股票股指期权：市场跌速加快，隐波大幅拉升，可考虑买入看跌期权保护。

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：市场跌速加快，隐波大幅拉升，可考虑买入看跌期权保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 市场跌速加快，隐波大幅拉升，可考虑买入看跌期权保护。 【正文】 表 1：期权市场数据统计 上证50指数2286.58-47.3025.192.192275.6710.912278.338.25沪深300指数3394.26-65.88100.473.323377.8716.393382.4711.79中证1000指数5992.60-121.79142.78-10.645953.2739.335902.8089.80上证50ETF2.319-0.0489.673.652.3150.0042.320-0.001华泰柏瑞300ETF3.458-0.06610.093.163.4470.0113.4540.004南方500ETF5.565-0.0871.820.255.5280.0375.5020.063华夏科创50ETF0.890-0.01629.707.490.8890.0010.8900.000易方达科创50ETF0.867-0.0166.390.820.8660.0010.8670.000嘉实300ETF3.521-0.0682.820.923.5130.0083.5210.000嘉实500ETF5.674-0.1040.34-0.085.6480.0265.6280.046创业板ETF1.823-0.0357.330.771.8230.0001.826-0.003深证100ETF2.406-0.0490.640.292.408-0.0022.410-0.004上证50股指期权7195137354991982548101.23%41.10%24002300沪深300股指期权13980268281225735229687.65%49.61%36003500中证1000股指期权1040473592914958994794.14%56.69%62005800上证50ETF期权2313632115433724808268885191.66%55.21%2.462.46华泰柏瑞300ETF期权1582883735444172683546743102.89%62.48%3.73.5南方500ETF期权62878422098977069621036107.19%77.13%5.755.5华夏科创50ETF4509501586961116756448272.10%40.77%0.950.9易方达科创50ETF22002691091499569260373.81%40.03%0.90.9嘉实300ETF期权2385491201493173123951183.17%65.43%3.73.7嘉实500ETF期权1406804014123498823302103.72%81.40%65.5创业板ETF期权80334329888211187848383390.03%51.48%1.951.9深证100ETF期权130495599061729413216379.67%59.91%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 5 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19.64%5.03%10.95%3.31%-1.46%-8.13%18.992.289沪深300股指期权18.83%3.95%10.55%2.42%-4.52%-8.54%18.391.993中证1000股指期权17.44%2.32%14.39%2.02%-11.37%-8.23%18.431.427上证50ETF期权17.13%2.36%11.17%2.60%2.13%-2.36%18.121.854华泰柏瑞300ETF期权16.44%2.08%10.58%2.20%-1.73%-6.44%18.171.915南方500ETF期权15.52%1.29%11.52%1.30%-6.90%-1.75%18.141.262华夏科创50ETF18.12%0.84%13.50%0.98%8.81%-8.25%22.390.582易方达科创50ETF18.88%0.71%14.70%0.89%7.85%-4.52%22.650.573嘉实300ETF期权16.09%1.62%10.68%2.22%-1.82%-4.63%17.791.667嘉实500ETF期权15.92%2.08%11.67%1.93%-5.13%-5.30%18.161.608创业板ETF期权19.16%0.92%15.05%1.14%1.88%-4.65%21.171.070深证100ETF期权18.32%1.65%12.27%1.89%-1.24%-4.96%18.951.029上证50股指期权17.31%2.18%10.24%1.48%5.41%0.90%沪深300股指期权16.60%1.97%11.19%1.13%3.06%-0.96%中证1000股指期权16.01%1.01%17.21%0.67%-8.34%-1.62%上证50ETF期权16.28%1.53%12.09%0.96%-1.90%-3.14%华泰柏瑞300ETF期权16.04%1.58%11.98%0.85%-1.12%-0.74%南方500ETF期权15.55%1.38%14.60%0.56%-4.85%-0.42%华夏科创50ETF19.28%0.88%15.93%0.47%8.17%-1.64%易方达科创50ETF19.26%0.83%17.21%0.45%4.33%1.90%嘉实300ETF期权15.82%1.24%12.26%0.86%-1.01%0.59%嘉实500ETF期权15.40%1.38%14.70%0.78%-6.60%-4.03%创业板ETF期权19.48%1.18%19.78%0.56%1.55%0.70%深证100ETF期权17.17%0.51%16.01%0.74%0.45%-2.37%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%2023/1/12023/3/1