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：ETF 期权临近到期，隐波变化幅度加剧。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 ETF 期权临近到期，隐波变化幅度加剧。 【正文】 表 1：期权市场数据统计 上证50指数2405.0611.5133.60-7.732408.13-3.072405.33-0.27沪深300指数3494.7941.43139.53-11.723496.73-1.953491.872.92中证1000指数5394.03138.64182.62-1.855385.538.505341.4752.57上证50ETF2.4380.01212.49-6.542.4380.0002.443-0.005华泰柏瑞300ETF3.4840.04110.47-0.703.487-0.0023.492-0.008南方500ETF5.3980.1273.67-0.205.3950.0035.3830.015华夏科创50ETF0.8360.03040.5812.540.8350.0010.8360.000易方达科创50ETF0.8160.0309.862.580.8150.0010.817-0.001嘉实300ETF3.6230.0472.78-1.193.624-0.0013.629-0.006嘉实500ETF5.5160.1311.250.375.5130.0035.5090.007创业板ETF1.7460.04212.15-0.161.7450.0011.7380.008深证100ETF2.4110.0500.38-0.012.4080.0032.4080.003上证50股指期权35860-549577478401860.68%56.77%25002300沪深300股指期权807288924159018189066.76%63.22%35003300中证1000股指期权16578011523207238-34586.22%70.17%60005000上证50ETF期权1635156-36537021492693587784.06%95.86%2.452.4华泰柏瑞300ETF期权1152880923716007962643286.61%93.97%3.53.4南方500ETF期权12460327331711897151678081.71%104.13%5.55.25华夏科创50ETF8569233003991391707-469146.66%71.50%0.850.75易方达科创50ETF369358150678657331-454346.64%71.84%0.80.75嘉实300ETF期权204269-4983610973331971.54%93.61%3.73.5嘉实500ETF期权3609398333950803265892.43%96.56%5.755.25创业板ETF期权116457521149513518346343775.71%94.18%1.751.65深证100ETF期权121327236891930511052161.58%99.91%2.452.35VL-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 27 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18.77%0.03%17.73%-0.79%5.55%-1.65%20.550.121沪深300股指期权19.04%0.58%18.00%-0.98%0.40%-2.88%20.310.008中证1000股指期权29.64%0.32%52.77%-3.51%-5.21%0.59%30.96-0.877上证50ETF期权19.35%0.71%--1.55%0.50%19.75-0.168华泰柏瑞300ETF期权18.38%2.28%---1.08%-4.40%20.03-0.146南方500ETF期权25.50%3.51%---1.08%1.26%27.840.773华夏科创50ETF35.37%8.02%--9.46%5.63%32.28-0.491易方达科创50ETF32.59%3.72%--19.07%16.97%32.350.318嘉实300ETF期权18.60%1.04%--7.15%12.05%21.04-0.116嘉实500ETF期权24.52%-1.28%---1.68%-0.81%28.30-0.898创业板ETF期权27.73%3.17%--2.60%0.27%28.79-1.101深证100ETF期权19.71%-0.97%--3.07%-3.97%23.47-0.341上证50股指期权18.98%-0.25%17.11%-0.86%3.94%-3.79%沪深300股指期权18.59%0.11%18.17%-0.71%3.03%0.21%中证1000股指期权28.85%0.17%42.20%0.29%-5.39%-1.00%上证50ETF期权18.14%-0.02%18.12%0.01%7.39%-5.65%华泰柏瑞300ETF期权17.78%-0.11%19.41%0.26%0.90%-2.51%南方500ETF期权23.64%-0.15%45.77%0.52%-4.01%3.52%华夏科创50ETF26.86%0.74%38.97%2.00%13.97%-1.49%易方达科创50ETF26.81%0.16%40.22%2.03%17.89%3.47%嘉实300ETF期权18.24%0.19%18.27%0.36%1.62%-2.58%嘉实500ETF期权24.05%-0.51%45.04%0.54%-5.60%1.25%创业板ETF期权25.02%-0.69%34.01%0.79%3.83%-1.14%深证100ETF期权21.16%-0.02%24.39%0.82%5.14%-2.39%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、国泰君安期货研究 金融衍生品研究 请务必阅读正文之后的免责条款部分 3 1. ...
