收盘价涨跌幅成交量成交额（亿元）30日历史波动率60日历史波动率90日历史波动率沪深3003828.531.13%174.925524亿2640.43CFFEX沪深300期货3800.40000.88%84416.00963.968929.74%22.40%19.57%合约月份202002剩余存续期（交易日）13起始交易日期2019-12-23最后交易日期2020-02-21标的代码000300.SH持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量21148014.58%183.20003,650.0028.8000-33.64%43850149884413.54%144.20003,700.0040.0000-30.80%1,3881,04734075711.89%109.20003,750.0054.2000-29.06%8815226611,9949.12%79.00003,800.0073.6000-26.55%1,8217803941,0095.41%54.60003,850.0098.2000-25.38%7303056961,3121.13%35.80003,900.00128.2000-21.83%469389484699-11.20%22.20003,950.00166.6000-18.19%315386期权杠杆率隐含波动率隐含波动率期权杠杆率17.5316.93%3,650.0029.70%-19.1120.7117.42%3,700.0029.02%-21.0424.0718.80%3,750.0028.22%-22.1528.1219.37%3,800.0027.85%-21.8332.9219.71%3,850.0027.75%-20.6938.7419.88%3,900.0027.96%-19.0545.8819.95%3,950.0029.63%-16.89ThetaVegaGammaDeltaDeltaGammaVegaTheta-527.06681.81660.00130.85623,650.00-0.14380.00131.8166-451.3144-663.55052.37250.00170.78023,700.00-0.21980.00172.3725-586.7604-776.49132.84190.00200.68643,750.00-0.31360.00202.8419-698.6634-842.84133.13280.00220.58033,800.00-0.41970.00223.1328-763.9757-848.73113.18840.00220.46943,850.00-0.53060.00223.1884-768.8279-793.91823.00520.00210.36223,900.00-0.63780.00213.0052-712.9773-691.15732.63090.00180.26613,950.00-0.73390.00182.6309-609.1786 申万期权品种策略日报——沪深300股指期权一、标的行情二、当月合约基本信息2020/2/6星期四 申银万国期货研究所 吴广奇（从业资格号：F3048078；投资咨询号：Z0014024） wugq@sywgqh.com.cn 021-58308720当月认购期权行权价格当月认沽期权三、沪深300股指期权行情当月认购期权行权价格当月认沽期权当月成交量认沽认购比率1.0456当月持仓量认沽认购比率0.7965四、隐含波动率和期权杠杆率当月认购期权行权价格当月认沽期权五、希腊字母 收盘价涨跌幅成交量(亿)成交额（亿元）30日历史波动率60日历史波动率90日历史波动率上证502812.900.65%44.18734.22华夏上证50ETF2.80100.57%6.7418.8827.32%20.99%18.40%合约月份202002剩余存续期（交易日）16起始交易日期2019-12-26最后交易日期2020-02-26标的代码510050.SH持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量1,9902,9902.84%0.30102.500.0031-55.07%22,36035,7621,3491,5363.40%0.25102.550.0052-46.39%24,68625,2882,6645,4775.11%0.20102.600.0080-41.18%47,05842,7903,89010,6054.58%0.15302.650.0123-40.58%68,01154,08936,26779,0574.99%0.11162.700.0220-34.72%106,10557,77058,771171,6261.93%0.07392.750.0359-25.05%253,565131,225108,006243,995-2.36%0.04562.800.0565-20.20%201,57390,024120,988121,276-23.64%0.01262.900.1234-12.48%32,84236,177197,63776,229-34.43%0.00403.000.2143-6.62%23,38454,558243,25272,972-54.05%0.00173.100.3122-5.11%12,18762,200164,85532,177-56.00%0.00113.200.4105-3.91%5,66528,277期权杠杆率隐含波动率隐含波动率期权杠杆率9.460.00%2.5027.90%-9.0811.220.00%2.5526.71%-14.5013.300.00%2.6025.01%-21.6616.050.00%2.6523.25%-28.1019.6614.96%2.7022.94%-27.5725.0715.52%2.7522.28%-26.4132.0916.20%2.8021.90%-23.6857.5816.57%2.9023.75%-16.8264.8518.95%3.0029.63%-11.8639.1921.95%3.1036.99%-8.7611.3125.85%3.2043.52%-6.79ThetaVegaGammaDeltaDeltaGammaVegaTheta-0.08380.00020.19130.98992.50-0.01010.19130.0002-0.0320-0.12690.00040.44440.97312.55-0.02690.44440.0004-0.0740-0.19860.00080.87180.93812.60-0.06190.87180.0008-0.1447-0.29570.00141.45790.87662.65-0.12341.45790.0014-0.2408-0.39990.00202.09650.78352.70-0.21652.09650.0020-0.3438-0.48150.00252.61370.66162.75-0.33842.61370.0025-0.4245-0.51360.00272.84630.52232.80-0.47772.84630.0027-0.4555-0.40830.00222.31340.25902.90-0.74102.31340.0022-0.3482-0.20700.00111.18520.09263.00-0.90741.18520.0011-0.1447-0.06950.00040.40050.02383.10-0.97620.40050.0004-0.0052-0.01610.00010.09290.00443.20-0.99560.09290.00010.0503当月认购期权行权价格当月认沽期权三、50ETF期权行情当月认购期权行权价格当月认沽期权当月成交量认沽认购比率0.9415当月持仓量认沽认购比率0.5741四、隐含波动率和期权杠杆率当月认购期权行权价格当月认沽期权五、希腊字母二、当月合约基本信息 申万期权品种策略日报——上证50ETF期权一、标的行情 收盘价涨跌幅成交量(亿）成交额（亿元）30日历史波动率60日历史波动率90日历史波动率沪深3003828.531.13%174.932640.43华泰柏瑞沪深300ETF3.80700.98%5.532921.099131.35%23.57%20.51%合约月份202002剩余存续期（交易日）16起始交易日期2019-12-23最后交易日期2020-02-26标的代码510300.SH持仓量成交量涨跌幅（%）结算价结算价涨跌幅（%）成交量持仓量21,79932,76812.25%0.21903.600.0215-32.81%150,980117,10834,467112,25915.07%0.13673.700.0407-30.43%219,10894,04675,998257,48315.12%0.07313.800.0777-24.56%208,30359,49083,779177,410-4.02%0.03103.900.1336-20.62%86,19532,64289,101101,425-25.49%0.01144.000.2131-15.34%19,87626,65787,48656,522-50.00%0.00454.100.3069-12.36%9,13222,236105,48537,852-49.12%0.00294.200.4047-11.15%7,85016,52051,60418,692-45.71%0.00204.300.5000-7.56%3,9286,33937,93310,573-46.88%0.00174.400.6001-5.64%2,1392,564期权杠杆率隐含波动率隐含波动率期权杠杆率14.8118.51%3.6025.56%-26.2219.8118.59%3.7023.70%-27.0127.7418.47%3.8022.92%-22.8943.2117.91%3.9022.24%-18.4767.7818.13%4.0023.88%-14.2486.2319.30%4.1028.05%-11.1458.5422.24%4.2032.95%-8.9934.1924.79%4.3035.47%-7.4812.8528.25%4.4039.73%-6.32ThetaVegaGammaDeltaDeltaGammaVegaTheta-0.49220.00211.08100.85193.60-0.14811.08100.0021-0.4175-0.68800.00311.59760.71123.70-0.28881.59760.0031-0.6112-0.77910.00361.85930.53273.80-0.46731.85930.0036-0.7003-0.71650.00341.73550.35193.90-0.64811.73550.0034-0.6355-0.54040.00261.32080.20304.00-0.79701.32080.0026-0.4575-0.33860.00160.83220.10194.10-0.89810.83220.0016-0.2535-0.17830.00090.44010.04464.20-0.95540.44010.0009-0.0912-0.07990.00040.19780.01714.30-0.98290.19780.00040.0093-0.03080.00010.07640.00574.40-0.99430.07640.00010.0605五、希腊字母当月认购期权行权价格当月认沽期权当月成交量认沽认购比率0.9688当月持仓量认沽认购比率0.7071四、隐