金融期权：隐波相关性改变，可考虑偏买权多头策略。-20240223-国泰期货-16页

二金融衍生品研究〇2024年2月23日二三年度金融期权：隐波相关性改变，可考虑偏买权多头策略。国张雪慧投资咨询从业资格号：Z0015363Zhangxuehui022447@gtjas.com泰君报告导读：安期隐波相关性改变，可考虑偏买权多头策略。货（正文）研究所1.期权市场交易概况回顾表1：期权市场交易概况回顾（日均）期权名称CALL成交PUT成交总成交量CALL持仓PUT持仓总持仓量CALL成交额(万PUT成交额(万总成交额(万量(万手)量(万手)(万手)量(万手)量(万手)(万手)元)元)元)上证50股指期权3.171.584.754.062.306.3613229.994901.3418131.3217.0311.736.9218.6696033.7970866.47166900.26中证1000股指期权9.617.429.839.065.3714.4337365.6616576.5953942.25181.05102.08101.23203.3144881.0323257.1968138.22沪深300股指期权6.303.53134.9984.2075.52159.7343807.0625674.5869481.65123.2457.8958.78116.6745225.8448270.6193496.45上证50ETF期权101.3879.6657.8884.5750.10134.677727.585328.4213055.9925.8239.3723.5562.923359.622043.445403.06华泰柏瑞300ETF期权72.9162.0823.9917.9315.4733.407813.024251.8912064.9136.4618.8917.3836.2715657.7616020.7331678.49南方500ETF期权60.3562.8997.4670.2958.83129.1218906.3915914.7334821.1213.5010.159.1919.343430.372081.705512.07华夏科创50ETF期权36.0021.88726.01510.23424.64934.87337438.13235187.67572625.80易方达科创50ETF期权16.099.73嘉实300ETF期权12.7311.26嘉实500ETF期权18.2918.18创业板ETF期权51.4146.05深证100ETF期权7.246.26总计395.48330.53资料来源：Wind、国泰君安期货研...