股票股指期权：下行升波，可考虑熊市看跌价差保护。-20240228-国泰期货-15页

金金融衍生品研究融衍生2024年2月28日品股票股指期权：下行升波，可考虑熊市看跌价研究差保护。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君下行升波，可考虑熊市看跌价差保护。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2385.61-19.4544.7611.162391.20-5.592392.80-7.19沪深300指数3450.26-44.53189.8450.313457.53-7.273460.33-10.07中证1000指数5152.05-241.98260.7478.125120.2031.855085.2766.79上证50ETF2.424-0.01417.935.442.427-0.0032.442-0.018华泰柏瑞300ETF3.448-0.03628.5518.083.452-0.0043.472-0.024南方500ETF5.259-0.1394.801.135.2520.0075.2440.015华夏科创50ETF0.808-0.02845.635.050.8030.0050.8040.004易方达科创50ETF0.790-0.02612.632.770.7860.0040.7870.003嘉实300ETF3.585-0.0383.801.033.589-0.0043.608-0.023嘉实500ETF5.383-0.1331.990.745.3730.0105.3670.016创业板ETF1.701-0.04518.656.501.6860.0151.6920.009深证100ETF2.365-0.0460.560.192.3650.0002.367-0.002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569672110778834135652.94%58.19%25002300沪深300股指期权13241351685160778176062.14%63.82%35003300中证1000股指期权272337106557212289505185.56%65.02%60005000上证50ETF期权20446044094482140851-841877.69%96.69%2.452.4156078340790316167101591483.81%93.09%3.53.4华泰柏瑞30...