股票股指期权：上行降波，可考虑备兑策略。-20240219-国泰期货-15页

金金融衍生品研究融衍生2024年2月19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2371.5518.9719.1545.953403.8138.8852.161.672352.4027.412325.6018.47所中证1000指数5029.5936.48183.32-6.663376.4064.923385.33101.12203.87-13.754964.674928.47上证50ETF2.4030.01817.49-15.412.3920.0112.3880.015华泰柏瑞300ETF3.3890.02714.86-9.083.3780.0113.3750.015南方500ETF5.215-0.03415.51-0.695.1910.0245.1700.045华夏科创50ETF0.7980.01233.20-10.200.7970.0010.7960.002易方达科创50ETF0.7790.00920.195.490.7790.0000.7780.001嘉实300ETF3.5230.0174.05-7.633.5130.0103.5110.012嘉实500ETF5.324-0.0417.705.085.3130.0115.2930.031创业板ETF1.6970.01622.82-2.781.6920.0051.6870.010深证100ETF2.3200.0140.550.042.321-0.0012.3180.002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44454-1650556444-2057866.03%49.99%24002250沪深300股指期权98593-31469132429-4191357.35%52.06%35003300中证1000股指期权226868-115106165300-6381476.67%54.57%60004600上证50ETF期权1412170-10101519888317505793.43%85.60%2.42.31176771-17260616193072475492.98%82.27%3.53.3华泰柏瑞300ETF期权1271398-...