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：部分品种隐波上升至历史高点，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】 部分品种隐波上升至历史高点，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2255.2826.2759.318.682243.7311.552231.7323.55沪深300指数3200.4220.79203.0429.283171.6728.763141.4059.02中证1000指数4293.07-281.60211.2734.394172.73120.344058.87234.20上证50ETF2.2890.02116.36-4.732.2830.0062.2700.019华泰柏瑞300ETF3.2080.02026.601.213.1750.0333.1460.062南方500ETF4.535-0.10235.1331.294.4590.0764.3860.149华夏科创50ETF0.7090.00263.2210.580.7080.0010.7060.003易方达科创50ETF0.6930.00442.5427.670.6930.0000.6900.003嘉实300ETF3.3500.03419.248.133.3020.0483.2780.072嘉实500ETF4.659-0.0811.020.124.5650.0944.4920.167创业板ETF1.5270.01962.8537.311.5180.0091.5230.004深证100ETF2.1630.0191.220.662.1610.0022.1610.002上证50股指期权97545153487427-122197.27%45.25%23002150沪深300股指期权21475232937197551-900138.92%44.97%33003300中证1000股指期权3114308794246851654168.36%40.69%50005000上证50ETF期权2012478-44024820336536039111.07%65.32%2.32.25华泰柏瑞300ETF期权2087912-582117334085386112.87%64.11%3.33.2南方500ETF期权179382330535710961517119085.69%67.18%5.254.4华夏科创50ETF9788068460713538433795588.74%38.43%0.80.65易方达科创50ETF418717-337456244863083797.76%44.98%0.80.65嘉实300ETF期权3958932921739056275716111.92%68.77%3.53.3嘉实500ETF期权407481193043747086903875.33%72.65%5.254.5创业板ETF期权1833835242517152989679124110.88%51.42%1.651.65深证100ETF期权2146271419919933234383122.08%72.23%2.252.15VL-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 5 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32.07%1.59%14.56%6.88%-7.69%-1.54%25.951.685沪深300股指期权34.53%4.02%13.42%1.23%-5.71%-5.21%27.333.281中证1000股指期权80.18%27.17%36.12%12.44%-17.69%-14.60%38.414.998上证50ETF期权25.90%0.27%17.72%0.51%-11.30%-6.38%23.691.268华泰柏瑞300ETF期权28.47%2.50%19.40%0.33%-10.58%-2.79%24.882.215南方500ETF期权49.32%11.56%35.31%0.49%-21.63%-8.06%35.937.590华夏科创50ETF47.87%7.51%32.01%0.56%-8.48%-5.61%43.835.628易方达科创50ETF46.72%6.69%35.36%0.84%-1.74%0.68%42.644.811嘉实300ETF期权28.49%2.32%18.25%0.83%-9.09%-6.59%25.432.134嘉实500ETF期权49.28%11.63%37.03%0.17%-16.44%-3.33%36.087.847创业板ETF期权43.77%6.34%30.25%1.93%-3.53%-1.59%38.235.464深证100ETF期权35.11%4.36%21.58%1.09%-6.69%-4.28%29.663.401上证50股指期权27.46%0.78%16.11%0.55%2.62%4.48%沪深300股指期权29.69%3.43%16.58%0.28%-5.24%-3.78%中证1000股指期权59.80%20.16%36.63%4.19%-5.12%-0.35%上证50ETF期权24.30%1.01%15.72%-0.12%-2.84%5.04%华泰柏瑞300ETF期权26.02%2.56%16.85%-0.12%-5.74%-0.58%南方500ETF期权40.54%7.75%24.82%0.36%-7.74%0.83%华夏科创50ETF37.40%4.54%25.49%-0.52%-0.77%0.03%易方达科创50ETF37.81%4.49%27.41%-0.41%2.90%3.17%嘉实300ETF期权25.76%2.19%15.85%-0.01%-9.96%-5.90%嘉实500ETF期权40.39%7.95%25.13%0.13%-10.24%-0.32%创业板ETF期权35.93%3.98%26.59%-0.34%-6.36%-3.70%深证100ETF期权29.18%2.61%20.98%-0.29%-7.91%-4.43%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...
