【国泰期货】金融期权：隐波与标的资产呈现正相关性，市场看涨情绪回落。-250627（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：隐波隐波与标的资产呈现正相关性与标的资产呈现正相关性，市市场看涨情绪回落场看涨情绪回落。张雪慧 投资咨询从业资格号：Z0015363 Z 报告导读：报告导读：隐波与标的资产呈现正相关性隐波与标的资产呈现正相关性，市场看涨情绪回落市场看涨情绪回落。（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

2、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2.801.224.023.052.035.099542.994386.4813929.47中证1000股指期权12.208.4920.7011.0810.2921.38115054.6269812.33184866.94沪深300股指期权6.022.989.018.845.7214.5529761.8014579.0344340.83上证50ETF期权75.3164.22139.5458.0959

3、.62117.7026939.1217391.6644330.78华泰柏瑞300ETF期权68.7851.22120.0056.3649.58105.9335200.8221523.2256724.04南方500ETF期权85.0066.03151.0351.8153.74105.5469133.7847647.95116781.73华夏科创50ETF期权52.9126.9179.8280.0754.23134.3010911.026950.4217861.44易方达科创50ETF期权12.457.2119.6523.3216.9440.262241.891674.293916.18嘉实300

4、ETF期权7.175.4712.648.448.4716.913216.352048.685265.03嘉实500ETF期权8.866.3815.2411.1810.7521.933539.132107.015646.13创业板ETF期权90.8559.23150.0759.5151.23110.7535021.2018511.6953532.89深证100ETF期权3.663.256.914.124.258.371261.61849.492111.10总计426.02302.61728.63375.86326.84702.70341824.32207482.24549306.56 资料来源：

5、Wind、国泰君安期货研究 20252025 年年 6 6 月月 2727 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12.52%-1.11%9.83%1.37%6.24%-2.59%15.46(0.93)沪深300股指期权12.96%-0.92%10.35%0.41%

6、5.69%-3.74%15.77(0.82)中证1000股指期权16.84%-1.50%15.88%0.01%5.16%-1.45%19.84(1.09)上证50ETF期权12.24%-1.20%9.61%1.18%8.62%-0.04%14.33(0.97)华泰柏瑞300ETF期权12.87%-0.78%9.81%0.36%14.31%10.00%15.10(0.64)南方500ETF期权15.63%-0.80%12.55%0.02%6.31%2.73%19.22(0.79)华夏科创50ETF20.35%-0.93%14.73%-0.05%15.57%-1.10%25.27(0.92)易方达