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：下行升波，可考虑蝶式卖空波动率。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 下行升波，可考虑蝶式卖空波动率。 【正文】 表 1：期权市场数据统计 上证50指数2294.842.6129.31-2.062301.13-6.302306.27-11.43沪深300指数3378.30-8.06105.61-10.573383.40-5.103392.53-14.24中证1000指数5824.04-30.71119.25-9.135809.8714.185783.4040.64上证50ETF2.3320.0056.28-1.602.336-0.0042.343-0.011华泰柏瑞300ETF3.443-0.01010.621.193.450-0.0073.461-0.018南方500ETF5.490-0.0072.26-0.845.4840.0065.4730.017华夏科创50ETF0.874-0.01229.046.510.875-0.0010.876-0.002易方达科创50ETF0.851-0.0106.611.990.852-0.0010.852-0.001嘉实300ETF3.509-0.0062.91-0.603.514-0.0053.524-0.015嘉实500ETF5.606-0.0070.89-0.275.6030.0035.5900.016创业板ETF1.787-0.0197.890.801.791-0.0041.795-0.008深证100ETF2.373-0.0290.500.062.378-0.0052.380-0.006上证50股指期权31978-4413101504306257.33%46.09%23502250沪深300股指期权78113-1397213925524056.30%46.89%35003400中证1000股指期权8048014480157906183072.17%54.59%60005600上证50ETF期权1139930-2398720069018112377.89%71.50%2.352.3华泰柏瑞300ETF期权9505814818615037974620284.21%69.04%3.53.4南方500ETF期权44545511551768984723682103.90%90.71%5.755.25华夏科创50ETF351032575869334322784052.59%48.92%0.90.85易方达科创50ETF15169122669430665254756.99%57.21%0.90.85嘉实300ETF期权133418224662657472657485.81%72.25%3.53.5嘉实500ETF期权1085952691421605115406109.53%91.30%5.755.5创业板ETF期权765634146839110087712944384.80%64.49%1.851.8深证100ETF期权1088242579019055124250106.74%69.83%2.52.35VL-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 2024 年 1 月 3 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15.45%0.26%14.40%-0.11%10.80%-3.03%17.03-0.326沪深300股指期权15.22%0.32%15.17%-0.04%10.86%0.73%16.92-0.150中证1000股指期权15.74%0.00%18.80%-0.07%-1.30%1.64%17.14-0.153上证50ETF期权15.05%0.14%14.81%-0.16%7.85%3.93%16.16-0.048华泰柏瑞300ETF期权14.70%0.20%15.15%-0.03%3.07%1.38%16.33-0.068南方500ETF期权14.10%0.39%12.64%-0.09%-5.38%-0.16%16.650.070华夏科创50ETF19.58%0.19%17.94%0.50%14.12%-0.78%22.65-0.456易方达科创50ETF19.51%-0.26%18.32%0.25%10.77%-5.34%22.71-0.471嘉实300ETF期权14.77%0.26%15.37%-0.08%2.82%0.08%16.08-0.278嘉实500ETF期权14.65%0.58%12.56%-0.11%-4.10%-1.61%16.820.365创业板ETF期权19.22%0.23%24.16%0.18%8.57%-2.67%20.820.058深证100ETF期权17.65%0.38%21.21%0.47%5.45%-3.12%18.410.077上证50股指期权17.45%0.01%13.78%-0.03%8.15%-2.18%沪深300股指期权16.96%-0.15%13.38%-0.08%6.27%-3.86%中证1000股指期权16.68%0.41%15.14%-0.36%-4.09%-1.42%上证50ETF期权15.77%0.11%12.52%-0.25%1.26%-2.20%华泰柏瑞300ETF期权15.73%0.00%12.45%-0.21%1.04%-0.94%南方500ETF期权14.92%0.36%11.67%-0.19%-6.70%-3.24%华夏科创50ETF20.12%-0.45%16.56%0.29%9.65%-1.70%易方达科创50ETF19.97%-0.47%17.07%0.19%11.00%1.20%嘉实300ETF期权15.69%-0.28%12.61%-0.20%0.78%0.02%嘉实500ETF期权14.90%0.42%11.84%-0.13%-6.82%-0.09%创业板ETF期权20.43%0.32%19.59%0.01%5.66%-1.19%深证100ETF期权18.14%0.00%16.69%0.00%3.06%0.99%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(近月)期权波动率统计(次月)ATM-IV 资...
