股票股指期权：隐波仍有溢价空间，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：隐波仍有溢价空间，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】 隐波仍有溢价空间，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2371.210.4920.06-6.762376.73-5.522381.07-9.85沪深300指数3518.526.5889.34-9.773525.13-6.613529.33-10.81中证1000指数6143.3031.94128.37-26.066100.2743.036068.5374.77上证50ETF2.406-0.0015.11-1.372.414-0.0082.421-0.015华泰柏瑞300ETF3.5850.0047.27-0.493.594-0.0093.601-0.016南方500ETF5.6850.0261.780.045.6630.0225.6490.036华夏科创50ETF0.9130.00422.70-0.800.915-0.0020.917-0.004易方达科创50ETF0.8920.0024.53-1.180.895-0.0030.896-0.004嘉实300ETF3.6520.0062.470.293.659-0.0073.666-0.014嘉实500ETF5.8070.0230.560.005.7840.0235.7680.039创业板ETF1.8900.0124.04-0.751.893-0.0031.897-0.007深证100ETF2.5230.0100.31-0.102.527-0.0042.530-0.007上证50股指期权25462-1339388791181571.51%45.35%24002350沪深300股指期权59299-31544206210413677.17%51.42%36003600中证1000股指期权800008081139851224981.87%56.15%62005800上证50ETF期权966089-71188720565399251088.02%65.04%2.462.46华泰柏瑞300ETF期权765577-28632915163643979098.17%69.89%3.73.6南方500ETF期权426912-414677256452212493.70%81.28%65.5华夏科创50ETF272696-3671810403143291857.91%41.01%0.950.9易方达科创50ETF141537-47684614151811350.76%41.69%0.90.9嘉实300ETF期权103876-471812701411798096.22%71.13%3.83.7嘉实500ETF期权99914-44872094951185484.50%84.78%65.75创业板ETF期权470005-762889462616076582.16%59.06%1.951.9深证100ETF期权6709967101305902278258.89%62.43%2.62.5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 28 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%0.00%9.22%0.02%3.43%-1.30%15.80-0.102沪深300股指期权13.45%-0.20%8.87%0.10%5.85%-0.28%15.70-0.106中证1000股指期权14.44%0.11%13.63%-0.10%-3.94%-0.95%16.27-0.309上证50ETF期权13.70%-0.31%8.88%0.00%5.43%7.14%15.29-0.158华泰柏瑞300ETF期权13.46%-0.20%9.29%-0.15%3.91%4.00%15.30-0.398南方500ETF期权13.52%-0.16%11.18%-0.22%-5.43%0.82%16.26-0.344华夏科创50ETF18.40%0.33%14.79%-0.87%10.87%-2.00%21.89-0.103易方达科创50ETF18.32%0.61%15.13%-1.09%12.31%1.77%22.120.275嘉实300ETF期权13.78%-0.17%9.30%-0.25%1.33%1.63%15.51-0.406嘉实500ETF期权13.45%-0.07%10.99%-0.35%-4.31%0.80%16.09-0.230创业板ETF期权17.32%-0.23%17.45%-1.78%3.45%0.17%19.30-0.433深证100ETF期权15.77%-0.08%13.90%-1.21%2.20%1.29%16.95-0.501上证50股指期权14.05%-0.07%11.25%-0.03%1.11%-3.58%沪深300股指期权14.23%0.10%11.67%0.02%4.02%1.26%中证1000股指期权14.49%-0.15%16.51%-0.05%-1.73%2.53%上证50ETF期权13.89%-0.25%11.27%-0.16%3.05%0.31%华泰柏瑞300ETF期权13.63%-0.16%11.24%-0.08%-0.26%0.15%南方500ETF期权13.58%-0.10%13.58%0.00%-4.66%1.20%华夏科创50ETF18.74%0.18%15.98%-0.09%7.51%-0.78%易方达科创50ETF18.63%-0.02%16.89%-0.13%7.29%-1.21%嘉实300ETF期权13.74%-0.01%11.50%-0.06%-1.35%-2.24%嘉实500ETF期权13.74%0.03%13.51%-0.02%-5.45%0.22%创业板ETF期权17.62%-0.29%18.81%0.05%0.47%-0.48%深证100ETF期权15.96%-0.23%15.17%-0.02%1.41%3.19%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/