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：隐波大幅上升，可考虑价差策略避险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波大幅上升，可考虑价差策略避险。 【正文】 表 1：期权市场数据统计 上证50指数2229.01-19.2550.6410.752222.076.952220.408.61沪深300指数3179.63-38.08173.7628.243166.2013.433160.0719.56中证1000指数4574.67-175.77176.8929.774514.2060.474449.53125.14上证50ETF2.268-0.01521.090.942.2600.0082.2570.011华泰柏瑞300ETF3.188-0.03025.396.483.1700.0183.1640.025南方500ETF4.637-0.1283.850.364.5940.0434.5380.099华夏科创50ETF0.707-0.01952.6410.720.7060.0010.7050.002易方达科创50ETF0.689-0.02314.872.600.6890.0000.6880.001嘉实300ETF3.316-0.03011.111.453.2950.0213.2910.025嘉实500ETF4.740-0.1270.900.174.6950.0454.6490.091创业板ETF1.508-0.04025.545.721.511-0.0031.516-0.008深证100ETF2.144-0.0420.560.072.1400.0042.1430.002上证50股指期权96011330948864866693.92%43.53%23002250沪深300股指期权181815590901984513046107.79%43.70%33003300中证1000股指期权30263667805240310933898.19%41.79%52005000上证50ETF期权2452726974847202761467177106.95%61.53%2.32.25华泰柏瑞300ETF期权2093733825102172802253665114.42%63.55%3.33.2南方500ETF期权148846635569410249612992588.23%65.21%5.254.9华夏科创50ETF89419910158013158884833694.81%37.93%0.80.75易方达科创50ETF4524622668359364934688102.72%43.57%0.80.65嘉实300ETF期权36667611417035335857205116.82%62.24%3.53.3嘉实500ETF期权3881776820234791051802112.41%78.40%5.254.5创业板ETF期权15913184131091535474121468106.71%46.51%1.651.65深证100ETF期权2004289299418712326128101.50%71.12%2.352.15VL-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 2 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30.48%4.25%7.22%-1.82%-6.15%-2.88%24.271.868沪深300股指期权30.51%4.41%10.57%-0.64%-0.51%0.94%24.051.622中证1000股指期权53.00%5.92%20.55%-1.78%-3.09%1.66%33.420.837上证50ETF期权25.63%2.70%18.31%-2.63%-4.92%1.30%22.421.575华泰柏瑞300ETF期权25.97%2.71%19.59%-2.05%-7.79%1.90%22.661.638南方500ETF期权37.76%4.00%33.53%0.20%-13.56%1.24%28.340.267华夏科创50ETF40.36%1.97%32.14%-0.09%-2.87%2.68%38.201.627易方达科创50ETF40.03%1.51%35.15%0.64%-2.42%3.71%37.831.608嘉实300ETF期权26.17%2.64%17.63%-1.72%-2.50%3.79%23.301.737嘉实500ETF期权37.65%3.97%35.37%0.39%-13.11%0.01%28.230.103创业板ETF期权37.43%3.92%29.46%-0.72%-1.94%2.60%32.762.241深证100ETF期权30.74%3.71%21.38%-1.21%-2.41%3.55%26.252.334上证50股指期权26.68%2.99%15.82%0.08%-1.86%0.22%沪深300股指期权26.26%2.52%16.29%0.08%-1.46%2.03%中证1000股指期权39.64%2.25%31.77%0.42%-4.78%2.03%上证50ETF期权23.29%1.52%15.65%0.10%-7.88%-4.47%华泰柏瑞300ETF期权23.46%1.50%16.85%0.15%-5.16%0.54%南方500ETF期权32.79%3.37%24.12%0.82%-8.57%6.55%华夏科创50ETF32.86%0.38%25.63%0.32%-0.80%0.92%易方达科创50ETF33.33%0.92%27.44%0.73%-0.27%-1.24%嘉实300ETF期权23.57%1.29%15.78%0.14%-4.06%0.42%嘉实500ETF期权32.44%3.19%24.67%0.73%-9.92%7.19%创业板ETF期权31.95%2.66%26.63%0.56%-2.66%-1.76%深证100ETF期权26.57%2.78%21.17%0.49%-3.48%2.85%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)ATM-IV 资料来源：W...
