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，可考虑备兑策略。 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，可考虑备兑策略。 【正文】 表 1：期权市场数据统计 上证50指数2314.371.5258.32-3.632319.80-5.432321.60-7.23沪深300指数3333.82-9.10180.66-16.173330.073.753331.272.55中证1000指数5269.76-46.43155.42-7.735222.5347.235184.0085.76上证50ETF2.3500.00324.318.852.352-0.0022.359-0.009华泰柏瑞300ETF3.329-0.00621.835.353.3260.0033.332-0.003南方500ETF5.109-0.0572.91-0.535.0640.0455.0370.072华夏科创50ETF0.785-0.01934.19-5.940.7840.0010.786-0.001易方达科创50ETF0.764-0.0219.261.260.765-0.0010.767-0.003嘉实300ETF3.458-0.0117.373.533.4580.0003.465-0.007嘉实500ETF5.216-0.0540.920.245.1770.0395.1680.048创业板ETF1.637-0.03813.97-3.891.638-0.0011.644-0.007深证100ETF2.273-0.0220.700.082.280-0.0072.280-0.007上证50股指期权64066-2409879137168159.06%55.14%23002250沪深300股指期权102356-4676617904082097.70%51.55%34003300中证1000股指期权134121-44362187925574796.50%54.17%60005000上证50ETF期权1673430-66387118041866871792.96%85.85%2.352.25华泰柏瑞300ETF期权1341776-48640915300123335190.91%79.78%3.43.2南方500ETF期权901679-37656685360517333108.52%87.58%5.54.9华夏科创50ETF511336-14526610414025065578.80%45.63%0.850.8易方达科创50ETF182703-836524849471394764.19%49.56%0.80.75嘉实300ETF期权196372-927512861733794683.12%65.58%3.53.3嘉实500ETF期权229972-6205027175833181112.23%87.14%5.55创业板ETF期权914167-346818118457711874588.93%61.97%1.751.65深证100ETF期权113271-157061609692326979.19%73.55%2.42.2标的市场统计当月合成期货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VL-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） 资料来源：Wind、国泰君安期货研究 2024 年 1 月 26 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19.79%0.05%20.28%-0.09%0.14%-6.82%18.06-0.388沪深300股指期权19.53%-0.37%20.54%-0.05%-1.41%1.40%18.07-0.454中证1000股指期权32.31%1.09%39.39%0.03%-5.82%1.73%26.36-0.169上证50ETF期权17.80%0.14%17.13%-0.01%-4.49%0.43%16.65-0.455华泰柏瑞300ETF期权18.26%-0.16%18.08%-0.01%-0.92%4.15%17.13-0.669南方500ETF期权23.68%-0.02%27.71%0.12%-13.86%-2.38%22.02-0.135华夏科创50ETF27.57%0.62%25.99%0.78%2.67%-3.31%27.730.310易方达科创50ETF28.45%0.80%26.88%1.21%3.53%-2.12%28.140.726嘉实300ETF期权18.36%-0.37%16.22%0.02%-2.76%2.25%17.74-0.682嘉实500ETF期权24.13%0.44%29.11%0.09%-12.59%-0.92%21.550.161创业板ETF期权27.02%-0.27%24.85%0.93%2.09%-0.45%25.31-0.515深证100ETF期权22.73%-0.51%19.01%-0.17%-1.69%4.02%20.78-0.832上证50股指期权18.88%-0.53%15.60%-0.03%2.26%-0.23%沪深300股指期权19.32%-0.49%16.11%-0.01%-0.47%-3.37%中证1000股指期权27.49%-0.24%27.27%0.02%-8.23%-1.85%上证50ETF期权17.66%-0.19%14.87%-0.93%1.97%-1.25%华泰柏瑞300ETF期权18.42%-0.14%15.49%-0.71%-3.88%-1.20%南方500ETF期权22.37%0.22%20.60%-0.16%-10.94%4.17%华夏科创50ETF26.45%-0.02%22.36%0.33%5.75%-4.65%易方达科创50ETF26.64%-0.29%22.81%0.51%4.96%-2.45%嘉实300ETF期权18.25%-0.30%14.63%-0.75%-0.64%-1.76%嘉实500ETF期权22.07%0.08%21.47%-0.29%-14.69%2.28%创业板ETF期权26.01%0.06%23.22%0.21%3.65%0.02%深证100ETF期权21.62%-0.05%18.81%-0.49%2.58%-0.54%ATM-IV期权波动率统计(近月)期权波动率统计(次月)ATM-IVIV变动IV变动同期限HV同期限HVHV变动HV变动SkewSkewSkew变动Skew变动VIXVI...
