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：盘中隐波变动依然较大，做空波动率仍需谨慎。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 盘中隐波变动依然较大，做空波动率仍需谨慎。 【正文】 表 1：期权市场数据统计 上证50指数2260.5634.1944.2010.182258.202.362252.807.76沪深300指数3277.1145.18154.3732.363263.8713.243261.2715.84中证1000指数5143.4163.78143.3313.045093.3350.075038.80104.61上证50ETF2.2950.03716.301.992.2930.0022.299-0.004华泰柏瑞300ETF3.2790.05122.798.863.2630.0163.2640.015南方500ETF5.0180.0703.450.144.9670.0514.9330.085华夏科创50ETF0.7880.00237.532.600.7810.0070.7810.007易方达科创50ETF0.7670.0008.190.900.7640.0030.7600.007嘉实300ETF3.4100.0519.495.483.3910.0193.3930.017嘉实500ETF5.1310.0691.07-0.095.0730.0585.0470.084创业板ETF1.6500.00815.020.931.6430.0071.6460.004深证100ETF2.2640.0180.55-0.032.2530.0112.2550.009上证50股指期权65919-100578038396269.08%47.04%23002175沪深300股指期权14447622980182924414794.56%45.96%34003300中证1000股指期权213061364661830126514102.90%48.87%60005000上证50ETF期权27574243447652402312-1271775.26%60.65%2.32.25华泰柏瑞300ETF期权226458423298719017391275193.06%62.39%3.33.2南方500ETF期权18313881233221002203-1364688.38%69.53%5.254.9华夏科创50ETF7948078623012904572710993.99%35.26%0.850.8易方达科创50ETF38873737665990791599297.58%37.47%0.80.7嘉实300ETF期权338388145433528252427082.22%60.11%3.43.3嘉实500ETF期权350437-348333968933571123.24%72.67%5.255创业板ETF期权1517032149342160317894895100.09%45.23%1.651.65深证100ETF期权154451-211572276451002689.39%50.33%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 24 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20.89%-0.37%15.85%0.99%5.17%3.23%19.26-0.272沪深300股指期权21.14%-1.85%16.62%0.65%-0.37%2.28%19.67-1.291中证1000股指期权35.28%0.72%32.71%0.54%-6.74%-2.24%29.21-0.142上证50ETF期权18.68%-1.59%16.76%1.17%-4.21%3.38%18.05-1.295华泰柏瑞300ETF期权19.40%-1.14%18.89%0.99%-9.69%-3.76%18.85-0.959南方500ETF期权26.17%-1.46%24.89%0.76%-11.56%3.94%24.69-0.584华夏科创50ETF31.53%2.13%24.68%-0.17%1.61%3.33%31.621.520易方达科创50ETF31.28%1.19%24.86%-0.26%5.25%-0.86%31.020.720嘉实300ETF期权19.45%-1.41%17.19%1.02%-5.51%-3.54%19.12-1.336嘉实500ETF期权26.72%-1.23%26.51%0.62%-11.21%2.28%24.56-1.663创业板ETF期权29.32%0.78%27.45%0.12%0.80%6.45%27.970.552深证100ETF期权23.75%0.30%22.41%0.26%-2.23%-2.27%22.12-0.205上证50股指期权20.56%0.36%14.89%0.62%10.20%5.52%沪深300股指期权20.91%-0.55%15.21%0.50%0.45%0.28%中证1000股指期权30.39%-0.99%24.11%0.03%-6.91%-3.28%上证50ETF期权18.57%-0.91%14.43%0.68%1.61%3.77%华泰柏瑞300ETF期权19.36%-0.76%15.17%0.59%-2.27%-0.40%南方500ETF期权23.94%-1.26%18.63%0.52%-17.56%-1.05%华夏科创50ETF27.68%0.54%20.71%0.04%4.27%-0.95%易方达科创50ETF28.70%1.30%20.81%-0.02%6.24%1.18%嘉实300ETF期权19.54%-1.06%14.35%0.56%4.65%5.96%嘉实500ETF期权24.53%-0.37%19.90%0.45%-15.24%-1.23%创业板ETF期权26.36%-0.24%22.19%-0.02%2.95%1.06%深证100ETF期权21.52%-0.34%18.50%0.11%-0.37%-3.99%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...
