股票股指期权：上行降波，可考虑牛市看跌价差策略。-20240125-国泰期货-16页

金金融衍生品研究融衍生2024年1月25日品股票股指期权：上行降波，可考虑牛市看跌价研究差策略。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君上行降波，可考虑牛市看跌价差策略。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2312.8552.3061.9517.752313.80-0.952318.67-5.81沪深300指数3342.9265.81196.8342.463336.406.523336.606.32中证1000指数5316.20172.79163.1419.825303.5312.665267.3348.86上证50ETF2.3470.05215.46-0.842.349-0.0022.354-0.007华泰柏瑞300ETF3.3350.05616.49-6.303.3330.0023.3350.000南方500ETF5.1660.1483.450.005.1280.0385.1070.059华夏科创50ETF0.8040.01640.132.600.8040.0000.805-0.001易方达科创50ETF0.7850.0188.00-0.190.7840.0010.7840.001嘉实300ETF3.4690.0593.84-5.653.4640.0053.4680.001嘉实500ETF5.2700.1390.68-0.395.2420.0285.2250.045创业板ETF1.6750.02517.852.831.6730.0021.6740.001深证100ETF2.2950.0310.620.072.297-0.0022.2930.002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881642224577456-58255.58%54.20%23002250沪深300股指期权1491224646178220-470467.81%50.63%35003300中证1000股指期权178483-34578182178-83476.55%54.34%60005000上证50ETF期权233730157872017354699346380.82%85.70%2.32.25182818518018914966616018178.52%79.82%3.33.2华泰柏瑞300ETF期权1278245...