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：隐波快速拉升，可考虑熊市看跌价差低成本避险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波快速拉升，可考虑熊市看跌价差低成本避险。 【正文】 表 1：期权市场数据统计 上证50指数2230.61-12.9344.798.922203.2727.342198.4032.21沪深300指数3218.90-50.87148.7130.203179.2739.633171.5347.37中证1000指数5000.83-306.15144.2537.824824.53176.304745.07255.77上证50ETF2.261-0.02128.73-9.112.2450.0162.2420.019华泰柏瑞300ETF3.206-0.06946.479.533.1920.0143.1770.029南方500ETF4.870-0.2363.750.554.7930.0774.6830.187华夏科创50ETF0.776-0.02730.842.390.7660.0100.7660.010易方达科创50ETF0.759-0.0247.32-0.150.7500.0090.7510.008嘉实300ETF3.348-0.05719.708.173.3200.0283.3050.043嘉实500ETF4.946-0.2720.460.024.8870.0594.8090.137创业板ETF1.623-0.04613.02-1.841.6190.0041.6150.008深证100ETF2.234-0.0390.750.292.2160.0182.2060.028上证50股指期权586472111570713491980.65%41.90%23002175沪深300股指期权150441700811734588198128.99%44.49%33003300中证1000股指期权1929351207061686261808798.37%44.58%60005000上证50ETF期权28865144330422421322-5152289.98%55.67%2.32.25华泰柏瑞300ETF期权220847413520419082391484997.98%59.61%3.3293.231南方500ETF期权172016868153399656929529113.29%70.90%5.255.25华夏科创50ETF87699622064612605246211484.62%37.26%0.90.8易方达科创50ETF410659783745852571729789.29%38.12%0.850.75嘉实300ETF期权333149584903680874188683.84%60.44%3.53.4嘉实500ETF期权37653310991535504351630131.58%72.80%5.255.5创业板ETF期权14175652261081626763116986103.55%47.69%1.81.65深证100ETF期权20395895772583821573399.78%59.05%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 22 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24.39%4.47%13.96%-0.93%2.03%2.76%21.313.255沪深300股指期权24.70%3.96%14.65%0.36%-0.24%-1.83%22.433.332中证1000股指期权43.10%15.08%27.73%10.38%-26.65%-20.73%29.455.185上证50ETF期权24.48%6.30%14.09%-1.63%-2.59%-7.41%20.983.529华泰柏瑞300ETF期权25.77%7.16%25.88%12.93%-13.47%-18.81%21.553.350南方500ETF期权34.11%11.75%43.65%33.96%-11.84%-3.22%24.213.701华夏科创50ETF31.68%5.33%33.66%14.36%8.12%3.39%31.313.421易方达科创50ETF31.04%6.44%30.16%8.94%-10.24%-9.80%32.124.708嘉实300ETF期权25.56%6.94%21.90%13.04%1.38%-2.11%21.652.865嘉实500ETF期权33.63%12.45%50.49%42.47%-5.69%2.75%25.024.362创业板ETF期权32.05%6.83%21.64%-5.45%-2.27%2.60%29.374.335深证100ETF期权28.43%6.83%15.72%-2.80%2.76%7.41%24.463.314上证50股指期权21.70%2.51%13.88%-0.95%1.13%-2.62%沪深300股指期权23.23%3.47%14.23%-0.30%0.40%-3.86%中证1000股指期权39.44%13.74%22.82%5.17%-12.29%-8.79%上证50ETF期权22.06%3.81%14.91%-0.23%-4.67%-0.64%华泰柏瑞300ETF期权22.95%4.06%16.90%1.14%-5.67%-1.54%南方500ETF期权31.21%9.25%21.83%5.95%-26.62%-9.95%华夏科创50ETF30.12%4.12%22.97%1.25%1.14%-3.13%易方达科创50ETF31.24%4.32%23.45%0.78%6.26%1.87%嘉实300ETF期权22.33%3.07%15.49%0.48%0.48%3.71%嘉实500ETF期权31.22%8.27%22.64%7.83%-11.17%3.34%创业板ETF期权30.64%4.30%25.58%0.32%-0.34%-0.03%深证100ETF期权26.53%3.84%21.18%-0.04%-3.91%-0.89%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Skew...
