股票股指期权：下行降波，可考虑低波买入看跌期权保护。

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：下行降波，可考虑低波买入看跌期权保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 下行降波，可考虑低波买入看跌期权保护。 【正文】 表 1：期权市场数据统计 标的市场统计收盘价涨跌成交量(亿手)成交变化(亿手)当月合成期货当月基差次月合成期货次月基差上证50指数沪深300指数中证1000指数上证50ETF嘉实300ETF嘉实500ETF创业板ETF深证100ETF上证50股指期权沪深300股指期权中证1000股指期权上证50ETF期权嘉实300ETF期权嘉实500ETF期权创业板ETF期权深证100ETF期权2366.007.8825.64-0.102372.27-6.272375.33-9.343496.207.90101.352.513505.20-9.003508.33-12.136080.55-32.82131.03-4.616034.2046.356004.0076.552.4010.0065.50-8.602.408-0.0072.416-0.0153.5620.0046.68-0.913.574-0.0123.583-0.0215.637-0.0191.670.445.6170.0205.6000.0370.9070.00121.69-1.860.908-0.0010.909-0.0020.8860.0025.240.360.888-0.0020.887-0.0013.6310.0092.200.063.637-0.0063.645-0.0145.760-0.0160.520.075.7360.0245.7190.0411.8740.0074.46-0.051.878-0.0041.882-0.0082.495-0.0030.23-0.062.500-0.0052.504-0.00829211-240492372114254.48%44.85%2400235065768-595921290681465.12%52.06%360035009067821573144071187284.26%56.58%620058001045062-21331521986784611776.16%63.14%2.462.46828668-7628815853414245891.47%66.85%3.73.65169671637967453485047104.09%78.09%65.5338886992741056006365260.27%41.28%0.950.91666813584047137149459.18%41.20%0.90.910987135302775611415081.53%71.23%3.83.7122973419462150991228083.15%83.25%65.55419087130610023235660188.15%56.49%1.951.973492224521393441434181.23%61.21%2.62.5华泰柏瑞300ETF南方500ETF华夏科创50ETF易方达科创50ETF华泰柏瑞300ETF期权南方500ETF期权华夏科创50ETF易方达科创50ETF期权市场统计成交量变化持仓量变化VL-PCROI-PCRC最大持仓（近月）P最大持仓（近月） 资料来源：Wind、国泰君安期货研究 2023 年 11 月 30 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 期权波动率统计(近月)ATM-IVIV变动同期限HVHV变动SkewSkew变动期权波动率统计(月)ATM-IVIV变动同期限HVHV变动SkewSkew变动VIXVIX变动上证50股指期权沪深300股指期权中证1000股指期权上证50ETF期权嘉实300ETF期权嘉实500ETF期权创业板ETF期权深证100ETF期权上证50股指期权沪深300股指期权中证1000股指期权上证50ETF期权嘉实300ETF期权嘉实500ETF期权创业板ETF期权深证100ETF期权13.89%-0.18%8.45%-1.14%6.13%3.07%13.74%0.11%8.90%-0.90%4.74%0.14%14.15%-0.53%13.89%-0.13%-2.42%-0.72%13.91%-0.19%8.74%-0.55%7.10%1.14%13.67%-0.20%9.48%-0.51%4.90%2.50%13.64%-0.09%11.14%-0.18%-6.30%0.47%13.66%-0.45%9.59%-0.43%3.35%3.23%13.40%-0.26%10.80%-0.28%-3.23%2.08%17.54%-0.28%17.65%-0.84%6.17%1.37%15.69%-0.05%13.63%-0.80%4.29%1.92%14.32%-0.46%11.14%-0.31%6.34%-2.20%14.17%0.06%11.68%-0.32%6.59%2.37%14.70%-0.10%16.94%-0.05%-5.27%-0.01%14.15%-0.10%11.33%0.04%-0.06%-0.05%14.07%0.21%11.55%0.01%-0.29%0.53%13.73%-0.04%13.87%-0.04%-5.92%-0.60%13.99%-0.07%11.85%0.04%0.11%1.41%13.84%0.16%13.79%-0.04%-5.53%-1.02%17.87%-0.04%19.30%0.03%1.44%0.83%16.12%0.07%15.55%-0.02%0.82%-0.02%15.82 -0.342 15.48 -0.198 16.26 -0.130 15.22 -0.249 15.34 -0.297 16.15 -0.187 18.20%0.35%13.91%-1.29%10.80%-0.22%21.47 -0.172 17.80%-0.19%14.31%-1.30%13.00%3.97%21.40 -0.513 15.43 -0.384 16.07 -0.192 19.24 -0.361 17.07 -0.134 18.18%-0.66%16.31%0.00%6.94%-3.39%18.25%-0.59%17.30%0.02%5.13%-0.42%华泰柏瑞300ETF期权南方500ETF期权华夏科创50ETF易方达科创50ETF华泰柏瑞300ETF期权南方500ETF期权华夏科创50ETF易方达科创50ETF次 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