昨日A股(gu)延續振蕩(dang)反彈格(ge)局,高(gao)開高(gao)走,午后(hou)沖高(gao)回落(luo),上(shang)(shang)證綜指(zhi)3200點得而復(fu)失,終收(shou)漲(zhang)(zhang)(zhang)0.98%,創業板(ban)指(zhi)數微漲(zhang)(zhang)(zhang)0.03%,春節(jie)前兩市(shi)總成交(jiao)量縮(suo)(suo)減明顯,市(shi)場情(qing)緒(xu)降溫,漲(zhang)(zhang)(zhang)跌(die)停比例縮(suo)(suo)小,領漲(zhang)(zhang)(zhang)更多為航運、地產、保險、銀(yin)行等(deng)權重板(ban)塊,題(ti)材(cai)股(gu)有所(suo)回調。三(san)大(da)指(zhi)數均報紅收(shou)盤,上(shang)(shang)證50指(zhi)數漲(zhang)(zhang)(zhang)幅最大(da)為1.69%,滬(hu)深(shen)300指(zhi)數漲(zhang)(zhang)(zhang)幅也超1%。與周一(yi)期指(zhi)各(ge)合約(yue)貼(tie)水(shui)均收(shou)斂相(xiang)反,昨日指(zhi)數上(shang)(shang)漲(zhang)(zhang)(zhang),期指(zhi)合約(yue)走勢均弱于現貨指(zhi)數,三(san)大(da)期指(zhi)明顯均處(chu)于貼(tie)水(shui)狀(zhuang)態。期權方面,標的(de)資產50ETF上(shang)(shang)漲(zhang)(zhang)(zhang)1.71%收(shou)于2.848。市(shi)場情(qing)緒(xu)有所(suo)修(xiu)復(fu),隱含波動率回落(luo),目(mu)前上(shang)(shang)海證券(quan)交(jiao)易所(suo)公布的(de)iVX指(zhi)數為27.53%,仍處(chu)較高(gao)水(shui)平。
期權成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)量(liang)、持(chi)(chi)倉量(liang)均減小(xiao)(xiao)。當日(ri)(ri)全(quan)市場合(he)(he)計成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)109.94萬(wan)張(zhang)(zhang),較(jiao)上(shang)(shang)一交(jiao)(jiao)(jiao)易日(ri)(ri)減少(shao)(shao)28.83萬(wan)張(zhang)(zhang),認(ren)購期權成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)更為活躍(yue)。當日(ri)(ri)認(ren)購成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)62.26萬(wan)張(zhang)(zhang),較(jiao)上(shang)(shang)一交(jiao)(jiao)(jiao)易日(ri)(ri)減少(shao)(shao)19.96萬(wan)張(zhang)(zhang),認(ren)沽合(he)(he)約總(zong)成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)47.68萬(wan)張(zhang)(zhang),較(jiao)上(shang)(shang)一交(jiao)(jiao)(jiao)易日(ri)(ri)減少(shao)(shao)8.87萬(wan)張(zhang)(zhang)。日(ri)(ri)成(cheng)(cheng)(cheng)(cheng)交(jiao)(jiao)(jiao)量(liang)PCR值由(you)0.69增(zeng)大至0.77。持(chi)(chi)倉方面,期權總(zong)持(chi)(chi)倉160.04萬(wan)張(zhang)(zhang),較(jiao)上(shang)(shang)一交(jiao)(jiao)(jiao)易日(ri)(ri)減少(shao)(shao)1.89萬(wan)張(zhang)(zhang)。其中認(ren)購合(he)(he)約持(chi)(chi)倉103.15萬(wan)張(zhang)(zhang),較(jiao)上(shang)(shang)一交(jiao)(jiao)(jiao)易日(ri)(ri)減少(shao)(shao)2.63萬(wan)張(zhang)(zhang),認(ren)沽合(he)(he)約持(chi)(chi)倉56.89萬(wan)張(zhang)(zhang),小(xiao)(xiao)幅增(zeng)加0.74萬(wan)張(zhang)(zhang)。持(chi)(chi)倉量(liang)PCR 值0.55變動不(bu)大。
從當月(yue)合約變動看(kan)(kan),成(cheng)交持(chi)倉均(jun)降低。當月(yue)合約成(cheng)交量減(jian)(jian)少(shao)14.13萬(wan)張(zhang),其(qi)中認(ren)購(gou)減(jian)(jian)少(shao)11.90萬(wan)張(zhang),認(ren)購(gou)減(jian)(jian)少(shao)2.23萬(wan)張(zhang)。持(chi)倉量減(jian)(jian)少(shao)3.19萬(wan)張(zhang),主(zhu)要來(lai)自于認(ren)購(gou)期權(quan)的減(jian)(jian)持(chi),認(ren)沽期權(quan)僅減(jian)(jian)持(chi)880張(zhang)。結合各執(zhi)行(xing)價(jia)成(cheng)交持(chi)倉數據看(kan)(kan),認(ren)購(gou)在(zai)3.10和3.20價(jia)位上明(ming)顯減(jian)(jian)持(chi),減(jian)(jian)持(chi)量均(jun)在(zai)1萬(wan)張(zhang)以上,而認(ren)沽期權(quan)整體變動并不大。這表(biao)明(ming)市場短期看(kan)(kan)好50ETF延續反彈(dan)格(ge)局,后市預期偏多。
外圍市場企穩(wen)后,周(zhou)一波動(dong)率(lv)指數(shu)(shu)明顯回落(luo),相比(bi)于(yu)上(shang)周(zhou)五的33.06%極值下跌(die)超16%,但仍大(da)幅高(gao)于(yu)近一年的平均水平。歷史波動(dong)率(lv)高(gao)位(wei)企穩(wen),與iVX指數(shu)(shu)兩(liang)者差值走縮。目前30日歷史波動(dong)率(lv)23.25%,與平值認(ren)購期(qi)權隱(yin)(yin)含波動(dong)率(lv)相差不大(da)。雖(sui)然本周(zhou)指數(shu)(shu)有所反彈,但上(shang)周(zhou)大(da)跌(die)推升至高(gao)位(wei)的認(ren)沽期(qi)權隱(yin)(yin)含波動(dong)率(lv)并未明顯回落(luo),仍大(da)幅高(gao)于(yu)平值認(ren)購期(qi)權,避險需求仍在。
圖為2月平值期權隱含波動(dong)率走勢
綜合(he)來(lai)看,短線超(chao)跌后市(shi)場有(you)反彈需求(qiu),春節(jie)(jie)效應有(you)助于市(shi)場情緒修(xiu)復,預計市(shi)場節(jie)(jie)前振蕩反彈為(wei)主(zhu)。但(dan)春節(jie)(jie)期間外(wai)圍市(shi)場不(bu)確定因素較多,且本次(ci)下跌動能較大,建議投資者(zhe)謹慎為(wei)主(zhu)。 (作者(zhe)單位:中信建投期貨)
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