截至周三收盘,期权总持仓185.1万张,较周二持仓量增加4.02万张。其中,认购合约持仓91.23万张,较上一交易日增加3.64万张,认沽合约持仓98.48万张,增加0.5万张。持仓量PCR值由1.12减小为1.08,降幅较明显。

从当月期权合约成交持仓变动看,9月合约成交量较上一交易日减小4.79万张,持仓量增加2.54万张,其中,认购期权增持2.68万张,认沽期权减持0.14万张。从各执行价的成交持仓数据看,认购期权执行价为2.80的合约增持最大,为1.08万手;认沽期权执行价为2.80的合约减持0.32万手。整体来看,浅虚值认购期权增持力度更大,预示对后市行情偏乐观。

从9月平值期权隐含波动率及历史波动率对比看,最近8个交易日50指数窄幅振荡,历史波动率有所回落,目前保持在12.5%左右。隐含波动率分化,认购期权明显强于认沽期权。目前平值认购期权隐含波动率为15.3%,认沽期权为13.84%。

整体而言,当前宏观环境较为稳定,市场情绪明显改善。上证指数剑指3400点,创业板指数突破1900点,上行空间已打开。技术面看,上证50指数上行动能仍在,投资者可布局牛市看涨价差组合,激进者可做多认购期权。

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