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：隐波日内波幅增大，市场成交量翻倍，可考虑买入看跌期权避险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波日内波幅增大，市场成交量翻倍，可考虑买入看跌期权避险。 【正文】 表 1：期权市场数据统计 上证50指数2238.4639.2054.9424.322226.0012.462225.4712.99沪深300指数3274.7345.65174.9166.143252.0022.733243.4731.26中证1000指数5373.42-15.70148.7144.675356.8016.625279.0094.42上证50ETF2.2740.04048.2635.532.2630.0112.2640.010华泰柏瑞300ETF3.268-0.02447.5434.683.2510.0173.2520.016南方500ETF5.1460.0054.762.785.1240.0225.0790.067华夏科创50ETF0.8060.01142.3214.820.808-0.0020.8060.000易方达科创50ETF0.7860.0129.022.850.7860.0000.788-0.002嘉实300ETF3.3950.03717.585.083.3810.0143.3830.012嘉实500ETF5.259-0.0030.620.015.2400.0195.1990.060创业板ETF1.6830.02716.884.231.6800.0031.6800.003深证100ETF2.2800.0310.760.272.2750.0052.2690.011上证50股指期权13892770489109944-93873.32%38.97%23002200沪深300股指期权292226130062243482281484.97%42.28%34003200中证1000股指期权3451271878922064324736112.01%44.96%56005200上证50ETF期权4448594218058225431977520699.67%54.35%2.32.25华泰柏瑞300ETF期权363935917718201902234135168118.97%62.60%3.3293.231南方500ETF期权1948771108444498142664054129.11%85.60%5.55.25华夏科创50ETF118816565173612034864968284.37%40.64%0.90.8易方达科创50ETF6890973588245767213173286.47%38.95%0.850.8嘉实300ETF期权5118702551803725266625093.30%64.83%3.53.3嘉实500ETF期权50165929371935487280257127.59%84.48%5.55.25创业板ETF期权1872389772821166107812151793.53%51.93%1.751.6深证100ETF期权2782698683726905233401118.90%65.10%2.352.2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 18 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24.58%3.34%--24.76%25.09%20.171.067沪深300股指期权23.88%1.74%--3.21%2.06%20.790.456中证1000股指期权26.11%-0.60%--2.76%11.84%25.422.665上证50ETF期权21.17%1.12%26.02%7.17%4.13%4.99%18.31-0.271华泰柏瑞300ETF期权20.31%0.67%24.56%5.25%3.91%6.28%19.400.228南方500ETF期权24.53%1.03%19.44%1.27%-12.11%2.82%20.390.311华夏科创50ETF25.43%-0.93%27.67%6.58%2.77%7.13%26.46-0.757易方达科创50ETF25.91%-0.79%29.07%7.26%0.44%-1.93%26.81-0.987嘉实300ETF期权19.77%-1.02%21.29%4.10%1.81%0.46%19.440.063嘉实500ETF期权21.79%-0.42%16.19%0.34%-5.71%-1.11%20.120.571创业板ETF期权28.22%-0.15%31.97%8.38%2.86%7.12%25.81-0.004深证100ETF期权23.97%-0.66%28.12%5.07%-1.17%-5.28%22.761.125上证50股指期权22.87%2.06%17.00%1.77%-1.70%-3.23%沪深300股指期权23.07%1.41%17.15%1.06%-0.73%-2.00%中证1000股指期权29.11%3.25%20.87%-0.49%-7.74%-5.14%上证50ETF期权18.75%-0.60%14.52%1.33%-7.58%-4.10%华泰柏瑞300ETF期权19.88%0.10%15.31%0.85%-3.92%2.32%南方500ETF期权21.65%0.31%15.55%0.00%-18.15%-3.83%华夏科创50ETF25.20%-1.33%21.30%0.92%0.23%-3.18%易方达科创50ETF26.10%-1.07%22.23%1.03%12.21%10.15%嘉实300ETF期权19.94%0.02%14.62%0.58%-5.14%-1.21%嘉实500ETF期权22.09%1.02%14.71%-0.02%-14.52%-2.60%创业板ETF期权26.74%-0.88%24.87%0.86%2.36%-1.90%深证100ETF期权24.00%0.36%20.90%0.67%-5.11%-1.90%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...
