金工点评报告：贴水收窄VIX下行，市场情绪温和转暖

• The report introduces the Cinda-VIX volatility index, which reflects investors' expectations of future volatility in the options market. The index is structured to capture volatility expectations across different time horizons for major indices, including the CSI 500, CSI 1000, SSE 50, and CSI 300. The methodology is based on adjustments to overseas practices tailored to China's market conditions[65][64][67] - The Cinda-SKEW index measures the skewness of implied volatility across different strike prices of options. It captures market sentiment regarding tail risks, with higher values indicating increased concerns about potential market downturns. As of September 26, 2025, the SKEW values for SSE 50, CSI 300, CSI 500, and CSI 1000 are 100.47, 104.24, 102.07, and 103.14, respectively[72][71][79] - The report evaluates basis adjustment for stock index futures, where the annualized basis is calculated as: $ Annualized Basis = (Actual Basis + Expected Dividend Points) / Index Price × 360 / Remaining Days of Contract $ This adjustment accounts for the impact of dividends on futures prices during the contract's lifespan[22][9][23] - The IC futures hedging strategy is tested using three approaches: monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging. Results show annualized returns of -3.04%, -2.11%, and -1.43%, respectively, with volatility ranging from 3.88% to 4.79%[50][51][53] - The IF futures hedging strategy demonstrates annualized returns of 0.47%, 0.66%, and 1.24% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively. Volatility is between 2.96% and 3.32%[52][56][55] - The IH futures hedging strategy yields annualized returns of 1.04%, 1.93%, and 1.68% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively, with volatility ranging from 3.05% to 3.45%[57][60][59] - The IM futures hedging strategy results in annualized returns of -6.18%, -4.51%, and -4.07% for monthly continuous hedging, quarterly continuous hedging, and minimum basis hedging, respectively. Volatility is between 4.77% and 5.80%[61][62][63]