股票股指期权：上行降波可逢低构建保护性看跌策略-20230824-国泰君安期货

金融衍生品研究金融衍生品研究金融衍生品研究国泰君安期货研究所金融衍生品研究国泰君安期货研究所股票股指期权：上行降波，可逢低构建保护性略。投资咨询从业资格号：Z0015363zhangxuehui022447@【观点及建议】性看跌策略。正文】合成期货合成期货成交变化收盘价涨跌成交量标的市场统计次月基差当月基差上证50指数-5.517.85沪深300指数7.2421.64中证1000指数18.63上证50ETF3.22011019华泰柏瑞300ETF-1.30016025南方500ETF015019华夏科创50ETF2.67002005易方达科创50ETF-1.53001006嘉实300ETF-0.52014023嘉实500ETF-0.35016029创业板ETF006012深证100ETF-0.17009022期权市场统计成交量变化持仓量变化VL-PCROI-PCRC最大持仓(近月)P最大持仓(近月)上证50股指期权43.15%沪深300股指期权中证1000股指期权.12%上证50ETF期权%华泰柏瑞300ETF期权3%4南方500ETF期权%%66华夏科创50ETF37%1易方达科创50ETF%27%1嘉实300ETF期权%%嘉实500ETF期权9%0%创业板ETF期权1%.14%深证100ETF期权请务必阅读正文之后的免责条款部分1金融衍生品研究请务必阅读正文之后的免责条款部分2华泰柏瑞300ETF期华泰柏瑞300ETF期权华泰柏瑞300ETF期权期权波动率统计(近月)ATM-IVIV变动同期限HVHV变动SkewSkew变动VIXVIX变动上证50股指期权.62%-0.19%.80%0.67%7.98%0.89%9-0.519沪深300股指期权.27%-1.04%.69%0.74%7.41%2.35%4-0.983中证1000股指期权.03%-0.97%5.39%0.24%%4.62%8-0.861上证50ETF期权.83%-0.61%.48%0.11%7.42%4.60%3-0.79217.11%-0.65%7.74%0.15%6-0.999南方500ETF期权.93%-0.63%.28%0.06%-7.89%2.99%7-0.674华夏科创50ETF24.07%-0.39%.62%0.34%1.32%27.65-0.847易方达科创50ETF23.70%-0.67%.29%0.27%9.06%-1.26%27.30-0.943嘉实300ETF期权.47%-0.57%7.59%0.19%-0.75%6-0.350嘉实500ETF期权17.19%-0.64%.02%0.06%-4.95%9-0.776创业板ETF期权20.63%-1.42%.49%0.63%2.80%3.08%22.92-0.508深证100ETF期权8.74%-0.59%8.78%0.61%6.47%3.13%20.750.414期权波动率统计(次月)ATM-IVIV变动同期限HVHV变动SkewSkew变动上证50股指期权.64%0.18%.07%0.05%7.19%5.84%沪深300股指期权8.59%0.39%5.79%0.08%3.54%-2.50%中证1000股指期权7.35%-0.24%.09%0.07%-3.28%-2.27%上证50ETF期权.29%.29%.84%-0.36%0.97%0.97%7.77%7.77%.24%-0.23%-1.80%-1.80%17.11%17.11%.83%-0.05%-7.15%-7.15%南方500ETF期权华夏科创50ETF23.50%23.50%4.77%0.18%5.09%5.09%易方达科创50ETF23.45%23.45%.28%0.13%5.51%5.51%嘉实300ETF期权.97%.97%15.18%-0.20%0.05%0.05%嘉实500ETF期权.26%.26%.48%-0.08%-7.94%-7.94%创业板ETF期权20.97%20.97%17.11%0.42%0.36%0.36%深证100ETF期权.81%.81%.24%0.23%2.30%2.30%请务必阅读正文之后的免责条款部分3290028002700260025002400230022002023/1/125%23%21%19%17%15%13%11%9%7%5%2023/2/12023/3/12023/4/12023/5/12023/6/1000016近月ATM-IV 2023/7/120HV 2023/8/129002800270026002500240023002200000016成交量PCR0持仓量PCR25.00%20.00%15.00%10.00%-5.00%2023/1/12023/3/12023/5/12023/7/140% 5%0%20.0%19.0%18.0%17.0%16.0%15.0%14.0%13.0%12.0%IV01IV02IV03IV04IV05IV069075502510HVATM-IV今请务必阅读正文之后的免责条款部分434002023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/10PCR持仓量PCR%%%0%5502510HVATM-IV%5%0%-5%-20%2023/1/12023/3/12023/5/12023/7/1主力合约偏度20.0%%%%%%%%%%%%%%%%%IV01IV02IV03IV04IV05IV06Wind请务必阅读正文之后的免责条款部分59%%%2023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/1750073007100690067006500630061005900570055000000852成交量PCR持仓量PCR45%40%%%%0%5502510HVATM-IV5%0%-5%-20%2023/1/12023/4/12023/7/120.0%%%%%%8.0%6.0%4.0%2.0%IV01IV02IV03IV04IV05IV06请务必阅读正文之后的免责条款部分2.22023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/151005020HV近月ATM-IV30.00%25.00%20.00%15.00%10.00%0050成交量PCR持仓量PCR30%20%10%0%-20%-30%2023/1/12023/4/12023/7/1主力合约偏度40%35%30%25%20%%%5%0%9075502510HVATM-IV%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分3.52023/1/130.00%25.00%20.00%15.00%10.00%2023/2/12023/3/12023/45/120HV2023/6/12023/7/1 2023/8/1 成交量PCR持仓量PCR%%0%9075502510HVATM-IV%0%5%20%25%2023/1/12023/4/12023/7/1主力合约偏度0%8%6%4%2%0%8%6%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分5.22023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/125%23%21%9%7%5%510500近月ATM-IV20HV.7.5.5510500成交量PCR持仓量PCR 9075502510HVATM-IV15%10%5%0%-5%-20%2023/1/12023/3/12023/5/12023/7/1主力合约偏度%%%%%%%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分6150510.950.90.850.82023/6/52023/6/192023/7/32023/7/172023/7/312023/8/1430%25%20%5%0%588000近月ATM-IV20HV10.950.90.850.82023/6/22023/7/22023/8/20588000成交量PCR持仓量PCR45%40%35%30%25%20%%%5%0%9075502510HVATM-IV25%20%15%10%5%0%2023/6/22023/7/22023/8/2-5%主力合约偏度27.0%25.0%23.0%21.0%19.0%17.0%15.0%13.0%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分1010.950.90.850.830%25%20%5%0%2023/6/52023/6/192023/7/32023/7/172023/7/312023/8/14588080近月ATM-IV20HV1.0510.950.90.850.82023/6/22023/7/22023/8/21.41.20.80.60.40.20588080成交量PCR持仓量PCR40%35%30%25%20%15%10%5%0%9075502510HVATM-IV10%%0%2023/6/22023/7/22023/8/2-5%25.0%24.0%23.0%22.0%21.0%20.0%19.0%18.0%17.0%16.0%15.0%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分114.84.64.44.2 43.83.63.4330.00%25.00%20.00%15.00%10.00%2023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/115991920HV近月ATM-IV3.43.23159919成交量PCR持仓量PCR5%0%-5%-20%2023/1/12023/3/12023/5/12023/7/1主力合约偏度35%30%25%20%5%0%9075502510HVATM-IV19.0%18.0%17.0%16.0%15.0%14.0%13.0%12.0%IV01IV02IV03IV04今日昨今日请务必阅读正文之后的免责条款部分12 525%23%21%9%7%5%2023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/1159922近月ATM-IV20HV6.836210159922成交量PCR持仓量PCR%9075502510HVATM-IV20%5%0%-5%-20%-25%-30%2023/1/12023/3/12023/5/12023/7/1主力合约偏度IV01IV02IV03IV04请务必阅读正文之后的免责条款部分1375312023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/135%30%25%20%159915近月ATM-IV20HV1.7543212159915成交量PCR持仓量PCR%9075502510HVATM-IV%%-5.00%2023/1/12023/3/12023/5/12023/7/123.0%22.0%21.0%20.0%19.0%18.0%17.0%16.0%IV01IV02IV03IV04请务必阅读正文之后的免责条款部分2.62.52023/1/12023/2/12023/3/12023/4/12023/5/12023/6/12023/7/12023/8/130%28%26%24%22%20%8%6%4%2%0%159901近月ATM-