股票股指期权：节后股指期权到期，注意末日波动风险。-20240208-国泰期货-15页

金金融衍生品研究融衍生2024年2月8日品股票股指期权：节后股指期权到期，注意末日研究波动风险。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君节后股指期权到期，注意末日波动风险。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2352.588.4350.49-14.302350.202.382343.878.71沪深300指数3364.9321.30189.98-26.673361.873.063355.479.46中证1000指数4993.10195.26217.625002.87-9.764988.005.10上证50ETF0.00532.901.410.0010.0062.3852.912.3842.379华泰柏瑞300ETF3.3620.02223.94-10.723.3570.0053.3520.010南方500ETF5.2490.02416.212.965.2170.0325.1910.058华夏科创50ETF0.7860.00943.40-3.700.789-0.0030.788-0.002易方达科创50ETF0.7700.00914.71-6.030.7690.0010.772-0.0023.5060.02911.68-15.583.4940.0123.4880.018嘉实300ETF5.3650.0352.625.3280.0375.3150.050嘉实500ETF1.6810.02125.601.391.6810.0001.6810.000创业板ETF2.3060.0260.51-18.022.3060.0002.3030.003深证100ETF-0.07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60959-1293577022-262862.49%59.64%24002250沪深300股指期权130062-6966174342-326656.64%56.80%34003200中证1000股指期权34197424645229114-383759.26%60.62%55005000上证50ETF期权1513185-3669931913774-1443778.82%80.22%2.42.31349377-2506101594553-2513776.74%77.90%3.43.3华泰柏瑞300ET...