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：震荡降波，可考虑卖出宽跨式策略。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【观点及建议】 震荡降波，可考虑卖出宽跨式策略。 【正文】 表1：期权市场数据统计 上证50指数2431.627.5028.32-1.072438.27-6.642422.009.62沪深300指数3530.288.66115.19-6.553532.87-2.593521.478.81中证1000指数5313.998.38157.83-4.845280.7333.255217.8096.19上证50ETF2.4660.0095.47-1.212.470-0.0042.478-0.012华泰柏瑞300ETF3.5230.0106.650.713.527-0.0043.539-0.016南方500ETF5.341-0.0081.930.165.3390.0025.342-0.001华夏科创50ETF0.768-0.00517.76-0.370.7660.0020.7650.003易方达科创50ETF0.751-0.0053.800.000.7490.0020.7470.004嘉实300ETF3.6610.0112.680.013.664-0.0033.674-0.013嘉实500ETF5.459-0.0020.60-0.055.4540.0055.463-0.004创业板ETF1.716-0.0035.920.471.717-0.0011.719-0.003深证100ETF2.4190.0020.26-0.252.422-0.0032.424-0.005上证50股指期权20416-171660637171855.25%49.76%25002350沪深300股指期权7470819195148014390267.15%57.58%36003500中证1000股指期权1269586612183630418791.02%68.12%55005000上证50ETF期权97434924806913040419949090.87%92.36%2.52.45华泰柏瑞300ETF期权87052116113410792918305987.10%92.64%3.63.5南方500ETF期权87780621604682261654613109.68%112.58%5.55华夏科创50ETF371341445018673197190885.52%54.29%0.80.75易方达科创50ETF164870-15387746846019453121.46%63.79%0.750.75嘉实300ETF期权1577535480421980339602100.57%90.55%3.73.6嘉实500ETF期权2167375903824598349426114.30%106.79%5.55.5创业板ETF期权77696822403191009115264498.40%88.13%1.751.7深证100ETF期权81201335531122192806093.33%88.34%2.42.4VL-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4月25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14.22%-0.59%12.60%-0.30%1.40%-3.55%15.19-0.715沪深300股指期权15.06%-0.82%14.73%-0.40%-0.36%-2.64%15.44-0.820中证1000股指期权26.32%-0.93%30.67%-0.85%-8.12%0.77%26.24-0.646上证50ETF期权14.11%-0.48%11.43%-0.68%-1.60%1.53%14.38-0.544华泰柏瑞300ETF期权14.63%-0.82%12.94%-1.63%-4.04%-1.98%15.20-0.856南方500ETF期权19.37%-1.12%20.06%-1.84%-4.56%1.81%20.00-1.336华夏科创50ETF23.49%-1.78%21.00%-1.30%4.91%6.56%25.50-2.034易方达科创50ETF23.40%-1.15%22.74%-1.24%-0.43%4.19%25.36-1.674嘉实300ETF期权14.81%-0.87%13.27%-1.63%-0.89%1.83%15.17-0.939嘉实500ETF期权19.94%-0.84%19.76%-1.85%-6.00%-0.74%20.25-1.346创业板ETF期权22.80%-1.79%20.39%-3.92%-2.13%0.65%22.61-1.914深证100ETF期权17.73%-0.90%16.68%-3.59%-3.81%-1.36%17.62-0.910上证50股指期权15.16%-0.11%10.36%0.03%8.56%5.55%沪深300股指期权15.17%-0.55%12.41%-0.09%1.29%-0.31%中证1000股指期权25.50%-0.15%25.23%-0.16%-10.15%-0.84%上证50ETF期权14.45%-0.62%9.87%-0.03%-0.10%5.74%华泰柏瑞300ETF期权15.07%-0.70%12.46%-0.31%-1.52%0.79%南方500ETF期权19.43%-0.80%21.37%-0.81%-4.44%0.68%华夏科创50ETF22.80%-1.31%24.83%-1.74%2.17%-1.84%易方达科创50ETF22.32%-0.58%25.03%-1.80%0.23%-1.15%嘉实300ETF期权15.18%-0.62%12.83%-0.37%-0.50%0.03%嘉实500ETF期权20.12%-0.88%20.93%-0.84%-5.60%1.40%创业板ETF期权22.65%-1.31%25.98%-0.71%-3.44%-2.71%深证100ETF期权17.97%-0.74%19.02%-0.69%-1.58%1.91%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%2023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/12024/4/1000016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 00.20.40.60.811.21.41.620002100220023002400250026002700280029002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/12024/4/1000016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%2023/6/12023/8/12023/10/12023/12/12024/2/12024/4/1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%12.5%13.0%13.5%14.0%14.5%15.0%15.5%16.0%16.5%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%2023/6/12023/8/12023/10/12023/12/12024/2/12024/4/100030020HV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 00.20.40.60.811.21.41.6300032003400360038004000420044004600480050002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/12024/4/1000300成交量PCR持仓量PCR -20%-15%-10%-5%0%5%10%15%20%25%2023/6/12023/8/12023/10/12023/12/12024/2/12024/4/1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%12.5%13.0%13.5%14.0%14.5%15.0%15.5%16.0%16.5%17.0%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%2023/6/12023/8/12023/10/12023/12/12024/2/12024/4/1000852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 00.20.40.60.811.21.41.64000450050005500600065007000750080002023/6/12023/7/12023/8/12023/9/12023/10/12023/11/12023/12/12024/1/12024/2/12024/3/12024/4/1000852成交量PCR持仓量PCR -30%-25%-20%-15%-10%-5%0%5%10%15%2023/6/12023/8/12023/10/12023/12/12024/2/12024/