股票股指期权：上行降波，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：上行降波，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】 上行降波，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2305.1412.4628.85-6.162306.33-1.202307.27-2.13沪深300指数3426.807.35105.59-34.043427.33-0.533429.73-2.93中证1000指数6078.993.91129.71-30.136081.67-2.686049.6029.39上证50ETF2.3370.01312.71-1.182.340-0.0032.347-0.010华泰柏瑞300ETF3.4930.0086.41-3.583.496-0.0033.500-0.007南方500ETF5.6660.0101.81-2.225.670-0.0045.6500.016华夏科创50ETF0.917-0.00623.31-10.100.918-0.0010.919-0.002易方达科创50ETF0.892-0.0076.54-1.130.894-0.0020.895-0.003嘉实300ETF3.5570.0111.88-1.023.559-0.0023.563-0.006嘉实500ETF5.7890.0120.55-0.185.790-0.0015.7730.016创业板ETF1.856-0.0126.57-3.101.858-0.0021.862-0.006深证100ETF2.438-0.0060.25-0.162.442-0.0032.441-0.003上证50股指期权46271-35733105436140559.29%42.79%24002300沪深300股指期权90498-7706923873163659.75%49.44%36003400中证1000股指期权72668-55731151208-35774.79%61.63%62005800上证50ETF期权1319864-128185427342173639174.77%59.62%2.462.3华泰柏瑞300ETF期权872861-85227318492913183375.27%64.25%3.63.5南方500ETF期权377983-403463785543993380.45%82.93%5.755.5华夏科创50ETF324614-29743812339982850154.63%45.94%0.950.9易方达科创50ETF162886-1408795443321542557.91%40.70%0.90.9嘉实300ETF期权155222-1558243290711988379.24%65.32%3.73.5嘉实500ETF期权101054-1146532352581214865.08%89.03%65.5创业板ETF期权507194-38163512291758809467.58%51.33%1.951.9深证100ETF期权67365-915771867571212961.21%54.54%2.552.35VL-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 12 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16.02%-0.88%1.97%-5.34%3.58%-2.09%18.15-0.040沪深300股指期权16.74%0.46%3.24%-3.28%5.37%-0.35%17.24-0.465中证1000股指期权15.96%0.64%12.11%-0.33%5.93%5.46%16.92-0.230上证50ETF期权15.24%-0.25%11.57%0.55%10.62%3.01%16.98-0.499华泰柏瑞300ETF期权14.51%-0.60%10.92%0.10%4.31%1.56%16.86-0.524南方500ETF期权14.21%-0.24%10.61%-0.03%-4.66%-1.30%16.89-0.369华夏科创50ETF19.33%-0.04%16.50%0.42%21.00%0.70%22.56-0.439易方达科创50ETF18.79%0.31%16.57%0.45%10.92%1.29%22.67-0.402嘉实300ETF期权15.07%-0.43%11.21%0.16%2.24%-2.49%16.72-0.789嘉实500ETF期权14.21%-0.23%11.61%-0.01%-0.48%1.72%16.55-0.443创业板ETF期权18.79%-0.24%15.96%0.08%5.43%0.08%20.48-0.323深证100ETF期权17.21%-0.22%13.78%-0.21%1.74%-1.01%18.49-0.385上证50股指期权16.50%0.31%10.15%-0.21%8.05%2.27%沪深300股指期权15.68%-0.38%10.28%-0.38%5.40%-0.82%中证1000股指期权15.23%-0.16%14.02%-0.63%-2.82%-0.49%上证50ETF期权15.49%-0.39%10.12%0.22%2.84%0.28%华泰柏瑞300ETF期权15.23%-0.32%10.06%0.06%0.52%-0.02%南方500ETF期权14.42%-0.19%11.09%-0.01%-5.98%0.14%华夏科创50ETF19.53%-0.12%15.59%0.09%7.28%1.02%易方达科创50ETF19.29%-0.49%15.87%0.15%12.33%0.87%嘉实300ETF期权15.43%-0.01%10.13%0.06%0.53%-1.86%嘉实500ETF期权14.16%-0.22%11.31%-0.02%-5.35%0.33%创业板ETF期权18.94%-0.15%17.08%0.03%3.24%-1.85%深证100ETF期权17.22%-0.14%13.93%-0.12%1.44%-1.54%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%1