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，偏度上体现市场看跌情绪上升。 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，偏度上体现市场看跌情绪上升。 【正文】 表 1：期权市场数据统计 上证50指数2304.44-9.9459.551.232305.27-0.832314.53-10.10沪深300指数3303.96-29.86184.163.503296.137.833295.138.83中证1000指数5131.25-138.52150.00-5.415068.0763.185024.33106.91上证50ETF2.342-0.00811.63-12.682.343-0.0012.347-0.005华泰柏瑞300ETF3.299-0.03010.11-11.723.2930.0063.2960.003南方500ETF5.013-0.0961.97-0.954.9660.0474.9360.077华夏科创50ETF0.764-0.02136.302.110.7620.0020.7610.003易方达科创50ETF0.742-0.0228.49-0.770.743-0.0010.743-0.001嘉实300ETF3.425-0.0333.01-4.353.4230.0023.4250.000嘉实500ETF5.115-0.1010.66-0.275.0750.0405.0560.059创业板ETF1.580-0.05716.872.901.581-0.0011.583-0.003深证100ETF2.230-0.0430.51-0.202.231-0.0012.232-0.002上证50股指期权66848278283225408869.97%55.44%23002250沪深300股指期权102579223182888384882.51%51.12%34003300中证1000股指期权1645493042819803910114120.82%52.12%55005000上证50ETF期权1559196-11423418437253953999.35%86.78%2.352.25华泰柏瑞300ETF期权1213249-128527155926629254106.24%77.55%3.43.2南方500ETF期权9483614668287841224807135.80%84.05%5.254.9华夏科创50ETF5830767174010945145311287.84%42.53%0.80.8易方达科创50ETF254925722225112082626181.59%47.73%0.80.75嘉实300ETF期权187744-862828557323610103.45%66.35%3.53.3嘉实500ETF期权2674143744227307428802159.67%87.46%5.255创业板ETF期权12265943124271319183183261101.61%55.69%1.71.65深证100ETF期权12120879371632171664294.98%75.35%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 1 月 29 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21.24%1.45%21.83%0.38%8.05%7.91%19.871.805沪深300股指期权20.72%1.19%22.24%0.50%1.80%3.20%19.651.585中证1000股指期权35.27%2.96%43.06%1.31%-4.96%0.85%29.042.682上证50ETF期权18.21%0.41%17.30%-0.06%-4.58%-0.08%17.580.930华泰柏瑞300ETF期权18.77%0.51%18.61%0.24%-4.80%-3.87%18.181.049南方500ETF期权26.38%2.69%28.98%0.40%-14.76%-0.89%24.582.566华夏科创50ETF31.80%4.23%27.56%0.75%0.07%-2.61%31.473.732易方达科创50ETF30.98%2.53%28.68%0.93%3.36%-0.16%30.952.818嘉实300ETF期权19.36%1.00%16.72%0.30%-4.06%-1.30%18.821.085嘉实500ETF期权26.67%2.54%30.49%0.46%-11.00%1.59%24.743.189创业板ETF期权30.72%3.70%27.61%2.56%-2.43%-4.52%28.923.608深证100ETF期权24.56%1.83%20.19%1.15%-2.69%-0.99%22.511.727上证50股指期权20.14%1.26%15.94%0.07%6.43%4.16%沪深300股指期权19.98%0.66%16.58%0.21%-0.63%-0.16%中证1000股指期权31.58%4.08%28.30%0.76%-6.68%1.55%上证50ETF期权18.36%0.70%15.06%-0.02%3.41%1.44%华泰柏瑞300ETF期权18.80%0.38%15.85%0.15%-1.56%2.32%南方500ETF期权24.29%1.92%21.27%0.42%-12.49%-1.55%华夏科创50ETF28.61%2.16%23.43%0.80%8.85%3.10%易方达科创50ETF29.07%2.43%23.98%0.92%4.12%-0.84%嘉实300ETF期权18.95%0.70%15.01%0.18%-1.11%-0.47%嘉实500ETF期权24.00%1.93%22.16%0.44%-12.16%2.53%创业板ETF期权28.01%2.00%24.89%1.46%-0.08%-3.73%深证100ETF期权22.57%0.95%19.37%0.52%-2.24%-4.82%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...
