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：上行降波，可考虑牛市看跌价差策略。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 上行降波，可考虑牛市看跌价差策略。 【正文】 表 1：期权市场数据统计 上证50指数2312.8552.3061.9517.752313.80-0.952318.67-5.81沪深300指数3342.9265.81196.8342.463336.406.523336.606.32中证1000指数5316.20172.79163.1419.825303.5312.665267.3348.86上证50ETF2.3470.05215.46-0.842.349-0.0022.354-0.007华泰柏瑞300ETF3.3350.05616.49-6.303.3330.0023.3350.000南方500ETF5.1660.1483.450.005.1280.0385.1070.059华夏科创50ETF0.8040.01640.132.600.8040.0000.805-0.001易方达科创50ETF0.7850.0188.00-0.190.7840.0010.7840.001嘉实300ETF3.4690.0593.84-5.653.4640.0053.4680.001嘉实500ETF5.2700.1390.68-0.395.2420.0285.2250.045创业板ETF1.6750.02517.852.831.6730.0021.6740.001深证100ETF2.2950.0310.620.072.297-0.0022.2930.002上证50股指期权881642224577456-58255.58%54.20%23002250沪深300股指期权1491224646178220-470467.81%50.63%35003300中证1000股指期权178483-34578182178-83476.55%54.34%60005000上证50ETF期权233730157872017354699346380.82%85.70%2.32.25华泰柏瑞300ETF期权182818518018914966616018178.52%79.82%3.33.2南方500ETF期权1278245-137638362725106786.10%91.71%5.254.9华夏科创50ETF656602-413499907475425666.45%48.32%0.850.8易方达科创50ETF266355-710104710002007680.14%49.07%0.80.75嘉实300ETF期权289123757362808764869066.71%71.24%3.53.3嘉实500ETF期权292022626812764075806493.06%88.25%5.255创业板ETF期权1260985196600113219016639188.12%67.07%1.751.65深证100ETF期权128977418041557023299273.29%71.97%2.42.2VL-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 25 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19.74%-1.15%19.33%2.71%6.96%1.80%18.45-0.807沪深300股指期权19.90%-1.24%19.63%2.24%-2.81%-2.44%18.52-1.146中证1000股指期权31.22%-4.05%38.91%4.85%-7.55%-0.81%26.53-2.685上证50ETF期权17.66%-1.01%17.25%2.40%-4.93%-0.72%17.11-0.942华泰柏瑞300ETF期权18.42%-0.99%18.14%1.36%-5.08%4.61%17.80-1.047南方500ETF期权23.70%-2.47%26.77%2.71%-11.48%0.07%22.15-2.542华夏科创50ETF26.96%-4.58%24.57%1.86%5.99%4.38%27.43-4.194易方达科创50ETF27.65%-3.63%25.04%2.48%5.65%0.39%27.41-3.605嘉实300ETF期权18.73%-0.71%16.32%1.57%-5.02%0.49%18.42-0.700嘉实500ETF期权23.70%-3.02%28.16%2.11%-11.67%-0.46%21.39-3.170创业板ETF期权27.28%-2.04%23.88%0.97%2.54%1.74%25.83-2.142深证100ETF期权23.23%-0.51%19.33%0.85%-5.71%-3.48%21.61-0.509上证50股指期权19.41%-1.16%15.44%0.40%2.50%-7.70%沪深300股指期权19.81%-1.10%15.91%0.47%2.90%2.45%中证1000股指期权27.74%-2.65%26.78%2.32%-6.38%0.53%上证50ETF期权17.85%-0.72%15.69%1.10%3.22%1.61%华泰柏瑞300ETF期权18.56%-0.80%16.05%0.69%-2.68%-0.40%南方500ETF期权22.15%-1.79%20.48%1.60%-15.10%2.46%华夏科创50ETF26.47%-1.21%21.74%0.79%10.40%6.13%易方达科创50ETF26.93%-1.77%22.03%1.00%7.42%1.18%嘉实300ETF期权18.55%-1.00%15.23%0.73%1.12%-3.54%嘉实500ETF期权21.99%-2.54%21.47%1.31%-16.97%-1.73%创业板ETF期权25.95%-0.40%22.83%0.41%3.63%0.67%深证100ETF期权21.67%0.14%19.16%0.42%3.12%3.49%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(次月)ATM-IV 资料来源...
