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2249.94-11.0820.63-4.242251.07-1.132246.933.01沪深300指数3351.96-17.6483.66-11.633352.27-0.303347.404.56中证1000指数5991.86-27.69120.20-2.355997.87-6.005957.8734.00上证50ETF2.280-0.0118.00-1.172.281-0.0012.283-0.003华泰柏瑞300ETF3.419-0.0167.420.333.4190.0003.4150.004南方500ETF5.588-0.0192.820.695.5880.0005.5680.020华夏科创50ETF0.902-0.00524.860.260.9030.0000.904-0.002易方达科创50ETF0.877-0.0055.730.170.8770.0000.878-0.001嘉实300ETF3.478-0.0192.350.093.481-0.0033.4780.000嘉实500ETF5.704-0.0240.700.195.708-0.0045.6890.015创业板ETF1.812-0.0105.32-1.621.814-0.0021.816-0.004深证100ETF2.380-0.0100.35-0.092.381-0.0012.3800.000上证50股指期权7119013142113631502589.79%41.74%23002250沪深300股指期权14825431568242949206672.03%47.36%36003350中证1000股指期权11642532536150375167086.51%59.82%62005900上证50ETF期权1915186104544283352417897105.34%53.06%2.462.3华泰柏瑞300ETF期权128542317792618851162042595.99%59.28%3.63.4南方500ETF期权5240601114678050991040095.21%79.41%5.755.5华夏科创50ETF5013061128491232484-689566.27%41.07%0.950.9易方达科创50ETF26271054010556225660774.84%38.26%0.90.9嘉实300ETF期权227364212733423532450290.60%64.86%3.73.6嘉实500ETF期权162363442482471891778787.72%86.57%65.5创业板ETF期权6681277603412932938430079.13%48.42%1.91.8深证100ETF期权122758399492054462349186.99%52.03%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 14 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20.52%2.35%---1.23%-2.39%19.020.008沪深300股指期权18.07%0.69%---5.55%-4.38%17.910.019中证1000股指期权16.51%1.12%---4.93%3.22%17.510.268上证50ETF期权17.12%1.01%15.11%-0.02%4.40%1.27%18.040.290华泰柏瑞300ETF期权15.94%0.27%13.74%0.00%1.56%1.80%17.980.298南方500ETF期权15.93%1.09%12.11%-0.35%-4.45%1.21%17.790.461华夏科创50ETF20.32%0.98%18.92%0.09%9.17%-3.63%23.130.410易方达科创50ETF19.81%0.58%18.72%-0.08%8.68%-0.17%23.141.054嘉实300ETF期权16.81%1.12%13.82%0.01%3.63%2.34%17.760.268嘉实500ETF期权15.70%1.22%13.50%-0.14%-5.88%0.27%17.620.527创业板ETF期权20.08%0.33%17.94%-0.43%1.33%-1.85%21.040.346深证100ETF期权18.90%0.51%16.88%-0.01%1.81%-0.66%19.060.093上证50股指期权17.79%0.04%11.29%-0.02%3.28%-0.08%沪深300股指期权16.52%0.05%10.51%-0.03%-2.39%-2.41%中证1000股指期权15.74%0.29%13.27%-0.06%-5.51%1.38%上证50ETF期权16.88%0.48%10.76%-0.47%0.77%-1.38%华泰柏瑞300ETF期权16.68%0.58%9.92%-1.03%-1.22%-1.94%南方500ETF期权15.47%0.30%10.17%-1.20%-5.29%2.54%华夏科创50ETF20.36%0.47%14.37%-0.93%7.15%-1.38%易方达科创50ETF19.94%0.26%14.79%-0.74%6.26%12.43%嘉实300ETF期权16.18%0.20%10.03%-1.04%0.32%0.38%嘉实500ETF期权15.39%0.54%10.44%-1.10%-3.85%1.36%创业板ETF期权19.65%0.52%14.17%-3.43%2.84%0.46%深证100ETF期权17.99%0.06%11.98%-2.67%1.27%1.10%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近月