股票股指期权：节后股指期权到期，注意末日波动风险。

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：节后股指期权到期，注意末日波动风险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 节后股指期权到期，注意末日波动风险。 【正文】 表1：期权市场数据统计 上证50指数2352.588.4350.49-14.302350.202.382343.878.71沪深300指数3364.9321.30189.98-26.673361.873.063355.479.46中证1000指数4993.10195.26217.621.415002.87-9.764988.005.10上证50ETF2.3850.00532.902.912.3840.0012.3790.006华泰柏瑞300ETF3.3620.02223.94-10.723.3570.0053.3520.010南方500ETF5.2490.02416.212.965.2170.0325.1910.058华夏科创50ETF0.7860.00943.40-3.700.789-0.0030.788-0.002易方达科创50ETF0.7700.00914.71-6.030.7690.0010.772-0.002嘉实300ETF3.5060.02911.68-15.583.4940.0123.4880.018嘉实500ETF5.3650.0352.621.395.3280.0375.3150.050创业板ETF1.6810.02125.60-18.021.6810.0001.6810.000深证100ETF2.3060.0260.51-0.072.3060.0002.3030.003上证50股指期权60959-1293577022-262862.49%59.64%24002250沪深300股指期权130062-6966174342-326656.64%56.80%34003200中证1000股指期权34197424645229114-383759.26%60.62%55005000上证50ETF期权1513185-3669931913774-1443778.82%80.22%2.42.3华泰柏瑞300ETF期权1349377-2506101594553-2513776.74%77.90%3.43.3南方500ETF期权205922969610680374210168.90%99.18%5.55华夏科创50ETF8779771439761226032-1155950.15%56.85%0.80.75易方达科创50ETF416924125432588091-754257.21%56.41%0.80.7嘉实300ETF期权244614-368953493062859464.21%70.58%3.63.4嘉实500ETF期权589107118653990068748368.32%89.90%5.755.25创业板ETF期权1403272-1840713057445175265.75%76.49%1.71.6深证100ETF期权118563-417682045591236171.35%74.76%2.32.15VL-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 2024年2月8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28.34%5.28%--12.96%10.01%22.35-0.256沪深300股指期权34.46%8.68%---2.59%-1.75%21.77-0.669中证1000股指期权64.21%10.46%--8.21%14.32%41.621.539上证50ETF期权21.25%-0.16%20.86%-0.24%1.21%9.10%19.91-0.219华泰柏瑞300ETF期权22.03%-0.12%23.15%-0.61%-1.24%4.05%20.18-0.576南方500ETF期权36.68%1.25%65.55%-1.42%-13.66%-1.23%31.080.601华夏科创50ETF35.55%-1.11%51.34%-2.29%1.23%-0.93%34.06-0.217易方达科创50ETF35.85%-0.35%53.56%-2.81%2.29%3.87%33.92-0.413嘉实300ETF期权22.28%-0.88%21.19%-0.71%-1.03%5.52%20.92-0.672嘉实500ETF期权38.92%2.37%61.91%-1.57%-8.22%5.91%32.830.669创业板ETF期权35.97%1.75%43.48%-5.84%1.48%3.79%30.570.011深证100ETF期权28.43%-0.86%32.81%-1.94%2.06%4.31%24.64-0.952上证50股指期权23.17%-0.76%19.37%0.00%3.44%-5.42%沪深300股指期权22.50%-0.82%21.33%0.02%2.47%6.10%中证1000股指期权46.40%2.36%53.37%1.91%0.30%10.20%上证50ETF期权21.25%0.21%17.46%0.01%-0.44%4.30%华泰柏瑞300ETF期权21.64%-0.43%18.98%0.10%-1.66%2.00%南方500ETF期权31.08%0.63%40.58%-0.06%-15.09%-4.55%华夏科创50ETF33.30%0.93%34.56%0.26%9.64%2.49%易方达科创50ETF33.39%1.31%36.10%0.30%6.97%2.33%嘉实300ETF期权21.66%-0.68%17.38%0.18%0.73%2.55%嘉实500ETF期权31.44%-0.14%39.72%-0.04%-12.96%-4.27%创业板ETF期权30.50%0.57%32.74%0.26%3.23%2.97%深证100ETF期权25.28%-0.35%24.02%0.25%-1.05%-1.26%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 20002100220023002400250026002700280029005%10%15%20%25%30%35%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/1000016近月ATM-IV20HV 资料来源：Wind、国泰君安期货研究 图2：上证50股指期权全合约PCR 图3：上证50股指期权主力合约偏度走势图 00.20.40.60.811.21.41.62000210022002300240025002600270028002900000016成交量PCR持仓量PCR -10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%2023/6/12023/8/12023/10/12023/12/12024/2/1主力合约偏度 资料来源：Wind、国泰君安期货研究 资料来源：Wind、国泰君安期货研究 图4：上证50股指期权波动率锥 图5：上证50股指期权波动率期限结构 0%5%10%15%20%25%30%35%40%9075502510HVATM-IV 12.0%14.0%16.0%18.0%20.0%22.0%24.0%26.0%28.0%30.0%IV01IV02IV03IV04IV05IV06今日昨日 资料来源：Wind、国泰君安期货研究 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 4 2. 沪深300股指期权 图6：沪深300股指期权主力合约波动率走势图 300032003400360038004000420044005.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/100030020HV近月ATM-IV 资料来源：Wind、国泰君安期货研究 图7：沪深300股指期权全合约PCR 图8：沪深300股指期权主力合约偏度走势图 00.20.40.60.811.21.41.630003200340036003800400042004400460048005000000300成交量PCR持仓量PCR -20%-15%-10%-5%0%5%10%15%20%25%2023/6/12023/8/12023/10/12023/12/12024/2/1主力合约偏度 资料来源：Wind、国泰君安期货研究 资料来源：Wind、国泰君安期货研究 图9：沪深300股指期权波动率锥 图10：沪深300股指期权波动率期限结构 0%5%10%15%20%25%30%35%9075502510HVATM-IV 12.0%17.0%22.0%27.0%32.0%37.0%IV01IV02IV03IV04IV05IV06今日昨日 资料来源：Wind、国泰君安期货研究 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 5 3. 中证1000股指期权 图11：中证1000股指期权主力合约波动率走势图 4000450050005500600065007000750080005%15%25%35%45%55%65%75%85%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/1000852近月ATM-IV20HV 资料来源：Wind、国泰君安期货研究 图12：图11：中证1000股指期权全合约PCR 图13：中证1000股指期权主力合约偏度走势图 00.20.40.60.811.21.41.6400045005000550060006500700075008000000852成交量PCR持仓量PCR -30%-25%-20%-15%-10%-5%0%5%10%15%2023/6/12023/8/12023/10/12023/12/12024/2/1主力合约偏度 资料来源：Wind、国泰君安期货研究 资料来源：Wind、国泰君安期货研究 图14：中证1000股指期权波动率锥 图15：中证1000股指期权波动率期限结构 0%10%20%30%40%50%60%9075502510HVATM-IV 12.0%22.0%32.0%42.0%52.0%62.0%72.0%IV01IV02IV03IV04IV05IV06今日昨日 资料来源：Wind、国泰君安期货研究 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 6 4. 上证50ETF期权 图16：上证50ETF期权主力合约波动率走势图 2.22.32.42.52.62.72.82.935.00%