中小盘贴水扩大，沪深300尾部风险升温

• The report introduces the Cinda-VIX volatility index, which reflects investors' expectations of future volatility in the options market. The index is calculated based on methodologies adapted from international practices and tailored to China's options market. It includes a term structure to show volatility expectations over different time horizons. As of October 10, 2025, the 30-day Cinda-VIX values for major indices are: 20.50 for SSE 50, 20.30 for CSI 300, 26.71 for CSI 500, and 24.66 for CSI 1000[62][64][65] - The Cinda-SKEW index measures the skewness of implied volatility across different strike prices of options. It captures market expectations of potential tail risks, with higher values indicating increased concerns about significant downside risks. As of October 10, 2025, the SKEW values for major indices are: 99.06 for SSE 50, 105.08 for CSI 300, 101.31 for CSI 500, and 104.27 for CSI 1000[69][70][77] - The report evaluates basis-adjusted futures hedging strategies for major indices (CSI 500, CSI 300, SSE 50, CSI 1000). The strategies include continuous monthly hedging, continuous quarterly hedging, and minimum basis strategies. The strategies are tested over the period from July 22, 2022, to October 10, 2025, with specific parameters such as holding periods, rebalancing rules, and capital allocation between spot and futures positions[44][45][46] - Performance of IC hedging strategies (CSI 500 futures): The annualized returns are -3.09% for monthly continuous hedging, -2.20% for quarterly continuous hedging, and -1.49% for minimum basis strategy, compared to 5.22% for the index. Volatility ranges from 3.88% to 4.79%, and maximum drawdowns range from -7.97% to -9.77%. Net values are 0.9045, 0.9314, and 0.9532, respectively[47][48] - Performance of IF hedging strategies (CSI 300 futures): The annualized returns are 0.45% for monthly continuous hedging, 0.66% for quarterly continuous hedging, and 1.22% for minimum basis strategy, compared to 2.72% for the index. Volatility ranges from 2.96% to 3.31%, and maximum drawdowns range from -3.95% to -4.06%. Net values are 1.0145, 1.0213, and 1.0395, respectively[49][53] - Performance of IH hedging strategies (SSE 50 futures): The annualized returns are 1.07% for monthly continuous hedging, 1.95% for quarterly continuous hedging, and 1.70% for minimum basis strategy, compared to 1.37% for the index. Volatility ranges from 3.04% to 3.45%, and maximum drawdowns range from -3.75% to -4.22%. Net values are 1.0344, 1.0637, and 1.0553, respectively[54][57] - Performance of IM hedging strategies (CSI 1000 futures): The annualized returns are -6.21% for monthly continuous hedging, -4.53% for quarterly continuous hedging, and -4.10% for minimum basis strategy, compared to 1.16% for the index. Volatility ranges from 4.77% to 5.80%, and maximum drawdowns range from -11.11% to -14.00%. Net values are 0.8294, 0.8511, and 0.8658, respectively[58][59]