Group 1: Investment Strategy Overview - The report emphasizes that the stock market is at a technical support level, but volatility has reached a new low since 2024, indicating that a trend change may be imminent [5][21]. - The A-share market's trading volume reached 1.12 trillion, an increase of 54.9 billion compared to the previous trading day, with market focus on stablecoins, port shipping, and solid-state batteries [21]. - The report suggests that the probability of an upward trend in the index is low, and managing positions is the best strategy [21]. Group 2: Bond Market Insights - The bond market is expected to benefit from inflows of risk-averse capital, as the overall market remains volatile with a lack of positive news [18][8]. - The report notes that the bond market may regain upward momentum due to increased demand for safe-haven assets [8]. Group 3: Foreign Exchange Market Analysis - The onshore RMB against the USD was reported at 7.1876, an increase of 91 basis points from the previous close, indicating a potential strengthening of the RMB [33]. - Despite short-term fluctuations, the long-term trend for the USD remains bearish [33]. Group 4: Commodity Market Trends - The Wenhua Commodity Index fell by 0.13%, with strong performance in the energy sector but poor performance in agricultural and chemical products [38]. - The report advises caution for investors who have not participated at lower levels, suggesting a wait-and-see approach due to high volatility in oil and related products [38].

[T[able Table_IndNameRptType] _IndNameRptType] 2 固定收益 固收周报 [分析师： Table_Author] 胡倩倩 执业证书号：S0010524050004 电话：13391388385 邮箱：huqianqian@hazq.com 主要观点： ⚫[Table_Summary] 近期权益市场波动率呈何种走势？ 近期市场波动率有所下降，整体波动率较低。上证 50 与沪深 300 近一个月波 动率均有所下降。A 股整体盘面波动率呈明显周期性特征，不同时间维度的表 现差异显著。市场长期波动率普遍高于短期波动率，近期有小幅度的下降，至 今处于历史低位。 同时小盘、中盘、大盘股的波动率分布类似，但波动率大小呈现显著分化，小 盘股波动率显著高于大盘股。大盘股整体波动率最低，中盘股其次，小盘股整 体波动率最高。此外，不同行业的波动率和行情表现呈现显著分化，高波动率 行业与低波动率行业之间差异显著，以稳健性为代表的银行行业与高风险的 计算机行业波动率差异高达 4.6%。 ⚫ 2023 年至今，可转债市场波动率如何变化？ 波动率下行趋势下，转债市场如何分化？ [Table_In ...

Market Overview - Global markets are dominated by geopolitical conflicts, particularly the Israel-Iran situation, leading to a surge in safe-haven assets like oil and gold, with Brent crude rising by 9% to $75.18 per barrel and gold surpassing $3,452 per ounce[4] - The VIX index has rebounded, indicating increased market volatility, while A-shares have shown a decline in price but an increase in trading volume, with small-cap growth stocks outperforming[4] Asset Allocation Recommendations - Bonds: Maintain a focus on leverage and duration strategies supported by loose monetary policy, while closely monitoring central bank liquidity operations and U.S. CPI data[5] - Overseas equities: Overweight non-U.S. market assets, such as Hong Kong and South Korean stocks, to capitalize on a weaker dollar and resilient fundamentals[5] - Commodities: Overall underweight due to weak supply and demand dynamics, with a focus on specific commodities like oil that may experience price fluctuations due to geopolitical tensions[7] Risk Factors - Key risks include policy adjustments, market volatility, geopolitical shocks, economic data validation risks, and liquidity transmission risks[6] Economic Indicators - The Chinese Business Conditions Index (BCI) recorded a slight increase to 50.30, indicating a marginal improvement but a significant drop from the March peak of 54.75, suggesting ongoing economic expansion challenges[40] - The Producer Price Index (PPI) expectations have reached new lows, indicating persistent price pressures at the production level, compounded by two consecutive months of negative CPI growth, reflecting weak consumer demand[49] Market Sentiment - The average daily trading volume in the A-share market increased by 13.1% to 1.341 trillion yuan, indicating heightened investor participation and a favorable liquidity environment for market valuation recovery[59] - The current valuation of A-shares is near historical averages, with the CSI 800's price-to-earnings ratio at the 48th percentile and price-to-book ratio at the 61st percentile, reflecting cautious optimism in economic fundamentals[64]

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - On June 10, 2025, cast aluminum alloy options were officially listed for trading. The market performance on the first trading day was stable, with a total trading volume of 8,485 lots. The trading was concentrated on the main contract AD2511, indicating a certain bullish sentiment in the market. [1][21] - The implied volatility of cast aluminum alloy options is slightly higher than the historical volatility of the spot. The price of cast aluminum alloy on the spot side has limited downward space, but there is pressure on the subsequent social inventory to accumulate. The price on the disk can be traded in the short - term range. [2][33] - Speculative strategies can consider constructing short strangles to earn Theta income. Hedging strategies include upstream enterprises buying put options to hedge the risk of falling sales prices, or constructing covered strategies by selling out - of - the - money call options, and combining them to construct collar strategies. [3][33][34] Summary by Directory 1. Cast Aluminum Alloy Option Compliance Rules - **Listing and Contracts**: Cast aluminum alloy options were officially listed for trading on the night session of June 10, 2025. The first batch of listed contracts were the option contracts corresponding to the AD2511 and AD2512 futures contracts. The contract details include the contract subject, type, trading unit, etc. [1][9][11] - **Pricing and Limits**: The listing benchmark price is calculated by the binomial tree option pricing model. The daily limit is ±7%, and it is twice that on the first day. The maximum order quantity per order is 100 lots. [9][10] - **Exercise and Position Management**: It is an American - style option. The option and futures contracts are separately limited in position. The cast aluminum alloy options and futures share the approved hedging trading positions. [14][16][18] - **Fees**: The trading fee is 10 yuan per lot, and the fee for closing positions on the same day is temporarily waived. From the listing date to December 31, 2025, the hedging trading fee is halved. [19] 2. First - Day Trading Situation - The total trading volume on the first trading day was 8,485 lots, concentrated on the main contract AD2511, accounting for 28.89% of the AD2511 futures trading volume. The trading volume PCR was 52.99%, the open interest PCR was 77.64%, and the turnover PCR/volume PCR was 94.92%, indicating a certain bullish sentiment. [1][21] - The trading and open interest of the main options were mainly concentrated in the slightly out - of - the - money and deeply out - of - the - money areas. The main strike prices of call options were concentrated at 19,500 yuan/ton and 21,400 yuan/ton, and those of put options were at 19,200 yuan/ton and 17,200 yuan/ton. [22] 3. Volatility Situation - The AD2511 option has 93 trading days until expiration. The 90 - trading - day volatility of the current spot price is 10.42%, and the historical one - year minimum, average, and maximum are 8.47%, 11.25%, and 12.48% respectively. The 90 - trading - day volatility of the Shanghai aluminum futures index is 12.06%. [2][25][26] - The implied volatility of the main at - the - money option of cast aluminum alloy is 12.60%, higher than the historical volatility of the spot and Shanghai aluminum futures. The option implied volatility shows a relatively smooth volatility smile distribution, providing a certain safety margin for the short - option strategy. [2][26] 4. Option Synthetic Futures Arbitrage Test The premium rate of the synthetic futures of cast aluminum alloy main options is between - 0.36% and 0.19%, indicating that the market prices the options reasonably and there are no obvious arbitrage opportunities. [30] 5. Option Strategy Recommendations - **Market Analysis**: From May to August is the traditional off - season for aluminum alloys. The spot price of cast aluminum alloy has limited downward space, but there is pressure on social inventory to accumulate. The price on the disk can be traded in the short - term range, with support at 19,000 yuan/ton and resistance at 19,800 yuan/ton. [3][33] - **Speculative Strategy**: Construct short strangles to earn Theta income, but pay attention to risk control. [3][33] - **Hedging Strategy**: Upstream enterprises can buy put options, sell out - of - the - money call options, or combine them to construct collar strategies. [3][33][34]

宏观 股指 市场分析：当日沪深两市成交额 1.45 万亿元，较前日放量 10.57%。银行、创新药等防御性 板块领涨，而半导体、航天航空等高波动板块承压。上证 50 主力合约 IH2506 持仓量环比下 降 2.82%，短期多空分歧加剧。中证 1000 收盘价接近压力位 6226 左右，若突破需成交量配 合；沪深 300 收盘价接近支撑位 3514 左右，短期反弹动能不足。 参考观点：中证 1000 波动率较高，建议关注 6227 附近压力位突破情况；上证 50 建议结合 持仓量变化判断趋势持续性；沪深 300 波动率处于低位，但成交额占比稳定，可作为中长期 配置参考；中证 1000 与沪深 300 的波动率比值（1.56）接近 2024 年均值（1.62），可关注 均值回归机会。 原油 宏观与地缘：上周五美国非农数据超预期，削弱美联储降息紧迫性，同时中美第二轮谈判， 市场对经贸缓和有一定预期，原油价格或偏强震荡，关注 WTI 主力 65 美元/桶关键位置。 市场分析：基本面看，OPEC 大幅调降未来两年全球需求增速，美国贸易战升级，特朗普政 府政策多变，引发市场对全球需求担忧。库存方面，美原油库存虽然下滑， ...

Quantitative Factors and Models Summary Quantitative Factors and Construction Methods 1. **Factor Name**: Market Style Factor **Construction Idea**: This factor tracks the market's preference for small-cap versus large-cap stocks and growth versus value stocks over the observed period **Construction Process**: - The factor is divided into two dimensions: size (small-cap vs. large-cap) and style (growth vs. value) - The factor measures the relative performance of small-cap stocks compared to large-cap stocks and growth stocks compared to value stocks - Observations include the directional bias (e.g., small-cap preference) and the volatility of these style preferences **Evaluation**: The factor indicates a market preference for small-cap and growth stocks, but with increased volatility, suggesting instability in market style trends [11][12] 2. **Factor Name**: Market Structure Factor **Construction Idea**: This factor evaluates the dispersion and concentration of returns across industries and stocks to assess market structure dynamics **Construction Process**: - Industry excess return dispersion is calculated to measure the spread of returns across different sectors - Metrics such as the proportion of rising constituent stocks and the turnover concentration of the top 100 stocks and top 5 industries are tracked - Changes in these metrics are used to infer market structure stability and concentration trends **Evaluation**: The factor shows a decline in industry return dispersion and a slight increase in stock and industry concentration, indicating a more concentrated market structure [11][12] 3. **Factor Name**: Market Activity Factor **Construction Idea**: This factor measures market activity through volatility and turnover rates **Construction Process**: - Index volatility is calculated to assess market fluctuations - Turnover rates, particularly for indices like the SSE 50, are tracked to gauge trading activity - Observations include changes in these metrics over time **Evaluation**: The factor reveals a slight increase in market volatility but a continued decline in turnover rates, especially for the SSE 50, indicating reduced market activity [11][12] 4. **Factor Name**: Commodity Market Factors **Construction Idea**: These factors analyze trends, momentum, volatility, and liquidity in commodity markets **Construction Process**: - **Trend Strength**: Tracks the continuation of trends in sectors like energy and metals - **Basis Momentum**: Measures the momentum of basis changes, with specific focus on sectors like agriculture and metals - **Volatility**: Assesses the level of price fluctuations in different commodity sectors - **Liquidity**: Evaluates the trading activity and ease of transactions in commodity markets **Evaluation**: The factors highlight strong trends in energy and metals, low basis momentum in agriculture, high volatility in energy, and strong liquidity in energy and metals [23][27] 5. **Factor Name**: Option Market Factors **Construction Idea**: These factors assess market sentiment and risk expectations through option pricing metrics **Construction Process**: - **Implied Volatility**: Tracks the implied volatility of options on indices like SSE 50 and CSI 1000 - **Skewness**: Measures the relative pricing of put options versus call options to infer market sentiment - **Open Interest**: Monitors changes in open interest to gauge market positioning **Evaluation**: The factors suggest stable short-term sentiment but highlight potential downside risks for small-cap stocks based on skewness and rising open interest in put options [33][34] 6. **Factor Name**: Convertible Bond Market Factors **Construction Idea**: These factors analyze valuation and liquidity dynamics in the convertible bond market **Construction Process**: - **Valuation Metrics**: Tracks metrics like the premium rate of bonds near par value and the proportion of low-premium bonds - **Liquidity Metrics**: Monitors trading volume and credit spreads **Evaluation**: The factors indicate a slight recovery in valuation metrics but a rise in low-premium bonds, with stable trading volumes and narrowing credit spreads [35][37] Factor Backtesting Results 1. **Market Style Factor**: - Small-cap preference observed - Growth style preference observed - Increased volatility in both dimensions [11][12] 2. **Market Structure Factor**: - Industry return dispersion decreased - Stock and industry concentration slightly increased [11][12] 3. **Market Activity Factor**: - Market volatility slightly increased - Turnover rates decreased, especially for SSE 50 [11][12] 4. **Commodity Market Factors**: - Strong trends in energy and metals - Low basis momentum in agriculture - High volatility in energy - Strong liquidity in energy and metals [23][27] 5. **Option Market Factors**: - Stable implied volatility for SSE 50 and CSI 1000 - Skewness favors put options for CSI 1000 - Rising open interest in put options for CSI 1000 [33][34] 6. **Convertible Bond Market Factors**: - Premium rates near par value slightly recovered - Proportion of low-premium bonds increased - Trading volumes stable - Credit spreads narrowed [35][37]

Group 1 - The article discusses various options trading strategies, emphasizing their flexibility and complexity, and introduces four basic investment strategies, simple spread trading, typical volatility trading strategies, and hedging strategies [1] - Volatility (Vol) is defined as the degree of price fluctuation of an asset, serving as a measure of uncertainty in asset returns and reflecting the risk level of the asset [3][4] - High Vol leads to greater price fluctuations and uncertainty in returns, resulting in higher theoretical prices for options. Conversely, low Vol results in lower option prices [4] Group 2 - Historical volatility is calculated using past price data and reflects the asset's price fluctuation over a specified period, serving as a basis for analyzing and predicting other types of volatility [4][6] - Implied volatility (IV) is derived from the actual price of options and reflects the market's expectations of future volatility, with a declining IV indicating a potential decrease in option prices [7] - When uncertain about market direction, various option strategies can be employed, including bullish strategies that anticipate price increases [9] Group 3 - Buying call options allows investors to gain the right to purchase an asset at a predetermined price, with potential unlimited profit if the market price rises, while limiting losses to the premium paid [12][13] - Selling put options involves receiving a premium with the obligation to fulfill the contract if exercised, suitable when the market is expected to remain stable or rise, with maximum profit being the premium received [14][16] - Investors should consider market trends, volatility, and time value when selecting option strategies, and should implement stop-loss and take-profit measures to manage risk and enhance potential returns [16]

1. Report Industry Investment Rating The report does not explicitly provide an overall industry investment rating. However, for each financial derivative product, the following outlooks are given: - **Stock Index Futures**: Neutral (suggests a wait - and - see approach) [6] - **Stock Index Options**: Neutral (suggests a wait - and - see approach for direction strategies) [6] - **Treasury Bond Futures**: Neutral (suggests a trend of oscillation) [6] 2. Core Viewpoints - **Stock Index Futures**: External factors bring short - term positive news, but due to uncertainties in tariff policies and lack of fundamental support, investors are advised to wait and see instead of actively increasing positions [6]. - **Stock Index Options**: The volatility is further suppressed, and the market has weak expectations for fluctuations. Direction strategies suggest waiting and seeing, with a focus on covered call strategies and light - position long - volatility strategies [2][6]. - **Treasury Bond Futures**: Market risk appetite has increased, suppressing the bullish sentiment in the bond market. Attention should be paid to upcoming economic data and central bank operations, and different strategies are proposed for different trading purposes [6][8]. 3. Summary by Directory 3.1 Market Views Stock Index Futures - **Market Performance**: The market volume increased and prices rose, with the All - A Index up 1.17%. The catalyst was the US court's prevention of Trump's tariff policy, leading to a general rise in the Asia - Pacific market [6]. - **Futures Market Signals**: The total position of IM increased by nearly 30,000 contracts, and the discount of the current - quarter contract of IM narrowed, indicating active long - position capital layout [6]. - **Investment Advice**: Wait and see due to uncertainties in tariff policies and the low cost - performance of small - cap stocks [6]. Stock Index Options - **Market Liquidity**: Driven by the strong performance of the underlying assets, the trading volume increased by nearly 50%, mainly concentrated in the morning session [2][6]. - **Volatility**: Volatility declined rapidly after the mid - day session, with both call and put volatilities decreasing, indicating weak market expectations for fluctuations [2][6]. - **Investment Advice**: Wait and see for direction strategies, focus on covered call strategies, and lightly position in long - volatility strategies at low levels [2][6]. Treasury Bond Futures - **Market Performance**: Treasury bond futures continued to be weak, with the T main contract opening lower and trading at a low level throughout the day [3][6][7]. - **Influencing Factors**: Uncertainties in Trump's tariff policy, strong stock market performance, and upcoming 5 - month PMI data affected market sentiment [3][6][8]. - **Investment Advice**: Trend strategy: oscillation; Hedging strategy: pay attention to short - hedging at low basis levels; Basis strategy: appropriately pay attention to basis widening; Curve strategy: steeper curve has higher odds in the medium term [8]. 3.2 Economic Calendar - **US Economic Data**: The number of initial jobless claims in the week ending May 24, 2025, was 240,000, higher than the previous value of 227,000 and the forecast of 230,000. The annual rate of the US core PCE price index in April 2025 is expected to be 2.6%, and the final value of the University of Michigan consumer confidence index in May 2025 is expected to be 51 [9]. 3.3 Important Information and News Tracking - **Airlines**: Starting from June 5, 2025, airlines will adjust the fuel surcharge for domestic flights. Flights of 800 kilometers or less will be exempt from the surcharge, while flights over 800 kilometers will charge 10 yuan per passenger per segment [9]. - **Cultural Exports**: Four departments jointly released the list of key cultural export enterprises and projects for 2025 - 2026, identifying 404 enterprises and 121 projects [10]. - **Tariffs**: The Chinese side urges the US to completely cancel unilateral tariff - imposing measures, and the US International Trade Court ruled that Trump's tariff policies were illegal [10]. - **Credit Bonds**: Multiple credit bond ETFs have received approval from the China Securities Depository and Clearing Corporation to be included in the repurchase collateral pool [10].

Group 1 - The core issue with compound interest is the difference between average returns and annualized returns, which can lead to significant discrepancies in actual investment outcomes [4][16][18] - Investors with the same average return can have vastly different annualized returns, highlighting the importance of understanding volatility and its impact on long-term compounding [5][14][26] - The article emphasizes that lower volatility can lead to higher annualized returns, even if average returns remain the same, demonstrating the critical role of risk management in investment strategies [16][27][40] Group 2 - Investment ability is defined as the capacity to achieve returns exceeding those of a benchmark index, with a focus on identifying opportunities with a favorable risk-reward ratio [18][19][20] - The relationship between average returns and investment ability is established, indicating that average returns are a more accurate measure of an investor's skill than annualized returns [22][23] - The article discusses the non-linear relationship between volatility and annualized returns, suggesting that as volatility increases, the potential for higher returns diminishes, creating a critical threshold for investors [29][42] Group 3 - The article presents various scenarios illustrating how different combinations of returns can affect average and annualized returns, emphasizing the importance of maintaining a balanced approach to risk and reward [30][36][39] - It highlights the tendency of investors to chase high returns without adequately managing risk, which can lead to detrimental outcomes, particularly in volatile markets [41][44] - The concept of standard deviation is introduced as a quantifiable measure of volatility, with recommendations for investors to monitor their return fluctuations to optimize their investment strategies [48][50]

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factors - **Construction Idea**: The market style factors track the balance and volatility between different market styles, such as large-cap vs. small-cap and value vs. growth[11][13] - **Construction Process**: - **Style Balance**: Measure the relative performance of large-cap vs. small-cap stocks and value vs. growth stocks to determine the market's style preference[11] - **Style Volatility**: Calculate the fluctuations in the relative performance of these styles over time to assess the stability of the market's style preference[11] - **Evaluation**: The market style factors showed a balanced preference between large-cap and small-cap stocks, as well as between value and growth stocks. Additionally, the volatility of these styles continued to decline, indicating a more stable market environment[11][13] 2. Factor Name: Market Structure Factors - **Construction Idea**: These factors analyze the dispersion of returns, sector rotation, and trading concentration to understand the structural dynamics of the market[11][13] - **Construction Process**: - **Return Dispersion**: Measure the excess return dispersion across industry indices to evaluate the variability in sector performance[11] - **Sector Rotation**: Assess the speed of sector rotation by tracking changes in sector leadership over time[11] - **Trading Concentration**: Calculate the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries to gauge market concentration[11] - **Evaluation**: The market structure factors indicated a decline in return dispersion, slower sector rotation, and reduced trading concentration, suggesting a more evenly distributed market environment[11][13] 3. Factor Name: Market Activity Factors - **Construction Idea**: These factors measure the overall activity and liquidity of the market through volatility and turnover rates[12][13] - **Construction Process**: - **Volatility**: Calculate the index-level volatility to assess market stability[12] - **Turnover Rate**: Measure the turnover rate of the market to evaluate trading activity[12] - **Evaluation**: The market activity factors showed a decline in both volatility and turnover rates, reflecting reduced market activity, likely influenced by the holiday period[12][13] 4. Factor Name: Commodity Market Factors - **Construction Idea**: These factors analyze the performance, momentum, and liquidity of various commodity sectors[27][30] - **Construction Process**: - **Trend Strength**: Measure the strength of price trends in different commodity sectors, such as energy, metals, and agriculture[27] - **Basis Momentum**: Calculate the basis momentum, particularly for the metals sector, to assess the relative strength of futures prices compared to spot prices[27][30] - **Volatility**: Track the volatility levels across commodity sectors to evaluate risk[27][30] - **Liquidity**: Measure the liquidity of commodity sectors to assess trading ease[27][30] - **Evaluation**: The commodity market factors showed mixed performance, with strong trends in energy and metals, weaker trends in agriculture, and high volatility across sectors. Liquidity remained stable overall[27][30] 5. Factor Name: Options Market Factors - **Construction Idea**: These factors analyze the implied volatility and skewness of options to infer market sentiment and expectations[35] - **Construction Process**: - **Implied Volatility**: Measure the implied volatility levels of options on major indices, such as the SSE 50 and CSI 1000, to gauge market uncertainty[35] - **Skewness**: Analyze the skewness of call and put options to understand market expectations for upward or downward movements[35] - **Evaluation**: The options market factors indicated a divergence in sentiment, with increased optimism for small-cap stocks (CSI 1000) and reduced optimism for large-cap stocks (SSE 50). This suggests a potential shift in market preference post-holiday[35] 6. Factor Name: Convertible Bond Market Factors - **Construction Idea**: These factors evaluate the valuation and trading activity of the convertible bond market[38] - **Construction Process**: - **Valuation**: Measure the average conversion premium of convertible bonds to assess their relative attractiveness[38] - **Trading Activity**: Track the trading volume and turnover in the convertible bond market to evaluate market interest[38] - **Evaluation**: The convertible bond market factors showed a slight increase in valuation, with trading activity continuing to recover, indicating improving market sentiment[38] --- Factor Backtesting Results 1. Market Style Factors - **Style Balance**: Balanced between large-cap and small-cap, as well as value and growth[11][13] - **Style Volatility**: Continued decline in volatility, indicating stability[11][13] 2. Market Structure Factors - **Return Dispersion**: Declined, indicating less variability in sector performance[11][13] - **Sector Rotation**: Slowed down, suggesting reduced changes in sector leadership[11][13] - **Trading Concentration**: Decreased, reflecting a more evenly distributed market[11][13] 3. Market Activity Factors - **Volatility**: Declined, indicating reduced market risk[12][13] - **Turnover Rate**: Decreased, reflecting lower trading activity[12][13] 4. Commodity Market Factors - **Trend Strength**: Strong in energy and metals, weak in agriculture[27][30] - **Basis Momentum**: Highest in metals, declined in other sectors[27][30] - **Volatility**: High across all sectors[27][30] - **Liquidity**: Stable overall[27][30] 5. Options Market Factors - **Implied Volatility**: Increased for both SSE 50 and CSI 1000, indicating higher uncertainty[35] - **Skewness**: Positive for CSI 1000 (small-cap optimism), negative for SSE 50 (large-cap caution)[35] 6. Convertible Bond Market Factors - **Valuation**: Slight increase in average conversion premium[38] - **Trading Activity**: Continued recovery in trading volume[38]