股票股指期权：盘中隐波变动依然较大，做空波动率仍需谨慎。-20240124-国泰期货-15页

金金融衍生品研究融衍生2024年1月24日品股票股指期权：盘中隐波变动依然较大，做空研究波动率仍需谨慎。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君盘中隐波变动依然较大，做空波动率仍需谨慎。安期【正文】货研表1：期权市场数据统计究所标的市场统计收盘价涨跌成交手量)(亿成(亿交手变)化合当成月期货当月基差次月次月基差合成期货上证50指数2260.5634.1944.2010.182258.202.362252.807.76沪深300指数3277.1145.18154.3732.363263.8713.243261.2715.84中证1000指数5143.4163.78143.3313.045093.3350.075038.80104.61上证50ETF2.2950.03716.301.992.2930.0022.299-0.004华泰柏瑞300ETF3.2790.05122.798.863.2630.0163.2640.015南方500ETF5.0180.0703.450.144.9670.0514.9330.085华夏科创50ETF0.7880.00237.532.600.7810.0070.7810.007易方达科创50ETF0.7670.0008.190.900.7640.0030.7600.007嘉实300ETF3.4100.0519.495.483.3910.0193.3930.017嘉实500ETF5.1310.0691.07-0.095.0730.0585.0470.084创业板ETF1.6500.00815.020.931.6430.0071.6460.004深证100ETF2.2640.0180.55-0.032.2530.0112.2550.009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65919-100578038396269.08%47.04%23002175沪深300股指期权14447622980182924414794.56%45.96%34003300中证1000股指期权213061364661830126514102.90%48.87%60005000上证50ETF期权27574243447652402312-1271775.26%60.65%2.32.25226458423298719017391275193.06%62.39%3.33.2华泰柏瑞300ETF...