股票股指期权：部分品种隐波上升超90分位，可考虑价差策略进行风险保护。20240130-国泰期货-15页

金金融衍生品研究融衍生2024年1月30日品股票股指期权：部分品种隐波上升超90分研究位，可考虑价差策略进行风险保护。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君部分品种隐波上升超90分位，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成交手量)(亿成(亿交手变)化合当成月期货当月基差次月标的市场统计收盘价涨跌合成期货次月基差上证50指数2270.98-33.4643.27-16.282273.13-2.152278.13-7.15沪深300指数3245.04-58.92143.65-40.523241.273.773238.676.37中证1000指数4984.66-146.59125.02-24.994909.8774.794849.40135.26上证50ETF-0.03612.78-0.006-0.0092.3061.152.3122.315华泰柏瑞300ETF3.243-0.05618.898.783.2380.0053.2380.005南方500ETF4.911-0.1021.89-0.084.8350.0764.7970.115华夏科创50ETF0.735-0.02940.233.930.7320.0030.7300.005易方达科创50ETF0.714-0.0289.460.980.7130.0010.7120.0023.374-0.0517.064.053.3670.0073.3720.002嘉实300ETF5.001-0.1140.60-0.054.9410.0614.9180.083嘉实500ETF1.544-0.03615.96-0.911.546-0.0021.545-0.001创业板ETF2.182-0.0480.520.022.183-0.0012.1810.001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782271137984638141374.09%51.82%23002250沪深300股指期权12549222913184523163592.84%48.32%34003300中证1000股指期权17155770082064188379109.16%49.00%55005000上证50ETF期权18127032535071838030-5695111.03%76.70%2.352.25154516133191...