股票股指期权：上行降波，可考虑备兑策略。-20240229-国泰期货-15页

金金融衍生品研究融衍生2024年2月29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2413.1427.530.671.003516.0865.8235.19-9.572412.47-2.182412.13-0.12所中证1000指数5344.61192.55155.94-33.893518.277.413516.2042.41188.04-72.715337.205302.20上证50ETF2.4440.02012.86-5.072.448-0.0042.450-0.006华泰柏瑞300ETF3.5030.05514.84-13.713.511-0.0083.514-0.011南方500ETF5.4310.1726.351.545.437-0.0065.433-0.002华夏科创50ETF0.8470.03950.364.730.8440.0030.8420.005易方达科创50ETF0.8260.03615.252.620.8240.0020.8220.004嘉实300ETF3.6440.0592.68-1.123.650-0.0063.651-0.006嘉实500ETF5.5570.1742.230.245.559-0.0025.5470.010创业板ETF1.7610.06014.25-4.401.7560.0051.7540.007深证100ETF2.4350.0700.53-0.042.4310.0042.4280.007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34827-2214081106227259.33%57.84%25002300沪深300股指期权100782-31631164629385158.21%64.78%35003300中证1000股指期权223252-49085215875358694.28%67.56%60005000上证50ETF期权127446010612173678622379280.17%85.31%2.452.4117457592038139024110177287.76%85.34%3.53.4华泰柏瑞300ETF期权1227228137222...