金融衍生品研究 请务必阅读正文之后的免责条款部分 1 股票股指期权：节前降波上涨，可考虑牛市看涨价差策略。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 节前降波上涨，可考虑牛市看涨价差策略。 【正文】 表 1：期权市场数据统计 上证50指数2326.178.4730.36-12.562327.67-1.492335.20-9.03沪深300指数3431.1116.57114.93-33.143439.93-8.823451.20-20.09中证1000指数5887.2481.71134.69-9.445891.27-4.035867.6019.64上证50ETF2.3550.0019.17-3.892.362-0.0072.370-0.015华泰柏瑞300ETF3.4990.01025.191.363.505-0.0063.516-0.017南方500ETF5.5190.0442.71-0.775.527-0.0085.521-0.002华夏科创50ETF0.8970.00324.89-17.300.898-0.0010.899-0.002易方达科创50ETF0.8720.0014.60-3.570.875-0.0030.875-0.003嘉实300ETF3.5600.0106.78-1.113.566-0.0063.578-0.018嘉实500ETF5.6370.0481.01-0.615.645-0.0085.6350.002创业板ETF1.8420.0097.49-8.391.848-0.0061.852-0.010深证100ETF2.4430.0120.57-0.322.447-0.0042.448-0.005上证50股指期权45827-3396692835181153.82%48.52%24002300沪深300股指期权109674-61145200244364546.73%50.09%35003350中证1000股指期权106315-21928153484224257.02%56.24%60005600上证50ETF期权1360188-87595817953535880574.10%83.26%2.352.3华泰柏瑞300ETF期权1108112-53584514306386801887.47%76.63%3.53.4南方500ETF期权504042-1466746479531091879.45%93.53%5.55.25华夏科创50ETF278666-2632418519183889554.49%53.55%0.90.9易方达科创50ETF132405-1359644042042192266.42%58.94%0.90.85嘉实300ETF期权132844-1597622530351902975.40%82.96%3.53.5嘉实500ETF期权133374-693562102982293877.51%96.64%5.755.5创业板ETF期权763416-55214295909510501966.80%82.36%1.851.75深证100ETF期权131495-382871680433233262.35%82.54%2.42.35VL-PCR当月基差OI-PCR次月合成期货C最大持仓（近月）次月基差P最大持仓（近月）期权市场统计收盘价成交量涨跌变化成交量(亿手)持仓量成交变化(亿手)变化标的市场统计当月合成期货 资料来源：Wind、国泰君安期货研究 2023 年 12 月 29 日 金融衍生品研究 国泰君安期货研究所 金融衍生品研究 请务必阅读正文之后的免责条款部分 2 表 2：期权指标数据统计 上证50股指期权16.14%-0.37%14.84%-0.05%8.04%0.78%17.03-0.622沪深300股指期权15.93%-0.60%14.97%-0.06%10.32%2.22%16.68-0.605中证1000股指期权16.21%-0.90%17.69%0.34%-0.33%0.11%17.20-0.764上证50ETF期权15.10%-0.28%13.38%-0.02%3.24%-1.48%15.92-0.512华泰柏瑞300ETF期权14.85%-0.40%13.55%0.03%1.54%-1.16%16.24-0.600南方500ETF期权14.38%-0.43%12.89%0.41%-2.20%4.82%16.65-0.517华夏科创50ETF20.80%0.19%18.93%0.02%13.26%-2.22%23.36-0.161易方达科创50ETF20.58%0.11%19.06%-0.04%16.42%1.93%23.33-0.052嘉实300ETF期权15.07%-0.38%13.84%0.03%2.98%2.15%16.02-0.851嘉实500ETF期权14.61%-0.40%12.90%0.40%1.07%4.29%16.37-0.684创业板ETF期权20.73%-0.37%22.20%-0.04%11.00%1.10%21.26-0.472深证100ETF期权18.09%-0.25%18.74%-0.25%10.32%3.02%18.13-0.630上证50股指期权16.95%-0.61%13.08%0.03%5.40%-3.78%沪深300股指期权17.03%0.01%12.95%0.09%7.86%-0.81%中证1000股指期权16.71%-0.64%15.74%0.40%-4.96%-3.26%上证50ETF期权16.24%-0.48%12.27%0.00%1.71%-0.13%华泰柏瑞300ETF期权16.22%-0.44%12.00%0.04%3.01%2.09%南方500ETF期权15.10%-0.27%11.72%0.24%-4.62%-1.11%华夏科创50ETF21.35%-0.38%16.00%-0.01%11.69%2.52%易方达科创50ETF21.65%-0.15%16.52%-0.02%10.04%-1.04%嘉实300ETF期权16.37%-0.34%12.19%0.04%1.55%0.01%嘉实500ETF期权15.04%-0.59%11.84%0.26%-3.80%0.09%创业板ETF期权21.21%-0.32%18.48%0.09%4.60%1.43%深证100ETF期权18.21%-0.04%15.79%0.10%1.03%0.26%Skew变动Skew变动VIXVIX变动ATM-IVIV变动IV变动同期限HV同期限HVHV变动HV变动SkewSkew期权波动率统计(近...
