股票股指期权：隐波相关性转为负相关，可考虑备兑策略。-20240226-国泰期货-15页

金金融衍生品研究融衍生2024年2月26日品股票股指期权：隐波相关性转为负相关，可考研究虑备兑策略。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君隐波相关性转为负相关，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2393.55-39.8641.331.272389.873.682393.330.22沪深300指数3453.36-36.38151.256.433445.937.433448.135.23中证1000指数5255.4029.73184.4713.265217.9337.465186.2769.13上证50ETF2.426-0.04119.038.412.4240.0022.427-0.001华泰柏瑞300ETF3.443-0.03511.170.263.4380.0053.4400.003南方500ETF5.271-0.0103.870.645.2610.0105.2480.023华夏科创50ETF0.8060.00528.054.590.8040.0020.8040.002易方达科创50ETF0.7860.0047.281.490.7850.0010.7850.001嘉实300ETF3.576-0.0403.970.683.5760.0003.578-0.002嘉实500ETF5.385-0.0040.890.105.3790.0065.3710.014创业板ETF1.704-0.00512.313.911.6990.0051.6920.013深证100ETF2.361-0.0080.390.042.3600.0012.3580.003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41355-243573460275556.72%57.99%25002300沪深300股指期权71804-8971157128525861.96%62.97%35003400中证1000股指期权15425718036207583559685.74%67.54%60005000上证50ETF期权20005263633982113392-194687.21%96.04%2.452.4114364315281574364-2895490.25%90.18%3.53.4华泰柏瑞300ETF期权11727...