股票股指期权：震荡下行，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：震荡下行，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】 震荡下行，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2358.12-13.1025.745.672365.07-6.952365.93-7.82沪深300指数3488.31-30.2298.849.513498.67-10.363499.53-11.23中证1000指数6113.37-29.94135.647.286077.1336.236043.0070.37上证50ETF2.395-0.01114.109.002.402-0.0072.409-0.014华泰柏瑞300ETF3.558-0.0277.590.323.567-0.0093.574-0.016南方500ETF5.656-0.0291.23-0.555.6370.0195.6200.036华夏科创50ETF0.906-0.00723.550.850.907-0.0010.909-0.003易方达科创50ETF0.884-0.0084.880.350.886-0.0020.887-0.003嘉实300ETF3.622-0.0302.15-0.333.631-0.0093.637-0.015嘉实500ETF5.776-0.0310.45-0.125.7570.0195.7410.035创业板ETF1.867-0.0234.510.471.874-0.0071.878-0.011深证100ETF2.498-0.0250.29-0.022.502-0.0042.504-0.006上证50股指期权31615615391230243960.67%44.61%24002350沪深300股指期权7172712428212092588271.27%51.55%36003500中证1000股指期权69105-10895142199234877.93%56.54%62005800上证50ETF期权125837729228821525619602282.04%62.87%2.462.46华泰柏瑞300ETF期权90495613937915428832651999.87%67.42%3.73.6南方500ETF期权353171-7374174030114656100.92%79.56%65.5华夏科创50ETF239612-3308410523541204061.63%40.57%0.950.9易方达科创50ETF130841-10696470877946262.06%40.85%0.90.9嘉实300ETF期权10634124652785692106592.89%70.06%3.83.7嘉实500ETF期权81027-188872120511210688.40%83.87%65.5创业板ETF期权4706025979799596660586.05%57.10%1.951.9深证100ETF期权51040-160591336871449178.21%59.22%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 29 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14.07%0.53%9.16%0.17%3.06%-0.37%16.160.365沪深300股指期权13.63%0.18%9.45%0.55%4.59%-1.26%15.67-0.030中证1000股指期权14.67%0.24%13.74%-0.44%-1.70%2.24%16.390.128上证50ETF期权14.10%0.40%9.04%-0.07%5.97%0.53%15.470.178华泰柏瑞300ETF期权13.87%0.41%9.81%0.29%2.41%-1.50%15.640.337南方500ETF期权13.73%0.20%11.56%0.14%-6.77%-1.34%16.340.078华夏科创50ETF17.85%-0.56%15.30%0.16%11.01%0.14%21.64-0.244易方达科创50ETF18.00%-0.33%15.70%0.20%9.03%-3.28%21.91-0.202嘉实300ETF期权14.11%0.34%9.82%0.35%0.12%-1.21%15.820.311嘉实500ETF期权13.66%0.22%11.39%0.18%-5.31%-1.01%16.260.168创业板ETF期权17.82%0.50%18.26%0.42%4.80%1.35%19.600.297深证100ETF期权15.74%-0.03%14.34%0.30%2.37%0.17%17.200.256上证50股指期权14.79%0.74%11.36%-0.04%8.54%7.42%沪深300股指期权14.12%-0.12%11.88%0.04%4.22%0.20%中证1000股指期权14.79%0.31%16.76%0.04%-5.27%-3.53%上证50ETF期权14.25%0.35%11.26%-0.09%-0.01%-3.06%华泰柏瑞300ETF期权13.85%0.22%11.40%0.06%-0.82%-0.56%南方500ETF期权13.77%0.19%13.74%0.00%-5.33%-0.66%华夏科创50ETF18.84%0.10%16.23%0.04%10.32%2.81%易方达科创50ETF18.83%0.20%17.16%0.05%5.55%-1.74%嘉实300ETF期权14.06%0.32%11.68%0.08%-1.30%0.05%嘉实500ETF期权13.69%-0.05%13.67%0.00%-4.51%0.94%创业板ETF期权17.91%0.28%19.02%0.04%0.61%0.14%深证100ETF期权16.05%0.10%15.38%0.07%0.84%-0.57%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 0500100015002000250030005%7%9%11%13%15%17%19%21%23%25%2023/1/12023/2/1 2023/3/12023/4/12023/5/12023/6/12023/7