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：隐波随市场下跌大幅上升，可考虑买入看跌期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波随市场下跌大幅上升，可考虑买入看跌期权。 【正文】 表 1：期权市场数据统计 上证50指数2199.26-49.7230.631.852195.933.332200.73-1.47沪深300指数3229.08-71.79108.77-4.513220.338.753220.938.15中证1000指数5389.12-150.35104.04-12.775349.2039.925259.60129.52上证50ETF2.234-0.05012.721.362.2290.0052.235-0.001华泰柏瑞300ETF3.292-0.07512.86-4.833.2840.0083.2860.006南方500ETF5.141-0.1331.98-0.415.0990.0425.0670.074华夏科创50ETF0.795-0.02227.50-1.740.7910.0040.7910.004易方达科创50ETF0.774-0.0226.17-0.310.7720.0020.7730.001嘉实300ETF3.358-0.06812.491.823.3470.0113.3430.015嘉实500ETF5.262-0.1200.610.055.2130.0495.1810.081创业板ETF1.656-0.05212.65-0.191.6490.0071.6480.008深证100ETF2.249-0.0590.49-0.032.2400.0092.2380.011上证50股指期权684387687110882216177.45%40.36%23002200沪深300股指期权162164-5856240668735374.04%43.72%34003250中证1000股指期权157235-27177201696810885.96%48.26%56005300上证50ETF期权226801224843224679917980288.93%54.06%2.32.25华泰柏瑞300ETF期权186753910438717670665210797.78%59.32%3.43.4南方500ETF期权864327-17101491737212610123.53%85.34%5.55.25华夏科创50ETF536429-7831611538041438584.34%41.67%0.90.85易方达科创50ETF330273-575545449891863181.06%42.98%0.850.85嘉实300ETF期权256690129493416495840298.53%64.25%3.53.3嘉实500ETF期权207940-2200929955837691117.47%86.25%5.55.5创业板ETF期权1099568-84686163289413691383.10%49.27%1.751.75深证100ETF期权191432326432592292805890.00%64.00%2.352.35VL-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 17 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21.24%5.96%29.85%25.33%-0.33%-7.92%19.102.303沪深300股指期权22.14%6.38%30.99%23.20%1.15%-5.69%20.332.593中证1000股指期权26.71%5.98%26.43%25.47%-9.08%-11.94%22.761.463上证50ETF期权20.05%4.27%16.99%11.30%-0.85%-4.65%18.582.089华泰柏瑞300ETF期权19.65%3.63%18.34%10.20%-2.37%-6.20%19.181.859南方500ETF期权23.50%6.50%21.09%10.95%-14.93%-9.10%20.082.284华夏科创50ETF26.35%1.88%24.71%8.01%-4.37%-5.82%27.211.076易方达科创50ETF26.70%3.09%26.82%7.75%2.36%8.72%27.791.440嘉实300ETF期权20.79%4.79%16.80%8.10%1.34%-2.39%19.371.802嘉实500ETF期权22.20%4.93%18.58%9.58%-4.60%3.71%19.550.230创业板ETF期权28.37%4.85%29.79%9.93%-4.25%-6.05%25.821.732深证100ETF期权24.63%5.32%24.60%8.97%4.11%4.15%21.631.523上证50股指期权20.81%2.90%14.80%2.38%1.53%-1.12%沪深300股指期权21.66%2.75%15.71%2.20%1.27%-1.53%中证1000股指期权25.86%3.40%20.74%2.04%-2.60%1.25%上证50ETF期权19.35%2.91%12.96%0.37%-3.49%2.33%华泰柏瑞300ETF期权19.78%2.62%14.17%0.80%-6.24%-2.44%南方500ETF期权21.34%2.90%15.21%1.63%-14.32%-0.32%华夏科创50ETF26.54%2.03%19.93%1.25%3.41%-0.51%易方达科创50ETF27.17%2.25%20.74%1.29%2.06%-1.25%嘉实300ETF期权19.92%2.56%13.79%0.40%-3.93%-0.62%嘉实500ETF期权21.06%2.69%14.40%1.22%-11.92%1.46%创业板ETF期权27.62%3.15%23.48%1.21%4.26%0.56%深证100ETF期权23.64%3.13%19.79%0.67%-3.21%-1.17%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(...
