股票股指期权：ETF期权临近到期，注意行权交割风险。-20240123-国泰期货-16页

金金融衍生品研究融衍生2024年1月23日品股票股指期权：ETF期权临近到期，注意行权研究交割风险。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君ETF期权临近到期，注意行权交割风险。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2226.37-4.2434.02-10.772221.205.172224.202.17沪深300指数3231.9313.03122.01-26.693215.2716.673214.8017.13中证1000指数5079.6378.80130.29-13.964998.2081.434952.33127.30上证50ETF2.258-0.00314.31-14.422.2560.0022.260-0.002华泰柏瑞300ETF3.2280.02213.92-32.553.2170.0113.2160.012南方500ETF4.9480.0783.31-0.444.9230.0254.8650.083华夏科创50ETF0.7860.01034.934.090.7800.0060.7800.006易方达科创50ETF0.7670.0087.29-0.030.7630.0040.7620.005嘉实300ETF3.3590.0114.01-15.693.3520.0073.3440.015嘉实500ETF5.0620.1161.160.705.0350.0274.9830.079创业板ETF1.6420.01914.091.071.6390.0031.6390.003深证100ETF2.2460.0120.58-0.172.2450.0012.2450.001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669248277740763363105.03%43.83%23002175沪深300股指期权121496-289451787775319105.97%45.53%33003300中证1000股指期权176595-16340176498787283.91%46.41%60005000上证50ETF期权2412659-4738552415029-629386.51%55.71%2.32.22031597-1768771888988-1925193.00%60.25%3.4273.133华泰柏瑞30...