【国泰期货】金融期权周报-251231（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 金融金融期权期权周报周报 张雪慧 投资咨询从业资格号：Z0015363 Z 报告导读：报告导读：隐波隐波节前节前小幅抬升，避险情绪增加小幅抬升，避险情绪增加。（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(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

2、)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1.460.822.282.841.864.706650.943014.829665.76中证1000股指期权13.469.1922.6512.8812.4625.34182479.9590664.05273144.01沪深300股指期权5.893.309.199.096.2615.3443767.4519201.4362968.88上证50ETF期权41.1335.9777.1054.0352.68106.7018309.4110612.7128922.12华泰柏瑞300ETF期权52.7042.599

3、5.2954.9154.72109.6234734.8719925.0854659.95南方500ETF期权68.6268.01136.6348.6554.54103.1995112.1450653.82145765.96华夏科创50ETF期权72.5848.51121.08101.9988.21190.2026399.8814521.3740921.25易方达科创50ETF期权13.4010.7524.1626.3724.8351.204069.552289.736359.28嘉实300ETF期权14.0012.2226.2212.3611.4123.775636.853493.559130

4、.39嘉实500ETF期权18.4416.5134.9415.1814.5729.747652.443099.1210751.56创业板ETF期权93.4084.07177.4662.8277.52140.3462258.2838951.22101209.50深证100ETF期权2.833.286.113.865.359.211171.39645.621817.02总计397.90335.23733.13404.96404.39809.35488243.15257072.52745315.68 资料来源：Wind、国泰君安期货研究 20252025 年年 1212 月月 3131 日日 二二二

5、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周变动IV周变动20HV20HVHV周变动HV周变动SkewSkewSkew周变Skew周变动动VIXVIXVIX变动VIX变动上证50股指期权13.11%0.46%9.31%-0.01%3.20%4.92%14.690.48沪深300股指期权14.76%-0.23%11.85%-0.15%-0.60%3.72%16.160.11中证1000股指期权18.50%1.17%1

6、5.44%0.09%1.30%18.49%19.340.76上证50ETF期权12.53%0.05%8.65%-0.06%7.59%18.92%14.381.05华泰柏瑞300ETF期权14.56%0.39%11.11%-0.15%0.55%4.13%15.720.12南方500ETF期权18.60%1.55%14.66%0.04%-0.37%4.27%19.880.73华夏科创50ETF25.79%-1.09%21.37%0.44%9.45%1.93%25.97(1.29)易方达科创50ETF25.82%0.08%20.74%0.39%7.74%3.63%26.49(1.33)嘉实300ET