投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-07-22 ⻛险偏好上移 股指期货：温和上攻 股指期权：红利及小盘情绪上方空间更高 国债期货：风险偏好提升压制债市表现 股指期货方面，周一市场温和上攻，沪指稳步站上3550点关口，反内 卷交易延续成为市场主线，其中建材、建筑、钢铁、电新等领涨，反内卷 方向有扩散化的迹象。另外需要注意的是，银行板块近日连续下跌，这一 现象有几种解释路径，其一，沪指破位重要指数关口之后，按照历史经验 外推会呈现成长补涨的格局，其二，景气度交易再起，近年常被提及的哑 铃结构受到挑战，资金集中涌入景气度反转或是景气度快速提升的领域， 使得市值因子的重要度边际下降。当下我们暂时倾向转向后者的可能性， 在政策主线明确之后，资金针对基本面环境纠偏，公募等中长期资金定价 权提升。展望后市，目前仍建议布局IM多单，除了Beta因素之外，不排除 贴水收敛的可能性。 股指期权方面，期权市场成交额53.98亿元，相较前一交易日下降14. 72%，但仍维持近段时间整体的高流动性。情绪指标方面，持仓量PCR多数 品种延续上行，部分品种如沪市300ETF、创业板E ...

FICC日报 | 2025-07-17 市场成交下降，轮动延续 市场分析 美国PPI温和降温。国内方面，国务院总理主持召开国务院常务会议，研究做强国内大循环重点政策举措落实工作； 听取规范新能源汽车产业竞争秩序情况的汇报；听取关于2024年度中央预算执行和其他财政收支审计查出问题初 步整改情况的汇报；审议通过《国务院关于修改 <中华人民共和国外国人入境出境管理条例> 的决定（草案）》。 海外方面，美国6月PPI环比持平，同比上升2.3%；核心PPI也持平，同比上涨2.5%，为2023年底以来最小增幅。 沪指调整。现货市场，A股三大指数震荡调整，上证指数跌0.03%收于3503.78点，创业板指跌0.22%。行业方面， 板块指数涨跌互现，社会服务、汽车、医药生物、轻工制造行业领涨，钢铁、银行、有色金属、非银金融行业跌 幅居前。当日沪深两市成交金额回落至1.4万亿元。海外市场，特朗普在谈及美联储主席鲍威尔时表示，目前没有 计划采取任何行动，也没有起草解雇信件。美国三大股指小幅收涨，道指涨0.53%报44254.78点。 期指活跃度下降。期货市场，当月合约将于明日交割，基差趋于收敛。成交持仓方面，期指的成交量和持仓 ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The stock market shows a warm and volatile trend, while the bond market sentiment is cautious. The main anti - involution theme in the stock index futures continues to develop, and option trading should focus on covered defense. The bond market is affected by multiple factors, and attention should be paid to the steepening of the yield curve [1][2] Summary by Relevant Catalogs Market Views Stock Index Futures - The basis points of IF, IH, IC, and IM in the current month are - 8.67, - 6.01, - 12.46, and - 20.11 respectively, with changes of - 8.46, - 3.84, - 8.38, and - 11.81 compared to the previous trading day. The inter - period spreads (current month - next month) are 13.6, 3.2, 57, and 68.8 respectively, with changes of - 1, - 0.4, 7.4, and 4.8. The positions of IF, IH, IC, and IM change by - 19160, - 14582, - 14672, and - 28320 hands respectively [5] - The Shanghai Composite Index fluctuated after rising on Monday, standing firm at 3500 points with trading volume shrinking to 1.5 trillion yuan. The large - and small - cap stocks showed differentiation. The banking sector had a momentum effect, and there is a possibility of a tail risk of crowding in the banking sector. The main anti - involution theme continues to develop, and the anti - involution trading is expected to last until the Politburo meeting in July. During the release of the semi - annual report forecasts, the profit of the cyclical chain industries has improved, and the industries with a large upward adjustment of the ROE consensus expectation in June generally have excess returns. A - shares are insensitive to overseas tariffs. It is recommended to allocate IM long positions [1][5] Stock Index Options - The trading volume of each option variety decreased significantly compared to the liquidity high on Friday. The weighted implied volatility decreased by 1.05%, and the sentiment indicator (PCR of open interest) decreased by 1.29% on average. During the period of continued market volatility, it is recommended to focus on covered defense [2][5] Treasury Bond Futures - The trading volume and open interest of T, TF, TS, and TL in the current quarter have different changes. The inter - period spreads, inter - variety spreads, and basis points also have corresponding changes. The central bank conducted 2262 billion yuan of 7 - day reverse repurchases, with 1065 billion yuan of 7 - day reverse repurchases maturing [6] - Treasury bond futures closed down across the board. The yields of treasury bonds mostly increased. The central bank's net injection of funds was offset by the approaching tax period, and the inter - bank funding rate mostly increased. The better - than - expected credit and import - export data in June also had a negative impact on the bond market. The improvement in risk appetite and better - than - expected economic data are negative for the long - end of the bond market, while the central bank's care for the funding side and large banks' continuous purchase of short - term bonds are positive for the short - end. It is appropriate to pay attention to the steepening of the yield curve [2][6][7] Economic Calendar - On July 14, 2025, China's export amount in June increased by 5.8% year - on - year, and the new RMB loans in June were 22400 billion yuan, both better than expected. On July 15, the data of China's industrial added value in June and the US CPI in June are yet to be released [8] Important Information and News Tracking - Financial data: In the first half of the year, RMB loans increased by 12.92 trillion yuan, and deposits increased by 17.94 trillion yuan. The cumulative increase in the social financing scale in the first half of the year was 22.83 trillion yuan, 4.74 trillion yuan more than the same period last year [8] - Exports: In June, China's exports in US dollars increased by 5.8% year - on - year, and imports increased by 1.1%. The trade surplus was 1147.7 billion US dollars. In the first half of the year, China's exports increased by 5.9% year - on - year, and imports decreased by 3.9%. The trade surplus was 5859.6 billion US dollars [9] - Taobao Flash Sale and Ele.me announced that the daily order volume (excluding self - pick - up and free purchases) exceeded 80 million [9] - The Fed's Harker said that the inflation target has not been reached, and it is still very important to maintain a tight monetary policy. There is no urgent need to cut interest rates, and there is uncertainty about the economic situation later this year [9]