金金融衍生品研究融衍生2024年2月20日品股票股指期权:隐波回落到中位,可考虑备兑研究策略。张雪慧投资咨询从业资格号:Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君隐波回落到中位,可考虑备兑策略。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2369.08-2.4637.49-14.672351.2017.882335.8033.28沪深300指数3410.857.05140.73-42.593387.0023.853386.9323.92中证1000指数5046.0116.43154.34-49.534992.7353.284972.8773.15上证50ETF-0.001-7.610.0100.0152.4029.882.3922.387华泰柏瑞300ETF3.4010.0129.80-5.063.3860.0153.3840.017南方500ETF5.2150.0004.76-10.755.1930.0225.1760.039华夏科创50ETF0.790-0.00822.90-10.290.7870.0030.7870.003易方达科创50ETF0.772-0.00711.37-8.820.7710.0010.7710.0013.5300.0073.80-0.263.5240.0063.5180.012嘉实300ETF5.3260.0020.90-6.805.3110.0155.3030.023嘉实500ETF1.696-0.00113.33-9.491.6860.0101.6790.017创业板ETF2.3220.0020.44-0.122.3180.0042.3160.006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19412-279159994355071.27%52.01%24002250沪深300股指期权588434967141330890177.13%55.19%35003300中证1000股指期权133358372921808031550386.34%56.76%60004600上证50ETF期权1078664-3335061982496-6335105.92%89.42%2.42.31029959-1468121603340-1596798.95%82.80%3.53.3华泰柏瑞300ETF期权11...
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