股票股指期权：上行降波，可考虑备兑策略。-20240126-国泰期货-16页

金金融衍生品研究融衍生2024年1月26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2314.371.52-5.43-7.233333.82-9.1058.32-3.632319.803.752321.602.55所中证1000指数5269.76-46.43180.66-16.173330.0747.233331.2785.76155.42-7.735222.535184.00上证50ETF2.3500.00324.318.852.352-0.0022.359-0.009华泰柏瑞300ETF3.329-0.00621.835.353.3260.0033.332-0.003南方500ETF5.109-0.0572.91-0.535.0640.0455.0370.072华夏科创50ETF0.785-0.01934.19-5.940.7840.0010.786-0.001易方达科创50ETF0.764-0.0219.261.260.765-0.0010.767-0.003嘉实300ETF3.458-0.0117.373.533.4580.0003.465-0.007嘉实500ETF5.216-0.0540.920.245.1770.0395.1680.048创业板ETF1.637-0.03813.97-3.891.638-0.0011.644-0.007深证100ETF2.273-0.0220.700.082.280-0.0072.280-0.007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64066-2409879137168159.06%55.14%23002250沪深300股指期权102356-4676617904082097.70%51.55%34003300中证1000股指期权134121-44362187925574796.50%54.17%60005000上证50ETF期权1673430-66387118041866871792.96%85.85%2.352.251341776-48640915300123335190.91%79.78%3.43.2华泰柏瑞300ETF期权901679...