股市继续缩量，债市情绪偏空

1. Report Industry Investment Ratings - The outlook for stock index futures is "shockingly strong" [6] - The outlook for stock index options is "shockingly stable" [6] - The outlook for treasury bond futures is "shockingly weak" [7] 2. Core Views of the Report - Stock index futures are affected by event catalysts, and the sustainability of excess returns is poor. The market is waiting for the next event catalyst, and it is recommended to use a dumbbell structure to deal with market divergence, and to allocate dividend ETF + IM long positions in the short term [1][6] - Stock index options still show a downward volatility trend on the daily line. It is recommended to continue holding the short volatility strategy [2][6] - The sentiment in the treasury bond futures market is bearish. In the short term, the stock - bond seesaw and fund redemption behavior may continue to affect the bond market, and it is recommended to be cautious about the long - end [3][9] 3. Summary According to Relevant Catalogs 3.1 Market Views Stock Index Futures - The basis of IF, IH, IC, IM in the current month is - 12.96 points, - 1.79 points, - 68.71 points, - 79.17 points respectively, with changes of - 2.91 points, 1.44 points, - 12.54 points, - 18.94 points compared with the previous trading day [6] - The inter - period spreads (current month - next month) of IF, IH, IC, IM are 9.6 points, 1.6 points, 60.4 points, 62.4 points respectively, with changes of 2.6 points, 2 points, 1.2 points, - 2.8 points compared with the previous trading day [6] - The positions of IF, IH, IC, IM have changed by 7307 lots, - 93 lots, 1732 lots, 3043 lots respectively [6] - The Shanghai Composite Index fluctuated and closed flat on Wednesday, with trading volume shrinking to 2 trillion yuan. The market focused on local hotspots, and the sustainability of excess returns was poor. Overseas events such as Oracle's expected revenue growth and Microsoft's procurement agreement drove some sectors up, and the news of the National Development and Reform Commission catalyzed the "anti - involution" related sectors [1][6] Stock Index Options - The underlying assets fluctuated strongly yesterday, with the ChiNext and STAR Market ETF leading the gains, and the 500ETF slightly down. The trading volume of the options market was basically the same as the previous trading day [6] - The volatility continued the downward trend. The ChiNext and STAR Market volatility was at a relatively high level, with a higher probability of decline. The short - term call option funds may still be active, and the volatility of deep out - of - the - money contracts declined more slowly. The implied - historical volatility spread narrowed, and the decline at the at - the - money end was more obvious [2][6] - Most sentiment indicators remained neutral, and it is recommended to continue holding the short volatility strategy [2][6] Treasury Bond Futures - The trading volume and positions of T, TF, TS, TL in the next quarter have changed. The inter - period spreads, inter - variety spreads, and basis have also changed [7] - The central bank conducted 304 billion yuan of 7 - day reverse repurchase operations yesterday, with 229.1 billion yuan of reverse repurchases maturing [7] - The main contracts of treasury bond futures fell across the board yesterday. Although the inflation data was generally favorable for the bond market, the bond market continued to adjust under the influence of negative factors such as fund fee reform and institutional redemptions, and the stock market's warming further suppressed the bond market [3][7][9] 3.2 Economic Calendar - China's export annual rate in August was 4% (previous value: 7.2%, forecast: 5%); the import annual rate was 1.3% (previous value: 4.1%, forecast: 3%) [10] - China's CPI annual rate in August was - 0.4% (previous value: 0, forecast: - 0.2%); the PPI annual rate was - 2.9% (previous value: - 3.6%, forecast: - 2.9%) [10] - The US PPI annual rate in August was 2.6% (previous value: 3.3%, forecast: 3.3%) [10] 3.3 Important Information and News Tracking - In August, China's CPI was flat month - on - month and down 0.4% year - on - year, and the core CPI increased by 0.9% year - on - year. The PPI was flat month - on - month and down 2.9% year - on - year, with the decline narrowing [11] - The State Administration for Market Regulation solicited public opinions on measures to promote the development of the private economy in the metrology field [11] - Six departments including the Ministry of Industry and Information Technology launched a 3 - month special rectification action on network chaos in the automotive industry [12] - Ningde Times' subsidiary discussed the resumption of production of the Jiaxiawo lithium mine, aiming to complete the resumption by November, but the outcome is uncertain [12]