SKEW已达到历史高点，需警惕尾部风险

• The SKEW index has reached historical highs, signaling elevated tail risk concerns. Specifically, the SKEW values for major indices are as follows: CSI 1000 SKEW at 110.41, CSI 500 SKEW at 99.92, SSE 50 SKEW at 101.43, and CSI 300 SKEW at 106.06[4][73][78] - The Cinda-VIX index reflects market expectations of future volatility. As of August 1, 2025, the 30-day VIX values for major indices are: SSE 50 VIX at 19.16, CSI 300 VIX at 19.22, CSI 500 VIX at 23.22, and CSI 1000 VIX at 22.76[4][64][66] - The SKEW index measures implied volatility skew across different strike prices, capturing market sentiment regarding tail risks. A SKEW value above 100 indicates heightened concerns about potential market downturns, often associated with increased demand for out-of-the-money put options[73][78] - The Cinda-VIX index incorporates term structures to reflect volatility expectations across different time horizons, providing insights into investor sentiment for various periods[64][66][70] - The CSI 500 futures contract (IC) adjusted annualized basis spread declined to -10.33%, while the CSI 1000 futures contract (IM) adjusted annualized basis spread fell to -11.85%[22][39][46] - The CSI 500 futures contract (IC) hedging strategy achieved weekly returns of 0.55%, while the CSI 1000 futures contract (IM) hedging strategy delivered weekly returns of 0.32%[4][49][60] - The CSI 500 futures contract (IC) hedging strategy's annualized return ranged from -2.80% to -1.04%, with volatility between 3.84% and 4.63%, and maximum drawdown from -8.65% to -7.97%[49][50][52] - The CSI 1000 futures contract (IM) hedging strategy's annualized return ranged from -6.03% to -3.84%, with volatility between 4.73% and 5.57%, and maximum drawdown from -14.00% to -11.11%[60][61][62]