市场?险偏好有所降温

Report Industry Investment Rating - No specific industry investment rating is provided in the report. Core Viewpoints of the Report - The market risk appetite has cooled down. In the stock index futures market, leveraged funds are crowded, leading to early profit - taking. In the stock index options market, the bearish side shows strong gaming behavior. In the treasury bond futures market, the bond yield curve has steepened [1]. - For stock index futures, the current pull - back is defined as a shock in a bull market, and the correction is a good opportunity to add positions. For stock index options, it is recommended to use bull spread strategies. For treasury bond futures, short - term bullish sentiment may recover, but medium - term risk preference improvement may disturb bonds, and long - end arbitrage and curve - steepening opportunities can be focused on [9][10][12]. Summary by Relevant Catalogs 1. Market Outlook Stock Index Futures - Viewpoint: Leveraged funds are crowded, leading to early profit - taking. The current pull - back is a shock in a bull market, and the correction is a good opportunity to add positions. The outlook is oscillating with a slight upward trend [9]. - Logic: On Wednesday, the equity market rose and then fell. The Shanghai Composite Index dropped 1.76%, the largest single - day decline since the tariff increase in early April, closing barely above 3800 points. "Fixed - income plus" investors redeemed convertible bond funds due to fear of high prices, causing a 2.65% drop in the convertible bond ETF and a record - high trading volume of 21.1 billion yuan. Leveraged funds are in a crowded state, and market risk appetite is likely to cool down. However, the fear - hedging sentiment is not strong, and the futures discount has not expanded abnormally, indicating that it is mainly individual stock profit - taking. Signals of the end of the bull market have not appeared, and the transfer of household deposits is still in progress [9]. - Operation Suggestion: Allocate long positions in IM [9]. Stock Index Options - Viewpoint: The bearish side shows strong gaming behavior. The market outlook is oscillating [10]. - Logic: The underlying market rebounded in the morning and then dived in the afternoon. Only the Science and Technology Innovation 50 ETF closed up. The option market turnover was 18.528 billion yuan, a 30% increase from the previous trading day. The overall bearish trading volume proportion increased marginally, and the market logic tends to bet on a decline. The position PCR did not drop significantly, and the Shanghai 500 ETF even reached a new high. However, the skewness of the 500 ETF increased significantly, indicating that some call options are also betting on the persistence of the overnight decline. The volatility of some small - scale varieties was greatly affected by intraday trading, while other varieties mainly oscillated at a high level, and the inflection point of the downward volatility has not appeared [10]. - Operation Suggestion: Use bull spread strategies [10]. Treasury Bond Futures - Viewpoint: The bond yield curve has steepened. The short - term bullish sentiment may recover, but the medium - term risk preference improvement may disturb bonds. The market outlook is oscillating [12]. - Logic: The treasury bond futures closed up across the board. The short - end bond yields performed better than the long - end, and the curve steepened. The central bank's net withdrawal of 23.61 billion yuan in the open - market operation did not tighten the inter - bank liquidity, which supported the short - end bonds. The stock - bond seesaw effect was not obvious. The upcoming policies to expand service consumption and promote service exports may still disturb the long - end bonds [12]. - Operation Suggestion: For trend strategies, be cautiously oscillating. For hedging strategies, the cost of short - hedging is high, and long - side alternatives can be considered. For basis strategies, focus on the long - end basis convergence. For curve strategies, focus on curve - steepening opportunities [12]. 2. Economic Calendar - The economic data released this week includes the U.S. new home sales in July, the FHFA housing price index in June, the S&P/CS housing price index in 20 major U.S. cities in June, China's industrial enterprise profits in July, the euro - zone economic sentiment index and consumer confidence index in August, and the U.S. initial and continuing jobless claims in August [13]. 3. Important Information and News Tracking - Unified Market Construction: On August 26, a development planning symposium of the Shanghai market supervision system was held, aiming to build a fair market environment, support the construction of the Yangtze River Delta unified market pilot area, and the international science and technology innovation center [14]. - Overseas Tourist Tax - Free Shopping: Starting from September 1, 2025, Jilin Province will implement the overseas tourist tax - free shopping policy [14]. - Urban Village Renovation: The Shanghai Municipal People's Government Office issued an implementation opinion on accelerating urban village renovation, proposing multiple renovation methods [15]. - Industrial Enterprise Profits: In July, the operating income of large - scale industrial enterprises increased year - on - year, and the profit decline narrowed. The gross profit turned from a decline in June to an increase in July [15]. 4. Derivatives Market Monitoring - The report mentions that there are sections for monitoring stock index futures data, stock index options data, and treasury bond futures data, but no specific data content is provided [16][20][32].