调整中见韧性：VIX理性上行叠加期指资金积极布

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - This week, although the index showed a weakening trend, the derivatives market demonstrated a relatively restrained emotional response. The VIX increased overall but did not experience an extreme upward movement. The SKEW continued to rise, but most varieties except the Shanghai - Shenzhen 50 remained below the extreme threshold, indicating that investors' concerns about tail - risks were relatively rational. More positively, the futures index market increased its positions by over 70,000 contracts this week, and the basis of small - and medium - cap futures improved significantly, with the IM basis narrowing by nearly 100 points, suggesting that funds were making structural layouts during the market adjustment, presenting a market characteristic of index pressure but non - extreme expectations [2]. 3. Summary by Relevant Catalogs 3.1. Estimation of Dividends during the Lifespan of Stock Index Futures Contracts and Basis Correction - Dividend Estimation: On November 21, 2025, the estimated dividend points for the CSI 500, SSE 50, CSI 1000, and Shanghai - Shenzhen 300 indexes in the next year were 80.73, 63.63, 63.40, and 80.42 respectively. The estimated dividend points during the lifespan of different contracts for each index were also provided [4][9]. - Basis Correction: The basis of a stock index futures contract is the difference between the contract's closing price and the closing price of the underlying index. When analyzing the contract basis, the impact of dividends needs to be removed. This week, the adjusted annualized basis of the current - quarter IC contract increased, while those of the IF, IH, and IM contracts decreased. The trading and holding levels of IC, IF, IH, and IM contracts increased compared to the previous week [19][20][26]. 3.2. Back - testing and Tracking of Spot - Futures Hedging Strategies - Strategy Introduction: The strategy is based on the analysis of basis convergence factors and optimization strategies in the relevant research report. Two strategies, continuous hedging and minimum basis strategy, are used for back - testing, with specific parameter settings provided [45][46]. - Performance of Different Strategies: For different indexes (CSI 500, Shanghai - Shenzhen 300, SSE 50, and CSI 1000), the back - testing results of different strategies (continuous hedging and minimum basis strategy) from July 22, 2022, to November 21, 2025, are presented, including indicators such as annualized return, volatility, maximum drawdown, net value, and annual turnover times. This week, the IC and IM hedging strategies had drawdowns, while the IF and IH hedging strategies performed stably [48][50][55]. 3.3. Cinda Options Series Indexes - Cinda Volatility Index Cinda - VIX: Cinda - VIX can reflect investors' expectations of the future volatility of the underlying asset. As of November 21, 2025, the 30 - day VIX values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 19.95, 21.49, 32.21, and 26.91 respectively [63]. - Cinda Volatility Index Cinda - SKEW: The SKEW index measures the degree of volatility skew. When the SKEW index exceeds 100, it usually means that investors are more worried about the risk of a significant market decline. As of November 21, 2025, the SKEW values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 104.78, 104.75, 104.79, and 106.83 respectively [71][72].