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：上行升波，可考虑买入看涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 上行升波，可考虑买入看涨期权。 【正文】 表 1：期权市场数据统计 上证50指数2433.0822.8537.56-12.452432.470.622435.40-2.32沪深300指数3486.6729.80141.02-47.863484.801.873484.532.14中证1000指数5151.5378.05153.06-40.225123.9327.605083.1368.40上证50ETF2.4660.0228.74-10.842.4650.0012.469-0.003华泰柏瑞300ETF3.4750.0269.45-6.563.4750.0003.479-0.004南方500ETF5.2570.0452.95-3.055.2470.0105.2360.021华夏科创50ETF0.7990.00826.46-7.660.7980.0010.7980.002易方达科创50ETF0.7800.0076.46-3.730.7790.0010.7780.002嘉实300ETF3.6140.0252.45-1.243.6100.0043.615-0.001嘉实500ETF5.3620.0340.74-0.315.364-0.0025.3590.003创业板ETF1.7100.0079.61-2.761.7050.0051.7010.009深证100ETF2.3730.0140.40-0.182.3640.0092.3630.010上证50股指期权43859-4232567663452944.49%60.34%24002300沪深300股指期权79123-95186149602328342.57%62.70%35003400中证1000股指期权137631-80026196502818583.90%60.57%60005000上证50ETF期权1627982-1668426209317410751273.57%108.78%2.52.4华泰柏瑞300ETF期权1044134-131225515860001153983.37%95.66%3.53.3南方500ETF期权1061034-58058311982243437797.67%100.02%5.55华夏科创50ETF513332-32898013786422733255.57%60.16%0.80.8易方达科创50ETF200198-1681296479611556258.86%61.72%0.80.75嘉实300ETF期权197297-2161693541512773088.20%94.10%3.73.5嘉实500ETF期权303330-1791293880923043983.45%89.49%5.55.25创业板ETF期权846839-510764137060413615394.87%85.59%1.751.65深证100ETF期权110019-1087352051231593177.85%96.11%2.42.3VL-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 22 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19.56%1.65%18.58%-0.14%6.42%0.82%20.851.185沪深300股指期权18.35%1.51%20.56%0.06%-0.15%1.57%19.930.809中证1000股指期权31.26%1.26%54.74%-0.02%-1.00%2.69%32.990.685上证50ETF期权19.92%2.43%11.36%-0.93%10.07%8.91%19.970.974华泰柏瑞300ETF期权19.17%1.34%6.75%-0.13%4.54%-3.59%19.580.782南方500ETF期权25.71%1.63%9.71%2.61%-1.21%0.63%26.35-0.145华夏科创50ETF29.12%4.13%17.27%-0.44%5.50%6.03%32.470.922易方达科创50ETF29.95%5.04%14.48%-1.01%9.82%-7.35%32.130.665嘉实300ETF期权19.93%2.48%9.89%0.01%2.09%-6.19%20.560.486嘉实500ETF期权27.29%1.66%9.00%-0.11%-2.24%0.97%27.95-0.144创业板ETF期权27.55%1.42%6.42%-2.67%3.23%3.90%28.44-0.223深证100ETF期权22.56%2.03%9.77%-0.35%2.48%-4.75%22.900.333上证50股指期权19.22%0.42%16.83%-0.11%3.87%-5.49%沪深300股指期权18.25%0.50%18.15%-0.17%-2.68%-2.15%中证1000股指期权29.63%1.58%40.28%0.11%-3.81%2.13%上证50ETF期权18.62%1.41%18.34%0.09%3.23%-2.99%华泰柏瑞300ETF期权18.11%0.79%19.71%0.04%-0.06%0.80%南方500ETF期权24.01%-0.29%43.03%-0.09%-6.12%4.59%华夏科创50ETF26.70%1.27%36.09%-0.13%9.60%5.19%易方达科创50ETF26.74%0.70%37.39%-0.28%17.79%9.09%嘉实300ETF期权18.35%0.93%18.13%0.02%0.24%0.18%嘉实500ETF期权24.98%0.10%42.16%-0.09%-6.09%5.44%创业板ETF期权25.17%-0.06%33.36%-0.60%3.81%2.90%深证100ETF期权20.32%0.05%24.46%-0.26%-0.45%-3.18%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：Wind、国泰君...
