股票股指期权：下行升波，可考虑价差策略进行风险保护。-20240201-国泰期货-15页

金金融衍生品研究融衍生2024年2月1日品股票股指期权：下行升波，可考虑价差策略进研究行风险保护。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，可考虑价差策略进行风险保护。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2248.27-6.0339.89-3.042246.871.402248.93-0.67沪深300指数3217.712.36145.52-7.633214.333.383211.805.91中证1000指数4750.44-34.59147.12-11.124699.0751.384642.40108.04上证50ETF-0.00920.150.66-0.003-0.0032.2832.2862.286华泰柏瑞300ETF3.218-0.00418.91-0.183.2160.0023.2160.002南方500ETF4.765-0.0183.480.014.7300.0354.6910.074华夏科创50ETF0.7260.00441.92-4.850.7230.0030.7190.007易方达科创50ETF0.7120.01212.27-5.190.7070.0050.7020.0103.346-0.0029.66-3.883.347-0.0013.347-0.001嘉实300ETF4.867-0.0280.74-0.094.8360.0314.8120.055嘉实500ETF1.5480.01519.811.151.5480.0001.552-0.004创业板ETF2.1860.0220.48-0.052.1800.0062.1820.004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62917-2021487982145294.92%46.58%23002250沪深300股指期权122725-41926195405599298.26%45.67%33003200中证1000股指期权234831-4414230972989995.13%45.69%55005000上证50ETF期权1477879-660527196043737622118.76%67.34%2.32.251268631-482885167435717749109.51%68.44%3.33.2华泰...