股指衍生品周报：多空因素并存，股指维持区间震荡

请务必阅读文末免责条款股指衍生品（仅供参考，不构成任何投资建议）请务必阅读文末免责条款部分 专业研究·创造价值姓名：龙奥明宝城期货投资咨询部从业资格号：F3035632投资咨询号：Z0014648电话：0571-87006873邮箱：longaoming@bcqhgs.com作者声明：本人具有中国期货业协会授予的期货从业资格证书，期货投资咨询资格证书，本人承诺以勤勉的职业态度，独立、客观地出具本报告。本报告清晰准确地反映了本人的研究观点。本人不会因本报告中的具体推荐意见或观点而直接或间接接收到任何形式的报酬。 专业研究·创造价值正文目录1市场回顾....................................................................51.1股指走势................................................................51.2期权价格走势............................................................61.3股指期货基差与月差......................................................92期权指标...................................................................112.1 PCR指标................................................................112.2隐含波动率.............................................................133结论.......................................................................16 2/17请务必阅读文末免责条款 专业研究·创造价值图表目录图1上证50指数价格走势..........................................................5图2沪深300指数价格走势.........................................................5图3中证500指数价格走势.........................................................5图4中证1000指数价格走势........................................................5图5 IH基差价格走势..............................................................9图6 IF基差价格走势..............................................................9图7 IC基差价格走势.............................................................10图8 IM基差价格走势.............................................................10图9 IH跨期价差走势.............................................................10图10 IF跨期价差走势............................................................10图11 IC跨期价差走势............................................................10图12 IM跨期价差走势............................................................10图13上证50ETF期权持仓量PCR...................................................11图14上交所300ETF期权持仓量PCR................................................11图15深交所300ETF期权持仓量PCR................................................11图16沪深300股指期权持仓量PCR.................................................11图17中证1000股指期权持仓量PCR................................................12图18上交所500ETF期权持仓量PCR................................................12图19深交所500ETF期权持仓量PCR................................................12图20创业板ETF期权持仓量PCR...................................................12图21深证100ETF期权持仓量PCR..................................................12图22上证50股指期权持仓量PCR..................................................12图23科创50ETF期权持仓量PCR...................................................13图24易方达科创50ETF期权持仓量PCR.............................................13图25上证50ETF期权波动率......................................................14图26上交所300ETF期权波动率...................................................14图27深交所300ETF期权波动率...................................................14 3/17请务必阅读文末免责条款 专业研究·创造价值4/17请务必阅读文末免责条款图28沪深300股指期权波动率.....................................................14图29中证1000股指期权波动率...................................................14图30上交所500ETF期权波动率...................................................14图31深交所500ETF期权波动率...................................................14图32创业板ETF期权波动率......................................................14图33深证100ETF期权波动率.....................................................15图34上证50股指期权波动率.....................................................15图35科创50ETF期权波动率......................................................15图36易方达科创50ETF期权波动率................................................15表1现货指数价格变化情况.........................................................5表2各期权标的资产价格变化情况...................................................6表3各期权品种主力合约周度涨跌幅.................................................6 专业研究·创造价值1市场回顾1.1股指走势表1现货指数价格变化情况数据来源：IFIND、宝城期货金融研究所图1上证50指数价格走势2,000.002,100.002,200.002,300.002,400.002,500.002,600.002,700.002,800.002,900.002023-01-032023-02-142023-03-212023-04-262023-06-05数据来源：IFind、宝城期货金融研究所图3中证500指数价格走势4,400.004,900.005,400.005,900.006,400.006,900.002023-01-032023-02-142023-03-212023-04-262023-06-05数据来源：IFind、宝城期货金融研究所 本周股指均震荡整理，小幅回落。近期国内宏观经济指标边际走弱，虽然消费数据在国补政策下表现韧性，但是信贷、通胀等数据表现偏弱表明内需的内生性增长动能有所不足，未来仍需要更多托底需求的政策出台，政策利好预期上升。不过短期内政策面未出现明确信号，预计政策面增量信号要等到7月政治局会议，因此短期内政策面的驱动力有所不足。海外方面，中东地缘危机持续发酵，对全球能源供应格局造成较大扰动，加上关税战暂缓期的deadline在7月初，外部不确定性仍存，市场情绪短期内偏向防御。简称上证50指数000016.SH2673.719沪深300指数000300.SH3846.644中证500指数000905.SH5639.513中证1000指数000852.SH 5999.592023-07-122023-08-162023-09-202023-11-022023-12-072024-01-12上证50指数2023-07-122023-08-162023-09-202023-11-022023-12-072024-01-12中证500指数 5/17请务必阅读文末免责条款代码收盘价日涨跌幅(%)周涨跌幅(%)0.31-0.100.09-0.45-0.66-1.75-0.80-1.742024-02-262024-04-012024-05-132024-06-182024-07-232024-08-272024-10-102024-11-142024-12-192025-01-242025-03-102025-04-152025-05-23图2沪深300指数价格走势3,000.003,200.003,400.003,600.003,800.004,000.004,200.004,400.002023-01-032023-02-142023-03-212023-04-262023-06-052023-07-122023-08-162023-09-202023-11-022023-12-072024-01-122024-02-262024-04-012024-05-132024-06-182024-07-232024-08-272024-10-102024-11-142024-12-192025-01-242025-03-10202