股票股指期权：市场偏弱震荡，波动率走低，可考虑卖出看涨期权。

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：市场偏弱震荡，波动率走低，可考虑卖出看涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 市场偏弱震荡，波动率走低，可考虑卖出看涨期权。 【正文】 表 1：期权市场数据统计 上证50指数2281.656.8233.517.552279.272.382280.670.98沪深300指数3399.468.18129.5231.813393.935.533395.404.06中证1000指数6003.14-17.69167.9719.436001.002.145967.4735.68上证50ETF2.3140.0075.78-2.672.316-0.0022.321-0.007华泰柏瑞300ETF3.4610.0077.09-2.253.464-0.0033.467-0.006南方500ETF5.5940.0122.50-0.085.5930.0015.5700.024华夏科创50ETF0.9100.01936.6113.170.9100.0000.911-0.001易方达科创50ETF0.8860.0167.071.440.8860.0000.888-0.002嘉实300ETF3.5250.0091.98-0.443.527-0.0023.530-0.005嘉实500ETF5.7120.0190.59-0.375.714-0.0025.6940.018创业板ETF1.8430.0144.92-0.101.846-0.0031.849-0.006深证100ETF2.4210.0010.22-0.082.425-0.0042.428-0.007上证50股指期权44667-16905104424248175.52%43.05%24002400沪深300股指期权102849-12541235270288267.48%50.25%36003500中证1000股指期权95934-641315163057175.08%60.14%62005900上证50ETF期权1238668-70946526474774208692.51%56.64%2.462.46华泰柏瑞300ETF期权1018184-41702518211553169295.52%64.50%3.73.4南方500ETF期权549720-72919777261-754998.63%82.24%5.755.5华夏科创50ETF53220112943211720952765266.72%44.29%0.950.9易方达科创50ETF22326130538513364430373.00%41.36%0.90.9嘉实300ETF期权152626-689853278062545886.14%63.67%3.73.7嘉实500ETF期权114180-4141724062816360102.57%84.33%65.5创业板ETF期权613729-11971811646505057979.53%51.14%1.951.9深证100ETF期权91014-149311784821504997.55%58.75%2.62.3VL-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 8 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17.01%0.05%14.00%2.33%-2.30%1.99%18.36-0.142沪深300股指期权16.68%0.00%13.73%1.39%1.88%0.58%17.41-0.277中证1000股指期权16.25%-0.46%14.81%-2.38%-13.18%-5.45%17.58-0.328上证50ETF期权15.36%-0.08%10.14%-0.30%3.78%13.10%16.74-0.362华泰柏瑞300ETF期权15.11%-0.12%10.18%0.08%1.84%0.99%16.77-0.302南方500ETF期权14.59%-0.28%11.05%0.17%-5.39%1.02%16.78-0.451华夏科创50ETF18.24%-0.35%16.25%3.77%15.56%5.57%21.90-0.427易方达科创50ETF18.33%-0.35%16.76%2.82%6.85%-5.96%21.89-0.501嘉实300ETF期权15.13%-0.29%10.46%0.17%0.62%-0.12%16.45-0.633嘉实500ETF期权14.30%-0.31%11.52%0.26%-5.22%0.45%16.69-0.253创业板ETF期权18.38%-0.75%15.36%0.92%8.69%5.92%20.04-0.482深证100ETF期权17.15%-0.40%12.94%0.06%1.18%0.77%18.13-0.474上证50股指期权16.42%-0.39%9.93%0.10%2.07%-2.81%沪深300股指期权16.02%-0.15%10.09%-0.18%4.75%3.65%中证1000股指期权16.01%-0.15%14.40%-0.62%-7.80%4.01%上证50ETF期权15.49%-0.32%10.05%-0.08%2.18%0.69%华泰柏瑞300ETF期权15.31%-0.17%10.65%-0.12%-0.74%0.73%南方500ETF期权14.47%-0.30%11.78%-0.05%-6.62%0.29%华夏科创50ETF18.91%0.02%15.67%1.11%8.53%0.26%易方达科创50ETF18.63%-0.48%16.00%0.79%3.76%-1.01%嘉实300ETF期权15.07%-0.17%10.75%-0.06%-0.15%1.34%嘉实500ETF期权14.55%-0.02%11.91%-0.02%-5.46%1.17%创业板ETF期权18.70%-0.23%19.24%-0.07%2.79%2.18%深证100ETF期权17.36%-0.07%15.74%-0.02%1.67%-0.55%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%