期貨研究報(bào)告|金融研究金融股指3月月報(bào)?招商期貨?yuhs1@01宏觀經(jīng)濟(jì)與政策環(huán)境02股指期貨策略機(jī)會(huì)03股指期權(quán)策略機(jī)會(huì)、一季的業(yè)績(jī)披露要影響因素值體系的主線、一季的業(yè)績(jī)披露要影響因素值體系的主線美聯(lián)儲(chǔ)如期加25個(gè)基點(diǎn)央央行超預(yù)期降準(zhǔn)的擴(kuò)散情況01宏觀經(jīng)濟(jì)與政策環(huán)境經(jīng)濟(jì)數(shù)據(jù)-中國(guó)2021/022021/082022/022022/082023/02指標(biāo)名稱(chēng)財(cái)新中國(guó)PMI頻率月月2021/0949.602021/1049.202021/1149.902021/122022/0149.102022/022022/0349.5048.102022/0447.4046.002022/0549.6048.102022/062022/0749.002022/0849.4049.5048.102022-1049.2049.202022-1148.0049.402022-1247.0049.0023-0149.2023-0201宏觀經(jīng)濟(jì)與政策環(huán)境經(jīng)濟(jì)數(shù)據(jù)-中國(guó)PMI各分項(xiàng)指標(biāo)持續(xù)走強(qiáng)。中型企業(yè)、小型企業(yè)邊際轉(zhuǎn)好。指標(biāo)名稱(chēng)PMI:生產(chǎn)PMI:新訂單在手訂PMI:產(chǎn)成品庫(kù)存PMI:采購(gòu)量PMI:進(jìn)口PMI:出廠價(jià)格PMI:主要原材料購(gòu)進(jìn)價(jià)PMI:原材料庫(kù)格存PMI:從業(yè)人員PMI:供貨商配送時(shí)PMI:生產(chǎn)經(jīng)營(yíng)活動(dòng)預(yù)間期22022-0150.9049.3048.4045.8048.0050.2047.2050.9056.4049.1048.9047.6057.502022-0250.4050.7049.0045.2047.3050.9048.6054.1060.0048.1049.2048.2058.702022-0349.5048.8047.2046.1048.9048.7046.9056.7066.1047.3048.6046.5055.702022-0444.4042.6041.6046.0050.3043.5042.9054.4064.2046.5047.2037.2053.302022-0549.7048.2046.2045.0049.3048.4045.1049.5055.8047.9047.6044.1053.902022-0652.8050.4049.5044.2048.6051.1049.2046.3052.0048.1048.7051.3055.202022-0749.8048.5047.4042.6048.0048.9046.9040.1040.4047.9048.6050.1052.002022-0849.8049.2048.1043.1045.2049.2047.8044.5044.3048.0048.9049.5052.302022-0951.5049.8047.0044.1047.3050.2048.1047.1051.3047.6049.0048.7053.402022-1049.6048.1047.6043.9048.0049.3047.9048.7053.3047.7048.3047.1052.602022-1147.8046.4046.7043.4048.1047.1047.1047.4050.7046.7047.4046.7048.902022-1244.6043.9044.2043.1046.6044.9043.7049.0051.6047.1044.8040.1051.902023-0149.8050.9046.1044.5047.2050.4046.7048.7052.2049.6047.7047.6055.602023-0256.7054.1052.4049.3050.6053.5051.3051.2054.4049.8050.2052.0057.50指標(biāo)名稱(chēng)PMI:大型企業(yè)PMI:中型企業(yè)PMI:小型企業(yè)-012-02-03-04-05-06-07-08-092022-102022-112022-12-01-0202股指期貨策略機(jī)會(huì)截至20230324指指0深300 (月)漲跌幅 (2023年)漲跌幅.01%看，上證50指數(shù)與中證500指數(shù)轉(zhuǎn)為正相關(guān)，與中證正相關(guān)性亦達(dá)到歷史極值附近，市場(chǎng)在2月結(jié)構(gòu)分。指綜0深3001指1綜1011深30011102股指期貨策略機(jī)會(huì)資料來(lái)源：通達(dá)信資料來(lái)源：通達(dá)信02股指期貨策略機(jī)會(huì)02股指期貨策略機(jī)會(huì)02022-03-242022-09-242023-03-2402022-03-242022-09-242023-03-24海外市場(chǎng)對(duì)國(guó)內(nèi)市場(chǎng)的影響路徑。02股指期貨策略機(jī)會(huì)ICIFIH基差I(lǐng)M00基差02022-06-242022-09-242022-12-242023-03-24-2002股指期貨策略機(jī)會(huì)滬深300/中證100002股指期貨策略機(jī)會(huì)02022-03-242022-06-242022-09-242022-12-242023-03-24EE。當(dāng)前上證50、滬深300、中證500、中證1000指數(shù)、創(chuàng)業(yè)板指數(shù)估值整體繼續(xù)處于價(jià)值區(qū)間，上方依然存有比較優(yōu)勢(shì)，隨著大盤(pán)風(fēng)格為代表的上證50指數(shù)與滬深300指數(shù)連續(xù)2個(gè)月的回調(diào)，重新具備投資價(jià)值。-20.0020/122021/362021/92021/122022/32022/6902股指期貨策略機(jī)會(huì)-20.0020/122021/362021/92021/122022/32022/69營(yíng)收增速(%)-IH營(yíng)收增速(%)營(yíng)收增速(%)-IH營(yíng)收增速(%)-IC營(yíng)收增速(%)-IM營(yíng)收增速(%)營(yíng)收增速(%)-創(chuàng)業(yè)板指數(shù).00.002020/122021/32021/62021/92021/122022/32022/62022/92021/3/312021/6/302021/9/302022/3/312022/6/30 ( (%)-IF (%)-IC (%)-IH (%)-IM.16642.334.8838.9633.2524.929.833.812.64.00凈利潤(rùn)增速(%)-IH凈利潤(rùn)增速(%)凈利潤(rùn)增速(%)-IH凈利潤(rùn)增速(%)-IC凈利潤(rùn)增速(%)-IM凈利潤(rùn)增速(%)凈利潤(rùn)增速(%)-創(chuàng)業(yè)板指數(shù)0.00.00.002021/3/312021/6/302021/9/302022/3/312022/6/30凈利潤(rùn)增速 (%)-IH凈利潤(rùn)增速 (%)-IF凈利潤(rùn)增速 (%)-IC凈利潤(rùn)增速 (%)-IM-2.513.34112.762.1143.4117.070.17-19.4-21.9602股指期貨策略機(jī)會(huì)0 00,000,00002022/3/242022/6/242022/9/242022/12/242023/3/2402股指期貨策略機(jī)會(huì)2020-032020-072020-112021-032021-072021-112022-032022-072022-112023-0302股指期貨策略機(jī)會(huì)兩市融資凈買(mǎi)入額(萬(wàn)元)兩市融資累計(jì)凈買(mǎi)入額(萬(wàn)元).00.004,000,000.00100,000,000.00.000,000.0000.00,000.00,000.00000,000.00000,000.00,000,000.00000.00,000,000.00,000,000.000,000,000.000,000,000.000.0000.0050.003-24-24-240.0000.0050.00-03-242022-09-242023-03-24300.0020,000.0024242424245,000.00-100.00-200.000.00(人民幣)資金截至3月24日，今年以來(lái)凈流入1,755.23億元，開(kāi)通以來(lái)累計(jì) 02股指期貨策略機(jī)會(huì)成交方面，日均成交額逐步放大至萬(wàn)億元附近，市場(chǎng)交投活躍度有所提升，下方有較強(qiáng)的承接能力，中字頭與數(shù)字中國(guó)反復(fù)活躍成為當(dāng)前的市場(chǎng)主線。20-06-022020-10-272021-03-222021-08-122022-01-072022-06-102022-11-0300.000000.00003股指期權(quán)策略機(jī)會(huì)金融期權(quán)2023年運(yùn)行情況00ETF(張)589,886338,0729,272,468,0552015年2017年2019年2021年2023年(深)300ETF期權(quán)日均成交量(張),167 295,784299,12901,0632019年2020年2021年2022年2023年(滬)300ETF期權(quán)日均成交量(張) 1,929,91783,24800日均成交量(張)2019年2020年日均成交量(張)130,356124,410142019年2020年2021年2022年2023年03股指期權(quán)策略機(jī)會(huì)金融期權(quán)2023年運(yùn)行情況0000ETF倉(cāng)量(張)1,741,3862,743,0722,695,229,151,65802015年2017年2019年2021年2023年000006(深)300ETF期權(quán)日均持倉(cāng)量(張)606,10911762019年2020年2021年2022年2023年WIND，招商期貨0(滬)300ETF期權(quán)日均持倉(cāng)量(張),73490,4272019年2020年2021年2022年2023年日均持倉(cāng)量(張)185,53185,539177,4892019年2020年2021年2022年2023年03股指期權(quán)策略機(jī)會(huì)金融期權(quán)2023年運(yùn)行情況-2022年上市品種02023-02-242023-03-24(深)中證500ETF期權(quán)0-242023-01-242023-02-242023-03-24(滬)中證500ETF期權(quán)0001,000,00002023-01-242023-02-242023-03-2402023-01-242023-02-242023-03-2403股指期權(quán)策略機(jī)會(huì)金融期權(quán)2023年運(yùn)行情況-2022年上市品種ETF權(quán)02022-12-242023-01-242023-02-242023-03-24002022-12-242023-01-242023-02-242023-03-247.50%03股指期權(quán)策略機(jī)會(huì)7.50%橫截面(20230324)成交量(張)上證50ETF滬深300ETF中證1000中證500ETF(滬)滬深300ETF(深)滬深300上證50ETF滬深300ETF中證1000中證500ETF深證100ETF上證5051,55815,4691,040,615311,965697,004311,96561,73530,59730,59754,219129,087橫截面(20230324)成交量(百分比)TF滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF深證100ETF1.62%0.49%21.94%32.76%21.94%1.94%24.69%9.82%24.69%0.96%1.71%4.06%TF證100ETFF證100ETF橫截面(20230324)成交量(張)-調(diào)整滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF51,558154,690697,0041,040,61561,735311,965784,370305,970542,190129,087橫截面(20230324)成交量(百分比)-調(diào)整滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF3.79%25.51%19.23%25.51%19.23%1.51%7.65%13.29%3.16%03股指期權(quán)策略機(jī)會(huì)橫截面(20230324)日持倉(cāng)量(張)F滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF證100ETF78,315859,199500,654111,21267,874127,978163,25738,4101,626,7141,181,059橫截面(20230324)日持倉(cāng)量(百分比)F滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF證100ETF1.65%0.81%18.07%TF證100ETFTF證100ETF橫截面(20230324)日持倉(cāng)量(張)-調(diào)整滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF859,1991,626,714 78859,1991,626,714111,212500,6541,181,059678,7401,279,780163,257橫截面(20230324)日持倉(cāng)量(百分比)-調(diào)整滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF1.14%5.60%12.52%1.62%23.70%7.29%17.21%9.89%18.65%2.38%03股指期權(quán)策略機(jī)會(huì)橫截面(20230324)成交額(萬(wàn)元)橫截面(20230324)成交額(百分比)F證100ETF滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF2,6795,78335,07048,0757,32525,09945,19225,80130,0889,437TF深證100ETF滬深300ETF(滬)滬深300ETF(深)滬深300中證500ETF(滬)中證500ETF(深)創(chuàng)業(yè)板ETF1.14%2.47%14.95%20.50%3.12%10.70%19.27%11.00%12.83%4.02%成交額：上證50ETF期權(quán)>滬深300ETF期權(quán)(滬)>創(chuàng)業(yè)板ETF期權(quán)>滬深300股指期權(quán)>中證1000股指期權(quán)>中證500ETF期權(quán) (滬)>滬深300ETF期權(quán)(深)>中證500ETF期權(quán)(深)>上證50股指期權(quán)>深證100ETF期權(quán)03股指期權(quán)策略機(jī)會(huì)ETF權(quán)PCR標(biāo)的收盤(pán)價(jià)成交量認(rèn)沽認(rèn)購(gòu)比率(右) 持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率(右)543210000080040002022/3/242022/6/242022/9/242022/12/242023/3/24300ETF期權(quán)PCR標(biāo)的收盤(pán)價(jià)成交量認(rèn)沽認(rèn)購(gòu)比率(右) 持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率(右)76543210806040200002022/3/242022/6/242022/9/242022/12/242023/3/24ETF權(quán)PCR標(biāo)的收盤(pán)價(jià)成交量認(rèn)沽認(rèn)購(gòu)比率(右) 持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率(右)76543210000002022/3/242022/6/242022/9/242022/12/242023/3/24持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率成持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率標(biāo)的收盤(pán)價(jià)(右)150.0080006000100.00400050.0020000.0002022/3/242022/6/242022/9/242022/12/242023/3/2403股指期權(quán)策略機(jī)會(huì)標(biāo)的收盤(pán)價(jià)成交量認(rèn)沽認(rèn)購(gòu)比率持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率2022/8/242022/10/242022/12/242023/2/24 (深)中證500ETF期權(quán)PCR800070006000500040003000200010000160140120100800400005.22022/10/242022/11/242022/12/242023/1/242023/2/242023/3/24 (滬)中證500ETF期權(quán)PCR認(rèn)購(gòu)比率持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率標(biāo)的收盤(pán)價(jià)-右05.22022/10/242022/11/242022/12/242023/1/242023/2/242023/3/24TFPCR認(rèn)購(gòu)比率持倉(cāng)量認(rèn)沽認(rèn)購(gòu)比率標(biāo)的收盤(pán)價(jià)-右2.6402.22.122001.92022/10/242022/11/242022/12/242023/1/242023/2/242023/3/2403股指期權(quán)策略機(jī)會(huì)金融期權(quán)3月運(yùn)行情況ETF持倉(cāng)PCR02023/1/242023/2/242023/3/24標(biāo)的收盤(pán)價(jià)029002850280027502700265026002550250024502022/12/242023/1/242023/2/242023/3/24PCR產(chǎn)亦出現(xiàn)反彈，持倉(cāng)PCR繼續(xù)呈現(xiàn)較強(qiáng)的前瞻性。03股指期權(quán)策略機(jī)會(huì)金融期權(quán)3月運(yùn)行情況-隱含波動(dòng)率-先揚(yáng)后抑，重心繼續(xù)回落50ETF隱含波動(dòng)率180當(dāng)月下月當(dāng)季下季1801601401201008060402002016/3/242017/3/24當(dāng)月32.162當(dāng)月32.1625.0719.1115.4611.7015.73下月31.0824.3119.6516.4812.7816.26動(dòng)率90分位75分位50分位25分位10分位2023/3/242018/3/24當(dāng)季30.0023.9820.2317.4213.5117.352019/3/24下季30.6723.7220.4617.9614.6217.562020/3/242021/3/242022/3/242023/3/2403股指期權(quán)策略機(jī)會(huì)TF當(dāng)月下月當(dāng)季下季02021/3/242021/9/242022/3/242022/9/242023/3/24滬300ETF隱含波動(dòng)率90分位75分位50分位25分位10分位2023/3/24當(dāng)月24.9720.7517.8115.8214.4214.69下月25.0321.2919.1617.2816.1415.25當(dāng)季24.4021.8320.2718.5217.3716.71下季24.2922.0420.6218.7917.5617.1703股指期權(quán)策略機(jī)會(huì)ETF波動(dòng)率當(dāng)月下月當(dāng)季下季502021/3/242021/9/242022/3/242022/9/242023/3/24深300ETF隱含波動(dòng)率90分位75分位50分位25分位10分位2023/3/24當(dāng)月當(dāng)季2當(dāng)月當(dāng)季24.3921.8220.0018.4417.2116.34下月25.2921.7019.4917.6416.4315.5223.7823.7821.6620.0618.1216.9617.0821.4118.4316.4415.0414.9803股指期權(quán)策略機(jī)會(huì)率當(dāng)月下月下下月當(dāng)季下季下下季70004030002021/3/242021/9/242022/3/24滬深300股指期權(quán)隱含波動(dòng)率下月下下月下季下下季90分位26.7025.5424.6623.7423.7323.8875分位21.4821.7421.8421.5721.8722.0550分位18.6319.4819.8719.8319.8119.9925分位16.3417.5118.0818.2417.8818.0310分位14.7816.1616.6816.8216.8917.142023/3/2414.3815.4616.4417.0217.5317.532022/9/242023/3/2420015010050070004200150100500700040300