股票股指期权：隐波低位震荡，可考虑卖出跨式策略。

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：隐波低位震荡，可考虑卖出跨式策略。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波低位震荡，可考虑卖出跨式策略。 【正文】 表 1：期权市场数据统计 上证50指数2391.02-14.1420.230.432397.07-6.052399.87-8.85沪深300指数3538.01-23.5185.020.223544.93-6.923552.53-14.52中证1000指数6115.41-82.12149.82-2.296086.5328.876060.2755.14上证50ETF2.467-0.0136.431.022.473-0.0062.481-0.014华泰柏瑞300ETF3.605-0.0257.43-0.323.616-0.0113.625-0.020南方500ETF5.673-0.0463.361.105.6570.0165.6490.024华夏科创50ETF0.906-0.01224.15-0.960.909-0.0030.911-0.005易方达科创50ETF0.886-0.0136.501.040.888-0.0020.890-0.004嘉实300ETF3.672-0.0223.080.053.680-0.0083.687-0.015嘉实500ETF5.799-0.0450.790.095.7790.0205.7610.038创业板ETF1.888-0.0235.480.391.892-0.0041.897-0.009深证100ETF2.533-0.0180.330.012.538-0.0052.542-0.009上证50股指期权24822-97184865172360.10%45.67%24502375沪深300股指期权63745-2812198174600770.88%51.97%36003600中证1000股指期权824744233134587551789.72%56.44%62005800上证50ETF期权922536-35531818096828198681.33%67.74%2.52.5华泰柏瑞300ETF期权812234-23018714272592683683.75%71.06%3.73.6南方500ETF期权460493-1232956883621886786.87%80.93%65.5华夏科创50ETF291171-1682309777092944771.06%40.06%0.950.9易方达科创50ETF152261-82818429912720164.63%42.70%0.90.9嘉实300ETF期权100953-554442612322017284.13%71.68%3.83.7嘉实500ETF期权94217-576932045481515399.10%86.62%65.75创业板ETF期权613261-553328928207705891.33%61.78%1.951.9深证100ETF期权46864-266951098391294180.72%62.63%2.62.55标的市场统计当月合成期货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VL-PCR当月基差OI-PCR次月合成期货C最大持仓（近月）次月基差 资料来源：Wind、国泰君安期货研究 2023 年 11 月 24 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13.47%0.15%9.14%-0.48%5.75%-0.04%15.17-0.004沪深300股指期权13.42%-0.12%9.97%-0.32%8.45%1.96%15.19-0.087中证1000股指期权14.41%-0.33%15.25%0.58%-1.34%-1.00%16.08-0.039上证50ETF期权13.44%0.42%8.92%0.16%5.07%-0.57%14.670.324华泰柏瑞300ETF期权13.46%0.44%10.29%0.33%-0.73%-0.95%14.910.415南方500ETF期权13.51%0.39%12.39%0.07%-7.10%-3.00%15.970.301华夏科创50ETF17.88%-0.10%15.76%0.37%10.76%-0.88%21.330.073易方达科创50ETF17.62%0.03%16.27%0.33%11.38%0.22%21.24-0.009嘉实300ETF期权13.56%0.48%10.18%0.05%-1.08%-0.61%15.010.234嘉实500ETF期权13.35%0.25%12.15%0.01%-5.43%-0.28%15.770.321创业板ETF期权17.15%0.25%20.79%0.37%1.96%-1.34%18.830.232深证100ETF期权15.38%0.54%16.03%0.23%1.26%-0.30%16.630.118上证50股指期权13.77%-0.15%11.09%-1.41%9.10%4.96%沪深300股指期权13.92%0.17%11.40%-0.90%2.85%-1.47%中证1000股指期权14.58%0.12%16.30%-0.29%-2.37%-4.07%上证50ETF期权13.69%0.44%12.81%0.04%0.26%-0.18%华泰柏瑞300ETF期权13.49%0.33%12.31%0.08%-1.38%0.20%南方500ETF期权13.46%0.37%14.12%0.09%-5.31%-1.77%华夏科创50ETF17.93%-0.21%17.03%0.22%5.72%-3.09%易方达科创50ETF18.11%0.04%17.78%0.25%7.06%-1.17%嘉实300ETF期权13.47%0.21%12.37%0.06%-1.21%-0.34%嘉实500ETF期权13.57%0.33%14.08%0.07%-2.46%2.51%创业板ETF期权17.67%0.20%19.47%0.11%1.28%0.91%深证100ETF期权15.81%0.25%15.83%0.03%1.48%-0.28%ATM-IV期权波动率统计(近月)期权波动率统计(次月)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 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/