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2370.72-20.3026.826.592375.60-4.882378.27-7.55沪深300指数3511.94-26.0799.1014.083518.33-6.393523.60-11.66中证1000指数6111.36-4.04154.434.626083.0728.306055.2056.16上证50ETF2.407-0.0606.480.052.414-0.0072.422-0.015华泰柏瑞300ETF3.581-0.0247.760.333.590-0.0083.597-0.016南方500ETF5.659-0.0141.74-1.625.6460.0135.6360.023华夏科创50ETF0.9090.00323.50-0.650.912-0.0030.914-0.005易方达科创50ETF0.8900.0045.71-0.790.892-0.0020.893-0.003嘉实300ETF3.646-0.0262.19-0.893.653-0.0073.656-0.010嘉实500ETF5.784-0.0150.56-0.235.7650.0195.7520.032创业板ETF1.878-0.0104.79-0.681.881-0.0031.886-0.008深证100ETF2.513-0.0200.410.072.517-0.0042.521-0.008上证50股指期权388551403386976211180.71%45.23%24502350沪深300股指期权9084327098202074390076.47%50.97%36003600中证1000股指期权71919-10555137602301584.55%56.20%62005800上证50ETF期权1677976755440196402915434788.87%64.61%2.462.46华泰柏瑞300ETF期权105190623967214765744931594.86%68.17%3.73.6南方500ETF期权468379788670352115159103.49%80.68%65.5华夏科创50ETF3094141824310073962968764.47%40.75%0.950.9易方达科创50ETF146305-59564433021339059.23%42.02%0.90.9嘉实300ETF期权151057501042721452352998.69%71.66%3.83.7嘉实500ETF期权1044011018420824912971125.22%84.75%65.75创业板ETF期权546293-669689315938665091.73%59.02%1.951.9深证100ETF期权60389135251217662110875.52%62.05%2.62.5VL-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 11 月 27 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13.53%0.06%8.85%0.34%4.73%-1.02%15.900.729沪深300股指期权13.65%0.23%8.43%0.30%6.13%-2.31%15.810.622中证1000股指期权14.33%-0.08%13.30%-0.07%-3.00%-1.65%16.570.494上证50ETF期权14.01%0.57%9.36%0.37%-1.71%-6.78%15.450.775华泰柏瑞300ETF期权13.66%0.20%10.59%0.20%-0.09%0.64%15.700.790南方500ETF期权13.68%0.17%12.67%0.04%-6.25%0.85%16.610.638华夏科创50ETF18.07%0.20%16.13%0.02%12.87%2.11%21.990.662易方达科创50ETF17.71%0.09%16.66%0.04%10.54%-0.84%21.840.602嘉实300ETF期权13.95%0.38%10.60%0.27%-0.30%0.78%15.910.903嘉实500ETF期权13.52%0.17%12.47%0.06%-5.10%0.33%16.320.553创业板ETF期权17.55%0.40%20.97%0.02%3.28%1.32%19.730.901深证100ETF期权15.85%0.47%16.60%0.20%0.91%-0.35%17.450.815上证50股指期权14.12%0.35%11.18%0.08%4.69%-4.40%沪深300股指期权14.13%0.21%11.53%0.05%2.77%-0.09%中证1000股指期权14.63%0.05%16.41%-0.06%-4.26%-1.89%上证50ETF期权14.15%0.46%12.91%-0.04%2.74%2.48%华泰柏瑞300ETF期权13.78%0.30%12.34%-0.09%-0.41%0.97%南方500ETF期权13.68%0.22%14.09%-0.12%-5.86%-0.55%华夏科创50ETF18.56%0.63%17.06%-0.02%8.29%2.57%易方达科创50ETF18.65%0.54%17.88%-0.02%8.50%1.44%嘉实300ETF期权13.75%0.28%12.44%-0.06%0.89%2.10%嘉实500ETF期权13.71%0.14%14.03%-0.15%-5.67%-3.21%创业板ETF期权17.91%0.24%19.52%-0.10%0.95%-0.33%深证100ETF期权16.19%0.38%15.89%-0.11%-1.78%-3.27%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 2100220023002400250026002700280029005%7%9%11%13%15%17%19%21%23%25%2023/1/12023/2/1 2023/3/12023/4/1202