基层后回周度预测 2025/8122 本周预测结论 IC I H IF I M 下周预测万回 注: 代表预测基差下周走强, 代表预测基差下周走弱。 本周回顾 美联储7月会议纪要公布,显示内部分歧进一步加剧,在通胀上行和就业下行的风险之间面临权 衡,也并未对9月降息作出任何暗示,鲍威尔将在22日晚杰克逊霍尔会议发表讲话,而美国8月制造业 PMI意外创三年新高,可能导致市场普遍押注的9月降息出现变数。近期国内政策力度边际收敛,指数的 主要推动力来自场内普遍的"93共识"以及机构抱团行为,除此之外地缘方面表现平静,美俄首脑会晤 并无实质性协议达成,主要的犹动则是港股和美股的持续回调,但在内地杠杆资金的支持下A股并未受 其拖累. 融资余额连续以924以来单日新高的速度大幅净增,本周已净买入超过800亿。同时全A成交显 著放量,单日成交2.5万亿左右,低开高走、回调买入的力量突出、周五芯片链集中爆发,科创50成为 本周最强指数，涨幅超过13%。各宽基周中均出现一定回调，但下方承接力量较强，周线涨幅依然可 观，8月录得周线三连阳,上证指数升破3800点。本周指数上涨带动各品种基差进一步上行, IH、IF上 行幅度较小, ...

Report Summary 1. Market Performance Stock Index Futures - On July 4th, most of the four major A-share stock indexes declined. The Shanghai Composite Index rose 0.32% to close at 3472.32 points, while the Shenzhen Component Index fell 0.25% to 10508.76 points, the ChiNext Index dropped 0.36% to 2156.23 points, and the STAR 50 Index declined 0.01% to 984.8 points. Market trading volume was 1.4545 trillion yuan, an increase of 121 billion yuan from the previous day [2]. - In terms of industry sectors, banks (+1.84%), media (+0.91%), and composites (+0.71%) led the gains, while beauty care (-1.87%), non-ferrous metals (-1.6%), and basic chemicals (-1.22%) led the losses. In terms of market strength, IH > IF > IC > IM, with the number of rising/flat/falling stocks being 1169/129/4118 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of -8.6 billion, -15 billion, 1.6 billion, and 22 billion yuan respectively, with changes of -12.3 billion, -8.9 billion, +6.6 billion, and +14.6 billion yuan respectively [2]. - For index futures basis, the basis of IM, IC, IF, and IH next - month contracts were 125.8, 90.44, 37.4, and 23.24 points respectively, with annualized basis yields of -16.07%, -12.34%, -7.57%, and -6.84% respectively, and three - year historical quantiles of 11%, 10%, 16%, and 18% respectively [2]. Treasury Bond Futures - On July 4th, the yields of treasury bond futures continued to decline. Among the active contracts, the implied interest rate of the two - year bond was 1.305, down 0.14 bps from the previous day; the five - year bond was 1.441, down 0.48 bps; the ten - year bond was 1.566, down 0.6 bps; and the thirty - year bond was 1.901, down 0.6 bps [3]. - In the cash bond market, for the currently active 2509 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year treasury bond futures, the CTD bond was 250006.IB, with a yield change of -1 bps, a corresponding net basis of -0.047, and an IRR of 1.65%; for the 5 - year, it was 240020.IB, yield change -0.5 bps, net basis -0.061, IRR 1.72%; for the 10 - year, it was 220010.IB, yield change -0.25 bps, net basis -0.097, IRR 1.84%; for the 30 - year, it was 210005.IB, yield change -0.5 bps, net basis -0.108, IRR 1.8% [3]. - In terms of the money market, the central bank injected 3.4 billion yuan and withdrew 525.9 billion yuan through open - market operations, resulting in a net withdrawal of 491.9 billion yuan [3]. 2. Trading Strategies Stock Index Futures - In the short term, as the index futures discount returns and the current direction is unclear, a neutral strategy can be considered. In the medium - to - long term, a bullish view on the economy is maintained. Buying IF, IC, and IM long - term contracts on dips is recommended as using stock indexes as a long - position substitute can generate certain excess returns. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. Treasury Bond Futures - On the futures side, the long - end bullish force is strong, possibly betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended. Short - term T and TL contracts can be bought on dips, and medium - to - long - term T and TL contracts can be hedged on rallies [3]. 3. Data Tables Stock Index Futures Spot and Futures Market Performance - Tables show detailed data of various stock index futures contracts (such as IC2507, IF2507, etc.), including their names, price changes, current prices, trading volumes, open interest, basis, and annualized basis yields [6]. Treasury Bond Futures Spot and Futures Market Performance - Tables present detailed data of various treasury bond futures contracts (such as TS2509, TF2509, etc.), including their names, price changes, current prices, trading volumes, open interest, net basis, and CTD bond implied interest rates [8]. Short - Term Fund Rate Market Changes - The table shows the current prices, previous day prices, prices one week ago, and prices one month ago of short - term fund rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [12]. 4. Economic Data - High - frequency data shows that the recent real estate market sentiment has contracted, while the other four sectors are similar to the same period [12]. 5. Relevant Personnel - Yuhu Shan is the head of the investment consulting department of China Merchants Futures, with 13 years of futures experience. He has in - depth research on stock index futures, options, and quantitative trading and has won relevant awards and published many articles [16]. - Shiwei Xu is the supervisor of the financial group of China Merchants Futures, with over 10 years of experience in futures and derivatives investment research. He has won many awards and has participated in option product design [16].

Report Information - Report Date: July 4, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] Investment Ratings - No investment ratings for the industry are provided in the report. Core Views - For stock index futures, in the short - term, the discount of stock indices is reverting and the direction is unclear, so a neutral strategy can be considered; in the medium - to long - term, a bullish view on the economy is maintained, and it is recommended to allocate IF, IC, IM forward contracts on dips; for near - month contracts, there is a risk of decline in micro - cap stocks, which may drag down IC and IM indices, so caution is advised [2]. - For treasury bond futures, the long - end has strong bullish power, betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Summary by Directory 1. Stock Index Futures Market Performance - On July 3, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.18% to 3461.15 points, the Shenzhen Component Index rose 1.17% to 10534.58 points, the ChiNext Index rose 1.9% to 2164.09 points, and the STAR 50 Index rose 0.24% to 984.95 points. Market turnover was 1333.5 billion yuan, a decrease of 71.6 billion yuan from the previous day. In terms of industry sectors, electronics, power equipment, and pharmaceutical biology led the gains, while coal, transportation, and steel led the losses. In terms of market strength, IF>IM>IC>IH, and the number of rising, flat, and falling stocks were 3270, 283, and 1863 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 3.6 billion yuan, - 6.1 billion yuan, - 5 billion yuan, and 7.4 billion yuan respectively, with changes of + 19.4 billion yuan, + 11.3 billion yuan, - 9.8 billion yuan, and - 20.9 billion yuan respectively [2]. Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH were 135.04, 102.86, 40.07, and 21.55 points respectively, with annualized basis yields of - 16.63%, - 13.57%, - 7.89%, and - 6.18% respectively, and three - year historical quantiles of 11%, 9%, 15%, and 19% respectively. The trading strategy is as described in the core views [2]. Stock Index Futures Contracts Performance - Details of the performance of various stock index futures contracts such as IC, IF, IH, and IM in terms of price, trading volume, open interest, basis, etc. are provided in Table 1 [6]. 2. Treasury Bond Futures Market Performance - On July 3, the yields of most treasury bond futures rose. For active contracts, the implied interest rate of the two - year bond was 1.301, unchanged from the previous day; the five - year bond was 1.441, up 0.24 bps; the ten - year bond was 1.565, up 0.6 bps; and the thirty - year bond was 1.904, up 0.42 bps [3]. Cash Bonds and Trading Strategy - The current active contract is the 2509 contract. Information on the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures is provided. In terms of trading strategy, the long - end has strong bullish power, and a short - term long and long - term short strategy is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Treasury Bond Futures Contracts Performance - Details of the performance of various treasury bond futures contracts such as TS, TF, T, and TL in terms of price, trading volume, open interest, net basis, etc. are provided in Table 2 [8]. 3. Economic Data - High - frequency data shows that recent social activities and real estate sentiment have contracted. Changes in short - term funding rates are also presented in Table 3 [12].

Report Summary 1. Market Performance - On July 2nd, A-share four major stock indexes pulled back, with the Shanghai Composite Index down 0.09% to 3454.79 points, the Shenzhen Component Index down 0.61% to 10412.63 points, the ChiNext Index down 1.13% to 2123.72 points, and the Science and Technology Innovation 50 Index down 1.22% to 982.64 points. Market turnover was 1.4051 trillion yuan, a decrease of 91.4 billion yuan from the previous day [1]. - In terms of industry sectors, steel (+3.37%), coal (+1.99%), and building materials (+1.42%) led the gains; electronics (-2.01%), communication (-1.96%), and national defense and military industry (-1.94%) led the losses [1]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1,943/190/3,282 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors' net capital inflows were -15.8 billion, -17.4 billion, 4.8 billion, and 28.4 billion yuan respectively, with changes of -6.7 billion, -3.4 billion, +2.5 billion, and +7.6 billion yuan respectively [1]. 2. Stock Index Futures - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 120.68, 86.75, 40.48, and 24.95 points respectively, and the annualized basis yields were -14.49%, -11.15%, -7.78%, and -6.94% respectively, with three - year historical quantiles of 15%, 12%, 16%, and 18% respectively [1]. - **Trading Strategy**: In the short - term, the stock index discount is reverting, and the current direction is unclear. A neutral strategy can be considered. In the medium - to long - term, the report maintains the judgment of being long on the economy. Using stock indexes as long - term substitutes has certain excess returns. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indexes, so caution is advised [1]. 3. Treasury Bond Futures - **Yield Changes**: On July 2nd, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 1.59 bps from the previous day; the five - year bond was 1.442, down 1.56 bps; the ten - year bond was 1.561, down 1.71 bps; and the thirty - year bond was 1.902, down 2.12 bps [2]. - **Spot Bonds**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.6 bps, a corresponding net basis of -0.054, and an IRR of 1.76%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of -1.25 bps, a net basis of -0.081, and an IRR of 1.88%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of -1 bps, a net basis of -0.126, and an IRR of 2.04%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of -2 bps, a net basis of -0.003, and an IRR of 1.51% [3]. - **Funding Situation**: In open - market operations, the central bank injected 98.5 billion yuan and withdrew 365.3 billion yuan, resulting in a net withdrawal of 266.8 billion yuan [3]. - **Trading Strategy**: On the futures side, the long - end buying power is strong, possibly betting on a further decline in future policy interest rates. It is recommended to be short - term long and medium - to long - term short. Short - term, buy T and TL on dips, and medium - to long - term, hedge T and TL on rallies [3]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [11].

Report Summary 1. Report Industry Investment Rating No information provided in the given text. 2. Core Views - Short - term: For stock index futures, with the short - term regression of index futures discount and unclear direction, a neutral strategy can be considered; for treasury bond futures, long - end buying power is strong, suggesting a short - long and long - short strategy, buying T and TL contracts on dips in the short - term and hedging on rallies in the long - term [1][2]. - Medium - to long - term: Maintain the view of being bullish on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips [1]. 3. Summary by Directory Market Performance - **Stock Index Market**: On July 1, A - share four major stock indexes showed mixed performance. The Shanghai Composite Index rose 0.39% to 3457.75 points, the Shenzhen Component Index rose 0.11% to 10476.29 points, the ChiNext Index fell 0.24% to 2147.92 points, and the STAR 50 Index fell 0.86% to 994.8 points. Market turnover was 1496.5 billion yuan, a decrease of 20.8 billion yuan from the previous day. In terms of industry sectors, comprehensive, pharmaceutical and biological, and banking sectors led the gains, while computer, commercial and retail, and communication sectors led the losses. In terms of market strength, IC>IM>IH>IF. The number of rising, flat, and falling stocks was 2628, 247, and 2542 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 9.1 billion, - 14 billion, 2.3 billion, and 20.8 billion yuan respectively, with changes of - 10.8 billion, - 8.3 billion, + 4.9 billion, and + 14.2 billion yuan respectively [1]. - **Stock Index Futures Basis**: The basis of IM, IC, IF, and IH next - month contracts were 163.37, 117.07, 47.76, and 26.71 points respectively, with annualized basis yields of - 18.85%, - 14.5%, - 8.91%, and - 7.23% respectively, and three - year historical quantiles of 6%, 8%, 10%, and 17% respectively [1]. - **Treasury Bond Futures**: On July 1, treasury bond futures yields showed a pattern of short - term rising and long - term falling. Among active contracts, the implied interest rates of two - year, five - year, ten - year, and thirty - year bonds were 1.318 (up 0.93bps from the previous day), 1.453 (down 0.72bps), 1.577 (down 1.12bps), and 1.922 (down 1.39bps) respectively. For the current active 2509 contract, the CTD bonds' yield changes, net basis, and IRR of different - term treasury bond futures were also provided [2]. - **Funding Situation**: In open - market operations, the central bank injected 131 billion yuan and withdrew 406.5 billion yuan, resulting in a net withdrawal of 275.5 billion yuan [2]. Trading Strategies - **Stock Index Futures**: Short - term: Consider a neutral strategy; medium - to long - term: recommend allocating IF, IC, and IM forward contracts on dips; be cautious with near - month contracts due to the risk of small - cap stocks falling [1]. - **Treasury Bond Futures**: Short - term, buy T and TL contracts on dips; long - term, hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that recent social activities and real - estate market sentiment have contracted [9]. Short - term Funding Rates The current prices of SHIBOR overnight, DR001, SHIBOR one - week, and DR007 are 1.37, 1.37, 1.53, and 1.55 respectively, showing different changes compared with the previous day, a week ago, and a month ago [9].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - For stock index futures, in the short - term, the stock index discount is reverting and the direction is unclear, so a neutral strategy can be considered; in the medium - to long - term, it is recommended to buy IF, IC, IM forward contracts on dips as the judgment of a bullish economy is maintained [1]. - For bond futures, the long - end has strong bullish power, and it is suggested to take a short - long and long - short strategy, buying T and TL on dips in the short - term and hedging T and TL on rallies in the medium - to long - term [2]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On June 30, the four major A - share stock indexes all rose, with the Shanghai Composite Index up 0.59% to 3444.43 points, the Shenzhen Component Index up 0.83% to 10465.12 points, the ChiNext Index up 1.35% to 2153.01 points, and the STAR 50 Index up 1.54% to 1003.41 points. Market turnover was 1517.4 billion yuan, a decrease of 58.3 billion yuan from the previous day. Defense and military (+4.35%), media (+2.83%), and communication (+1.9%) led the gains, while non - bank finance (-0.77%), banks (-0.34%), and transportation (-0.09%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 4054/237/1126 respectively. Institutional, main, large - scale, and retail investors' net inflows were 1.7 billion, - 5.7 billion, - 2.6 billion, and 6.6 billion yuan respectively, with changes of +5.4 billion, +6.0 billion, - 0.3 billion, and - 11.2 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 135.58, 96.59, 42.88, and 22.99 points respectively, and the annualized basis yields were - 15.24%, - 11.66%, - 7.78%, and - 6.05% respectively, with three - year historical quantiles of 13%, 11%, 16%, and 20% respectively [1]. 3.2 Bond Futures - **Market Performance**: On June 30, the yields of bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.311, up 3.32bps from the previous day; the five - year bond was 1.464, up 2.88bps; the ten - year bond was 1.593, up 2.55bps; and the thirty - year bond was 1.937, up 2.49bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year bond futures, the CTD bond is 250006.IB, with a yield change of +1bps, a corresponding net basis of 0.041, and an IRR of 1.73%; for the five - year bond futures, the CTD bond is 220027.IB, with a yield change of +0.37bps, a corresponding net basis of 0.033, and an IRR of 1.77%; for the ten - year bond futures, the CTD bond is 220010.IB, with a yield change of +0.77bps, a corresponding net basis of 0.108, and an IRR of 1.42%; for the thirty - year bond futures, the CTD bond is 210005.IB, with a yield change of +2.25bps, a corresponding net basis of 0.229, and an IRR of 1.13% [2]. - **Funding Situation**: In open - market operations, the central bank injected 331.5 billion yuan and withdrew 220.5 billion yuan, resulting in a net injection of 111 billion yuan [2]. 3.3 Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [10].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Short - term: The regression of the stock index discount is occurring, and the current direction is unclear. A neutral strategy can be considered. In the near - term, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised. For bond futures, long - end bulls are strong, and a strategy of short - term long and long - term short is recommended [3][4]. - Medium - to long - term: The report maintains the judgment of going long on the economy. Buying the IF, IC, and IM forward contracts at low prices is recommended [3]. Summaries by Related Catalogs 1. Stock Index Futures and Spot Market Performance - On June 27, the Shanghai Composite Index fell 0.7% to close at 3424.23 points; the Shenzhen Component Index rose 0.34% to close at 10378.55 points; the ChiNext Index rose 0.47% to close at 2124.34 points; the STAR 50 Index fell 0.18% to close at 988.21 points. Market turnover was 15,757 billion yuan, a decrease of 475 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+2.17%), communications (+1.79%), and textile and apparel (+1.23%) led the gains; banks (-2.95%), public utilities (-1.01%), and food and beverages (-0.8%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 3,379/267/1,771 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 37, - 117, - 23, and 177 billion yuan respectively, with changes of +68, +49, - 55, and - 62 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH were 102.94, 73.93, 39.36, and 27.57 points respectively, and the annualized basis yields were - 11.39%, - 8.76%, - 6.97%, and - 7.07% respectively, with three - year historical quantiles of 28%, 19%, 18%, and 17% respectively [2]. - The table shows the performance of various stock index futures contracts, including price changes, trading volume, open interest, basis, and annualized basis yields [6]. 2. Treasury Bond Futures and Spot Market Performance - On June 26, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.355, down 1.5 bps from the previous day; the implied interest rate of the five - year bond was 1.465, down 1.75 bps; the implied interest rate of the ten - year bond was 1.578, down 0.55 bps; and the implied interest rate of the thirty - year bond was 1.91, down 0.50 bps [3]. - For the current active 2509 contracts, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures had yield changes of - 1.5 bps, - 1.75 bps, - 0.55 bps, and - 0.50 bps respectively [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price changes, trading volume, open interest, and other information [8]. - The figure shows the term structure of treasury bond spot prices [9][10] 3. Short - term Funding Rate Market Changes - The table shows the changes in short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, comparing the current price, yesterday's price, one - week ago, and one - month ago [12] 4. Economic Data - High - frequency data shows that recent social activities and real estate sentiment have contracted [12]

Report Summary 1. Market Performance - **Stock Indexes**: On June 26, the four major A-share stock indexes adjusted moderately. The Shanghai Composite Index fell 0.22% to close at 3448.45 points, the Shenzhen Component Index dropped 0.48% to 10343.48 points, the ChiNext Index declined 0.66% to 2114.43 points, and the STAR 50 Index decreased 0.57% to 989.97 points. Market turnover was 1623.2 billion yuan, a decrease of 16.3 billion yuan from the previous day [2]. - **Industry Sectors**: Banking (+1.01%), communication (+0.77%), and national defense and military industry (+0.55%) led the gains, while the automobile (-1.37%), non-bank finance (-1.2%), and pharmaceutical biology (-1.05%) sectors led the losses [2]. - **Stock Index Futures Basis**: The basis of the next-month contracts of IM, IC, IF, and IH were 91.19, 67.45, 37.82, and 29.27 points respectively, with annualized basis yields of -9.86%, -7.81%, -6.48%, and -7.22% respectively, and three-year historical quantiles of 35%, 24%, 20%, and 17% respectively [2]. - **Treasury Bond Futures**: On June 26, the yields of treasury bond futures showed mixed changes. Among the active contracts, the implied interest rate of the two-year bond was 1.303, down 0.14 bps from the previous day; the five-year bond was 1.461, up 0.36 bps; the ten-year bond was 1.585, up 0.37 bps; and the thirty-year bond was 1.923, down 0.37 bps [3]. - **Funding Situation**: In open market operations, the central bank injected 509.3 billion yuan and withdrew 203.5 billion yuan, resulting in a net injection of 305.8 billion yuan [4]. 2. Trading Strategies - **Stock Index Futures**: In the short term, the stock index discount is expected to converge, and the current direction is unclear. A neutral strategy can be considered. In the medium to long term, the report maintains a bullish view on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Regarding near-month contracts, there is a risk of a decline in micro-cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. - **Treasury Bond Futures**: On the futures side, the long-term bullish force is strong, possibly betting on a further decline in future policy interest rates. It is recommended to take short-term long positions and long-term short positions. Buy T and TL contracts on dips in the short term and hedge at high levels in the medium to long term [4]. 3. Economic Data - High-frequency data shows that recent social activities and real estate market sentiment have contracted [12].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and treasury bond futures are all "neutral" or "wait - and - see", indicating a cautious stance [6][7][9] 2. Core View of the Report - The market for stocks and bonds should be approached with caution. Stock index futures are in a state of shrinking volume and awaiting a trend change, stock index options show an increase in hedging transactions, and treasury bond futures are expected to continue oscillating [1][2] 3. Summary by Related Catalogs 3.1 Market Outlook Stock Index Futures - Yesterday, the market had shrinking volume and consolidation, with the All - A index dropping 0.3%. The impact of tariff disturbances has weakened, and the market is more sensitive to industry events. There is a possibility of a trend change, and currently, it's in an oscillating pattern with a downside tail - risk. It's recommended to wait and see [6] Stock Index Options - In a low - volatility environment of the underlying asset, the trading volume of the options market decreased slightly. The trading data of Shanghai 500ETF options shows an increase in hedging power. Volatility trend strategies should avoid varieties with extremely low volatility quantiles. The operation suggestion is to continue with the covered - call strategy, appropriately allocate short - term bullish spread portfolios, and lightly position in long - volatility strategies [7] Treasury Bond Futures - Yesterday, treasury bond futures closed down across the board. The market is in an oscillating pattern, and it's difficult to break out of this pattern. Attention should be paid to upcoming PMI data and the central bank's May outright reverse repurchase. The short - end bullish sentiment may stabilize, while the long - end needs to be cautious [9] 3.2 Economic Calendar - The economic calendar includes the US initial jobless claims for the week ending May 24, 2025, the US April core PCE price index annual rate, and the US May University of Michigan consumer confidence index final value [11] 3.3 Important Information and News Tracking - As of the end of April 2025, there are 163 domestic public - fund management institutions in China, with a total net asset value of public funds under management of 33.12 trillion yuan. From January to May 2025, the number and area of second - hand housing transactions in Guangzhou increased significantly year - on - year. The Hong Kong Exchange plans to launch same - day - expiration options contracts as early as the first half of 2026. Japan lost its status as the world's largest creditor nation for the first time in 34 years [11][12]

Core Insights - The article discusses the development and application of options strategies, particularly focusing on risk management and income enhancement through options trading [1][9]. Options Hedging Strategies - In a volatile market, strategies that hedge against market beta risk while capturing alpha are increasingly common, utilizing derivatives like stock index futures for hedging [2]. - The introduction of options has led to more managers using them for risk management, as options provide economic compensation during losses, unlike futures [2][3]. - Protective put strategies allow investors to profit from market beta while limiting losses during downturns, although they incur time decay costs in sideways markets [3][5]. Performance Comparison - Backtesting over four years shows that protective put strategies exhibit greater volatility compared to futures hedging strategies, but can outperform during significant market upswings [5][6]. - The performance of different hedging strategies, including futures and options, indicates that the collar strategy (buying puts and selling calls) can provide a smoother return profile compared to outright futures [6][7]. Income Enhancement Strategies - Income enhancement strategies, such as covered call writing, involve holding long positions while selling call options to generate premium income [9][10]. - The covered call strategy is particularly effective in flat or slightly bullish markets, allowing investors to lock in selling prices while generating additional income [10][11]. - Data shows that professional investors increasingly focus on income enhancement strategies, which accounted for 57.8% of trading purposes in 2023 [13].