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2413.1427.5335.19-9.572412.470.672412.131.00沪深300指数3516.0865.82155.94-33.893518.27-2.183516.20-0.12中证1000指数5344.61192.55188.04-72.715337.207.415302.2042.41上证50ETF2.4440.02012.86-5.072.448-0.0042.450-0.006华泰柏瑞300ETF3.5030.05514.84-13.713.511-0.0083.514-0.011南方500ETF5.4310.1726.351.545.437-0.0065.433-0.002华夏科创50ETF0.8470.03950.364.730.8440.0030.8420.005易方达科创50ETF0.8260.03615.252.620.8240.0020.8220.004嘉实300ETF3.6440.0592.68-1.123.650-0.0063.651-0.006嘉实500ETF5.5570.1742.230.245.559-0.0025.5470.010创业板ETF1.7610.06014.25-4.401.7560.0051.7540.007深证100ETF2.4350.0700.53-0.042.4310.0042.4280.007上证50股指期权34827-2214081106227259.33%57.84%25002300沪深300股指期权100782-31631164629385158.21%64.78%35003300中证1000股指期权223252-49085215875358694.28%67.56%60005000上证50ETF期权127446010612173678622379280.17%85.31%2.452.4华泰柏瑞300ETF期权117457592038139024110177287.76%85.34%3.53.4南方500ETF期权12272281372229445418117088.43%104.26%5.55华夏科创50ETF87018273465122372913236065.99%66.47%0.850.8易方达科创50ETF317994-79585647226412059.80%65.47%0.90.75嘉实300ETF期权17333870022798863035966.30%81.58%3.63.2嘉实500ETF期权306497535633251674973187.31%92.37%5.55.25创业板ETF期权1141353-23685104030211946386.61%84.59%1.751.7深证100ETF期权123983478551463323046769.20%82.97%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 29 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18.66%-0.54%15.07%-3.60%10.47%1.11%20.14-0.385沪深300股指期权18.24%-0.22%15.39%-4.33%-1.04%-3.07%20.01-0.082中证1000股指期权33.50%-2.28%38.60%-6.59%0.04%3.97%33.85-1.482上证50ETF期权17.69%-1.05%16.71%-1.41%2.44%-4.90%18.99-1.224华泰柏瑞300ETF期权17.80%-0.54%18.30%-0.11%0.32%-4.57%19.64-0.847南方500ETF期权27.54%0.81%45.64%0.26%-6.13%4.42%30.35-0.274华夏科创50ETF32.83%1.18%43.60%2.74%11.36%3.36%37.321.111易方达科创50ETF33.36%2.55%44.52%2.12%7.90%-6.77%36.950.961嘉实300ETF期权18.25%-0.21%17.86%-0.09%-1.43%-4.12%20.38-1.021嘉实500ETF期权28.19%-0.01%43.46%0.42%-6.20%4.98%30.65-0.840创业板ETF期权28.59%0.24%37.12%1.67%0.47%-3.51%30.85-1.133深证100ETF期权22.96%-0.45%27.30%1.48%1.08%-2.05%24.45-1.060上证50股指期权18.52%-0.51%17.32%0.07%6.40%-3.40%沪深300股指期权19.04%0.47%19.06%0.42%1.22%-0.49%中证1000股指期权31.91%0.08%46.03%1.27%-3.70%-2.92%上证50ETF期权18.42%18.42%16.84%0.11%2.30%2.30%华泰柏瑞300ETF期权18.64%18.64%18.25%0.43%-0.31%-0.31%南方500ETF期权26.17%26.17%37.48%0.92%-5.52%-5.52%华夏科创50ETF30.93%30.93%35.84%2.34%6.90%6.90%易方达科创50ETF31.01%31.01%36.51%2.07%5.52%5.52%嘉实300ETF期权18.71%18.71%17.19%0.49%-1.67%-1.67%嘉实500ETF期权26.38%26.38%36.68%0.91%-5.58%-5.58%创业板ETF期权27.35%27.35%31.58%1.40%0.39%0.39%深证100ETF期权22.22%22.22%24.01%1.23%3.58%3.58%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、...
