12月衍生品月报（2025/12）：衍生品市场提示情绪中性-20251206

• The report tracks the basis of major indices' next-month contracts compared to the indices themselves[15][17][20] - The basis of major index futures remains at a low level, with the Shanghai 50 and CSI 300 showing no significant discount, while the CSI 500 and CSI 1000 still have some discount[20] - The structure of index futures basis reflects market expectations for future trends, with a premium indicating bullish sentiment and a discount possibly indicating pessimism or liquidity tightness[21] - The average discount ratio is basically flat compared to the previous month, reflecting a neutral sentiment among index futures market investors towards the stock market[27] - The implied yield of the 10-year treasury futures is 1.74%, lower than the corresponding spot yield of 1.83%, indicating optimistic sentiment among investors towards the bond market[37] - The structure of treasury futures basis reflects market expectations for future interest rate trends, with a premium indicating expected interest rate decline (bond price rise) and a discount indicating expected interest rate rise (bond price fall)[41] - The VIX index of major options reflects market expectations for stock market volatility over the next 30 days[47] - The PCR (Put/Call Ratio) of options holdings is an indicator of market sentiment, with a rising PCR indicating relatively good market sentiment[59] - The PCR of 300ETF options and 50ETF options increased in November, indicating positive market sentiment[65]