—3月衍生品月报（2026/3）：外部宏观与资金信号偏多，风险偏好有所修复-20260311

• The report discusses the activity levels of major stock index futures (CSI 300, SSE 50, CSI 500, and CSI 1000) which stabilized in December 2025, saw a significant increase in January 2026, and a slight decline in February 2026[3][13] - The basis ratio for IF and IM contracts fluctuated around zero, indicating limited bearish forces and a neutral to optimistic market sentiment[3][23] - The 10-year treasury futures showed a slight fluctuation in February, with an implied yield of about 1.67%, lower than the spot treasury yield of about 1.8%[4][41] - The VIX index for major indices decreased in February, indicating a decline in expected future volatility[5][57] - The PCR indicator for SSE 50 and CSI 300 indices fluctuated at low levels in February, indicating a neutral market sentiment[5][66] - The long-term macro signal turned positive as the 10-year US Treasury yield fell to 3.95%, below the 18-month average of about 4.21%, indicating a temporary easing of global interest rate pressures[6][75] - The RMB exchange rate has been appreciating since the second half of 2025, with the USDCNY falling from 7.19 to 6.86, maintaining a positive short-term capital signal[6][76] - The overall macro interest rate environment and exchange rate capital conditions point to an improvement in risk appetite, providing some support for the A-share market[6][77]