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：下行升波，可考虑熊市看跌价差保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 下行升波，可考虑熊市看跌价差保护。 【正文】 表 1：期权市场数据统计 上证50指数2385.61-19.4544.7611.162391.20-5.592392.80-7.19沪深300指数3450.26-44.53189.8450.313457.53-7.273460.33-10.07中证1000指数5152.05-241.98260.7478.125120.2031.855085.2766.79上证50ETF2.424-0.01417.935.442.427-0.0032.442-0.018华泰柏瑞300ETF3.448-0.03628.5518.083.452-0.0043.472-0.024南方500ETF5.259-0.1394.801.135.2520.0075.2440.015华夏科创50ETF0.808-0.02845.635.050.8030.0050.8040.004易方达科创50ETF0.790-0.02612.632.770.7860.0040.7870.003嘉实300ETF3.585-0.0383.801.033.589-0.0043.608-0.023嘉实500ETF5.383-0.1331.990.745.3730.0105.3670.016创业板ETF1.701-0.04518.656.501.6860.0151.6920.009深证100ETF2.365-0.0460.560.192.3650.0002.367-0.002上证50股指期权569672110778834135652.94%58.19%25002300沪深300股指期权13241351685160778176062.14%63.82%35003300中证1000股指期权272337106557212289505185.56%65.02%60005000上证50ETF期权20446044094482140851-841877.69%96.69%2.452.4华泰柏瑞300ETF期权156078340790316167101591483.81%93.09%3.53.4南方500ETF期权15321242860921185707-400887.76%104.90%5.55华夏科创50ETF97635411943114048561314957.49%69.21%0.850.8易方达科创50ETF44600276644641033-1629853.72%71.60%0.850.75嘉实300ETF期权275721714523666993103987.91%92.07%3.63.2嘉实500ETF期权4737251127864208815245493.95%97.71%5.55.25创业板ETF期权1779995615420139198012200875.03%88.81%1.751.7深证100ETF期权139607182801959871845175.92%106.03%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 28 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19.20%0.42%18.05%-0.08%9.36%3.81%20.52-0.024沪深300股指期权18.46%-0.58%18.80%0.21%2.03%1.63%20.09-0.214中证1000股指期权35.78%6.14%56.23%1.71%-3.93%1.28%35.334.368上证50ETF期权18.74%0.59%18.25%0.23%7.33%-0.05%20.210.462华泰柏瑞300ETF期权18.34%0.56%18.49%0.67%4.89%3.99%20.490.459南方500ETF期权26.74%3.09%44.35%1.13%-10.55%-6.53%30.622.784华夏科创50ETF31.65%4.80%39.77%2.05%8.00%-5.97%36.213.934易方达科创50ETF30.81%4.00%41.28%1.84%14.67%-3.23%35.993.641嘉实300ETF期权18.47%0.23%18.00%0.73%2.70%1.07%21.400.363嘉实500ETF期权28.21%4.16%42.06%0.71%-11.18%-5.58%31.493.193创业板ETF期权28.35%3.33%34.52%1.43%3.98%0.15%31.983.191深证100ETF期权23.42%2.26%25.21%1.31%3.13%-2.01%25.512.040上证50股指期权19.03%0.05%17.00%-0.34%9.80%5.86%沪深300股指期权18.57%-0.02%18.38%-0.02%1.70%-1.33%中证1000股指期权31.83%2.98%44.10%1.51%-0.78%4.61%上证50ETF期权18.83%0.14%14.32%0.03%0.79%-4.54%华泰柏瑞300ETF期权18.87%0.16%14.88%0.10%1.53%0.65%南方500ETF期权23.70%1.44%26.27%0.38%-4.74%-2.72%华夏科创50ETF27.38%0.98%25.73%0.65%7.74%-5.34%易方达科创50ETF27.64%1.55%26.43%0.57%10.77%-2.30%嘉实300ETF期权19.38%0.26%14.34%0.10%4.28%0.45%嘉实500ETF期权24.13%1.01%25.79%0.34%-7.44%-4.42%创业板ETF期权25.60%1.58%24.91%0.38%3.65%-2.06%深证100ETF期权20.32%0.04%19.50%0.23%2.64%-1.69%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...
