市场环境因子跟踪周报（2025.11.13）：市场维持震荡，风格轮动提速-20251113

• The report tracks various market factors, including stock market, commodity market, options market, and convertible bond market, focusing on their weekly performance and trends[1][3][12] - Stock Market Factors: The report highlights the following: - Market Style: Small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. Both small-cap and value-growth style volatilities decreased[12][14] - Market Structure: Industry excess return dispersion and industry rotation speed increased. The proportion of rising constituent stocks also increased, while the concentration of trading in the top 100 stocks and top 5 industries decreased[12][14] - Market Activity: Both market volatility and turnover rate declined[13][14] - Commodity Market Factors: Key observations include: - Trend Strength: The trend strength of agricultural products decreased, while other sectors showed minimal changes[24][31] - Basis Momentum: Basis momentum increased across all sectors[24][31] - Volatility: Volatility decreased across all sectors except agricultural products[24][31] - Liquidity: Liquidity declined across all sectors[24][31] - Options Market Factors: The implied volatility levels of SSE 50 and CSI 1000 options decreased. However, the put-call open interest ratio increased. Additionally, the skewness of both put and call options for SSE 50 rose significantly[35] - Convertible Bond Market Factors: The convertible bond market performed well, with the following trends: - The premium rate of bonds priced around 100 yuan increased significantly, nearing the 90th percentile of the past year[37] - The premium rate of pure debt bonds also slightly increased, while the proportion of low premium rate bonds remained stable[37] - Weekly trading volume continued to recover[37]