中信期货金融衍生品策略日报：市场暂缺乏?向-20250604

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - In the stock index futures market, tariff fluctuations have resurfaced, and the trading of micro - cap stocks is becoming more crowded. The market lacks a clear main line, and it is recommended to maintain an empty position and wait and see [1][6]. - In the stock index options market, the sentiment direction is unclear. The current covered - call strategy can still be the main position, but attention should be paid to tail risks [2][6]. - In the treasury bond futures market, the bond market sentiment is weak. In the short term, the bond market lacks a clear direction, and the long - end is expected to oscillate with caution [2][7][8]. 3. Summaries According to the Directory 3.1 Market Views 3.1.1 Stock Index Futures - Current Situation: On Tuesday, the Shanghai Composite Index opened lower and closed higher with the trading volume remaining flat. During the Dragon Boat Festival, tariff issues resurfaced. Trump announced on May 30 that the import steel tariff would be raised from 25% to 50% starting from June 4, causing the A - share market to open lower after the holiday. The adjustment of index components led to the inflow of incremental funds into rural commercial banks, and the bank sector led the rise. The micro - cap stock index reached a new high, and the trading congestion continued to increase [1][6]. - Operation Suggestion: Maintain an empty position and wait and see [6]. 3.1.2 Stock Index Options - Current Situation: The underlying market generally rose yesterday, with only the Shanghai - Shenzhen 300 ETF and Shanghai Stock Exchange 50 ETF slightly falling. The option market turnover decreased by 11.62% compared with the last trading day before the holiday. Indicators of each variety are neutral, and the trading and position - holding structures have small daily changes. The skewness of each variety remains at a high level, and the pricing of out - of - the - money puts is relatively high. Volatility has generally declined and is at the lowest level since the September 2024 market [2][6]. - Operation Suggestion: Continue to hold the covered - call strategy [6]. 3.1.3 Treasury Bond Futures - Current Situation: Yesterday, the central bank's reverse repurchase resulted in a net withdrawal of 37.55 billion yuan. Although the funds at the beginning of the month were generally loose and the fund interest rate declined, the T main contract oscillated weakly. The May Caixin Manufacturing PMI was 48.3, lower than the expected 50.7 and the previous value of 50.4, but its impact on the market was limited. The possible phone call between the Chinese and US presidents this week has attracted market attention, and the trading volume of treasury bond futures has declined. The stock - bond seesaw effect is also obvious [2][7][8]. - Operation Suggestion: For trend strategies, maintain the view of oscillation; for hedging strategies, pay attention to short - selling hedging at low basis levels; for basis strategies, appropriately pay attention to basis widening; for curve strategies, the odds of steepening the curve in the medium term are higher [8]. 3.2 Economic Calendar - Provides economic data such as the unemployment rate, CPI, and GDP of the Eurozone, as well as employment data in the US for the current week, including previous values, predicted values, and some announced values [9]. 3.3 Important Information and News Tracking - The Ministry of Industry and Information Technology and other departments are organizing the 2025 new - energy vehicle campaign in rural areas, aiming to promote new - energy vehicles in rural areas and integrate with related pilot projects [10]. - During the Dragon Boat Festival from May 31 to June 2, the cross - regional population mobility was 653.7 million person - times, with a daily average of 217.9 million person - times, a year - on - year increase of 2.5% [10]. 3.4 Derivatives Market Monitoring - The content only mentions the headings of stock index futures data, stock index options data, and treasury bond futures data, but specific data is not provided [11][15][27]