股指期货：市场解读“反内卷”为反弹??反转股指期权：备兑防御为主

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - The market interprets the "anti - involution" policy as a price rebound rather than a reversal. Stocks in coal, transportation, and steel industries led the decline, while those in electronics, power equipment, and pharmaceutical biology industries led the rise. The semi - annual report pre - increase theme is a visible investment line until mid - July. In the high - level oscillation period, it is advisable to focus on arbitrage opportunities by going long on far - month contracts and short on near - month contracts in the stock index futures market [1][6]. - In the stock index options market, due to low trading liquidity and volatility, and the potential ineffectiveness of sentiment indicators, it is recommended to adopt a covered defense strategy [2][6]. - In the treasury bond futures market, the short - end performed better than the long - end. The long - end bullish sentiment weakened marginally. In the short term, the bond market is expected to continue to oscillate due to factors such as the central bank's cautious liquidity injection, high local bond supply in July, and potential tariff disturbances [2][7][8]. 3. Summary by Directory 3.1 Market Views - Stock Index Futures - Data: IF, IH, IC, IM's current - month basis points were - 21.47, - 16.95, - 48.66, - 63.24 respectively, with changes of 1.22, 2.6, - 12.31, - 15.95 points compared to the previous trading day; the current - month to next - month spreads were 18.6, 4.6, 54.2, 71.8 points respectively, with changes of 0.8, - 0.8, 3.8, - 1.6 points; the positions changed by - 481, - 1877, 1566, 2566 lots respectively [6]. - Logic: The market interprets the "anti - involution" policy as a price rebound. After excluding inflation - chain investment opportunities, funds rotate among scattered hot industries. There is a lack of a main line to boost trading volume during the high - level oscillation period [6]. - Operation Suggestion: Hold a wait - and - see attitude [6]. - Stock Index Options - Data: The trading volume of the options market rebounded slightly, but the overall trading liquidity remained low. The implied volatility of CSI 1000 index options dropped by 0.39%, and that of SSE 500 ETF options decreased by 0.18% [2][6]. - Logic: The double - low situation of liquidity and volatility, combined with the ineffective sentiment indicators, indicates that the index has resistance above and the market will continue to oscillate [2][6]. - Operation Suggestion: Adopt a covered defense strategy [2][6]. - Treasury Bond Futures - Data: The trading volumes of T, TF, TS, TL's current - quarter contracts were 64924, 51486, 24843, 72609 lots respectively, with 1 - day changes of 6969, 5555, - 101, 3741 lots; the positions were 206020, 156476, 115715, 117980 lots respectively, with 1 - day changes of - 499, - 1347, 120, - 1737 lots. Other spread and basis data are also provided [7]. - Logic: The long - end bullish sentiment weakened marginally due to the stock - bond seesaw effect and the profit - taking motivation of long - end futures. The central bank may be cautious in liquidity injection, and the local bond supply in July may be high, limiting the downward space of interest rates. Tariff disturbances may increase after July 9 [2][7][8]. - Operation Suggestion: Maintain an oscillating trend strategy; pay attention to short - hedging at low basis levels; appropriately focus on basis widening; the mid - term strategy of steepening the yield curve has higher odds [8]. 3.2 Economic Calendar - The official manufacturing PMI in China in June was 49.7, up from 49.5 in the previous month. The final value of the US Markit manufacturing PMI in June was 52.9, higher than the expected and previous values. The US unemployment rate in June was 4.1%, lower than the expected 4.3% and the previous 4.2%, and the non - farm payrolls increased by 14.7 million, higher than the expected 10.6 million [9]. 3.3 Important Information and News Tracking - Domestic Macro: On July 3, the Minister of the Ministry of Industry and Information Technology hosted a manufacturing enterprise symposium, where 14 photovoltaic enterprises and industry association representatives exchanged views on various aspects and put forward policy suggestions [9]. - Overseas Macro: The US non - farm payrolls increased by 14.7 million in June, higher than expected, and the unemployment rate dropped to 4.1%. The private - sector employment increased by only 7.4 million, the lowest since last October, mainly driven by the healthcare industry [10]. 3.4 Derivatives Market Monitoring - The report mentions the monitoring of stock index futures, stock index options, and treasury bond futures data, but specific data details are not fully presented in the provided content [11][15][27].