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：反弹降波，市场负偏大幅回归。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 反弹降波，市场负偏大幅回归。 【正文】 表 1：期权市场数据统计 上证50指数2240.114.9030.524.812244.73-4.632248.00-7.89沪深300指数3295.6718.54108.7914.593300.13-4.463307.73-12.06中证1000指数5611.1199.05124.7218.225594.6716.455563.8747.25上证50ETF2.2750.0057.52-0.482.278-0.0032.286-0.011华泰柏瑞300ETF3.3600.01912.663.083.365-0.0053.373-0.013南方500ETF5.3120.0632.700.605.2950.0175.2750.037华夏科创50ETF0.8290.01126.26-1.110.831-0.0020.832-0.003易方达科创50ETF0.8090.0136.670.280.810-0.0010.8090.000嘉实300ETF3.4260.0214.792.193.427-0.0013.432-0.006嘉实500ETF5.4190.0570.77-0.145.4100.0095.3930.026创业板ETF1.7320.03413.702.641.733-0.0011.739-0.007深证100ETF2.3180.0300.540.162.321-0.0032.323-0.004上证50股指期权58932-89141067332949111.92%42.22%23002225沪深300股指期权116781-8038231219303672.54%44.52%35003200中证1000股指期权154350-2521318314421186.60%51.10%60005500上证50ETF期权1263760-11845323587644875686.00%61.10%2.352.3华泰柏瑞300ETF期权1088785-20281017249642581585.80%60.51%3.53.4南方500ETF期权862272380878974377853108.46%91.38%5.55.25华夏科创50ETF510232-12005511424052018773.18%44.23%0.90.85易方达科创50ETF262407-470035322891319385.81%46.38%0.850.8嘉实300ETF期权194813-63593108852906793.91%68.36%3.53.3嘉实500ETF期权199922-379422897442720397.31%92.61%5.55.25创业板ETF期权132962622843116144329296373.91%55.59%1.81.75深证100ETF期权166225206212563023103991.44%68.74%2.42.35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 11 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17.30%-0.59%7.61%0.40%3.99%4.70%18.42-0.483沪深300股指期权17.54%-0.99%10.82%2.65%2.34%7.21%18.77-0.326中证1000股指期权21.65%-1.33%23.17%8.59%-2.39%5.93%21.73-0.937上证50ETF期权17.93%-0.24%8.65%-7.43%1.38%5.48%18.10-0.153华泰柏瑞300ETF期权17.71%-0.32%10.91%-7.15%-0.38%7.10%18.57-0.424南方500ETF期权18.60%-1.80%16.83%-2.21%-11.10%4.76%19.580.691华夏科创50ETF25.56%-1.74%20.06%-3.81%3.05%1.03%27.54-0.966易方达科创50ETF25.31%-1.23%20.93%-3.60%-0.09%3.78%27.30-1.108嘉实300ETF期权18.15%-0.12%10.35%-7.18%-2.53%1.98%18.55-0.247嘉实500ETF期权19.01%-1.53%16.16%-1.98%-9.85%5.54%19.87-1.102创业板ETF期权24.45%-1.56%21.08%-8.04%1.77%3.42%24.49-1.455深证100ETF期权21.24%-1.36%16.90%-8.14%-3.92%2.61%21.09-0.323上证50股指期权19.60%-0.43%13.77%-0.14%2.19%-4.03%沪深300股指期权19.57%-0.16%14.13%0.18%1.87%4.18%中证1000股指期权23.27%-0.94%18.55%1.59%-6.98%1.87%上证50ETF期权18.32%-0.08%13.31%-0.02%-3.33%0.80%华泰柏瑞300ETF期权18.28%-0.16%13.61%0.19%-5.12%2.49%南方500ETF期权18.32%-1.23%13.98%0.51%-16.98%-0.06%华夏科创50ETF25.35%-0.36%19.77%0.55%6.69%3.24%易方达科创50ETF25.58%-0.14%20.18%0.75%7.82%2.40%嘉实300ETF期权18.29%-0.06%13.62%0.19%-3.72%2.02%嘉实500ETF期权18.40%-0.93%14.04%0.43%-14.15%1.59%创业板ETF期权24.73%-1.00%21.94%1.02%3.31%2.84%深证100ETF期权21.66%0.27%18.79%0.58%-1.08%-1.55%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Skew变动VIXVIX变动 资料来...
