股票股指期权：隐波随行情相关性转为正相关，注意临近到期隐波放大风险。

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：隐波随行情相关性转为正相关，注意临近到期隐波放大风险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 隐波随行情相关性转为正相关，注意临近到期隐波放大风险 【正文】 表1：期权市场数据统计 上证50指数2426.469.6230.84-3.492431.73-5.272433.67-7.21沪深300指数3585.387.75129.53-16.043587.67-2.283584.271.12中证1000指数5659.1551.68179.31-1.815630.4028.755592.0067.15上证50ETF2.4600.0068.08-1.852.4590.0012.466-0.006华泰柏瑞300ETF3.5720.0035.38-1.173.5710.0013.578-0.006南方500ETF5.5750.0141.88-0.875.576-0.0015.576-0.001华夏科创50ETF0.8540.00217.68-7.620.8530.0010.8530.001易方达科创50ETF0.8330.0026.790.790.8320.0010.8320.001嘉实300ETF3.7150.0053.050.293.7130.0023.721-0.006嘉实500ETF5.6990.0180.760.005.6990.0005.6990.000创业板ETF1.8560.0036.17-1.731.8550.0011.8550.001深证100ETF2.5140.0010.510.102.515-0.0012.5120.002上证50股指期权17833-178253937186745.10%56.09%25002350沪深300股指期权43780-4508124740339562.78%64.25%36003550中证1000股指期权92543-3734167674540990.10%68.35%56005000上证50ETF期权13549381110322060637-1416787.26%86.35%2.52.45华泰柏瑞300ETF期权1080744-51601607026664380.39%90.52%3.63.5南方500ETF期权913920-6163211481361897897.68%109.40%5.755.25华夏科创50ETF576066-478914539851306174.86%69.14%0.850.8易方达科创50ETF718770114100653785267979.80%62.52%0.850.75嘉实300ETF期权15582585233383912852982.34%90.41%3.73.7嘉实500ETF期权176544-1513935220519057105.91%95.70%5.755.5创业板ETF期权79675150990130407264056102.61%104.95%1.91.7深证100ETF期权90437-17321757731284586.02%92.07%2.552.45VL-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3月20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15.50%0.35%11.40%-1.40%0.88%0.64%16.090.215沪深300股指期权15.43%0.14%12.95%-0.62%-6.33%-1.43%16.15-0.058中证1000股指期权24.11%0.13%26.78%0.03%-10.26%-2.92%24.77-0.393上证50ETF期权14.54%0.25%6.80%-1.18%0.83%-3.82%15.770.127华泰柏瑞300ETF期权14.85%0.71%9.11%-0.96%-2.40%3.11%16.24-0.054南方500ETF期权19.41%0.15%16.43%-0.28%-6.47%-0.43%21.64-0.158华夏科创50ETF23.57%0.42%22.08%-0.04%2.97%2.72%27.42-0.969易方达科创50ETF24.17%0.06%22.63%-0.09%4.60%-1.73%27.43-1.199嘉实300ETF期权14.72%0.40%10.13%-1.01%-2.54%2.49%16.480.035嘉实500ETF期权18.93%-1.12%17.01%-0.23%-0.99%5.42%21.98-0.492创业板ETF期权23.05%-0.10%20.16%-0.59%2.32%1.87%24.34-1.161深证100ETF期权17.78%-0.11%11.22%-0.68%0.02%2.40%18.80-0.661上证50股指期权16.21%0.86%15.20%0.01%-1.51%-1.73%沪深300股指期权16.14%0.00%17.05%-0.03%-1.33%3.23%中证1000股指期权23.98%-0.46%43.60%-0.10%-5.89%5.89%上证50ETF期权15.05%0.22%11.53%0.00%1.61%1.91%华泰柏瑞300ETF期权15.27%0.37%12.03%-0.05%-2.10%0.00%南方500ETF期权20.05%0.21%19.81%-0.01%-7.49%-0.34%华夏科创50ETF24.58%-0.40%27.46%-0.12%6.41%1.42%易方达科创50ETF24.68%-0.36%26.92%-0.13%9.40%1.89%嘉实300ETF期权15.94%0.47%12.82%-0.13%-2.20%0.62%嘉实500ETF期权20.89%0.12%19.49%-0.04%-6.84%1.60%创业板ETF期权23.65%-0.90%25.31%-0.12%-2.04%-1.75%深证100ETF期权18.47%-0.73%18.09%-0.13%0.69%0.18%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%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/1000016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 00.20.40.60.811.21.41.620002100220023002400250026002700280029002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/1000016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%13.0%14.0%15.0%16.0%17.0%18.0%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%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/100030020HV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 00.20.40.60.811.21.41.6300032003400360038004000420044004600480050002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/1000300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%13.0%14.0%15.0%16.0%17.0%18.0%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%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/1000852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 00.20.40.60.811.21.41.64000450050005500600065007000750080002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/1000852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