股票股指期权：下行升波，可考虑熊市看跌价差策略。

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，可考虑熊市看跌价差策略。 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，可考虑熊市看跌价差策略。 【正文】 表 1：期权市场数据统计 上证50指数2352.00-14.0028.362.722352.73-0.732356.20-4.20沪深300指数3482.88-13.32108.537.183485.47-2.593491.07-8.19中证1000指数6130.0549.50145.3514.326093.2736.786054.2775.78上证50ETF2.385-0.01616.3710.872.392-0.0072.397-0.012华泰柏瑞300ETF3.548-0.0148.601.933.556-0.0073.563-0.015南方500ETF5.6640.0271.49-0.185.6350.0295.6170.047华夏科创50ETF0.9100.00325.383.690.913-0.0030.913-0.003易方达科创50ETF0.8900.0045.580.350.892-0.0020.892-0.002嘉实300ETF3.612-0.0196.324.123.621-0.0093.627-0.015嘉实500ETF5.7810.0210.520.005.7560.0255.7360.045创业板ETF1.8810.0076.311.851.885-0.0041.889-0.008深证100ETF2.480-0.0150.440.212.484-0.0042.486-0.006上证50股指期权538462463594645227375.78%44.26%24002350沪深300股指期权10950643738217061415568.54%51.23%36003500中证1000股指期权85758-492014498291175.30%57.97%62005800上证50ETF期权180650376144122975489887089.12%59.56%2.462.46华泰柏瑞300ETF期权120522937656116182403289994.20%65.54%3.73.5南方500ETF期权57181954852740342-5006101.29%77.52%65.5华夏科创50ETF331392-749410847552874961.17%41.97%0.950.9易方达科创50ETF1671414604826441127359.29%41.13%0.90.9嘉实300ETF期权18536375492268726308396.80%68.66%3.73.7嘉实500ETF期权121638-13352041561665107.02%82.45%65.5创业板ETF期权7050031630959867652205692.71%53.26%1.951.9深证100ETF期权12094847456137176649585.37%56.01%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 3 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13.42%-0.46%8.29%0.28%5.89%-0.25%0.000.000沪深300股指期权13.60%-0.15%8.62%0.02%6.37%1.63%0.000.000中证1000股指期权14.22%0.07%13.82%-0.12%-1.71%0.71%0.000.000上证50ETF期权14.37%0.45%8.33%0.14%8.05%0.95%15.430.212华泰柏瑞300ETF期权13.82%0.15%8.01%0.02%4.13%-0.77%15.450.112南方500ETF期权13.78%0.14%9.68%0.18%-2.54%3.76%16.190.036华夏科创50ETF18.02%-0.18%12.59%0.10%11.23%0.43%21.47-0.002易方达科创50ETF18.23%0.43%13.47%0.16%9.48%-3.51%21.600.193嘉实300ETF期权13.77%0.11%8.14%0.08%4.33%0.98%15.470.036嘉实500ETF期权13.47%0.07%9.28%0.12%-2.78%0.45%15.92-0.148创业板ETF期权17.31%-0.24%12.76%0.13%7.44%1.27%19.03-0.212深证100ETF期权15.57%-0.11%9.57%0.06%4.46%0.17%16.80-0.266上证50股指期权15.02%0.70%10.98%-0.09%5.22%-1.13%沪深300股指期权14.63%0.46%11.37%-0.23%5.62%-0.97%中证1000股指期权14.60%-0.09%17.09%-0.07%-3.72%1.55%上证50ETF期权14.45%0.31%11.44%0.02%1.27%1.32%华泰柏瑞300ETF期权14.07%0.01%11.60%-0.01%0.91%1.20%南方500ETF期权13.75%0.02%14.08%0.06%-5.76%0.16%华夏科创50ETF18.73%0.55%16.05%-0.41%8.66%1.73%易方达科创50ETF18.43%0.18%17.17%-0.32%6.68%1.55%嘉实300ETF期权14.18%0.19%11.84%-0.03%-0.46%-0.56%嘉实500ETF期权13.69%-0.15%13.97%0.04%-4.59%0.94%创业板ETF期权17.89%0.02%19.44%-0.11%1.92%0.48%深证100ETF期权16.12%0.00%15.62%-0.03%2.94%2.12%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%2023/1/12023/3/12023/5/12023/7/12023/9/12023/11/1000016