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].

Group 1 - The core viewpoint of the article highlights the "seesaw" effect between the stock and bond markets, with A-shares continuing to rise while the bond market faces liquidity constraints and high volatility ahead of the Two Sessions [1][2]. - The bond market's recent turbulence is attributed to four main factors: increased liquidity pressure due to tax payments, a surge in government bond supply, a shift of risk-averse funds to the stock market driven by strong tech earnings, and rising policy expectations ahead of the Two Sessions [2][3]. - As of February 26, 2025, the short-term pure bond fund index experienced a decline of 4 basis points, while the medium to long-term index fell by 30 basis points, indicating a recovery from previous peaks [2]. Group 2 - The fluctuations in the bond market have impacted the core fixed-income product lines of many wealth management companies, with varying degrees of net value retraction observed, although these have improved from prior highs [3]. - According to Ping An Wealth Management, the liquidity situation is expected to stabilize post-tax period, with historical data suggesting that interbank liquidity typically improves in March [4]. - Ping An's fixed-income investment team has proactively adjusted product structures to mitigate risks, aiming for net value recovery as market conditions change [4]. Group 3 - In response to the evolving market dynamics, Zhaoyin Wealth Management is promoting a quantitative hedging product, focusing on a diversified alternative strategy with a neutral approach [5]. - The rationale for promoting alternative strategies includes the active A-share market and manageable hedging costs, with a focus on maintaining a cost-effective allocation [5].