股票股指期权：隐波大幅上升，可考虑价差策略避险。-20240202-国泰期货-15页

金金融衍生品研究融衍生2024年2月2日品股票股指期权：隐波大幅上升，可考虑价差策研究略避险。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君隐波大幅上升，可考虑价差策略避险。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2229.01-19.2550.6410.752222.076.952220.408.61沪深300指数3179.63-38.08173.7628.243166.2013.433160.0719.56中证1000指数4574.67-175.77176.8929.774514.2060.474449.53125.14上证50ETF-0.01521.090.940.0080.0112.2682.2602.257华泰柏瑞300ETF3.188-0.03025.396.483.1700.0183.1640.025南方500ETF4.637-0.1283.850.364.5940.0434.5380.099华夏科创50ETF0.707-0.01952.6410.720.7060.0010.7050.002易方达科创50ETF0.689-0.02314.872.600.6890.0000.6880.0013.316-0.03011.111.453.2950.0213.2910.025嘉实300ETF4.740-0.1270.900.174.6950.0454.6490.091嘉实500ETF1.508-0.04025.545.721.511-0.0031.516-0.008创业板ETF2.144-0.0420.560.072.1400.0042.1430.002深证100ETF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96011330948864866693.92%43.53%23002250沪深300股指期权181815590901984513046107.79%43.70%33003300中证1000股指期权30263667805240310933898.19%41.79%52005000上证50ETF期权2452726974847202761467177106.95%61.53%2.32.252093733825102172802253665114.42%63.55%3.33.2华泰柏瑞300ETF期...