5月衍生品月报：股指期货深度贴水与期权市场共振：谨慎情绪初现-20250606

• The report introduces the PCR timing strategy based on the Put/Call Ratio (PCR), which serves as a market sentiment indicator. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests potential sentiment reversal)[4][79][90] - The PCR strategy has shown contributions in 2025 for both the SSE 50 and CSI 300 indices. Specifically, the SSE 50 PCR strategy achieved a year-to-date return of 3.07%, with the latest strategy signal being neutral (signal 0)[4][90] - Performance metrics for the SSE 50 PCR strategy in 2025 include a return of 3.07%, maximum drawdown of 6.51%, annualized volatility of 14.61%, win rate of 55.10%, Calmar ratio of 2.32, and Sharpe ratio of 1[81][83] - Performance metrics for the CSI 300 PCR strategy in 2025 include a return of 0.97%, maximum drawdown of 9.44%, annualized volatility of 16.55%, win rate of 54.08%, Calmar ratio of 1.05, and Sharpe ratio of 0.6[85][86]