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，春节假期隐波仍有上行风险，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，春节假期隐波仍有上行风险，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2318.8463.5658.39-0.932309.139.712297.6021.24沪深300指数3311.69111.27202.71-0.333301.3310.363280.4031.29中证1000指数4592.44299.37210.19-1.094606.33-13.894566.5325.91上证50ETF2.3510.06223.867.502.3440.0072.3380.013华泰柏瑞300ETF3.3110.10320.09-6.513.2930.0183.2830.028南方500ETF4.9130.37810.28-24.854.8950.0184.8870.027华夏科创50ETF0.7570.04857.48-5.740.7560.0010.758-0.001易方达科创50ETF0.7390.04628.39-14.140.742-0.0030.741-0.002嘉实300ETF3.4400.0908.68-10.563.4240.0163.4120.028嘉实500ETF5.0320.3731.480.465.0140.0185.0120.020创业板ETF1.6230.09636.88-25.971.624-0.0011.628-0.005深证100ETF2.2600.0970.75-0.472.262-0.0022.2590.001上证50股指期权86606-1093981451-597667.57%50.44%23002250沪深300股指期权179985-34767184202-1334967.21%49.52%34003300中证1000股指期权34828136851240569-628266.90%46.57%50005000上证50ETF期权1884241-1282371966375-6727890.70%70.46%2.352.25华泰柏瑞300ETF期权1801883-2860291654536-7887283.00%71.04%3.43.2南方500ETF期权179566118381036721-5943083.94%77.01%5.254.9华夏科创50ETF814496-1643101310063-4378061.81%44.53%0.80.75易方达科创50ETF335627-83090622198-228873.08%47.76%0.80.65嘉实300ETF期权373529-223643756282578088.79%73.74%3.43.4嘉实500ETF期权5128691053883864215724665.71%82.88%5.254.3创业板ETF期权1689981-14385414482162360782.07%62.04%1.651.55深证100ETF期权181807-328202111333864280.64%71.72%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 6 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25.60%-6.47%28.49%12.17%3.88%11.57%23.89-2.066沪深300股指期权26.19%-8.34%36.23%21.51%4.19%9.90%22.86-4.466中证1000股指期权62.26%-17.91%108.34%64.33%-1.89%15.81%42.434.020上证50ETF期权21.45%-4.44%21.79%3.85%-2.73%8.57%20.64-3.047华泰柏瑞300ETF期权23.12%-5.35%23.38%5.89%-3.06%7.52%21.46-3.411南方500ETF期权37.58%-11.74%52.84%21.43%-10.23%11.39%32.48-3.449华夏科创50ETF38.47%-9.40%47.79%16.45%-3.73%4.75%36.78-7.048易方达科创50ETF36.75%-9.97%50.46%14.83%-1.36%0.39%35.50-7.132嘉实300ETF期权23.26%-5.23%21.72%4.41%-3.01%6.08%22.03-3.406嘉实500ETF期权37.33%-11.95%50.24%19.16%-12.62%3.82%32.37-3.702创业板ETF期权36.83%-6.95%44.35%14.37%-1.36%2.17%32.86-5.364深证100ETF期权29.74%-5.37%31.78%10.13%-2.49%4.20%26.89-2.771上证50股指期权23.25%-4.21%18.78%2.43%4.54%1.92%沪深300股指期权23.68%-6.01%20.62%3.82%-3.79%1.45%中证1000股指期权46.53%-13.26%46.05%8.61%-11.79%-6.67%上证50ETF期权21.89%-2.41%17.71%1.76%-2.26%0.58%华泰柏瑞300ETF期权22.47%-3.55%19.51%2.39%-1.44%4.30%南方500ETF期权31.78%-8.76%35.18%9.95%-12.79%-5.06%华夏科创50ETF33.58%-3.82%33.25%7.34%4.95%5.71%易方达科创50ETF33.47%-4.34%34.56%6.68%0.41%-2.49%嘉实300ETF期权22.33%-3.43%17.92%1.81%-2.31%7.66%嘉实500ETF期权31.61%-8.78%34.77%9.22%-16.54%-6.29%创业板ETF期权31.58%-4.36%32.94%5.90%3.71%10.07%深证100ETF期权25.94%-3.24%25.05%3.71%0.74%8.65%Skew变动Skew变动VIXVIX变动ATM-IVIV变动IV变动同...
