股市配置中盘，债市情绪修复

1. Report Industry Investment Rating - Not provided in the report 2. Core Views of the Report - In the stock index futures market, maintain the idea of actively allocating before the Two Sessions, and recommend continuing to hold IC long - positions. The market shows a pattern where small - cap stocks outperform large - cap stocks, and market volume remains high with capital migration rather than withdrawal [1][7]. - In the stock index options market, although the market lacks momentum, there is still local upward movement and the overall sentiment remains good. It is recommended to buy call options and bull spreads for mid - cap growth and science - innovation styles, and observe the subsequent fluctuations and volume inflection points for other varieties before switching back to covered calls [2][7]. - In the treasury bond futures market, the bond market sentiment is recovering. However, the market sentiment is still vulnerable to external factors such as stock market fluctuations, and it is necessary to closely monitor the release of subsequent economic data [3][7]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - Market Performance: On Thursday, small - cap stocks outperformed large - cap stocks. The CSI 2000 and CSI 1000 indices led the gains, while the banking, non - banking finance, and non - ferrous metals sectors dragged down the performance of the CSI 300 index. Market volume remained high, showing capital migration [1][7]. - Suggestions: Maintain the idea of positive allocation before the Two Sessions and continue to hold IC long - positions [1][7]. 3.1.2 Stock Index Options - Market Performance: The underlying market was mainly volatile yesterday. The CSI 500, CSI 1000, and Science and Technology Innovation Index rose, while large - cap varieties declined. Option market trading volume was 11.31 billion yuan, slightly down 2.64% from the previous day. Most implied volatility varieties fluctuated, with the average of the Science and Technology Innovation 50 ETF rising significantly [2][7]. - Suggestions: Buy call options and bull spreads for mid - cap growth and science - innovation styles, and observe subsequent fluctuations and volume inflection points for other varieties before switching back to covered calls [2][7]. 3.1.3 Treasury Bond Futures - Market Performance: Treasury bond futures rose across the board yesterday. The central bank conducted 9.9 billion yuan of 7 - day reverse repurchases and 1.1 trillion yuan of 3 - month repurchase agreements. The inter - bank liquidity was stable and loose, and the DR001 rate rose slightly to around 1.27%. The on - collateralized repurchase trading volume reached a record high of 89 trillion yuan on Wednesday [3][7][8]. - Suggestions: For trend strategies, maintain a volatile view; for hedging strategies, pay attention to short - hedging at low basis levels; for basis strategies, appropriately pay attention to basis widening; for curve strategies, the yield curve may remain steep [9]. 3.2 Economic Calendar - China's December SPGI Services PMI was 52, China's December foreign exchange reserves were 3.358 trillion US dollars, the US December ADP employment change was 4.1 million, the Eurozone November unemployment rate was 6.3%, and the Eurozone December economic sentiment index was 96.7. There are still data such as China's December CPI and PPI annual rates, US December non - farm payrolls, and the initial value of the US January University of Michigan Consumer Confidence Index to be released [10]. 3.3 Important Information and News Tracking - Geopolitics: On January 7, local time, US President Trump signed a presidential memorandum instructing the US to withdraw from 66 international organizations [11]. - Artificial Intelligence: The Chinese government supports enterprises in conducting cross - border business and international technological cooperation in accordance with laws and regulations. The Ministry of Commerce will evaluate and investigate the consistency of Meta's acquisition of the artificial intelligence platform Manus with relevant laws and regulations [11]. 3.4 Derivatives Market Monitoring - Stock Index Futures Data: Details of basis, spreads between contracts, and total positions of IF, IH, IC, and IM are provided, but specific data summaries are not further elaborated in this output [7]. - Stock Index Options Data: Not elaborated in the given text. - Treasury Bond Futures Data: Information on trading volume, positions, inter - period spreads, inter - variety spreads, and basis of T, TF, TS, and TL is provided, but specific data summaries are not further elaborated in this output [7].