股票股指期权：隐波持续上升，可考虑价差策略进行风险保护。-20240131-国泰期货-15页

金金融衍生品研究融衍生2024年1月31日品股票股指期权：隐波持续上升，可考虑价差策研究略进行风险保护。张雪慧投资咨询从业资格号：Z0015363zhangxuehui022447@gtjas.com国【观点及建议】泰君隐波持续上升，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2254.30-16.6842.93-0.342254.60-0.302258.27-3.97沪深300指数3215.35-29.69153.149.493212.872.493210.604.75中证1000指数4785.03-199.63158.2433.224742.0742.974677.67107.37上证50ETF2.292-0.01419.496.712.293-0.0012.296-0.004华泰柏瑞300ETF3.222-0.02119.090.203.2110.0113.2110.011南方500ETF4.783-0.1283.471.584.7430.0404.6930.090华夏科创50ETF0.722-0.01346.776.540.7170.0050.7150.007易方达科创50ETF0.700-0.01417.457.990.6990.0010.6960.004嘉实300ETF3.348-0.02613.546.483.3390.0093.3420.006嘉实500ETF4.895-0.1060.830.224.8430.0524.8130.082创业板ETF1.533-0.01118.662.711.536-0.0031.539-0.006深证100ETF2.164-0.0180.530.002.165-0.0012.172-0.008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83131490486530189289.70%47.06%23002250沪深300股指期权164651391591894134890120.33%45.45%33003300中证1000股指期权2392456768822107314655107.81%45.92%55005000上证50ETF期权2138406325703192281584785123.14%69.27%2.32.251751516206355165660854714128.00%67.93%3...