1. Report's Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - In the short - term, when there is no significant market catalyst and incremental funds have not entered the market, a strategy of going long on volatility can increase the returns of the convertible bond portfolio. The excess returns mainly come from risk - pricing compensation and the avoidance of the "volatility trap" [2][11]. - In the long - term, liquidity premium may be a relatively stable source of excess returns in the convertible bond market. With the expected liquidity easing, low - interest rates, narrowing credit spreads, and the structural rise of the equity market, the convertible bond market is expected to be in a "high - valuation" state for a long time, and the equity factor is expected to dominate convertible bond returns [3][14]. - The convertible bond market has been oscillating upward, maintaining stable trading volume, range - bound movement, and compressed valuations. In the industry dimension, sectors such as information technology, optional consumption, and finance have strengthened, while the energy and materials sectors have weakened. In the medium - term, although the supply of convertible bonds continues to shrink, the expected incremental funds are sufficient, and the convertible bond market is expected to have a new round of upward trends [1][10]. 3. Summary of Each Section According to the Table of Contents 3.1 Convertible Bond Weekly Thoughts - From 2025/12/08 to 2025/12/12, the convertible bond market oscillated upward, maintaining stable trading volume, range - bound movement, and compressed valuations. Information technology (+0.72%), optional consumption (+0.48%), and finance (+0.18%) sectors strengthened, while energy (-1.93%) and materials (-0.59%) sectors weakened. Due to bond market adjustments, the valuation of debt - like convertible bonds contracted, while equity - like convertible bonds strengthened and their valuations expanded [10]. - In the short - term, as of 2025/12/12, the volatility style performed best in the past week. The average return of this style in the past week was about -0.17%, with a relatively controllable overall drawdown. Going long on volatility can bring excess returns from risk - pricing compensation and the avoidance of the "volatility trap" [11]. - In the medium - term, the release of relevant policies may bring incremental funds to the market. Since 2021, under neutral market conditions, the liquidity style has performed best with stable excess returns. Future liquidity easing and low - interest rates will support convertible bond valuations, and the convertible bond market is expected to move towards "strengthened equity attributes" [13][14]. 3.2 Convertible Bond Market Tracking 3.2.1 Convertible Bond Market Conditions - The report provides the performance data of various convertible bond indices in different time periods, such as the performance of the Wande Convertible Bond Energy Index, Wande Convertible Bond Materials Index, etc., in the past week, two weeks, since September, one month, two months, half - year, and one year [18]. 3.2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten individual convertible bonds in terms of price changes in the past week [21]. 3.2.3 Convertible Bond Valuations - The report presents the valuation trends of debt - like, balanced, and equity - like convertible bonds, as well as the conversion premium rate valuation trends of convertible bonds with different parities [22][30]. 3.2.4 Convertible Bond Prices - The report shows the proportion trend of high - price bonds and the median price of convertible bonds [32].

Core Viewpoint - The article discusses the Strip and Strap strategies as options trading techniques that allow investors to profit from significant stock price movements, whether upward or downward, by adjusting the ratio of call and put options in their portfolios [2][10]. Summary by Sections Strip Strategy - The Strip strategy involves buying 1 at-the-money (ATM) call option and 2 put options with the same strike price and expiration date, resulting in a bearish bias where profits are maximized during significant downward movements [3][10]. - The total premium cost (maximum loss) is calculated as 2P + C, where P is the put option premium and C is the call option premium [5]. - The strategy's break-even points are defined as the strike price minus the total premium cost divided by 2 for the downside and the strike price plus the total premium cost for the upside [5]. Strap Strategy - The Strap strategy consists of buying 2 ATM call options and 1 put option, creating a bullish bias where profits are maximized during significant upward movements [10][12]. - The total premium cost (maximum loss) is calculated as P + 2C, where P is the put option premium and C is the call option premium [12]. - The break-even points for this strategy are the strike price minus the total premium cost for the downside and the strike price plus half of the total premium cost for the upside [12]. Performance Analysis - For the Strip strategy, if the stock price rises to $300, the profit can reach $1,305, yielding a profit ratio of 77%. Conversely, if the price drops to $250, the profit can increase to $2,305, yielding a profit ratio of 136% [8][9]. - For the Strap strategy, if the stock price rises to $300, the profit can reach $4,380, yielding a profit ratio of 270%. If the price drops to $250, the profit can be $380, yielding a profit ratio of 23% [14][15]. Strangle Strategies - The Strip Strangle strategy involves buying 1 out-of-the-money (OTM) call option and 2 OTM put options, maintaining a bearish bias with lower costs but requiring larger price movements to be profitable [17][19]. - The Strap Strangle strategy consists of buying 2 OTM call options and 1 OTM put option, maintaining a bullish bias with similar cost considerations [23][25]. - The total premium costs and break-even points for both strangle strategies are calculated similarly to the straddle strategies, with specific adjustments for OTM options [19][25]. Recommendations - The article suggests using short-term options to capitalize on rapid volatility increases, especially around significant events like earnings reports or Federal Reserve decisions [31]. - It emphasizes calculating break-even points to assess whether expected stock movements will meet profit requirements and advises on early exits to preserve time value if the strategy is not performing as expected [31].

Market Performance - The A-share market opened lower and maintained a weak trend throughout the day, with the Shanghai Composite Index down by 0.07%, the Shenzhen Component Index down by 0.62%, and the ChiNext Index down by 0.79% [1] - The total trading volume in the Shanghai and Shenzhen markets was 16,678 billion yuan [1] Options Market Activity - All varieties of options saw a decline in trading activity, influenced by the expiration of the main ETF contracts, leading to an overall decrease in open interest [2] - Specific trading volumes and open interest for major ETFs included: - Shanghai 50 ETF options: 1,068,860 contracts traded, 1,488,004 contracts open, with a trading volume of 431 million yuan - CSI 300 ETF options: 1,274,494 contracts traded, 1,249,609 contracts open, with a trading volume of 658 million yuan - CSI 500 ETF options: 1,646,858 contracts traded, 1,282,436 contracts open, with a trading volume of 1,456 million yuan - ChiNext ETF options: 1,867,528 contracts traded, 1,999,196 contracts open, with a trading volume of 1,175 million yuan [2] Implied Volatility - Implied volatility for various options slightly decreased but remained at relatively high levels for the year, indicating cautious market sentiment [3] - The weighted implied volatility for key ETFs included: - Shanghai 50 ETF options: 0.1639 - CSI 300 ETF options: 0.1428 - CSI 500 ETF options: 0.1873 - ChiNext ETF options: 0.2999 [3] Market Outlook - Recent significant intraday fluctuations in underlying assets suggest that a turning point may be approaching, with a recommendation to consider strategies that capitalize on increased volatility [3] - In the medium term, the Shanghai and Shenzhen markets are expected to continue a trend of oscillating upward, with opportunities to buy on dips or construct long positions in the distant months [3]

Market Performance - On April 16, the A-share market showed a mixed performance with the Shanghai Composite Index rising by 0.26% while the Shenzhen Index and the ChiNext Index fell by 0.85% and 1.21% respectively [1] - The STAR 50 Index increased by 0.81% [1] - The total trading volume in the Shanghai and Shenzhen markets reached 11,119 billion yuan [1] Options Market Activity - All varieties of options saw increased trading activity with overall open interest continuing to grow [2] - The trading volume for the Shanghai Stock Exchange 50 ETF options was 1,285,515 contracts with an open interest of 1,594,677 contracts and a transaction value of 431 million yuan [2] - The trading volume for the CSI 300 ETF options was 1,369,245 contracts with an open interest of 1,414,333 contracts and a transaction value of 715 million yuan [2] - The trading volume for the CSI 500 ETF options was 1,632,882 contracts with an open interest of 1,216,514 contracts and a transaction value of 1,381 million yuan [2] - The trading volume for the ChiNext ETF options was 1,347,656 contracts with an open interest of 1,583,698 contracts and a transaction value of 507 million yuan [2] Implied Volatility - Various underlying assets experienced a rebound from low levels, while the implied volatility of options remained at year-to-date lows [3] - The weighted implied volatility for the Shanghai Stock Exchange 50 ETF options was 0.1476, while for the CSI 300 ETF options it was 0.173 [3] - The weighted implied volatility for the ChiNext ETF options was 0.2883, indicating a relatively low volatility environment [3] - The analysis suggests that the recent contraction in trading volume and narrowing volatility may not be sustainable, with a potential for a market rebound in the medium to long term [3]