市场环境因子跟踪周报（2025.09.10）：市场陷入震荡，短期难免颠簸-20250910

• The report tracks multiple market factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors, providing a comprehensive analysis of market dynamics during the period from September 1 to September 5, 2025 [1][10][11] - Stock Market Factors: The report highlights the following: - Market Style: Large-cap style outperformed small-cap, and value style significantly outperformed growth style [11][13] - Market Style Volatility: Volatility in large-cap vs. small-cap styles increased, while volatility in value vs. growth styles decreased [11][13] - Market Structure: Industry index excess return dispersion and industry rotation speed increased, while the proportion of rising constituent stocks decreased. Additionally, the concentration of trading in the top 100 stocks increased, while the top 5 industries' trading concentration remained unchanged [11][13] - Market Activity: Both market volatility and turnover rate continued to rise [12][13] - Commodity Market Factors: The report identifies the following: - Trend Strength: The energy and chemical sectors showed increased trend strength, while other sectors remained stable [19][26] - Basis Momentum: Basis momentum for the black and energy sectors increased [19][26] - Volatility: Volatility in the black and precious metals sectors rose [19][26] - Liquidity: Liquidity performance varied across sectors [19][26] - Options Market Factors: The report notes: - Implied volatility for the SSE 50 and CSI 1000 indices remained high but showed marginal easing. The skew of put options for the SSE 50 rose rapidly, while the CSI 1000 remained unchanged. Additionally, the discount for the CSI 1000 index narrowed, indicating increased market divergence and the rotation and diffusion of market hotspots [30] - Convertible Bond Market Factors: The report highlights: - The convertible bond market experienced a volatile week, with a decline followed by recovery. The valuation of bonds with a par conversion premium stabilized at a mid-level, while the proportion of low-conversion-premium bonds significantly adjusted. Low-premium bonds performed relatively better. Market trading volume slightly contracted but remained healthy, and credit spreads showed an upward trend [31]