金融股指3月月報：市場調整接近尾聲二季度行情值得期待-20230326-招商期貨

期貨研究報告|金融研究金融股指3月月報?招商期貨?yuhs1@01宏觀經濟與政策環(huán)境02股指期貨策略機會03股指期權策略機會、一季的業(yè)績披露要影響因素值體系的主線、一季的業(yè)績披露要影響因素值體系的主線美聯儲如期加25個基點央央行超預期降準的擴散情況01宏觀經濟與政策環(huán)境經濟數據-中國2021/022021/082022/022022/082023/02指標名稱財新中國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宏觀經濟與政策環(huán)境經濟數據-中國PMI各分項指標持續(xù)走強。中型企業(yè)、小型企業(yè)邊際轉好。指標名稱PMI:生產PMI:新訂單在手訂PMI:產成品庫存PMI:采購量PMI:進口PMI:出廠價格PMI:主要原材料購進價PMI:原材料庫格存PMI:從業(yè)人員PMI:供貨商配送時PMI:生產經營活動預間期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指標名稱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股指期貨策略機會截至20230324指指0深300 (月)漲跌幅 (2023年)漲跌幅.01%看，上證50指數與中證500指數轉為正相關，與中證正相關性亦達到歷史極值附近，市場在2月結構分。指綜0深3001指1綜1011深30011102股指期貨策略機會資料來源：通達信資料來源：通達信02股指期貨策略機會02股指期貨策略機會02022-03-242022-09-242023-03-2402022-03-242022-09-242023-03-24海外市場對國內市場的影響路徑。02股指期貨策略機會ICIFIH基差IM00基差02022-06-242022-09-242022-12-242023-03-24-2002股指期貨策略機會滬深300/中證100002股指期貨策略機會02022-03-242022-06-242022-09-242022-12-242023-03-24EE。當前上證50、滬深300、中證500、中證1000指數、創(chuàng)業(yè)板指數估值整體繼續(xù)處于價值區(qū)間，上方依然存有比較優(yōu)勢，隨著大盤風格為代表的上證50指數與滬深300指數連續(xù)2個月的回調，重新具備投資價值。-20.0020/122021/362021/92021/122022/32022/6902股指期貨策略機會-20.0020/122021/362021/92021/122022/32022/69營收增速(%)-IH營收增速(%)營收增速(%)-IH營收增速(%)-IC營收增速(%)-IM營收增速(%)營收增速(%)-創(chuàng)業(yè)板指數.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凈利潤增速(%)-IH凈利潤增速(%)凈利潤增速(%)-IH凈利潤增速(%)-IC凈利潤增速(%)-IM凈利潤增速(%)凈利潤增速(%)-創(chuàng)業(yè)板指數0.00.00.002021/3/312021/6/302021/9/302022/3/312022/6/30凈利潤增速 (%)-IH凈利潤增速 (%)-IF凈利潤增速 (%)-IC凈利潤增速 (%)-IM-2.513.34112.762.1143.4117.070.17-19.4-21.9602股指期貨策略機會0 00,000,00002022/3/242022/6/242022/9/242022/12/242023/3/2402股指期貨策略機會2020-032020-072020-112021-032021-072021-112022-032022-072022-112023-0302股指期貨策略機會兩市融資凈買入額(萬元)兩市融資累計凈買入額(萬元).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，今年以來凈流入1,755.23億元，開通以來累計 02股指期貨策略機會成交方面，日均成交額逐步放大至萬億元附近，市場交投活躍度有所提升，下方有較強的承接能力，中字頭與數字中國反復活躍成為當前的市場主線。20-06-022020-10-272021-03-222021-08-122022-01-072022-06-102022-11-0300.000000.00003股指期權策略機會金融期權2023年運行情況00ETF(張)589,886338,0729,272,468,0552015年2017年2019年2021年2023年(深)300ETF期權日均成交量(張),167 295,784299,12901,0632019年2020年2021年2022年2023年(滬)300ETF期權日均成交量(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股指期權策略機會金融期權2023年運行情況0000ETF倉量(張)1,741,3862,743,0722,695,229,151,65802015年2017年2019年2021年2023年000006(深)300ETF期權日均持倉量(張)606,10911762019年2020年2021年2022年2023年WIND，招商期貨0(滬)300ETF期權日均持倉量(張),73490,4272019年2020年2021年2022年2023年日均持倉量(張)185,53185,539177,4892019年2020年2021年2022年2023年03股指期權策略機會金融期權2023年運行情況-2022年上市品種02023-02-242023-03-24(深)中證500ETF期權0-242023-01-242023-02-242023-03-24(滬)中證500ETF期權0001,000,00002023-01-242023-02-242023-03-2402023-01-242023-02-242023-03-2403股指期權策略機會金融期權2023年運行情況-2022年上市品種ETF權02022-12-242023-01-242023-02-242023-03-24002022-12-242023-01-242023-02-242023-03-247.50%03股指期權策略機會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股指期權策略機會橫截面(20230324)日持倉量(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)日持倉量(張)-調整滬深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)日持倉量(百分比)-調整滬深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股指期權策略機會橫截面(20230324)成交額(萬元)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>滬深300ETF期權(滬)>創(chuàng)業(yè)板ETF期權>滬深300股指期權>中證1000股指期權>中證500ETF期權 (滬)>滬深300ETF期權(深)>中證500ETF期權(深)>上證50股指期權>深證100ETF期權03股指期權策略機會ETF權PCR標的收盤價成交量認沽認購比率(右) 持倉量認沽認購比率(右)543210000080040002022/3/242022/6/242022/9/242022/12/242023/3/24300ETF期權PCR標的收盤價成交量認沽認購比率(右) 持倉量認沽認購比率(右)76543210806040200002022/3/242022/6/242022/9/242022/12/242023/3/24ETF權PCR標的收盤價成交量認沽認購比率(右) 持倉量認沽認購比率(右)76543210000002022/3/242022/6/242022/9/242022/12/242023/3/24持倉量認沽認購比率成持倉量認沽認購比率標的收盤價(右)150.0080006000100.00400050.0020000.0002022/3/242022/6/242022/9/242022/12/242023/3/2403股指期權策略機會標的收盤價成交量認沽認購比率持倉量認沽認購比率2022/8/242022/10/242022/12/242023/2/24 (深)中證500ETF期權PCR800070006000500040003000200010000160140120100800400005.22022/10/242022/11/242022/12/242023/1/242023/2/242023/3/24 (滬)中證500ETF期權PCR認購比率持倉量認沽認購比率標的收盤價-右05.22022/10/242022/11/242022/12/242023/1/242023/2/242023/3/24TFPCR認購比率持倉量認沽認購比率標的收盤價-右2.6402.22.122001.92022/10/242022/11/242022/12/242023/1/242023/2/242023/3/2403股指期權策略機會金融期權3月運行情況ETF持倉PCR02023/1/242023/2/242023/3/24標的收盤價029002850280027502700265026002550250024502022/12/242023/1/242023/2/242023/3/24PCR產亦出現反彈，持倉PCR繼續(xù)呈現較強的前瞻性。03股指期權策略機會金融期權3月運行情況-隱含波動率-先揚后抑，重心繼續(xù)回落50ETF隱含波動率180當月下月當季下季1801601401201008060402002016/3/242017/3/24當月32.162當月32.1625.0719.1115.4611.7015.73下月31.0824.3119.6516.4812.7816.26動率90分位75分位50分位25分位10分位2023/3/242018/3/24當季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股指期權策略機會TF當月下月當季下季02021/3/242021/9/242022/3/242022/9/242023/3/24滬300ETF隱含波動率90分位75分位50分位25分位10分位2023/3/24當月24.9720.7517.8115.8214.4214.69下月25.0321.2919.1617.2816.1415.25當季24.4021.8320.2718.5217.3716.71下季24.2922.0420.6218.7917.5617.1703股指期權策略機會ETF波動率當月下月當季下季502021/3/242021/9/242022/3/242022/9/242023/3/24深300ETF隱含波動率90分位75分位50分位25分位10分位2023/3/24當月當季2當月當季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股指期權策略機會率當月下月下下月當季下季下下季70004030002021/3/242021/9/242022/3/24滬深300股指期權隱含波動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