认沽整体减持
作者:彭鲸桥  2019/8/13 20:58:43  来源:原创  浏览:218

   昨日外盘影响下沪深两市低开后全天窄幅振荡,上证指数收跌0.63%,创业板指数收跌1.01%,两市成交额仅3400亿元左右。个股普跌,题材股萎靡,科技股抱团现象有所减弱。板块上黄金、军工、机场航运等领涨,证券、保险、银行、汽车等跌幅居前。三大指数均收跌,上证50指数跌幅最大为1.13%,中证500指数跌幅最小也在0.57%。期指合约表现一致,走势均明显强于现货指数基差走弱,特别是当月合约贴水率明显收敛,但当前仍无一期指合约处升水状态。期权方面,标的资产50ETF下跌1.01%收于2.840,认沽认购平值期权隐含波动率价差小幅缩小。

   期权市场持仓重回400万大关,成交量显著降低。当日期权总持仓405.52万张,较上一交易日增加7.20万张。其中,认购合约持仓221.84万张,增加6.61万张,认沽合约持仓183.68万张,较上一交易日增加0.59万张,持仓量PCR值0.83小幅减小。成交量方面,当日全市场合计成交162.18万张,较上一交易日减少32%。其中,认购期权成交83.02万张,较上一交易日减少41.39万张,认沽合约总成交79.16万张,较上一交易日减少35.30万张。日成交量PCR值0.95小幅增大。

   当月合约成交量减少64.70万张,占期权成交减少量的84%。其中,认购减少35.63万张,认沽减少29.06万张。当月合约持仓量增加1.56万张,其中认购增持3.91万张,认沽减持2.35万张。从持仓结构看,认购在3.00以上虚值价位均减持,而在2.85至2.90价位增持3.68万张。认沽整体减持为主,仅在2.85以下价位小幅增持。整体看,认购认沽持仓重心均下移,并且虚值认沽增持力度较小,预期短期仍有一定下行空间。

   最近几个交易日期权隐含波动率分化明显。认沽维持高位而认购跌幅明显,目前平值认购隐含波动率15.26%,认沽20.41%。认购认沽波动率价差为年内低位。30日历史波动率近期变动不大,目前维持在15%左右。从当月合约波动率微笑曲线看,认购认沽波动率在11%至59%之间,认购认沽各执行价波动率价差偏低。

   综合来看,认购认沽隐含波动率分化,价差偏低,建议持现货投资者积极关注通过期权替代现货进行收益增强的机会。

                                               (作者单位:中信建投期货)


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