股票股指期权：上行降波，可考虑备兑策略。-20240304-国泰期货-15页

金金融衍生品研究融衍生2024年3月4日品股票股指期权：上行降波，可考虑备兑策略。研究张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com【观点及建议】国上行降波，可考虑备兑策略。泰君【正文】安期表1：期权市场数据统计货标的市场统计研究上证50指数收盘价涨跌成交量(亿成交变化当月当月基差次月次月基差手)(亿手)合成期货合成期货沪深300指数2418.583.740.78-0.083540.873.0640.305.862417.8010.342418.678.80所中证1000指数5428.3426.40163.240.543530.5343.673532.0779.80179.31-5.135384.675348.53上证50ETF2.4510.00312.740.822.454-0.0032.457-0.006华泰柏瑞300ETF3.527-0.00310.15-2.113.5250.0023.5270.000南方500ETF5.465-0.0024.341.005.4540.0115.4450.020华夏科创50ETF0.8560.00130.48-6.450.8550.0010.8550.001易方达科创50ETF0.8380.0036.30-2.580.8370.0010.8360.002嘉实300ETF3.668-0.0024.040.503.6650.0033.669-0.001嘉实500ETF5.584-0.0050.79-0.685.5780.0065.5670.017创业板ETF1.7830.0089.63-3.261.7770.0061.7770.006深证100ETF2.448-0.0080.50-0.402.4460.0022.4460.002期权市场统计成交量变化持仓量变化VL-PCROI-PCRC最大持仓P最大持仓（近月）（近月）上证50股指期权27310-942185116281053.90%58.31%25002300沪深300股指期权71232-33132168491280353.87%68.23%36003400中证1000股指期权141147-208672228133203101.25%74.12%60005000上证50ETF期权757257-27248817352595055284.55%88.27%2.52.35802758-33184014564172771480.55%89.74%3.53.4华泰柏瑞300ETF期权751008-21386899600118739...