【国泰期货】金融期权：交易热度减退，节后若无特殊事件可逢高做空波动率。-250430（16页）.pdf

1、金融衍生品研究 请务必阅读正文之后的免责条款部分 1 金融金融期权：期权：交易热度减退，节后若无特殊事件交易热度减退，节后若无特殊事件可逢高做空波动率。可逢高做空波动率。张雪慧 投资咨询从业资格号：Z0015363 Z 报告导读：报告导读：交易热度减退，节后交易热度减退，节后若无特殊事件若无特殊事件可逢高做空波动率可逢高做空波动率。（正文）（正文）1.期权市场交易概况回顾期权市场交易概况回顾 表 1：期权市场交易概况回顾（日均）期权名称期权名称CALL成交CALL成交量(万手)量(万手)PUT成交PUT成交量(万手)量(万手)总成交量总成交量(万手)(万手)CALL持仓CALL持仓量(万手)量

2、(万手)PUT持仓PUT持仓量(万手)量(万手)总持仓量总持仓量(万手)(万手)CALL成交额(万CALL成交额(万元)元)PUT成交额(万PUT成交额(万元)元)总成交额(万总成交额(万元)元)上证50股指期权0.910.751.653.702.406.103133.012498.985631.99中证1000股指期权7.216.9414.1513.2210.1223.3561375.9367779.60129155.53沪深300股指期权2.251.754.0010.327.2417.5510302.338936.9119239.24上证50ETF期权27.8527.2555.0959.5

3、856.26115.8411901.0211039.4822940.50华泰柏瑞300ETF期权22.3621.1243.4755.5847.24102.8312914.7112751.1325665.85南方500ETF期权35.5832.7468.3151.6249.49101.1137202.3636274.3073476.67华夏科创50ETF期权17.1114.0631.1775.2556.97132.224993.024106.319099.32易方达科创50ETF期权3.743.006.7421.0517.0238.07937.15932.321869.48嘉实300ETF期权2

4、.542.404.9412.108.8120.911336.301296.262632.56嘉实500ETF期权4.163.407.5614.5112.6227.131873.461657.963531.42创业板ETF期权32.4127.6360.0459.5644.92104.4714164.6913046.4727211.16深证100ETF期权1.241.392.624.383.728.10349.71453.94803.66总计157.36142.41299.77380.89316.81697.70160483.71160773.67321257.38 资料来源：Wind、国泰君安期

5、货研究 20252025 年年 4 4 月月 3030 日日 二二二二五五年度年度 国泰君安期货国泰君安期货研究所研究所 金融衍生品研究 请务必阅读正文之后的免责条款部分 2 表 2：期权波动率统计(本周最后一个交易日)期权波动率统计期权波动率统计(近月)(近月)ATM-IVATM-IVIV变动IV变动同期限HV同期限HVHV变动HV变动SkewSkewSkew变动Skew变动VIXVIXVIX变动VIX变动上证50股指期权16.25%1.57%3.61%0.60%-7.46%-0.22%19.070.86沪深300股指期权17.17%0.58%2.39%0.09%-9.17%-1.07%20

6、.400.89中证1000股指期权26.16%1.15%15.02%0.39%-10.89%-2.49%28.131.17上证50ETF期权15.16%1.04%9.97%-14.51%-6.30%-0.89%16.670.83华泰柏瑞300ETF期权16.10%0.72%7.51%-20.71%-7.49%-2.35%18.240.82南方500ETF期权20.89%0.41%13.20%-28.64%-8.57%0.43%23.310.55华夏科创50ETF27.05%0.61%19.78%-23.40%-3.60%-2.65%32.030.88易方达科创50ETF27.49%0.14%1