【金融工程】市场陷入震荡，短期难免颠簸——市场环境因子跟踪周报（2025.09.10)

Market Overview - The current market sentiment remains heated, with the A-share upward cycle not yet over, but transitioning from a unilateral rise to a "slow bull" phase, indicating potential short-term volatility [1][4] - Growth style shows greater elasticity supported by industrial trends and earnings growth prospects, while cyclical style remains more stable; a balanced approach is recommended for investors [1][4] Equity Market Analysis - Last week, the market style favored large-cap stocks, with value style significantly outperforming; the volatility of large and small-cap styles increased rapidly, while value and growth style volatility decreased [6][7] - The excess return dispersion of industry indices increased, indicating a rise in industry rotation speed, while the proportion of rising constituent stocks decreased, suggesting a weakening of the strong index trend [6] - The trading concentration increased, with the top 100 stocks' trading volume share rising, while the top five industries' trading volume share remained stable compared to the previous period [6] Market Activity - Market volatility and turnover rate continued to rise last week, indicating increased market activity [7] Commodity Market Insights - In the commodity market, the energy and chemical sector's trend strength increased, while other sectors remained stable; the basis differential momentum for black and energy sectors rose [21] - Volatility increased in the black and precious metals sectors, with liquidity performance showing divergence across sectors [21] Options Market Overview - Implied volatility for the SSE 50 and CSI 1000 remains high but has shown marginal easing; the skew of put options for the 50ETF has risen rapidly, while the CSI 1000 remains unchanged [25] Convertible Bond Market Analysis - The convertible bond market experienced a decline followed by recovery, with significant volatility; the premium rate for bonds convertible at 100 yuan stabilized at a mid-level [27] - The proportion of low premium convertible bonds has notably decreased, with these bonds performing relatively well; market trading volume has contracted but remains within a healthy range [27]