股票股指期权：下行升波，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：下行升波，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】 下行升波，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2333.88-18.1223.00-5.352335.73-1.852337.80-3.92沪深300指数3460.14-22.7497.16-11.373460.47-0.333465.47-5.33中证1000指数6114.39-15.66153.418.066060.5353.866025.5388.86上证50ETF2.367-0.0186.02-10.352.372-0.0052.378-0.011华泰柏瑞300ETF3.524-0.0246.93-1.683.530-0.0063.538-0.014南方500ETF5.652-0.0121.570.085.6240.0285.6030.049华夏科创50ETF0.906-0.00422.21-3.170.9060.0000.908-0.002易方达科创50ETF0.883-0.0075.56-0.020.886-0.0030.886-0.003嘉实300ETF3.589-0.0231.90-4.423.595-0.0063.604-0.015嘉实500ETF5.778-0.0030.41-0.105.7470.0315.7220.056创业板ETF1.858-0.0236.570.261.862-0.0041.868-0.009深证100ETF2.455-0.0250.35-0.092.460-0.0052.465-0.010上证50股指期权34597-1924996650200580.21%43.75%24002350沪深300股指期权71521-37985223439637872.50%51.43%36003500中证1000股指期权68118-17640148642366075.14%58.52%62005800上证50ETF期权1159295-64720823919759442781.70%58.14%2.462.46华泰柏瑞300ETF期权847439-35779016800926185290.02%64.61%3.73.5南方500ETF期权407795-164024749660931889.87%77.89%65.5华夏科创50ETF292254-3913811122742751964.07%42.56%0.950.9易方达科创50ETF128935-382064969661432269.12%41.41%0.90.9嘉实300ETF期权118400-669632902862156098.95%68.31%3.73.7嘉实500ETF期权100539-210992218711771582.35%83.30%65.5创业板ETF期权504461-20054210744788771376.50%53.83%1.951.9深证100ETF期权70589-503591509911381575.53%56.77%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 4 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14.61%1.19%7.55%-0.80%6.67%0.78%16.700.609沪深300股指期权14.88%1.29%8.50%-0.21%4.01%-2.35%16.390.667中证1000股指期权15.12%0.90%13.26%-0.24%-3.14%-1.43%17.000.935上证50ETF期权14.77%0.40%8.77%0.19%4.48%-3.57%16.270.837华泰柏瑞300ETF期权14.36%0.54%8.34%0.09%4.72%0.58%16.260.801南方500ETF期权14.23%0.45%9.97%0.00%-5.15%-2.61%16.870.685华夏科创50ETF17.28%-0.74%12.25%-0.08%17.06%5.83%21.810.338易方达科创50ETF18.18%-0.06%13.41%0.13%12.37%2.89%22.080.481嘉实300ETF期权14.47%0.70%8.43%0.06%2.81%-1.52%16.120.655嘉实500ETF期权13.85%0.38%9.51%-0.05%0.16%2.95%16.550.633创业板ETF期权18.24%0.93%13.52%0.49%6.54%-0.90%20.101.076深证100ETF期权16.68%1.11%10.15%0.30%3.72%-0.74%17.921.118上证50股指期权15.12%0.10%11.13%0.09%4.51%-0.70%沪深300股指期权14.63%0.00%11.41%-0.06%4.01%-1.61%中证1000股指期权14.99%0.39%16.63%-0.71%-6.72%-3.00%上证50ETF期权14.74%0.29%11.14%-0.09%1.24%-0.03%华泰柏瑞300ETF期权14.46%0.38%11.29%-0.10%-0.38%-1.29%南方500ETF期权14.17%0.43%14.08%-0.05%-4.43%1.33%华夏科创50ETF18.39%-0.34%16.03%-0.14%9.81%1.15%易方达科创50ETF18.44%0.00%17.28%-0.02%2.43%-4.25%嘉实300ETF期权14.59%0.41%11.53%-0.13%-1.60%-1.15%嘉实500ETF期权14.02%0.33%13.94%-0.07%-2.57%2.01%创业板ETF期权18.31%0.42%19.61%0.02%0.85%-1.07%深证100ETF期权16.66%0.53%15.53%-0.10%2.82%-0.12%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%2023/1/12023/3/120