股市避险等待，债市?端震荡

1. Report Industry Investment Ratings - The outlook for stock index futures is "oscillating with a slight upward bias" [6] - The outlook for stock index options is "oscillating with a slight downward bias" [6] - The outlook for treasury bond futures is "oscillating" [7] 2. Core Views - Stock index futures: The liquidity crunch in commodities has spread to the stock market, and short - term risk avoidance is needed. Although the medium - term inflation theme in China still holds, in the short term, it is necessary to avoid volatility risks. The market style may shift to value and dividend stocks. It is recommended to switch IC long positions to IH long positions or reduce positions for defense. Later, pay attention to sector catch - up opportunities, and consider switching positions to IM long positions [1][6]. - Stock index options: The hedging sentiment in options is prominent, while the sentiment for betting on a rebound is not significant. It is recommended to continue holding protective put hedges and wait for a downward inflection point in volatility before reducing positions or deploying selling option strategies [2][6]. - Treasury bond futures: The long - end of the bond market shows a relatively strong trend. The long - end interest rate trend is still unclear and may remain oscillating. Short - term strategies may focus on arbitrage, especially the convergence opportunity of the spread between 30 - year and 10 - year treasury bonds [3][7]. 3. Summary by Directory 3.1 Stock Index Futures - Logic: On Monday, the Shanghai Composite Index opened lower and declined, with a one - sided decline of nearly 2.5%. The market priced in the liquidity crunch, mainly due to the spread of external commodity markets. International gold and silver prices continued to decline sharply on the night of last Friday. The Fed's possible actions may lead to a steeper interest rate curve and a stronger US dollar. On Monday, domestic commodities continued to price in the external decline, and many commodity varieties hit the daily limit down, accelerating the negative feedback through margin calls. Although the medium - term inflation theme in China still holds, short - term volatility risks need to be avoided. The market style may shift to value and dividend stocks [1][6]. - Operation Suggestion: Hold IH long positions or dividend ETFs [6]. 3.2 Stock Index Options - Logic: On Monday, the underlying market adjusted with a shrinking volume and a gap - down. The total daily trading volume of financial options increased slightly to 17.14 billion yuan, reaching a recent high. The IV of each variety rose by more than 2.5 percentage points, reaching a high in the past quarter. The buying put hedging sentiment was prominent, while the sentiment for betting on a rebound was general [2][6]. - Operation Suggestion: Hold protective put hedges [6]. 3.3 Treasury Bond Futures - Logic: The performance of treasury bond futures was divided yesterday, with the TL contract strengthening while T and TF were under pressure, and TS remaining stable. The yields of major inter - bank interest - rate bonds showed a divided trend, with the long - end slightly declining and the short - end rising, flattening the yield curve. There are still blockages in liquidity transmission, and the central bank's subsequent actions need to be observed. The traditional logic of "trading bonds based on stocks" or "commodity inflation suppressing interest rates" is less effective. The "stock - bond co - warming" pattern has emerged due to the re - allocation of residents' assets. The long - end interest rate trend is still unclear and may remain oscillating [3][7]. - Operation Suggestion: Trend strategy: oscillating. Hedging strategy: pay attention to short - hedging at low basis levels. Basis strategy: pay attention to ultra - long - end arbitrage opportunities. Curve strategy: pay attention to the flattening of the 30Y - 10Y spread in the short term [7].