10月衍生品月报（2025/10）：衍生品市场提示情绪中性偏谨慎-20251013

• The report introduces a PCR timing strategy based on the Put/Call Ratio (PCR), which is a market sentiment indicator. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests a sentiment bottom with potential reversal) [5][66][73] - The PCR timing strategy is applied to Shanghai Stock Exchange 50 (SSE 50) and CSI 300 indices. The strategy's performance is tracked, showing a year-to-date return of 0.09% for CSI 300, with the latest signal being "no position" (signal 0) [5][73][83] - The PCR timing strategy performance metrics for CSI 300 include annualized volatility (15.31%), maximum drawdown (9.44%), Sharpe ratio (0.25), and Calmar ratio (0.43) for 2025. The overall performance from 2020 to 2025 shows an annualized return of 19.96%, maximum drawdown of 23.42%, and Sharpe ratio of 1 [79] - For SSE 50, the PCR timing strategy metrics for 2025 include annualized volatility (13.46%), maximum drawdown (12.59%), Sharpe ratio (-0.24), and Calmar ratio (-0.2). The overall performance from 2017 to 2025 shows an annualized return of 14.06%, maximum drawdown of 24.96%, and Sharpe ratio of 0.75 [80]