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：下行升波，可考虑价差策略进行风险保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 下行升波，可考虑价差策略进行风险保护。 【正文】 表 1：期权市场数据统计 上证50指数2248.27-6.0339.89-3.042246.871.402248.93-0.67沪深300指数3217.712.36145.52-7.633214.333.383211.805.91中证1000指数4750.44-34.59147.12-11.124699.0751.384642.40108.04上证50ETF2.283-0.00920.150.662.286-0.0032.286-0.003华泰柏瑞300ETF3.218-0.00418.91-0.183.2160.0023.2160.002南方500ETF4.765-0.0183.480.014.7300.0354.6910.074华夏科创50ETF0.7260.00441.92-4.850.7230.0030.7190.007易方达科创50ETF0.7120.01212.27-5.190.7070.0050.7020.010嘉实300ETF3.346-0.0029.66-3.883.347-0.0013.347-0.001嘉实500ETF4.867-0.0280.74-0.094.8360.0314.8120.055创业板ETF1.5480.01519.811.151.5480.0001.552-0.004深证100ETF2.1860.0220.48-0.052.1800.0062.1820.004上证50股指期权62917-2021487982145294.92%46.58%23002250沪深300股指期权122725-41926195405599298.26%45.67%33003200中证1000股指期权234831-4414230972989995.13%45.69%55005000上证50ETF期权1477879-660527196043737622118.76%67.34%2.32.25华泰柏瑞300ETF期权1268631-482885167435717749109.51%68.44%3.33.2南方500ETF期权1132772-19961899503628960118.80%72.54%5.254.8华夏科创50ETF792619-34708112675522732581.91%40.06%0.80.7易方达科创50ETF425779-23887655896116683101.09%46.90%0.80.7嘉实300ETF期权252506-2989132573643081140.78%66.72%3.53.3嘉实500ETF期权319975-7914934155555928138.75%87.65%5.254.5创业板ETF期权1178209-126942148065710364188.94%49.86%1.651.65深证100ETF期权107434-156251741199634101.56%70.83%2.42.15VL-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 2 月 1 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26.23%0.58%19.91%-2.36%-3.28%0.00%22.400.162沪深300股指期权26.10%-0.19%20.21%-2.75%-1.45%4.08%22.42-0.127中证1000股指期权47.08%-0.19%40.67%-3.24%-4.75%1.06%32.580.039上证50ETF期权22.93%0.67%20.18%0.10%-6.23%1.45%20.850.162华泰柏瑞300ETF期权23.26%0.20%21.05%0.00%-9.69%-0.35%21.020.097南方500ETF期权33.76%0.31%32.07%-0.04%-14.80%5.10%28.070.871华夏科创50ETF38.39%0.41%31.51%0.67%-5.55%0.21%36.580.159易方达科创50ETF38.52%1.93%33.61%2.10%-6.13%-0.32%36.220.756嘉实300ETF期权23.54%0.39%18.86%0.00%-6.30%0.89%21.560.155嘉实500ETF期权33.68%0.22%33.60%-0.06%-13.12%2.98%28.13-0.594创业板ETF期权33.52%-0.09%29.53%1.08%-4.53%-1.71%30.52-0.179深证100ETF期权27.03%-0.40%22.53%0.91%-5.96%-3.35%23.920.088上证50股指期权23.69%0.14%17.08%0.00%-2.08%-6.51%沪深300股指期权23.74%0.12%17.78%-0.05%-3.49%0.01%中证1000股指期权37.38%-1.53%31.86%-0.35%-6.81%1.85%上证50ETF期权21.77%0.39%15.31%0.04%-3.42%2.09%华泰柏瑞300ETF期权21.96%0.26%16.46%0.00%-5.69%0.80%南方500ETF期权29.42%-0.30%23.00%-0.02%-15.12%-0.32%华夏科创50ETF32.48%0.09%24.93%0.22%-1.71%-0.23%易方达科创50ETF32.41%-0.88%26.30%0.81%0.97%2.46%嘉实300ETF期权22.28%0.78%15.43%0.00%-4.48%1.40%嘉实500ETF期权29.24%-0.32%23.66%-0.01%-17.11%0.53%创业板ETF期权29.30%-0.53%25.87%0.31%-0.90%2.88%深证100ETF期权23.79%0.19%20.46%0.30%-6.33%-1.23%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...
