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，市场看跌情绪继续上升。 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，市场看跌情绪继续上升。 【正文】 表 1：期权市场数据统计 上证50指数2235.21-10.4125.71-4.562235.93-0.722244.80-9.59沪深300指数3277.13-15.3794.20-15.133279.20-2.073284.13-7.00中证1000指数5512.07-41.23106.50-3.725485.0727.005454.6057.47上证50ETF2.270-0.0108.00-0.542.271-0.0012.277-0.007华泰柏瑞300ETF3.341-0.0169.58-1.733.345-0.0043.350-0.009南方500ETF5.249-0.0132.10-0.125.2200.0295.2040.045华夏科创50ETF0.818-0.00627.37-3.420.8150.0030.8150.003易方达科创50ETF0.796-0.0066.39-0.680.7950.0010.7950.001嘉实300ETF3.405-0.0172.60-5.463.407-0.0023.411-0.006嘉实500ETF5.362-0.0120.910.005.3410.0215.3220.040创业板ETF1.698-0.00811.07-1.491.700-0.0021.702-0.004深证100ETF2.288-0.0110.38-0.052.289-0.0012.2830.005上证50股指期权67846-8287103784-684151.33%42.17%23502300沪深300股指期权124819-18598228183295288.55%44.61%35003200中证1000股指期权179563144701829337459113.77%49.38%60005500上证50ETF期权1382213-17798023100083423993.14%60.74%2.352.3华泰柏瑞300ETF期权1291595-18224016991491220692.70%60.76%3.53.4南方500ETF期权8241851925588958442054117.79%88.87%5.55.25华夏科创50ETF630287-7356311222181907372.99%42.39%0.90.85易方达科创50ETF309410-189805190962353882.98%46.19%0.850.85嘉实300ETF期权201172-219573038352760297.75%66.01%3.53.3嘉实500ETF期权237864885628335926041116.42%86.79%5.55.5创业板ETF期权1101195-218262158759111985288.64%51.38%1.81.75深证100ETF期权145604-384562413592258990.26%64.18%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 2024 年 1 月 10 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17.89%0.54%9.04%-1.58%-0.72%6.06%18.90-0.404沪深300股指期权18.53%0.99%8.73%-2.33%-4.87%-0.24%19.100.202中证1000股指期权22.98%1.81%13.58%-5.88%-8.33%-3.39%22.671.864上证50ETF期权18.17%0.72%15.22%0.03%-4.10%-0.96%18.250.064华泰柏瑞300ETF期权18.03%0.73%17.21%-0.06%-7.48%-0.92%18.990.212南方500ETF期权20.40%1.38%18.16%-0.30%-15.86%0.29%18.890.750华夏科创50ETF27.30%1.53%23.40%-0.65%2.02%-0.61%28.500.524易方达科创50ETF26.54%2.03%24.01%-0.57%-3.87%-3.95%28.410.557嘉实300ETF期权18.27%0.61%16.66%-0.16%-4.51%-0.44%18.800.151嘉实500ETF期权20.54%1.37%17.42%-0.33%-15.38%-0.90%20.970.776创业板ETF期权26.01%0.88%27.58%-0.34%-1.65%-0.83%25.950.644深证100ETF期权22.60%1.62%23.75%-0.19%-6.53%-1.61%21.410.030上证50股指期权20.03%0.40%13.72%0.00%6.22%7.83%沪深300股指期权19.74%0.46%13.87%-0.02%-2.32%-0.71%中证1000股指期权24.21%2.95%17.45%0.04%-8.85%-3.68%上证50ETF期权18.40%0.35%13.16%0.00%-4.13%-0.17%华泰柏瑞300ETF期权18.44%0.28%13.22%-0.07%-7.61%-1.47%南方500ETF期权19.55%0.65%13.24%-0.02%-16.92%-2.29%华夏科创50ETF25.72%0.65%18.92%-0.01%3.45%0.50%易方达科创50ETF25.72%0.02%19.16%-0.03%5.42%-0.40%嘉实300ETF期权18.35%0.48%13.26%-0.09%-5.74%-1.56%嘉实500ETF期权19.33%1.16%13.36%-0.02%-15.74%0.03%创业板ETF期权25.73%0.95%20.65%-0.16%0.47%-0.84%深证100ETF期权21.38%-0.08%17.88%-0.11%0.47%-0.46%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...
