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：隐波回落到中位，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】 隐波回落到中位，可考虑备兑策略。 【正文】 表 1：期权市场数据统计 上证50指数2369.08-2.4637.49-14.672351.2017.882335.8033.28沪深300指数3410.857.05140.73-42.593387.0023.853386.9323.92中证1000指数5046.0116.43154.34-49.534992.7353.284972.8773.15上证50ETF2.402-0.0019.88-7.612.3920.0102.3870.015华泰柏瑞300ETF3.4010.0129.80-5.063.3860.0153.3840.017南方500ETF5.2150.0004.76-10.755.1930.0225.1760.039华夏科创50ETF0.790-0.00822.90-10.290.7870.0030.7870.003易方达科创50ETF0.772-0.00711.37-8.820.7710.0010.7710.001嘉实300ETF3.5300.0073.80-0.263.5240.0063.5180.012嘉实500ETF5.3260.0020.90-6.805.3110.0155.3030.023创业板ETF1.696-0.00113.33-9.491.6860.0101.6790.017深证100ETF2.3220.0020.44-0.122.3180.0042.3160.006上证50股指期权19412-279159994355071.27%52.01%24002250沪深300股指期权588434967141330890177.13%55.19%35003300中证1000股指期权133358372921808031550386.34%56.76%60004600上证50ETF期权1078664-3335061982496-6335105.92%89.42%2.42.3华泰柏瑞300ETF期权1029959-1468121603340-1596798.95%82.80%3.53.3南方500ETF期权1157267-114131114449930786136.39%103.51%5.55华夏科创50ETF485684-14811613269713286870.41%57.70%0.80.75易方达科创50ETF253157-469446109571127565.73%58.31%0.80.75嘉实300ETF期权171490-6022635153424373108.83%82.69%3.63.4嘉实500ETF期权330576-7701539669053333135.02%99.96%5.55创业板ETF期权816613-203319135107399308112.27%83.55%1.71.65深证100ETF期权110536-2198320596815068117.95%85.40%2.42.15VL-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 20 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17.30%-2.09%18.08%-2.42%-6.03%-3.09%19.45-1.699沪深300股指期权17.48%-1.74%20.75%-1.96%-6.36%-6.07%19.68-1.961中证1000股指期权29.65%-6.99%56.02%-0.60%-2.78%-1.58%32.53-6.673上证50ETF期权16.32%-1.25%15.01%-2.34%-2.89%-4.85%18.96-1.721华泰柏瑞300ETF期权16.28%-1.76%16.18%-4.33%-0.24%4.11%19.33-1.379南方500ETF期权24.29%-6.76%64.25%-6.11%-9.56%4.26%26.85-6.206华夏科创50ETF26.99%-1.26%40.67%-6.47%2.69%-1.30%32.35-2.385易方达科创50ETF27.29%-1.47%39.66%-9.88%1.82%-1.89%31.52-2.665嘉实300ETF期权16.81%-1.86%13.36%-4.48%-3.92%0.70%20.03-1.596嘉实500ETF期权25.37%-6.48%60.00%-6.27%-9.91%7.26%28.34-5.758创业板ETF期权25.72%-3.42%33.72%-9.95%-1.33%1.83%29.04-2.623深证100ETF期权20.75%-2.24%24.05%-7.43%0.26%0.98%23.17-3.232上证50股指期权18.08%-1.29%16.08%-0.06%3.84%-15.96%沪深300股指期权18.04%-1.47%17.63%-0.05%-2.78%-1.79%中证1000股指期权29.04%-5.19%39.22%0.04%-8.72%-2.94%上证50ETF期权17.20%-1.52%17.49%-0.10%-2.40%0.43%华泰柏瑞300ETF期权17.30%-1.30%19.18%-0.06%-7.68%-3.69%南方500ETF期权24.46%-4.92%41.99%-0.15%-14.02%3.61%华夏科创50ETF26.79%-1.98%35.84%-0.32%5.97%-9.30%易方达科创50ETF25.97%-3.10%37.27%-0.35%4.86%-6.48%嘉实300ETF期权17.69%-1.36%17.38%-0.09%-6.47%-2.48%嘉实500ETF期权24.94%-5.18%41.13%-0.14%-10.52%3.97%创业板ETF期权25.24%-2.67%33.01%-0.29%-1.61%-1.41%深证100ETF期权20.05%-2.58%23.98%-0.04%-3.96%-2.89%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...
