股指对冲正当时：期货及期权对冲策略详解

Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Views of the Report - The current hedging cost - performance in the derivatives market is prominent, and the timing is right. Both the futures and options have low hedging costs, meeting the risk - hedging needs of the current high - level volatile A - share market [3][4]. - The core of futures hedging lies in contract optimization, which can effectively reduce hedging costs. By selecting contracts with the highest annualized basis rate and dynamically shifting positions, the hedging effect can be optimized [4]. - The combined futures and options hedging strategy achieves the best balance between risk and return. After a sharp market decline, switching to put options can avoid the drawbacks of futures hedging and retain upside potential while hedging downside risks [5]. Group 3: Summaries According to the Table of Contents Preface - In January 2026, the A - share market entered a high - level volatile phase after the 17 - day consecutive bull market. The high valuation of major indices increased the market correction risk, while the hedging costs of options and futures were low, making it a good time for investors to engage in hedging [12]. What is Hedging Cost? - Futures Hedging Cost: The hedging cost of stock index futures is the premium. The annualized basis rate represents the hedging cost of each contract, and relevant data can be found on the Huatai Futures Tianji platform [14]. - Options Hedging Cost: The hedging cost of stock index options is the time value of the option contract. The implied volatility index reflects the size of the option time value, and relevant data can also be found on the Huatai Futures Tianji platform. The price of options is also affected by the premium of stock index futures [15][16]. - Analysis of Current Market Hedging Costs: The hedging costs of both stock index futures and options are at historical lows. The premium of futures contracts is at a low level, and some near - month contracts have even shown a premium. The implied volatility of the CSI 1000 index has dropped to 20.65% [17]. Stock Index Futures and Options Hedging Strategies - Spot Selection: The report selects the CSI 1000 index - enhanced fund "SMXXXX87" as the spot for hedging. Index - enhanced funds are suitable for hedging with derivatives, and most neutral hedge funds in the market are equivalent to the combination of index - enhanced funds and short - positions in stock index futures [18][19][20]. - Back - testing Settings: The back - test targets are CSI 1000 stock index futures and options, covering the period from July 22, 2022, to January 9, 2026. All positions are opened at the opening time, with specific trading costs for futures and options [21]. - Stock Index Futures Hedging: Using near - month futures contracts for long - term hedging can significantly reduce portfolio volatility but sacrifices some returns. The annualized return of the hedging portfolio decreased by 7.66%, while risk indicators such as volatility and drawdown were greatly improved [21][24]. - Stock Index Futures Hedging (Contract Optimization): By optimizing the contract selection, the hedging cost can be reduced. The optimization method is to select the contract with the highest annualized basis rate for opening positions and shift positions based on the basis rate difference. The back - test shows that the annualized return of the optimized futures hedging strategy is about 2.5% higher than that of the near - month futures hedging strategy [23][25][26]. - Stock Index Futures and Options Hedging (Using Options after a Sharp Decline): This strategy combines futures and options. When the market experiences a sharp decline, it switches from short - positions in futures to long - positions in put options. The back - test shows that the annualized return of this strategy reaches 22.68%, the maximum drawdown is reduced to 11.11%, and the Sharpe ratio is increased to 2.0, outperforming the pure futures hedging strategy and the CSI 1000 index - enhanced fund [34][35][37]. - Summary: The report summarizes the net value curves and risk - return indicators of each strategy, showing that the combined futures and options hedging strategy has the best performance [37][38][39]. Stock Index Futures and Options Hedging Case Analysis - CSI 1000 Case Period Trend: The report selects the historical period from October 10, 2024, to February 10, 2025, for case analysis. This period is similar to the current market situation and has a relatively complete market cycle [42]. - Near - Month Futures Hedging Case Analysis: The near - month futures hedging strategy continuously holds short - positions in near - month futures contracts and shifts positions when the contract expiration is less than 10 trading days. In this four - month period, the derivatives end of this strategy transferred positions 3 times, with a total loss of 315.8 points [45]. - Optimized Futures Hedging Case Analysis: The optimized futures hedging strategy selects contracts with the highest annualized basis rate for opening positions and shifts positions based on the basis rate difference and contract expiration. In this four - month period, the strategy transferred positions 4 times, with a total loss of 259 points, less than the near - month futures hedging strategy [48][49]. - Optimized Futures and Options Hedging Case Analysis: This strategy switches from short - positions in futures to long - positions in put options when the market experiences a sharp decline. In this four - month period, the strategy transferred positions 7 times, with a total profit of 282.8 points, outperforming the optimized futures hedging strategy [52][53]. Conclusion - The report comprehensively analyzes stock index futures and options hedging strategies, defines their hedging costs, designs and back - tests three types of hedging strategies. The optimized futures and options hedging strategy achieves the best balance between risk and return. The case analysis further verifies its effectiveness, and investors can use the quantitative timing futures - options hedging strategy in the current market environment for portfolio appreciation [57].