Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - **Model Construction Idea**: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - **Model Construction Process**: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Rebalancing Rule**: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Selection Rule**: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - **IC Futures**: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - **IF Futures**: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - **IH Futures**: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - **IM Futures**: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - **IC Futures**: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - **IF Futures**: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - **IH Futures**: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - **IM Futures**: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - **IC Futures**: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - **IF Futures**: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - **IH Futures**: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - **IM Futures**: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - **Factor Construction Process**: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - **Current Values**: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - **Factor Construction Process**: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - **Current Values**: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-day VIX**: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - **SKEW**: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]

Index Trends - On July 23, the Shanghai Composite Index rose 0.01% to close at 3582.3 points, with a trading volume of 857.046 billion yuan. The Shenzhen Component Index fell 0.37% to close at 11059.04 points, with a trading volume of 1007.554 billion yuan [1]. - The CSI 1000 Index fell 0.45% with a trading volume of 378.33 billion yuan. The opening price was 6634.12, the closing price was 6607.22, the highest price was 6667.86, and the lowest price was 6594.48 [1]. - The CSI 500 Index fell 0.27% with a trading volume of 311.06 billion yuan. The opening price was 6218.21, the closing price was 6196.76, the highest price was 6256.15, and the lowest price was 6187.01 [1]. - The SSE 50 Index rose 0.32% with a trading volume of 130.89 billion yuan. The opening price was 2798.96, the closing price was 2801.2, the highest price was 2824.86, and the lowest price was 2794.81 [1]. Impact of Sector Movements on Indexes - The CSI 1000 fell 29.88 points from the previous closing price. Sectors such as National Defense and Military Industry, Machinery, and Power Equipment significantly pulled the index down [2]. - The CSI 500 fell 16.65 points from the previous closing price. Sectors such as Electronics and Machinery significantly pulled the index up, while sectors such as Basic Chemicals, National Defense and Military Industry, and Power Equipment significantly pulled the index down [2]. - The SSE 300 rose 0.81 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Household Appliances significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. - The SSE 50 rose 9.02 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Electronics significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 48.5, IM01 was - 119.08, IM02 was - 302.24, and IM03 was - 461.12 [12]. - IC00 average daily basis was - 34.98, IC01 was - 84.14, IC02 was - 208.95, and IC03 was - 322.64 [12]. - IF00 average daily basis was - 5.22, IF01 was - 13.77, IF02 was - 44.24, and IF03 was - 74.51 [12]. - IH00 average daily basis was 0.54, IH01 was 0.86, IH02 was 3.02, and IH03 was 4.05 [12]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH futures at different time points are provided, including specific values at 09:45, 10:00, etc. [23][24][25]

Index Trends - On July 22, the Shanghai Composite Index rose 0.62% to close at 3581.86 points, with a trading volume of 840.573 billion yuan; the Shenzhen Component Index rose 0.84% to close at 11099.83 points, with a trading volume of 1052.465 billion yuan [1]. - The CSI 1000 Index rose 0.38%, with a trading volume of 395.915 billion yuan, opening at 6607.83, closing at 6637.1, with a daily high of 6642.24 and a low of 6597.05 [1]. - The CSI 500 Index rose 0.85%, with a trading volume of 313.662 billion yuan, opening at 6166.62, closing at 6213.41, with a daily high of 6215.41 and a low of 6152.81 [1]. - The SSE 50 Index rose 0.72%, with a trading volume of 129.395 billion yuan, opening at 2773.4, closing at 2792.18, with a daily high of 2795.49 and a low of 2760.31 [1]. - The SSE 300 Index rose 0.82%, with a trading volume of 450.874 billion yuan, opening at 4087.34, closing at 4118.96, with a daily high of 4119.2 and a low of 4068.34 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 24.84 points from the previous close. Sectors such as basic chemicals, power equipment, and non - ferrous metals significantly pulled the index up, while sectors like electronics and computers pulled it down [2]. - The CSI 500 rose 52.1 points from the previous close. Sectors such as non - ferrous metals, coal, and power equipment significantly pulled the index up [2]. - The SSE 300 rose 33.35 points from the previous close. Sectors such as power equipment, food and beverage, and coal significantly pulled the index up, while the banking sector pulled it down [2]. - The SSE 50 rose 19.94 points from the previous close. Sectors such as food and beverage, machinery, and coal significantly pulled the index up, while non - bank finance and banking sectors pulled it down [2]. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 62.26, IM01 was - 136.19, IM02 was - 321.36, and IM03 was - 483.19 [12]. - IC00 average daily basis was - 43.55, IC01 was - 95.98, IC02 was - 223.44, and IC03 was - 341.34 [12]. - IF00 average daily basis was - 7.04, IF01 was - 17.08, IF02 was - 49.26, and IF03 was - 76.95 [12]. - IH00 average daily basis was 0.75, IH01 was 1.12, IH02 was 3.73, and IH03 was 5.42 [12]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on roll - over point differences and annualized costs for IM, IC, IF, and IH futures contracts at different time intervals are provided, including various combinations such as 00 - 01, 00 - 02, etc. [22][27][28]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the convergence of basis in stock index futures and optimizes hedging by continuously rolling over contracts[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 18, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to maturity are less than 2, then roll over to the next contract at the closing price[48] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 18, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[49] - **Rebalancing Rules**: Calculate the annualized basis discount for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining days to maturity are less than 8[49] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.86% (monthly), -2.06% (quarterly)[51] - Volatility: 3.86% (monthly), 4.75% (quarterly)[51] - Maximum Drawdown: -8.40% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9173 (monthly), 0.9400 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.50% (monthly), 0.75% (quarterly)[56] - Volatility: 3.00% (monthly), 3.35% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0149 (monthly), 1.0225 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.04% (monthly), 1.99% (quarterly)[60] - Volatility: 3.11% (monthly), 3.53% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[60] - Net Value: 1.0314 (monthly), 1.0603 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.06% (monthly), -4.43% (quarterly)[64] - Volatility: 4.73% (monthly), 5.78% (quarterly)[64] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[64] - Net Value: 0.8411 (monthly), 0.8718 (quarterly)[64] - Annual Turnover: 12 (monthly), 4 (quarterly)[64] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.08%[51] - Volatility: 4.65%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9683[51] - Annual Turnover: 17.50[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.32%[56] - Volatility: 3.13%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0397[56] - Annual Turnover: 15.48[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[60] - Volatility: 3.13%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0521[60] - Annual Turnover: 16.15[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.85%[64] - Volatility: 5.58%[64] - Maximum Drawdown: -11.11%[64] - Net Value: 0.8839[64] - Annual Turnover: 16.02[64] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons[66] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[66] - Tracks volatility expectations for major indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000)[66] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[66] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[71] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[71] - Higher SKEW values indicate increased concerns about tail risks[71] - **Factor Evaluation**: Useful for identifying market fears of extreme downside risks[72] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 18.43[66] - CSI 300: 17.92[66] - CSI 500: 27.44[66] - CSI 1000: 21.58[66] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 99.29[72] - CSI 300: 101.47[72] - CSI 500: 102.11[72] - CSI 1000: 103.83[72]

Report Summary Report Industry Investment Rating No information provided in the given text. Core Viewpoint The report provides a daily data tracking of stock index futures on July 16, 2025, including index trends, the impact of sector movements on indices, basis and annualized opening costs of stock index futures, and points differences and annualized costs during contract rollovers. Summaries by Section Index Trends - On July 16, the Shanghai Composite Index fell 0.03% to 3503.78 points, with a trading volume of 572.419 billion yuan; the Shenzhen Component Index fell 0.22% to 10720.81 points, with a trading volume of 869.619 billion yuan [1]. - The CSI 1000 Index rose 0.3%, with a trading volume of 306.083 billion yuan; the CSI 500 Index fell 0.03%, with a trading volume of 213.065 billion yuan; the SSE 50 Index fell 0.23%, with a trading volume of 68.142 billion yuan; the CSI 300 Index fell 0.3%, with a trading volume of 300.657 billion yuan [1]. Impact of Sector Movements on Indices - The CSI 1000 Index rose 19.23 points compared to the previous close. Sectors such as pharmaceutical and biological, machinery, and automotive had a significant upward pull, while non - ferrous metals had a downward pull [2]. - The CSI 500 Index rose - 1.57 points compared to the previous close. Sectors like pharmaceutical and biological, automotive, and power equipment had an upward pull, while banking, steel, and electronics had a downward pull [2]. - The CSI 300 Index rose - 11.86 points compared to the previous close. Sectors such as power equipment, non - banking finance, and banking had a downward pull [2]. - The SSE 50 Index rose - 6.33 points compared to the previous close. The electronics sector had an upward pull, while pharmaceutical and biological, banking, and non - banking finance had a downward pull [2]. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, the average daily basis for IM00 was - 9.55, IM01 was - 79.03, IM02 was - 151.94, and IM03 was - 331.89 [13]. - For IC contracts, the average daily basis for IC00 was - 4.06, IC01 was - 60.43, IC02 was - 114.57, and IC03 was - 237.99 [13]. - For IF contracts, the average daily basis for IF00 was - 5.2, IF01 was - 19.39, IF02 was - 32.13, and IF03 was - 65.16 [13]. - For IH contracts, the average daily basis for IH00 was - 5.62, IH01 was - 7.61, IH02 was - 9.27, and IH03 was - 7.49 [13]. Points Differences and Annualized Costs during Contract Rollovers - The report presents the points differences and annualized costs during contract rollovers for IM, IC, IF, and IH contracts, with 15 - minute average data provided for each contract combination such as IM00 - 01, IM00 - 02, etc. [21][23][24][26]

1. Index Trends - On July 14th, the Shanghai Composite Index rose 0.27% to close at 3519.65 points, with a trading volume of 623.102 billion yuan; the Shenzhen Component Index fell 0.11% to close at 10684.52 points, with a trading volume of 835.636 billion yuan [1] - The CSI 1000 Index rose 0.02%, with a trading volume of 302.637 billion yuan, opening at 6465.51, closing at 6462.31, with a daily high of 6474.93 and a low of 6443.56 [1] - The CSI 500 Index fell 0.1%, with a trading volume of 226.291 billion yuan, opening at 6033.18, closing at 6020.86, with a daily high of 6042.89 and a low of 6011.69 [1] - The SSE 50 Index rose 0.04%, with a trading volume of 90.039 billion yuan, opening at 2761.48, closing at 2757.81, with a daily high of 2774.23 and a low of 2757.81 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 1.21 points from the previous close. Machinery, power equipment, and automotive sectors significantly pulled the index up, while media, non - bank finance, and computer sectors pulled it down [2] - The CSI 500 rose - 6.22 points from the previous close. Pharmaceutical biology, machinery, and public utilities sectors significantly pulled the index up, while electronics, media, and non - bank finance sectors pulled it down [2] - The SSE 300 rose 2.86 points from the previous close. Banks, non - ferrous metals, and household appliances sectors significantly pulled the index up, while national defense and military industry, computer, and non - bank finance sectors pulled it down [2] - The SSE 50 rose 1.04 points from the previous close. Banks, pharmaceutical biology, and petroleum and petrochemical sectors significantly pulled the index up, while electronics, food and beverage, and non - bank finance sectors pulled it down [2] 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 13.34, IM01 was - 80.4, IM02 was - 149.25, and IM03 was - 329.11 [12] - IC00 average daily basis was - 9.63, IC01 was - 64.69, IC02 was - 114.85, and IC03 was - 238.97 [12] - IF00 average daily basis was - 8.32, IF01 was - 22.73, IF02 was - 32.29, and IF03 was - 61.46 [12] - IH00 average daily basis was - 6.87, IH01 was - 10.48, IH02 was - 11.07, and IH03 was - 9.58 [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - The report provides detailed data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time points from 09:45 to 15:00 [21][23][25]

1. Index Trends - On July 10th, the Shanghai Composite Index rose by 0.48% to close at 3509.68 points, with a trading volume of 613.161 billion yuan; the Shenzhen Component Index rose by 0.47% to close at 10631.13 points, with a trading volume of 880.987 billion yuan [1]. - The CSI 1000 Index rose by 0.25%, with a trading volume of 296.726 billion yuan, an opening price of 6385.21, a closing price of 6406.57, a daily high of 6427.74, and a daily low of 6367.66 [1]. - The CSI 500 Index rose by 0.5%, with a trading volume of 207.637 billion yuan, an opening price of 5950.97, a closing price of 5983.05, a daily high of 6000.69, and a daily low of 5942.29 [1]. - The SSE 50 Index rose by 0.62%, with a trading volume of 98.729 billion yuan, an opening price of 2739.23, a closing price of 2756.93, a daily high of 2777.42, and a daily low of 2739.23 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 16.1 points from the previous closing price. Sectors such as Medicine and Biology, Non - ferrous Metals, and Real Estate significantly pulled the index up, while sectors like Machinery and Equipment, and Computer pulled it down [3]. - The CSI 500 rose 29.56 points from the previous closing price. Non - Banking Finance, Non - ferrous Metals, and Medicine and Biology sectors significantly pulled the index up, while the Electronics sector pulled it down [3]. - The SSE 300 rose 18.62 points from the previous closing price. Banking, Non - Banking Finance, and Power Equipment sectors significantly pulled the index up [3]. - The SSE 50 rose 17.01 points from the previous closing price. Banking and Non - Banking Finance sectors significantly pulled the index up [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 27.43, IM01 had - 99.5, IM02 had - 173.59, and IM03 had - 358.9 [14]. - For IC contracts, IC00 had an average daily basis of - 19.8, IC01 had - 75.93, IC02 had - 127.74, and IC03 had - 250.87 [14]. - For IF contracts, IF00 had an average daily basis of - 14.28, IF01 had - 30.93, IF02 had - 39.68, and IF03 had - 72.69 [14]. - For IH contracts, IH00 had an average daily basis of - 13.74, IH01 had - 18.62, IH02 had - 19.15, and IH03 had - 19.03 [14]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values such as IM00 - 01, IM00 - 02, etc. [24]. - For IC contracts, similar data on roll - over point differences and annualized costs at different time points are presented, like IC00 - 01, IC00 - 02, etc. [26]. - For IF contracts, data on roll - over point differences and annualized costs at various time points are given, such as IF00 - 01, IF00 - 02, etc. [26]. - For IH contracts, data on roll - over point differences and annualized costs at different time points are shown, including IH00 - 01, IH00 - 02, etc. [28].

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints The report presents the performance of major stock indices on July 9th, including their price movements, trading volumes, and the impact of different sectors on these indices. It also provides data on the basis of stock index futures, the cost of opening positions, and the points difference in contract roll - over and its annualized cost. 3. Summary by Directory 3.1 Index Trends - On July 9th, the Shanghai Composite Index fell 0.13% to close at 3493.05 points with a trading volume of 595.963 billion yuan; the Shenzhen Component Index fell 0.06% to close at 10581.8 points with a trading volume of 909.214 billion yuan [1]. - The CSI 1000 Index fell 0.27% with a trading volume of 303.196 billion yuan, opening at 6412.14, closing at 6390.47, with a high of 6431.09 and a low of 6375.08 [1]. - The CSI 500 Index fell 0.41% with a trading volume of 207.864 billion yuan, opening at 5980.65, closing at 5953.49, with a high of 5992.13 and a low of 5940.18 [1]. - The SSE 50 Index fell 0.26% with a trading volume of 83.536 billion yuan, opening at 2746.14, closing at 2739.92, with a high of 2759.06 and a low of 2739.21 [1]. - The CSI 300 Index fell 0.18% with a trading volume of 305.399 billion yuan, opening at 3997.5, closing at 3991.4, with a high of 4016.74 and a low of 3987.43 [1]. 3.2 Impact of Sector Movements on Index - The CSI 1000 Index dropped 17.23 points compared to the previous close. Sectors such as environmental protection, media, and banking had a positive impact, while power equipment, non - ferrous metals, and electronics had a negative impact [2]. - The CSI 500 Index dropped 24.25 points compared to the previous close. Power equipment, non - ferrous metals, and electronics had a negative impact [2]. - The CSI 300 Index dropped 7.05 points compared to the previous close. Power equipment, pharmaceutical biology, and banking had a positive impact, while electronics, non - bank finance, and non - ferrous metals had a negative impact [2]. - The SSE 50 Index dropped 7.27 points compared to the previous close. Pharmaceutical biology, food and beverage, and communication had a positive impact, while electronics, non - bank finance, and non - ferrous metals had a negative impact [2]. 3.3 Basis of Stock Index Futures and Annualized Cost of Opening Positions - For IM contracts, IM00 had an average daily basis of - 32.46, IM01 of - 106.22, IM02 of - 179.85, and IM03 of - 367.73 [13]. - For IC contracts, IC00 had an average daily basis of - 22.0, IC01 of - 78.52, IC02 of - 128.99, and IC03 of - 252.77 [13]. - For IF contracts, IF00 had an average daily basis of - 16.7, IF01 of - 33.74, IF02 of - 41.77, and IF03 of - 75.91 [13]. - For IH contracts, IH00 had an average daily basis of - 14.68, IH01 of - 19.67, IH02 of - 19.96, and IH03 of - 19.67 [13]. 3.4 Points Difference in Contract Roll - over and Its Annualized Cost - The report provides data on the points difference in contract roll - over and its annualized cost for IM, IC, IF, and IH contracts at different time points throughout the trading day [21][23][25].

- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

Group 1: Index Performance - On July 3rd, the Shanghai Composite Index rose 0.18% to close at 3461.15 points with a trading volume of 500.212 billion yuan; the Shenzhen Component Index rose 1.17% to close at 10534.58 points with a trading volume of 809.522 billion yuan [1]. - The CSI 1000 Index rose 0.53% with a trading volume of 270.492 billion yuan, opening at 6306.75, closing at 6342.64, with a daily high of 6349.14 and a low of 6295.23 [1]. - The CSI 500 Index rose 0.5% with a trading volume of 174.689 billion yuan, opening at 5896.24, closing at 5922.66, with a daily high of 5929.73 and a low of 5885.94 [1]. - The SSE 50 Index rose 0.07% with a trading volume of 59.917 billion yuan, opening at 2726.11, closing at 2724.55, with a daily high of 2728.17 and a low of 2713.97 [1]. - The SSE 50 Index rose 0.07% with a trading volume of 59.917 billion yuan, opening at 2726.11, closing at 2724.55, with a daily high of 2728.17 and a low of 2713.97 [1]. Group 2: Sector Impact on Index - The CSI 1000 rose 33.16 points from the previous closing price, with sectors such as pharmaceutical biology and electronics significantly pulling the index up [3]. - The CSI 500 rose 29.71 points from the previous closing price, with sectors such as electronics, pharmaceutical biology, and power equipment significantly pulling the index up [3]. - The SSE 300 rose 24.39 points from the previous closing price, with sectors such as electronics and power equipment significantly pulling the index up [3]. - The SSE 50 rose 2.0 points from the previous closing price, with sectors such as non - bank finance, food and beverage, and electronics significantly pulling the index up, while sectors such as public utilities, banks, and coal pulled the index down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 55.18, IM01 was - 126.37, IM02 was - 196.58, and IM03 was - 374.8 [14]. - IC00 average daily basis was - 44.47, IC01 was - 95.88, IC02 was - 148.09, and IC03 was - 272.46 [14]. - IF00 average daily basis was - 22.97, IF01 was - 40.67, IF02 was - 51.5, and IF03 was - 88.45 [14]. - IH00 average daily basis was - 18.29, IH01 was - 23.64, IH02 was - 24.63, and IH03 was - 25.8 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time intervals (15 - minute averages) are provided, including specific point differences and corresponding annualized costs [24][26][28].