股票股指期权：弱势反弹，可考虑看涨反比例价差。

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：弱势反弹，可考虑看涨反比例价差。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 弱势反弹，可考虑看涨反比例价差。 【正文】 表 1：期权市场数据统计 上证50指数2292.6811.0335.011.502293.60-0.922295.80-3.12沪深300指数3419.4519.99139.6310.103418.600.853421.47-2.01中证1000指数6075.0871.94159.84-8.136071.074.016035.8739.21上证50ETF2.3240.01013.898.112.330-0.0062.336-0.012华泰柏瑞300ETF3.4850.0249.982.893.489-0.0043.492-0.007南方500ETF5.6560.0624.031.535.6560.0005.6360.020华夏科创50ETF0.9230.01333.41-3.190.924-0.0010.925-0.002易方达科创50ETF0.8990.0137.670.600.901-0.0020.903-0.004嘉实300ETF3.5460.0212.910.933.552-0.0063.553-0.007嘉实500ETF5.7770.0650.730.145.778-0.0015.7580.019创业板ETF1.8680.0259.674.751.871-0.0031.874-0.006深证100ETF2.4440.0230.420.192.4420.0022.4430.001上证50股指期权8200437337104031-39376.47%42.63%24002400沪深300股指期权16756764718238095282570.32%49.47%36003500中证1000股指期权12839932465151565-6591.31%60.77%62005800上证50ETF期权2601718136305026978265034979.31%57.87%2.462.3华泰柏瑞300ETF期权17251347069501817458-369779.91%63.55%3.73.5南方500ETF期权781446231726775610-165188.98%83.40%5.755.5华夏科创50ETF6220528985112054973340259.97%46.91%0.950.9易方达科创50ETF303765805045289071554361.81%42.41%0.90.9嘉实300ETF期权3110461584203431363534382.61%63.96%3.73.7嘉实500ETF期权2157071015272446241888686.38%88.80%65.5创业板ETF期权88882927510012085608806878.06%54.43%1.951.9深证100ETF期权158942679281940532800774.77%57.26%2.52.3VL-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 11 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16.90%-0.11%6.25%-9.82%5.67%7.97%18.19-0.168沪深300股指期权16.27%-0.41%5.33%-10.43%5.72%3.84%17.700.291中证1000股指期权15.32%-0.93%10.32%-6.70%0.47%13.65%17.15-0.425上证50ETF期权15.49%0.13%10.52%0.12%7.61%3.83%17.480.741华泰柏瑞300ETF期权15.11%0.00%10.46%0.34%2.75%0.91%17.390.615南方500ETF期权14.45%-0.14%10.73%0.48%-3.36%2.03%17.260.473华夏科创50ETF19.38%1.13%16.73%1.17%20.31%4.75%22.991.095易方达科创50ETF18.48%0.15%16.96%1.04%9.63%2.78%23.071.189嘉实300ETF期权15.50%0.37%10.61%0.20%4.73%4.11%17.511.061嘉实500ETF期权14.45%0.15%11.57%0.52%-2.20%3.01%16.990.302创业板ETF期权19.03%0.65%15.95%1.26%5.35%-3.34%20.800.763深证100ETF期权17.43%0.28%13.45%0.69%2.75%1.57%18.870.744上证50股指期权16.19%-0.24%10.16%0.06%5.78%3.70%沪深300股指期权16.07%0.05%10.50%0.24%6.23%1.48%中证1000股指期权15.39%-0.62%14.93%0.39%-2.32%5.47%上证50ETF期权15.88%0.39%9.73%-0.38%2.56%0.38%华泰柏瑞300ETF期权15.54%0.24%9.98%-0.77%0.54%1.28%南方500ETF期权14.61%0.14%11.14%-0.79%-6.12%0.50%华夏科创50ETF19.65%0.74%15.83%-0.10%6.26%-2.27%易方达科创50ETF19.77%1.14%16.17%-0.10%11.46%7.70%嘉实300ETF期权15.44%0.37%10.13%-0.75%2.39%2.54%嘉实500ETF期权14.38%-0.17%11.43%-0.64%-5.68%-0.22%创业板ETF期权19.10%0.40%18.14%-1.31%5.09%2.30%深证100ETF期权17.36%0.00%14.77%-1.15%2.98%1.31%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%2023/1/12023/3/12023/5/12023/7/12023/9/12023/11/1