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：隐波持续上升，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】 隐波持续上升，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2254.30-16.6842.93-0.342254.60-0.302258.27-3.97沪深300指数3215.35-29.69153.149.493212.872.493210.604.75中证1000指数4785.03-199.63158.2433.224742.0742.974677.67107.37上证50ETF2.292-0.01419.496.712.293-0.0012.296-0.004华泰柏瑞300ETF3.222-0.02119.090.203.2110.0113.2110.011南方500ETF4.783-0.1283.471.584.7430.0404.6930.090华夏科创50ETF0.722-0.01346.776.540.7170.0050.7150.007易方达科创50ETF0.700-0.01417.457.990.6990.0010.6960.004嘉实300ETF3.348-0.02613.546.483.3390.0093.3420.006嘉实500ETF4.895-0.1060.830.224.8430.0524.8130.082创业板ETF1.533-0.01118.662.711.536-0.0031.539-0.006深证100ETF2.164-0.0180.530.002.165-0.0012.172-0.008上证50股指期权83131490486530189289.70%47.06%23002250沪深300股指期权164651391591894134890120.33%45.45%33003300中证1000股指期权2392456768822107314655107.81%45.92%55005000上证50ETF期权2138406325703192281584785123.14%69.27%2.32.25华泰柏瑞300ETF期权1751516206355165660854714128.00%67.93%3.33.2南方500ETF期权133239035711396607648502142.27%74.01%5.254.9华夏科创50ETF1139700313645124022769530128.30%39.16%0.80.7易方达科创50ETF66465529555254227819990168.22%47.73%0.80.75嘉实300ETF期权2823973281330882135044167.66%64.73%3.53.3嘉实500ETF期权39912413075132597675685162.11%95.49%5.255创业板ETF期权1305151-83531457096151549118.69%50.32%1.651.65深证100ETF期权1230591038617829824685146.45%70.03%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 31 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25.65%2.47%20.47%0.26%-3.27%-6.75%22.241.932沪深300股指期权26.29%3.57%21.16%-1.43%-5.53%-3.34%22.551.786中证1000股指期权47.28%4.55%42.83%-6.93%-5.81%-0.64%32.540.980上证50ETF期权22.26%2.34%19.31%0.22%-7.68%-3.06%20.681.850华泰柏瑞300ETF期权23.06%2.89%20.24%-0.07%-9.34%-0.26%20.931.765南方500ETF期权33.45%3.57%30.90%0.26%-19.91%-6.34%27.200.997华夏科创50ETF37.98%2.34%29.67%-1.26%-5.76%-3.56%36.421.792易方达科创50ETF36.59%2.35%30.35%-1.57%-5.81%-6.36%35.461.631嘉实300ETF期权23.14%2.70%18.17%-0.05%-7.18%-0.77%21.411.667嘉实500ETF期权33.46%3.70%32.43%-0.13%-16.10%-2.22%28.721.831创业板ETF期权33.61%0.32%27.35%-2.49%-2.83%0.02%30.700.377深证100ETF期权27.43%1.18%20.85%-1.22%-2.61%0.54%23.830.905上证50股指期权23.55%2.32%16.79%0.15%4.43%-5.33%沪深300股指期权23.62%1.95%17.55%0.12%-3.50%-1.07%中证1000股指期权38.92%3.98%31.66%1.84%-8.66%-4.36%上证50ETF期权21.39%1.92%15.09%-0.84%-5.51%-0.92%华泰柏瑞300ETF期权21.70%1.69%16.24%-0.47%-6.50%-1.76%南方500ETF期权29.72%2.89%22.67%0.74%-14.81%-3.66%华夏科创50ETF32.40%2.90%24.33%0.16%-1.48%-3.75%易方达科创50ETF33.29%3.41%25.10%0.22%-1.50%-7.25%嘉实300ETF期权21.51%1.66%15.23%-0.49%-5.88%-0.65%嘉实500ETF期权29.56%3.12%23.31%0.40%-17.64%-6.43%创业板ETF期权29.83%0.05%25.16%-0.25%-3.78%0.03%深证100ETF期权23.61%-0.22%19.85%-0.47%-5.10%-0.03%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(...
