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：部分品种隐波上升超 90 分位，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】 部分品种隐波上升超 90 分位，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2270.98-33.4643.27-16.282273.13-2.152278.13-7.15沪深300指数3245.04-58.92143.65-40.523241.273.773238.676.37中证1000指数4984.66-146.59125.02-24.994909.8774.794849.40135.26上证50ETF2.306-0.03612.781.152.312-0.0062.315-0.009华泰柏瑞300ETF3.243-0.05618.898.783.2380.0053.2380.005南方500ETF4.911-0.1021.89-0.084.8350.0764.7970.115华夏科创50ETF0.735-0.02940.233.930.7320.0030.7300.005易方达科创50ETF0.714-0.0289.460.980.7130.0010.7120.002嘉实300ETF3.374-0.0517.064.053.3670.0073.3720.002嘉实500ETF5.001-0.1140.60-0.054.9410.0614.9180.083创业板ETF1.544-0.03615.96-0.911.546-0.0021.545-0.001深证100ETF2.182-0.0480.520.022.183-0.0012.1810.001上证50股指期权782271137984638141374.09%51.82%23002250沪深300股指期权12549222913184523163592.84%48.32%34003300中证1000股指期权17155770082064188379109.16%49.00%55005000上证50ETF期权18127032535071838030-5695111.03%76.70%2.352.25华泰柏瑞300ETF期权1545161331912160189442628112.10%71.73%3.33.2南方500ETF期权9752772691691757439162122.82%78.87%5.254.9华夏科创50ETF82605524297911706977618399.40%41.26%0.80.7易方达科创50ETF36910311417852228811080102.72%45.41%0.80.75嘉实300ETF期权2495846184029799129581106.56%64.23%3.53.3嘉实500ETF期权26837395927590231691123.09%85.59%5.255创业板ETF期权1313504869101385218148244110.02%51.40%1.651.65深证100ETF期权112673-85351662841689197.91%67.84%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 30 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23.18%1.94%18.71%1.44%3.48%-4.57%20.300.438沪深300股指期权22.72%2.00%20.91%1.58%-2.18%-3.98%20.761.110中证1000股指期权42.72%7.45%46.11%1.64%-5.17%-0.21%31.562.522上证50ETF期权19.92%1.71%18.52%1.38%-4.62%-0.04%18.831.251华泰柏瑞300ETF期权20.17%1.39%19.64%1.27%-9.08%-4.28%19.160.982南方500ETF期权29.88%3.51%29.54%0.72%-13.57%1.19%26.201.620华夏科创50ETF35.64%3.84%29.81%3.11%-2.20%-2.27%34.633.161易方达科创50ETF34.24%3.26%30.76%2.92%0.54%-2.82%33.832.877嘉实300ETF期权20.44%1.08%17.64%1.07%-6.41%-2.35%19.740.921嘉实500ETF期权29.76%3.09%31.40%0.89%-13.88%-2.89%26.892.146创业板ETF期权33.29%2.57%28.77%0.62%-2.85%-0.41%30.331.406深证100ETF期权26.25%1.69%21.27%1.35%-3.15%-0.47%22.930.421上证50股指期权21.23%1.09%16.36%0.39%9.76%3.33%沪深300股指期权21.67%1.69%17.12%0.55%-2.43%-1.80%中证1000股指期权34.94%3.37%29.29%0.72%-4.30%2.38%上证50ETF期权19.47%1.11%15.78%0.52%-4.59%-8.00%华泰柏瑞300ETF期权20.01%1.21%16.49%0.42%-4.74%-3.18%南方500ETF期权26.83%2.54%21.66%0.12%-11.15%1.34%华夏科创50ETF29.50%0.89%23.81%1.06%2.27%-6.58%易方达科创50ETF29.88%0.81%24.51%0.97%5.75%1.63%嘉实300ETF期权19.85%0.90%15.53%0.33%-5.24%-4.13%嘉实500ETF期权26.44%2.44%22.63%0.21%-11.21%0.96%创业板ETF期权29.78%1.77%25.04%-0.01%-3.82%-3.73%深证100ETF期权23.83%1.25%20.02%0.38%-5.07%-2.84%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...
