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，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】 上行降波，可考虑备兑策略。 【正文】 表 1：期权市场数据统计 上证50指数2371.5518.9752.161.672352.4019.152325.6045.95沪深300指数3403.8138.88183.32-6.663376.4027.413385.3318.47中证1000指数5029.5936.48203.87-13.754964.6764.924928.47101.12上证50ETF2.4030.01817.49-15.412.3920.0112.3880.015华泰柏瑞300ETF3.3890.02714.86-9.083.3780.0113.3750.015南方500ETF5.215-0.03415.51-0.695.1910.0245.1700.045华夏科创50ETF0.7980.01233.20-10.200.7970.0010.7960.002易方达科创50ETF0.7790.00920.195.490.7790.0000.7780.001嘉实300ETF3.5230.0174.05-7.633.5130.0103.5110.012嘉实500ETF5.324-0.0417.705.085.3130.0115.2930.031创业板ETF1.6970.01622.82-2.781.6920.0051.6870.010深证100ETF2.3200.0140.550.042.321-0.0012.3180.002上证50股指期权44454-1650556444-2057866.03%49.99%24002250沪深300股指期权98593-31469132429-4191357.35%52.06%35003300中证1000股指期权226868-115106165300-6381476.67%54.57%60004600上证50ETF期权1412170-10101519888317505793.43%85.60%2.42.3华泰柏瑞300ETF期权1176771-17260616193072475492.98%82.27%3.53.3南方500ETF期权1271398-787831111371345676110.18%104.50%5.55华夏科创50ETF633800-24417712941036807156.33%58.58%0.80.8易方达科创50ETF300101-1168235996821159162.59%55.86%0.80.75嘉实300ETF期权231716-1289835755241458106.84%78.74%3.63.3嘉实500ETF期权407591-18151639101651490104.37%90.71%5.755创业板ETF期权1019932-383340135050215961587.93%81.28%1.71.65深证100ETF期权132519139562126802615292.85%83.20%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 19 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19.39%-3.78%19.93%0.07%-2.95%-6.39%21.15-1.205沪深300股指期权19.22%-3.29%22.13%0.28%-0.29%-2.76%21.64-0.127中证1000股指期权36.65%-9.75%55.03%0.19%-1.20%-1.50%39.20-2.418上证50ETF期权17.57%-3.68%17.46%-1.54%1.95%0.74%20.680.764华泰柏瑞300ETF期权18.04%-4.00%19.61%-1.57%-4.34%-3.10%20.710.527南方500ETF期权31.05%-5.62%65.18%-3.32%-13.82%-0.16%33.051.974华夏科创50ETF28.25%-7.30%43.46%-3.93%3.99%2.75%34.740.681易方达科创50ETF28.75%-7.10%45.23%-4.60%3.71%1.42%34.180.267嘉实300ETF期权18.66%-3.61%17.16%-2.19%-4.61%-3.59%21.620.701嘉实500ETF期权31.85%-7.07%61.71%-2.28%-17.18%-8.95%34.101.272创业板ETF期权29.13%-6.84%40.00%-2.01%-3.16%-4.64%31.661.097深证100ETF期权22.98%-5.45%28.74%-1.97%-0.72%-2.79%26.401.761上证50股指期权19.37%-3.03%16.69%0.06%19.81%11.07%沪深300股指期权19.51%-3.29%17.94%0.22%-0.99%-0.06%中证1000股指期权34.23%-5.75%38.72%0.09%-5.79%3.38%上证50ETF期权18.72%-2.53%17.47%0.11%-2.82%-2.39%华泰柏瑞300ETF期权18.60%-3.04%19.08%0.14%-3.99%-2.33%南方500ETF期权29.38%-1.71%41.37%0.02%-17.63%-2.54%华夏科创50ETF28.77%-4.53%35.50%0.36%15.27%5.62%易方达科创50ETF29.07%-4.32%36.92%0.22%11.35%4.38%嘉实300ETF期权19.05%-2.60%17.36%0.05%-3.99%-4.72%嘉实500ETF期权30.12%-1.33%40.51%0.04%-14.49%-1.53%创业板ETF期权27.92%-2.58%33.07%0.10%-0.20%-3.43%深证100ETF期权22.63%-2.65%23.91%-0.13%-1.07%-0.02%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...
