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：隐波相关性转为负相关，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】 隐波相关性转为负相关，可考虑备兑策略。 【正文】 表 1：期权市场数据统计 上证50指数2393.55-39.8641.331.272389.873.682393.330.22沪深300指数3453.36-36.38151.256.433445.937.433448.135.23中证1000指数5255.4029.73184.4713.265217.9337.465186.2769.13上证50ETF2.426-0.04119.038.412.4240.0022.427-0.001华泰柏瑞300ETF3.443-0.03511.170.263.4380.0053.4400.003南方500ETF5.271-0.0103.870.645.2610.0105.2480.023华夏科创50ETF0.8060.00528.054.590.8040.0020.8040.002易方达科创50ETF0.7860.0047.281.490.7850.0010.7850.001嘉实300ETF3.576-0.0403.970.683.5760.0003.578-0.002嘉实500ETF5.385-0.0040.890.105.3790.0065.3710.014创业板ETF1.704-0.00512.313.911.6990.0051.6920.013深证100ETF2.361-0.0080.390.042.3600.0012.3580.003上证50股指期权41355-243573460275556.72%57.99%25002300沪深300股指期权71804-8971157128525861.96%62.97%35003400中证1000股指期权15425718036207583559685.74%67.54%60005000上证50ETF期权20005263633982113392-194687.21%96.04%2.452.4华泰柏瑞300ETF期权114364315281574364-2895490.25%90.18%3.53.4南方500ETF期权11727151421701172935-4024488.76%95.15%5.55华夏科创50ETF55652413756813963981398964.02%62.64%0.850.75易方达科创50ETF21868049597661874680060.31%63.37%0.80.75嘉实300ETF期权204767194733636912522089.92%90.56%3.73.4嘉实500ETF期权360106608194037523422388.97%88.75%5.55.25创业板ETF期权95308012081914194947686690.37%86.32%1.751.65深证100ETF期权97638-5650205468957268.91%95.46%2.42.35VL-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 26 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18.75%-0.89%19.43%1.67%7.21%0.05%20.42-0.602沪深300股指期权18.46%-0.03%20.57%0.18%3.28%3.24%20.300.166中证1000股指期权29.32%-2.40%55.81%-1.19%-5.81%-0.19%31.84-1.239上证50ETF期权18.64%-1.96%18.96%9.51%1.05%-6.11%19.92-0.487华泰柏瑞300ETF期权16.09%-4.35%12.12%4.78%3.32%-4.35%20.18-0.314南方500ETF期权21.98%-6.09%7.12%2.66%-2.34%0.40%27.07-2.062华夏科创50ETF27.36%-2.51%4.11%-4.24%3.83%3.76%32.77-0.573易方达科创50ETF28.87%-2.58%2.81%-4.32%2.11%-6.77%32.030.055嘉实300ETF期权17.56%-3.40%12.90%5.84%-4.91%-9.47%21.16-0.329嘉实500ETF期权25.80%-3.60%6.37%4.89%-0.87%3.66%29.20-0.451创业板ETF期权24.56%-3.85%2.59%-2.59%2.34%1.89%29.890.477深证100ETF期权20.68%-4.23%1.87%-6.53%7.05%-1.12%23.810.434上证50股指期权19.23%-0.25%17.71%0.56%7.72%-2.26%沪深300股指期权18.48%-0.37%18.63%0.13%2.82%0.78%中证1000股指期权28.68%-0.84%41.40%-0.08%-4.39%-0.03%上证50ETF期权18.17%-1.36%18.34%-0.77%13.04%8.30%华泰柏瑞300ETF期权17.89%-0.74%19.07%-1.39%3.41%0.79%南方500ETF期权23.79%-1.47%44.16%-0.88%-7.53%-1.33%华夏科创50ETF26.12%-1.31%36.37%-1.10%15.46%5.28%易方达科创50ETF26.65%-0.16%37.62%-1.15%14.42%-3.55%嘉实300ETF期权18.05%-1.14%17.71%-1.04%4.20%2.46%嘉实500ETF期权24.55%-1.56%43.43%-0.71%-6.85%-2.68%创业板ETF期权25.71%-0.26%32.83%-1.70%4.97%-1.18%深证100ETF期权21.17%-0.30%23.34%-1.76%7.53%3.01%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...
