股票股指期权：防止反转风险，可考虑反比例价差策略。

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：防止反转风险，可考虑反比例价差策略。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 防止反转风险，可考虑反比例价差策略。 【正文】 表 1：期权市场数据统计 上证50指数2261.02-44.1224.87-3.982259.331.682259.071.95沪深300指数3369.61-57.2095.29-10.303365.074.543364.335.27中证1000指数6019.55-59.44122.55-7.166020.40-0.855985.0734.49上证50ETF2.291-0.0469.17-3.552.2910.0002.296-0.005华泰柏瑞300ETF3.435-0.0587.090.683.4320.0033.4350.000南方500ETF5.607-0.0592.130.315.608-0.0015.5900.017华夏科创50ETF0.907-0.01024.601.290.9070.0000.909-0.002易方达科创50ETF0.882-0.0105.56-0.980.883-0.0010.8820.000嘉实300ETF3.497-0.0602.250.373.4950.0023.499-0.002嘉实500ETF5.728-0.0610.51-0.055.729-0.0015.7120.016创业板ETF1.822-0.0346.940.371.823-0.0011.827-0.005深证100ETF2.390-0.0480.440.192.396-0.0062.397-0.007上证50股指期权5804811777108606317075.85%42.35%23002250沪深300股指期权11668626188240883215266.84%48.86%36003350中证1000股指期权8388911221148705-250380.77%62.19%62005900上证50ETF期权181064249077828156278141084.32%53.34%2.462.3华泰柏瑞300ETF期权110749723463618646911540085.59%59.06%3.63.4南方500ETF期权41259334610794699915684.68%79.30%5.755.5华夏科创50ETF388457638431239379538159.67%43.81%0.950.9易方达科创50ETF20870045814549618528652.14%39.41%0.90.9嘉实300ETF期权206091508693444953393593.86%66.16%3.63.6嘉实500ETF期权118115170612399921553983.73%89.83%65.5创业板ETF期权5920938489912642507187773.52%48.80%1.91.9深证100ETF期权82809154441938421642292.76%54.74%2.52.35VL-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 13 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18.16%2.15%27.33%26.67%1.16%-2.42%19.010.866沪深300股指期权17.38%0.64%20.96%16.86%-1.17%-6.55%17.900.658中证1000股指期权15.39%-0.57%11.56%-0.88%-8.16%-14.09%17.240.323上证50ETF期权16.11%0.88%14.77%2.64%3.13%-7.49%17.750.765华泰柏瑞300ETF期权15.66%1.16%13.20%1.84%-0.24%-4.55%17.680.821南方500ETF期权14.84%0.62%11.83%0.92%-5.66%-1.00%17.330.440华夏科创50ETF19.34%0.01%17.77%0.49%12.81%-8.20%22.730.170易方达科创50ETF19.22%0.43%17.78%0.35%8.85%-2.08%22.08-0.591嘉实300ETF期权15.69%0.62%13.43%1.81%1.30%-0.94%17.490.777嘉实500ETF期权14.48%0.27%12.90%0.84%-6.15%-5.67%17.090.548创业板ETF期权19.75%0.96%17.64%1.32%3.17%-2.26%20.690.210深证100ETF期权18.38%1.18%16.02%1.97%2.48%0.74%18.970.487上证50股指期权17.75%1.25%11.09%1.26%3.37%-4.68%沪深300股指期权16.47%0.79%10.33%1.02%0.02%-5.38%中证1000股指期权15.45%0.22%13.12%0.29%-6.89%-4.07%上证50ETF期权16.40%0.90%11.46%1.28%2.16%-0.68%华泰柏瑞300ETF期权16.09%0.86%11.13%0.89%0.72%0.21%南方500ETF期权15.18%0.76%11.36%0.10%-7.83%-1.85%华夏科创50ETF19.90%0.37%15.81%0.00%8.53%1.25%易方达科创50ETF19.69%0.40%16.07%0.00%-6.17%-18.50%嘉实300ETF期权15.98%0.56%11.23%0.93%-0.06%-0.59%嘉实500ETF期权14.86%0.70%11.57%0.08%-5.22%0.13%创业板ETF期权19.13%0.19%17.93%0.57%2.38%-0.86%深证100ETF期权17.93%0.71%14.97%0.82%0.16%-1.28%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%2023/1/12023/3/12023/5/12023/7/1202