股票股指期权：ETF期权临近到期，隐波变化幅度加剧。-20240227-国泰期货-15页

金金融衍生品研究融衍生2024年2月27日品股票股指期权：ETF期权临近到期，隐波变化研究幅度加剧。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君ETF期权临近到期，隐波变化幅度加剧。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2405.0611.5133.60-7.732408.13-3.072405.33-0.27沪深300指数3494.7941.43139.53-11.723496.73-1.953491.872.92中证1000指数5394.03138.64182.62-1.855385.538.505341.4752.57上证50ETF0.01212.49-6.540.000-0.0052.4382.4382.443华泰柏瑞300ETF3.4840.04110.47-0.703.487-0.0023.492-0.008南方500ETF5.3980.1273.67-0.205.3950.0035.3830.015华夏科创50ETF0.8360.03040.5812.540.8350.0010.8360.000易方达科创50ETF0.8160.0309.862.580.8150.0010.817-0.0013.6230.0472.78-1.193.624-0.0013.629-0.006嘉实300ETF5.5160.1311.250.375.5130.0035.5090.007嘉实500ETF1.7460.04212.15-0.161.7450.0011.7380.008创业板ETF2.4110.0500.38-0.012.4080.0032.4080.003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35860-549577478401860.68%56.77%25002300沪深300股指期权807288924159018189066.76%63.22%35003300中证1000股指期权16578011523207238-34586.22%70.17%60005000上证50ETF期权1635156-36537021492693587784.06%95.86%2.452.41152880923716007962643286.61%93.97%3.53.4华泰柏瑞300ETF期权1246...