金工点评报告：市场降温VIX回落，尾部风险仍需警戒

• The report includes the construction of dividend points for stock index futures contracts, predicting the dividend points for the next year for indices such as CSI 500, CSI 300, SSE 50, and CSI 1000[10][12][16][18] - The construction process involves estimating the dividend points for the contract's duration, adjusting the basis by removing the impact of dividends, and annualizing the basis[20] - The basis adjustment formula is: Expected dividend-adjusted basis = Actual basis + Expected dividends during the contract period[20] - The annualized basis formula is: Annualized basis = (Actual basis + (Expected) dividend points) / Index price × 360 / Remaining days of the contract[20] - The evaluation of the basis adjustment indicates that the basis for IC, IF, IH, and IM contracts has generally increased, with the basis for IC and IM contracts showing a narrowing discount, while IF and IH contracts show a slight increase in premium[21][27][32][38] Model Backtesting Results - IC contract: Annualized basis discount narrowed to 7.58%[21] - IF contract: Annualized basis discount narrowed to 2.07%[27] - IH contract: Annualized basis premium increased to 0.83%[32] - IM contract: Annualized basis discount narrowed to 10.35%[38] Quantitative Factors and Construction - Cinda-VIX: Reflects the expected future volatility of the underlying asset in the options market, with a term structure indicating different volatility expectations for different periods[63] - Cinda-SKEW: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events and potential risks[72] Factor Backtesting Results - Cinda-VIX values as of April 25, 2025: SSE 50VIX 19.21, CSI 300VIX 19.66, CSI 500VIX 29.03, CSI 1000VIX 28.66[64] - Cinda-SKEW values as of April 25, 2025: SSE 50SKEW 102.81, CSI 300SKEW 104.47, CSI 500SKEW 102.76, CSI 1000SKEW 103.65[72] Evaluation of Models and Factors - The basis adjustment model effectively accounts for the impact of dividends on futures contracts, providing a more accurate basis measurement[20] - The Cinda-VIX and Cinda-SKEW indices offer valuable insights into market sentiment and potential risks, with high SKEW values indicating increased concern over extreme negative events[72]