【国泰期货】金融期权：成交回升，波动率与标的呈现正相关性。-250516（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：成交回升，波动率成交回升，波动率与标的与标的呈现正相呈现正相关性关性。张雪慧 投资咨询从业资格号：Z0015363 Z 报告导读：报告导读：成交回升，波动率成交回升，波动率与标的与标的呈现正相关性呈现正相关性。（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

2、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2.911.524.433.712.626.338467.583301.4011768.98中证1000股指期权15.5211.7927.3113.8011.4525.25103136.1878449.27181585.45沪深300股指期权6.754.0010.7410.197.5517.7428603.2313763.3142366.54上证50ETF期权61.3151.76113.0665.2475.62140.8625400.

3、5813777.4639178.04华泰柏瑞300ETF期权56.3646.03102.4061.2560.03121.2830989.3118072.6449061.95南方500ETF期权74.6057.33131.9363.1165.16128.2661307.9348914.06110221.98华夏科创50ETF期权33.9319.4953.4296.2470.34166.587136.785119.0512255.83易方达科创50ETF期权9.505.1514.6527.2621.3948.641781.451257.113038.56嘉实300ETF期权7.586.2713.8

4、513.2712.2625.533577.722259.955837.68嘉实500ETF期权7.356.0413.3917.6916.1733.862621.662080.764702.41创业板ETF期权66.8350.35117.1869.7664.54134.3026724.9117434.2944159.20深证100ETF期权4.082.906.985.465.2010.661187.77796.831984.60总计346.72262.63609.35446.97412.31859.28300935.10205226.12506161.23 资料来源：Wind、国泰君安期货研究

5、20252025 年年 5 5 月月 1616 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12.71%-1.82%8.37%0.50%5.39%-6.66%16.19(1.47)沪深300股指期权13.85%-0.54%8.34%-0.01%2.59%-0.85%16.

6、50(0.72)中证1000股指期权19.97%-0.67%17.83%-0.98%-4.04%-4.35%23.06(1.36)上证50ETF期权11.52%-1.45%12.71%2.59%1.29%-2.52%14.71(1.06)华泰柏瑞300ETF期权12.18%-1.09%11.90%0.75%-2.25%-1.68%15.47(1.05)南方500ETF期权16.25%-1.04%12.41%-3.87%-4.94%-2.39%20.34(0.72)华夏科创50ETF21.54%-1.71%14.32%-3.31%0.85%-1.93%29.04(1.63)易方达科创50ETF2