没出事，情况更新https://t.co/h6VtHnLnwCYuyue (@yuyue_chris):早上实在太恐慌，联系项目方也联系不上，睡醒发现 @zerobasezk 及时做出了回应，底层收益不是来自链上，都是来自交易所，做的中性策略不做 CTA，USDe 占比非常低我和多方核实过了下，协议目前是非常安全的，没有出问题，着急抄底可以等闪电赎回的池子加了之后付 0.5% 赎回费用提现好在钱存在 ...

早上实在太恐慌，联系项目方也联系不上，睡醒发现 @zerobasezk 及时做出了回应，底层收益不是来自链上，都是来自交易所，做的中性策略不做 CTA，USDe 占比非常低我和多方核实过了下，协议目前是非常安全的，没有出问题，着急抄底可以等闪电赎回的池子加了之后付 0.5% 赎回费用提现好在钱存在 ZEROBASE 才没什么太多仓位，现在 ZEROBASE 安全无事也是确定安全存活了 🙏 也希望大家一切都好！Gink5814.eth🐣 (@Gink5814):@yuyue_chris Yuyue 老师，我们资金流动性充裕，净值稳定，这一波整体微有盈利，闪提目前在排队是从交易所提币需要一些审核的时间，感谢关心🙏 ...

Core Insights - The 2025 Autumn Strategy Conference by CITIC Futures focused on the theme "Tides Surge, Breakthroughs and Innovations," analyzing investment opportunities across various sectors for Q4 and 2026 [1] Macro and Precious Metals Forum - The macroeconomic outlook for Q4 is characterized by a "steady progress" approach, with policies aimed at stabilizing growth through 500 billion yuan in financial tools and potential interest rate cuts [2] - Gold is expected to show a strong oscillation in Q4, with long-term strategic allocation opportunities due to the anticipated decline in real interest rates and ongoing geopolitical tensions [2] Financial Forum - Equity assets are projected to perform positively in Q4, driven by new capital inflows and policy expectations, with a focus on IM long positions and strategies to capitalize on market movements [3] - The bond market may shift from a weak stance, with a potential recovery in bullish sentiment, although the 10-year government bond yield is expected to fluctuate between 1.65% and 1.95% [3] Energy and Chemical Forum - The energy and chemical sectors are facing slightly weak supply and demand dynamics in Q4, with oil prices influenced by geopolitical factors and supply disruptions [4] - The chemical industry is under pressure from increasing production capacities, particularly in PVC and styrene, which may hinder demand growth without supportive consumption policies [4] Non-Ferrous Metals Forum - The non-ferrous metals sector is expected to see a positive shift in Q4, with copper, aluminum, and tin being highlighted as potential bullish opportunities due to supply disruptions and macroeconomic support from interest rate cuts [5][6] - Industrial silicon and lithium carbonate may face downward pressure, while polysilicon is expected to benefit from supply-side contraction policies [6] Agricultural Forum - Agricultural products are in a transitional phase between old and new crops, with inventory dynamics and international trade relations significantly impacting market conditions [7] - The soybean market is expected to remain stable, while palm oil may see bullish opportunities due to seasonal production declines [7] Black Metals Forum - The black metals market is anticipated to experience a mixed trend, with short-term price support from a favorable macro environment, but potential long-term weakness due to inventory pressures [8] - Iron ore prices are expected to fluctuate widely, while coal and coke prices may initially rise before facing downward pressure [8] Innovation Forum - The energy sector is under pressure from oversupply, with fossil fuels facing challenges, while the demand for new energy sources is expected to grow steadily [9] - The shipping market is projected to perform strongly due to production increases and sanctions, with coal supply tightening expected to support prices [9]

Core Viewpoint - The bond market in 2025 is characterized by low volatility, which limits the profit potential of traditional trend-following strategies. Quantitative and neutral trading strategies are proposed as effective methods to enhance returns in this low-volatility environment [1][2]. Summary by Sections Current Market Conditions - As of early 2025, China's bond market is experiencing low yields and low volatility, prompting investment institutions to rethink their strategies to navigate this challenging environment [2][6]. - The bond market's volatility has significantly decreased, reaching levels below the 10th percentile since April 2025, influenced by factors such as U.S. tariffs and domestic liquidity conditions [2][6]. Causes of Low Volatility - The low volatility in the bond market is attributed to several factors: 1. **Liquidity Constraints**: The central bank's policies have maintained reasonable liquidity, keeping overnight repo rates around 1.4%, which has limited further declines in bond yields [6][7]. 2. **Economic Expectations**: Weak economic indicators and uncertainties surrounding U.S.-China trade relations have constrained the upward movement of bond yields, with the 10-year government bond yield mostly staying below 1.75% [6][7]. 3. **Supply and Demand Dynamics**: Increased government bond issuance has not significantly impacted the market due to ongoing liquidity support from the central bank [7]. 4. **Arbitrage Strategies**: The widespread use of neutral arbitrage strategies by investment institutions has helped stabilize the market and reduce irrational volatility [7]. Investment Strategies in Low Volatility Market - In response to the low volatility environment, two main strategies are recommended: 1. **Quantitative Strategies**: These strategies utilize historical data and mathematical models to identify trading opportunities. A volatility factor model has been developed, demonstrating predictive capabilities and profitability in low-volatility conditions [9][10][17]. 2. **Neutral Strategies**: These involve constructing both long and short positions to hedge market risks and capture stable returns. The application of classic neutral trading strategies, such as basis trading, term spread trading, and new/old bond spread trading, has shown potential for excess returns [17][18]. Performance of Quantitative Strategies - A quantitative strategy based on a volatility factor was tested, yielding a cumulative return of 26.17 basis points with a win rate of 62.33%, outperforming traditional single-direction strategies [14][22]. - The strategy's performance highlighted areas for improvement, such as enhancing sensitivity to directional signals and optimizing threshold parameters for better risk management [15][16]. Performance of Neutral Strategies - Classic neutral strategies have been effectively employed to exploit market inefficiencies, with examples demonstrating successful basis trading, term spread trading, and new/old bond spread trading [18][19][20][21]. - These strategies have proven to enhance absolute returns and improve the return on assets (ROA) in a low-volatility market [22]. Future Outlook - The bond market's low volatility phase is seen as a transitional period that necessitates a restructuring of investment strategies. The integration of quantitative and neutral strategies is emphasized as crucial for adapting to the new market norm [23]. - Investment institutions are encouraged to enhance their research capabilities and technological integration to better navigate the evolving market landscape [23].

Group 1 - The macro growth factor continues to rise, while inflation indicators show a weakening rebound, with domestic CPI turning negative at -0.4% and PPI's decline narrowing to -2.9%, indicating persistent internal demand issues [4] - The Federal Reserve's interest rate cut expectations are driving upward global liquidity expectations, benefiting Asian equity markets, with the Korean Composite Index rising by 5.94% and the Hang Seng Tech Index by 5.31% [4][9] - The A-share market shows a preference for growth styles, with the Sci-Tech 50 Index increasing by 5.48%, while small-cap indices outperform large-cap blue chips [4] Group 2 - Recommendations for asset allocation include favoring high-grade credit bonds in the bond market, adjusting duration flexibly, and focusing on bank and insurance sector movements [5] - In the overseas equity market, the report suggests monitoring interest rate-sensitive sectors due to limited short-term rebound potential for the dollar and significantly raised interest rate cut expectations [5] - For gold, it is recommended to increase allocations to gold and silver as they are core assets during the interest rate cut cycle, with expectations for Shanghai gold to break previous highs [5] Group 3 - The report indicates that the overall liquidity environment remains supportive for market valuation recovery and structural trends, with a significant decrease in average daily trading volume in the A-share market [56] - The A-share valuation levels have increased, with the price-to-earnings ratio rising to 50.38 times and the price-to-book ratio reaching 5.60 times, suggesting that market expectations for future corporate earnings may be overly optimistic [60] - The report highlights that the earnings expectations for A-shares are weaker than historical averages, with a projected rolling one-year earnings growth rate of 10.3% and revenue growth rate of 5.9% [61]

Industry Investment Rating - No relevant information Core View - Fed's July meeting minutes show increasing internal divergence and no hint of a September rate cut, while the unexpectedly high US manufacturing PMI in August may change market expectations for a September rate cut [2] - Domestic policy intensity has marginally converged recently, and the main driving forces for the index are the "93 consensus" and institutional clustering. A - shares are not affected by the continuous decline of Hong Kong and US stocks due to the support of mainland margin - trading funds. The margin balance has increased significantly, and the total A - share trading volume has soared. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] - The rise of the index this week has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased. There is a large profit space for cash - and - carry arbitrage in IH and IF September contracts, and the annualized hedging cost of near - month contracts of IC and IM is only about 2%, which may lead to an increase in the scale of neutral strategies [2] - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2] Summary by Related Contents Market Background - The Fed's internal divergence is increasing, and it is facing a trade - off between inflation and employment risks. The unexpectedly high US manufacturing PMI in August may affect the expected September rate cut [2] - Domestic policy intensity has marginally converged, and the main driving forces for the index are the "93 consensus" and institutional clustering. Geopolitical situation is calm, and A - shares are supported by mainland margin - trading funds [2] Market Performance - The margin balance has increased significantly, with a net purchase of over 80 billion this week. The total A - share trading volume is about 2.5 trillion per day. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] Basis and Spread - The rise of the index has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased [2] - The September contracts of IH and IF have an annualized premium of over 6% and 7% respectively, with a large profit space for cash - and - carry arbitrage. The annualized hedging cost of near - month contracts of IC and IM is only about 2% [2] Forecast - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2]

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].