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：下行降波，可考虑反比例价差布局反转。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 下行降波，可考虑反比例价差布局反转。 【正文】 表 1：期权市场数据统计 上证50指数2292.23-33.9431.381.012296.87-4.642306.80-14.57沪深300指数3386.35-44.76116.181.253391.00-4.653399.73-13.38中证1000指数5854.75-32.49128.38-6.315833.6021.155818.2036.55上证50ETF2.327-0.0287.87-1.302.333-0.0062.341-0.014华泰柏瑞300ETF3.453-0.0469.43-15.763.459-0.0063.468-0.015南方500ETF5.497-0.0223.090.385.4910.0065.4850.012华夏科创50ETF0.886-0.01122.53-2.350.8860.0000.888-0.002易方达科创50ETF0.861-0.0114.620.020.862-0.0010.864-0.003嘉实300ETF3.515-0.0453.51-3.273.521-0.0063.531-0.016嘉实500ETF5.613-0.0241.160.155.6120.0015.6030.010创业板ETF1.806-0.0367.09-0.401.810-0.0041.815-0.009深证100ETF2.402-0.0410.44-0.142.404-0.0022.405-0.003上证50股指期权36391-943698442560770.64%47.27%23502250沪深300股指期权79510-30164208685844153.05%48.09%35003350中证1000股指期权66000-40315156076259263.04%57.21%60005600上证50ETF期权1163917-196271192577813042575.17%74.81%2.352.3华泰柏瑞300ETF期权902395-20571714575952695782.21%71.42%3.53.4南方500ETF期权329938-1741046661651821279.69%92.48%5.755.25华夏科创50ETF293446147809055925367454.93%52.28%0.90.9易方达科创50ETF129022-33834281182391451.67%58.39%0.90.85嘉实300ETF期权110952-218922575712255869.16%74.18%3.53.5嘉实500ETF期权81681-5169321268915213102.85%96.60%5.755.5创业板ETF期权618795-144621102648511492472.81%72.74%1.851.75深证100ETF期权83034-484611786942681872.34%73.86%2.52.35标的市场统计当月合成期货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VL-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） 资料来源：Wind、国泰君安期货研究 2024 年 1 月 2 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15.19%-0.95%14.17%-1.14%13.83%5.80%17.350.317沪深300股指期权14.90%-1.03%14.80%-0.75%10.13%-0.19%17.070.395中证1000股指期权15.74%-0.47%18.10%-0.26%-2.94%-2.61%17.290.090上证50ETF期权14.91%-0.19%14.55%0.91%3.92%0.68%16.210.284华泰柏瑞300ETF期权14.50%-0.35%14.95%1.02%1.69%0.15%16.400.155南方500ETF期权13.71%-0.66%13.30%0.00%-5.22%-3.01%16.58-0.071华夏科创50ETF19.39%-1.41%18.10%-1.45%14.89%1.63%23.11-0.251易方达科创50ETF19.78%-0.80%18.74%-0.94%16.11%-0.31%23.18-0.143嘉实300ETF期权14.51%-0.56%15.14%0.91%2.74%-0.24%16.360.343嘉实500ETF期权14.07%-0.54%13.29%-0.04%-2.49%-3.56%16.450.079创业板ETF期权18.98%-1.74%23.96%1.07%11.25%0.25%20.76-0.499深证100ETF期权17.27%-0.83%20.46%1.18%8.57%-1.74%18.340.206上证50股指期权17.44%0.48%13.64%0.44%10.34%4.94%沪深300股指期权17.11%0.08%13.35%0.20%10.13%2.28%中证1000股指期权16.27%-0.44%15.66%-0.31%-2.67%2.30%上证50ETF期权15.65%-0.58%12.58%0.33%3.46%1.75%华泰柏瑞300ETF期权15.73%-0.49%12.48%0.41%1.98%-1.03%南方500ETF期权14.56%-0.54%11.77%-0.09%-3.46%1.16%华夏科创50ETF20.57%-0.78%16.31%0.13%11.35%-0.34%易方达科创50ETF20.44%-1.21%16.87%0.13%9.80%-0.23%嘉实300ETF期权15.97%-0.39%12.62%0.37%0.75%-0.80%嘉实500ETF期权14.48%-0.56%11.89%-0.10%-6.74%-2.94%创业板ETF期权20.11%-1.10%19.28%0.57%6.85%2.25%深证100ETF期权18.15%-0.06%16.45%0.50%2.07%1.05%ATM-IV期权波动率统计(近月)期权波动率统计(次月)ATM-IVIV变动IV变动同期限HV同期限HVHV变动HV变动SkewSkewSkew变动...
