Group 1 - The article introduces various common options strategies and highlights the backtesting results of a covered call strategy in the A-share market, showing significant excess returns during downtrends and sideways phases compared to holding ETFs [1] - The Shanghai Stock Exchange, Shenzhen Stock Exchange, and China Financial Futures Exchange provide various options based on broad indices and ETFs, with the trading volume of options gradually increasing, particularly the daily trading volume of the CSI 1000 options reaching around 1.9 billion [1] - Common options strategies can be categorized into single-leg strategies, spread strategies, hedging protection strategies, volatility strategies, and exotic strategies, with exotic strategies like Snowball and Vanilla gaining popularity in recent years, although options-related strategies are still relatively rare in domestic public funds [1] Group 2 - In overseas markets, covered call and hedging products are developing rapidly, with examples like RYLD and QYLD, which effectively reduce the net asset value volatility of their underlying indices [2] - The Russell 2000 index has been in a wide-ranging fluctuation since 2021, and RYLD's net asset value volatility is significantly lower than that of the index, providing a better holding experience for investors [2] - However, in trending upward markets, while covered call products can reduce volatility, their returns often lag behind the underlying index, as evidenced by QYLD's performance being significantly lower than that of the Nasdaq 100 index since 2021 [2] Group 3 - The backtesting results of the covered call strategy using existing 300ETF and 500ETF options indicate that the strategy significantly smooths the net asset value trajectory, with most performance metrics outperforming pure holding of the 300ETF, reducing the maximum drawdown from 42% to 22% [3] - During downtrends and sideways phases in the CSI 300, the covered call strategy clearly outperforms pure holding of ETFs, with better results observed in years with significant declines (2022, 2023) when using in-the-money options [3] - In years with smaller declines (2021), both in-the-money and out-of-the-money options can enhance returns, while in years with smaller gains (2025 to present), higher out-of-the-money options can boost returns; however, in years with larger gains (2020 and 2024), the covered call strategy underperforms direct ETF holdings [3]

1. Report Industry Investment Rating - The investment rating for stock index futures is "oscillating with a slight upward bias" [7] - The investment rating for stock index options is "oscillating" [8] - The investment rating for treasury bond futures is "oscillating, taking a cautious approach" [10] 2. Core Views of the Report - Stock index futures are experiencing a strengthening of the technology - growth trend. The market sentiment is positive, and funds are flowing towards high - growth sectors. There is still room for price increases in the technology - growth sector, and it is recommended to continue to allocate long positions in IM contracts [7]. - For stock index options, there are two trading logics based on the volatility changes: partial profit - taking in the spot and switching to buying out - of - the - money call options, or buying put options for protection during the process of chasing the market. In the short - term, a double - selling strategy is recommended, and in the medium - term, the covered call strategy continues [2][8]. - Treasury bond futures are facing multiple disturbing factors. The market is pricing in potential risks from major meetings in advance. In the short - term, the bond market is affected by many factors, and it is recommended to pay attention to various strategies such as basis trading and curve trading [2][10]. 3. Summary by Relevant Catalogs 3.1 Market Views Stock Index Futures - **Market Performance**: On Tuesday, the Shanghai Composite Index opened lower and closed higher, with trading volume reaching 1.83 trillion yuan. The market sentiment is positive, and the focus is shifting to the technology - growth sector. The pharmaceutical and communication industries led the gains [7]. - **Logic**: The strong performance of the CXO leader's mid - year report and the technological catalysis of PCB are driving the technology - growth sector. Funds are flowing out of the "anti - involution" and dumbbell - shaped sectors, and there is still room for price increases in the technology - growth sector [7]. - **Operation Suggestion**: Allocate long positions in IM contracts [7]. Stock Index Options - **Market Performance**: The underlying assets continued to be strong, with the GEM ETF rising by 1.75% and the Science and Technology Innovation 50 ETF rising by 1.35%. The trading volume of the STAR Market and ChiNext ETF options increased, but the overall market share is limited [8]. - **Logic**: The increase in weighted volatility mainly comes from the out - of - the - money put side, while the at - the - money and slightly out - of - the - money call volatility has declined, implying short - term market correction concerns. Two trading logics are derived [8]. - **Operation Suggestion**: In the short - term, use the double - selling strategy; in the medium - term, continue the covered call strategy [2][8]. Treasury Bond Futures - **Market Performance**: Treasury bond futures declined across the board. The central bank continued large - scale net injections, but the bond market sentiment was weak [2][10]. - **Logic**: The market is pricing in potential risks from the Sino - US economic and trade negotiations and the Politburo meeting in advance. The stock market and commodity market sentiment has improved, putting pressure on the bond market [2][10]. - **Operation Suggestion**: For trend trading, be cautious; for hedging, pay attention to short - hedging at low basis levels; for basis trading, pay attention to the basis convergence of the TL main contract; for curve trading, it is more profitable to steepen the yield curve in the medium - term [10]. 3.2 Economic Calendar - The economic calendar includes data such as the US July ADP employment figures, the US Federal Reserve interest rate decision, China's July official manufacturing PMI, and the US July Michigan Consumer Sentiment Index final value [12]. 3.3 Important Information and News Tracking - From January to June 2025, the number of newly established foreign - invested enterprises in China increased by 11.7% year - on - year, but the actual use of foreign capital decreased by 15.2% year - on - year. The manufacturing and service industries used 1090.6 billion yuan and 3058.7 billion yuan of foreign capital respectively [12]. - From January to June, the total operating income of state - owned enterprises decreased by 0.2% year - on - year, and the total profit decreased by 3.1% year - on - year. The asset - liability ratio at the end of June increased by 0.3 percentage points year - on - year [13]. - The China Photovoltaic Industry Association clarified that some self - media reports on the anti - involution work in the photovoltaic industry, especially in the polysilicon sector, are inconsistent with the facts [13]. - Due to heavy rainfall in Beijing, a national level - four disaster relief emergency response was launched. The National Development and Reform Commission arranged 200 million yuan of central budget - inner investment for post - disaster recovery [13]. 3.4 Derivatives Market Monitoring - The report mentions the monitoring data of stock index futures, stock index options, and treasury bond futures, including contract basis, spreads, trading volume, and open interest, but specific data details are not fully presented in the summary [7][8][10].

Group 1 - The report highlights the current state of the options market, noting that liquidity is slightly lower than the average for the previous year, with a small decline in trading volume compared to the first quarter [1] - It is expected that the volatility of various products still has room to decrease, potentially leading to a bottoming out similar to the third quarter of last year [1] - The main strategy for the second half of 2025 is a "barbell" allocation, favoring defensive dividend assets as a core holding while also including small-cap stocks [1] Group 2 - The report discusses two implementation paths for the barbell allocation strategy in options: the first being a covered call simulation using dividend ETFs, which has yielded an annualized excess return of 2.27% since 2020 while reducing drawdown by approximately 5% and volatility by about 4% [1] - The second path involves a long call option strategy on the CSI 1000 index, where the market's hedging power may shift to the options market under deep contango conditions, leading to higher put prices and lower call prices [1] - The report indicates that in a non-timing scenario, the long call option strategy may struggle to outperform futures strategies, with a single-leg short call strategy contributing about 3% in excess returns, slightly lower than the next month's futures alternatives [1]

Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The cast aluminum alloy options were listed on June 10, 2025. In the first week after listing, the implied volatility of the options was relatively high compared to Shanghai aluminum options, and the volatility curve was slightly negatively skewed. The trading volume shifted from a state where the call - option volume was nearly twice that of the put - option volume on the first day to a state where the put - option volume and open interest were larger. The open - interest market value of aluminum alloy options was close to one - tenth of that of Shanghai aluminum options. Considering the long time to expiration, a small - scale option covered strategy can be used for spot - futures hedging [1]. 3. Summary by Directory 3.1 Cast Aluminum Alloy Options Listing Overview - On June 10, 2025, the cast aluminum alloy futures were listed on the Shanghai Futures Exchange, and the option contracts corresponding to AD2511 and AD2512 futures contracts started trading at night. The initial number of option contracts was 144, with an equal number for the two - month contracts. As the underlying futures price rose, the option contracts added multiple strike prices. By the end of Friday, there were a total of 150 option contracts, including 74 near - month contracts [1][4][6]. - The trading enthusiasm was high on the first day of option listing, with a total trading volume of 8,576 contracts, and nearly 95% of the volume was achieved in the 2511 option contracts. The total open interest was 2,765 contracts, and the 2511 option contracts also accounted for over 94%. As the market stabilized and the time to expiration was far away, the trading enthusiasm decreased [6]. 3.2 Cast Aluminum Alloy Options Trading Structure - On the first day of futures listing (June 10), the actual volatility of the main contract was about 19%, and then it gradually declined. The implied volatility of the corresponding options dropped to around 13% by the close of June 11, slightly lower than the actual futures volatility on that day. Subsequently, the actual volatility further decreased, while the implied volatility of the options remained relatively high, reflecting the forward - looking effect of volatility in option pricing [8]. - The implied volatility of put options was relatively higher. During the market stabilization process, the implied volatility of call options declined faster, and the volatility curve changed from an almost symmetric structure to a negatively skewed one. On the first day of option listing, the trading enthusiasm for call options was high, with a single - day trading volume of 5,590 contracts, but the open interest after settlement was only 1,564 contracts, and the trading - to - open - interest ratio was nearly 3.6 times. The trading volume of put options was only 2,986 contracts on the first day, with an open interest of 1,201 contracts. However, the implied volatility of put options was relatively high, indicating that the selling force in the option market was relatively stronger, and the continuous decline in implied volatility also suggested more participation in selling options [10]. 3.3 Option Strategies - Since the current option contracts are far from expiration and the volatility level is expected to decline further, a covered option combination can be considered to enhance the income of spot trading when the spot trading period matches. The option covered strategy involves selling call options when holding spot inventory or long futures positions, and for downstream enterprises, it can be selling put options while having purchase needs or short futures positions. If the sold option contracts are not exercised at expiration, the entire option premium is earned; if they are exercised, a position opposite to the spot or futures position is obtained for effective hedging [16]. - For example, the current price of the AD2511 futures contract is about 19,700 yuan/ton, and the price of an out - of - the - money call option with a strike price of 21,000 yuan/ton is about 150 yuan/ton. If an upstream enterprise sells this contract until the option contract expires on October 27: if the futures price is lower than 21,000 yuan/ton, a profit of 150 yuan/ton is earned, and the option contract automatically expires. If the futures price is higher than 21,000 yuan/ton, a short futures position with a cost price of 21,000 yuan/ton is obtained, and an additional profit of 150 yuan/ton in option premium is earned, effectively locking in the selling price at 21,150 yuan/ton [17].