股票股指期权：偏弱震荡，可考虑卖出看涨期权。

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：偏弱震荡，可考虑卖出看涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 偏弱震荡，可考虑卖出看涨期权。 【正文】 表 1：期权市场数据统计 上证50指数2274.83-9.2425.96-4.722273.271.562275.33-0.51沪深300指数3391.28-8.3297.71-8.093386.474.823387.074.22中证1000指数6020.83-2.97148.544.226014.006.835979.6741.16上证50ETF2.307-0.0108.461.222.310-0.0032.314-0.007华泰柏瑞300ETF3.454-0.0099.35-0.673.455-0.0013.457-0.003南方500ETF5.5820.0052.580.675.5730.0095.5480.034华夏科创50ETF0.891-0.00123.441.770.894-0.0030.894-0.003易方达科创50ETF0.8700.0005.630.430.871-0.0010.872-0.002嘉实300ETF3.516-0.0092.420.093.520-0.0043.522-0.006嘉实500ETF5.693-0.0020.960.435.695-0.0025.6700.023创业板ETF1.829-0.0055.02-0.331.832-0.0031.834-0.005深证100ETF2.420-0.0090.30-0.212.421-0.0012.423-0.003上证50股指期权6157210191019433621116.22%42.26%24002400沪深300股指期权115390-7351232388400190.26%49.72%36003500中证1000股指期权102347-256215105994491.11%59.43%62005800上证50ETF期权1948133-42636260539155187103.19%55.36%2.462.46华泰柏瑞300ETF期权1435209899817894634597597.19%64.22%3.73.5南方500ETF期权62263945764784810894107.60%81.95%5.755.5华夏科创50ETF402769519011444431602682.33%41.06%0.950.9易方达科创50ETF192723-1881850906111368110.45%39.78%0.90.9嘉实300ETF期权221611156133309193416395.71%61.85%3.73.7嘉实500ETF期权155597221924100021109120.96%83.42%65.5创业板ETF期权733447-2035511717039713288.16%50.88%1.951.9深证100ETF期权105945-895417805119884106.58%60.37%2.62.35VL-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 2023 年 12 月 7 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16.96%0.44%12.64%0.08%-4.29%-2.50%18.500.389沪深300股指期权16.69%0.04%12.26%-0.08%1.30%7.98%17.690.169中证1000股指期权16.71%-0.03%15.53%0.03%-7.74%5.98%17.90-0.015上证50ETF期权15.44%-0.24%10.41%-0.04%-9.32%-9.24%17.10-0.110华泰柏瑞300ETF期权15.23%-0.03%10.16%-0.04%0.85%3.18%17.07-0.085南方500ETF期权14.87%-0.07%10.97%-0.16%-6.41%2.72%17.23-0.182华夏科创50ETF18.59%0.77%12.22%-0.38%9.99%1.21%22.330.186易方达科创50ETF18.68%0.02%13.55%-0.33%12.81%2.45%22.390.067嘉实300ETF期权15.42%-0.15%10.33%-0.04%0.74%1.13%17.08-0.142嘉实500ETF期权14.60%-0.21%11.43%-0.20%-5.66%1.66%16.94-0.298创业板ETF期权19.13%0.55%14.34%-0.45%2.78%1.52%20.52-0.061深证100ETF期权17.55%-0.17%12.72%-0.10%0.41%-0.48%18.60-0.074上证50股指期权16.81%0.55%10.15%-0.07%4.89%0.86%沪深300股指期权16.17%0.23%11.00%-0.05%1.10%2.01%中证1000股指期权16.15%0.48%15.56%-0.04%-11.80%-3.55%上证50ETF期权15.81%0.04%10.05%-0.12%1.48%0.33%华泰柏瑞300ETF期权15.48%0.10%10.62%-0.33%-1.47%0.91%南方500ETF期权14.77%0.03%12.02%-2.23%-6.91%0.98%华夏科创50ETF18.89%0.04%14.66%-1.36%8.27%0.48%易方达科创50ETF19.12%-0.06%15.44%-1.91%4.77%-0.60%嘉实300ETF期权15.24%0.12%10.85%-0.45%-1.49%-0.01%嘉实500ETF期权14.57%-0.23%12.14%-2.32%-6.63%0.33%创业板ETF期权18.93%-0.12%19.18%-0.70%0.61%-0.20%深证100ETF期权17.43%0.02%15.54%-0.23%2.22%0.09%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. 上证 50 股指期权 图 1 上证 50 股指期权主力合约波动率走势图 20002100220023002400250026002700280029005%7%9%11%13%15%17%19%21%23%25%2023/1/12023/3/12