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，节前谨慎追空隐波。 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，节前谨慎追空隐波。 【正文】 表 1：期权市场数据统计 上证50指数2344.1525.3164.786.402343.930.222325.0019.15沪深300指数3343.6331.94216.6513.933336.607.033321.4722.16中证1000指数4797.85205.40216.216.034821.33-23.494795.472.38上证50ETF2.3800.02929.996.142.3710.0092.3660.014华泰柏瑞300ETF3.3400.02934.6614.573.3290.0113.3190.021南方500ETF5.2250.31213.242.965.2130.0125.2020.023华夏科创50ETF0.7770.02047.09-10.390.7770.0000.7760.001易方达科创50ETF0.7610.02220.74-7.650.7610.0000.7590.002嘉实300ETF3.4770.03727.2618.573.4590.0183.4500.027嘉实500ETF5.3300.2981.23-0.255.3240.0065.3260.004创业板ETF1.6600.03743.626.741.6540.0061.6540.006深证100ETF2.2800.0200.58-0.172.282-0.0022.2730.007上证50股指期权73894-1271279650-180164.99%56.13%23502250沪深300股指期权137028-42957177608-659453.99%53.45%34003200中证1000股指期权317329-30952232951-761872.35%53.13%50005000上证50ETF期权1880178-40631928211-3816483.19%76.54%2.42.3华泰柏瑞300ETF期权1599987-2018961619690-3484684.35%75.28%3.33.2南方500ETF期权20585332628721025936-1078571.74%95.38%5.254.9华夏科创50ETF734001-804951237591-7247248.08%51.27%0.80.75易方达科创50ETF291492-44135595633-2656549.81%54.03%0.80.65嘉实300ETF期权281509-920203576042528983.94%73.10%3.53.3嘉实500ETF期权577242643733821577401467.74%93.49%5.254.3创业板ETF期权1421679-26830213736756086180.66%72.01%1.651.6深证100ETF期权160331-214762161993370871.84%71.06%2.32.15VL-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 7 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23.07%-2.53%18.71%0.95%2.95%-0.93%22.61-1.279沪深300股指期权25.78%-0.41%27.15%-3.40%-0.83%-5.02%22.44-0.424中证1000股指期权53.75%-8.51%26.13%-118.50%-6.11%-4.22%40.08-2.355上证50ETF期权21.41%-0.04%19.74%-2.26%-7.89%-5.16%20.13-0.508华泰柏瑞300ETF期权22.15%-0.97%22.25%-1.33%-5.30%-2.23%20.75-0.711南方500ETF期权35.42%-2.16%63.06%7.68%-12.43%-2.20%30.48-2.001华夏科创50ETF36.66%-1.81%51.53%0.97%2.16%5.89%34.27-2.512易方达科创50ETF36.20%-0.55%54.52%1.04%-1.58%-0.22%34.33-1.175嘉实300ETF期权23.16%-0.10%20.58%-1.24%-6.55%-3.54%21.60-0.433嘉实500ETF期权36.55%-0.77%59.77%7.12%-14.13%-1.51%32.16-0.218创业板ETF期权34.22%-2.60%47.89%0.98%-2.31%-0.95%30.55-2.309深证100ETF期权29.30%-0.45%32.92%-0.51%-2.25%0.24%25.59-1.293上证50股指期权23.93%0.68%19.03%0.26%8.86%4.33%沪深300股指期权23.32%-0.36%20.86%0.23%-3.63%0.16%中证1000股指期权44.04%-2.49%50.16%3.24%-9.90%1.89%上证50ETF期权21.05%-0.85%18.28%0.31%-4.74%-2.48%华泰柏瑞300ETF期权22.07%-0.40%19.93%0.15%-3.66%-2.22%南方500ETF期权30.45%-1.33%40.35%4.59%-10.55%2.25%华夏科创50ETF32.37%-1.21%34.70%1.05%7.15%2.20%易方达科创50ETF32.08%-1.39%36.25%1.25%4.64%4.23%嘉实300ETF期权22.33%0.00%18.38%0.26%-1.82%0.49%嘉实500ETF期权31.58%-0.02%39.43%4.08%-8.69%7.84%创业板ETF期权29.93%-1.64%34.20%0.79%0.26%-3.44%深证100ETF期权25.63%-0.32%25.55%0.15%0.21%-0.53%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...
