Group 1: Index Movements - On August 20th, the Shanghai Composite Index rose 1.04% to close at 3766.21 points with a trading volume of 1017.5 billion yuan; the Shenzhen Component Index rose 0.89% to close at 11926.74 points with a trading volume of 1390.734 billion yuan [1]. - The CSI 1000 Index rose 0.86% with a trading volume of 517.521 billion yuan, opening at 7212.97, closing at 7305.46, with a high of 7305.46 and a low of 7166.99 [1]. - The CSI 500 Index rose 1.09% with a trading volume of 409.671 billion yuan, opening at 6623.61, closing at 6728.07, with a high of 6728.07 and a low of 6598.55 [1]. - The SSE 50 Index rose 1.23% with a trading volume of 139.706 billion yuan, opening at 2808.44, closing at 2846.99, with a high of 2848.03 and a low of 2799.4 [1]. - The SSE 50 Index rose 1.23% with a trading volume of 139.706 billion yuan, opening at 2808.44, closing at 2846.99, with a high of 2848.03 and a low of 2799.4 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 62.61 points from the previous close, with sectors such as electronics and non - ferrous metals significantly pulling the index up [2]. - The CSI 500 rose 72.76 points from the previous close, with the electronics sector significantly pulling the index up [2]. - The SSE 300 rose 48.03 points from the previous close, with sectors such as electronics and non - bank finance significantly pulling the index up [2]. - The SSE 50 rose 34.57 points from the previous close, with sectors such as electronics and non - bank finance significantly pulling the index up [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 61.01, IM01 was - 110.72, IM02 was - 226.59, IM03 was - 387.11 [13]. - IC00 average daily basis was - 61.45, IC01 was - 101.64, IC02 was - 192.4, IC03 was - 320.35 [13]. - IF00 average daily basis was - 9.18, IF01 was - 15.65, IF02 was - 28.67, IF03 was - 49.83 [13]. - IH00 average daily basis was 0.76, IH01 was 0.74, IH02 was 3.57, IH03 was 5.75 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [23][24]. - Data on IC roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [26][27]. - Data on IF roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [29]. - Data on IH roll - over point differences and their annualized costs are presented at different time intervals from 09:45 to 15:00 [28].

- The report discusses the construction and performance of various quantitative models and factors related to stock index futures and options markets[2][4][6] Quantitative Models and Construction Methods 1. **Model Name: Stock Index Futures Basis Adjustment Model** - **Model Construction Idea**: The model aims to adjust the basis of stock index futures by considering the impact of dividends during the contract period[9] - **Model Construction Process**: - The basis is defined as the difference between the futures contract closing price and the underlying index closing price - The formula for the expected dividend-adjusted basis is: $ \text{Expected Dividend-Adjusted Basis} = \text{Actual Basis} + \text{Expected Dividends during the Contract Period} $ - The annualized basis is calculated as: $ \text{Annualized Basis} = (\text{Actual Basis} + \text{Expected Dividend Points}) / \text{Index Price} \times 360 / \text{Remaining Days of the Contract} $[21] - **Model Evaluation**: The model effectively adjusts the basis by accounting for the impact of dividends, providing a more accurate measure of the futures contract's value[21] 2. **Model Name: Continuous Hedging Strategy** - **Model Construction Idea**: The strategy aims to hedge the spot index by continuously holding futures contracts and adjusting positions based on the contract's expiration[44] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted continuously by holding the quarterly/monthly contracts until the remaining days to expiration are less than 2 days, then rolling over to the next contract[45] - **Model Evaluation**: The strategy provides a systematic approach to hedging, reducing the impact of market fluctuations on the portfolio[45] 3. **Model Name: Minimum Discount Strategy** - **Model Construction Idea**: The strategy selects futures contracts with the smallest annualized basis discount for hedging[46] - **Model Construction Process**: - The strategy involves holding the total return index of the corresponding underlying index on the spot side - On the futures side, 70% of the funds are used for the spot side, and the same nominal principal amount is used for short hedging with stock index futures contracts - The positions are adjusted by selecting the futures contract with the smallest annualized basis discount and holding it for 8 trading days or until the remaining days to expiration are less than 2 days[46] - **Model Evaluation**: The strategy aims to optimize the hedging performance by selecting contracts with the least discount, potentially improving returns[46] Model Backtesting Results 1. **IC Hedging Strategy** - Annualized Return: -2.87% (Monthly Continuous Hedging), -1.87% (Quarterly Continuous Hedging), -1.12% (Minimum Discount Strategy), 0.18% (Index Performance) - Volatility: 3.83%, 4.72%, 4.61%, 20.97% - Maximum Drawdown: -8.65%, -8.34%, -7.97%, -31.46% - Net Value: 0.9155, 0.9443, 0.9665, 1.0054 - Annual Turnover: 12, 4, 17.15 - 2025 YTD Return: -3.90%, -0.97%, -1.22%, 14.02%[48] 2. **IF Hedging Strategy** - Annualized Return: 0.55% (Monthly Continuous Hedging), 0.78% (Quarterly Continuous Hedging), 1.36% (Minimum Discount Strategy), -1.05% (Index Performance) - Volatility: 2.97%, 3.32%, 3.10%, 17.08% - Maximum Drawdown: -3.95%, -4.03%, -4.06%, -25.59% - Net Value: 1.0169, 1.0239, 1.0417, 0.9686 - Annual Turnover: 12, 4, 15.17 - 2025 YTD Return: -0.65%, 0.40%, 0.80%, 7.45%[51] 3. **IH Hedging Strategy** - Annualized Return: 1.11% (Monthly Continuous Hedging), 2.04% (Quarterly Continuous Hedging), 1.77% (Minimum Discount Strategy), -0.69% (Index Performance) - Volatility: 3.08%, 3.50%, 3.10%, 16.29% - Maximum Drawdown: -4.22%, -3.76%, -3.91%, -22.96% - Net Value: 1.0340, 1.0630, 1.0548, 0.9792 - Annual Turnover: 12, 4, 15.83 - 2025 YTD Return: 0.32%, 1.36%, 1.36%, 6.85%[54] 4. **IM Hedging Strategy** - Annualized Return: -6.07% (Monthly Continuous Hedging), -4.44% (Quarterly Continuous Hedging), -3.88% (Minimum Discount Strategy), -0.49% (Index Performance) - Volatility: 4.72%, 5.76%, 5.56%, 25.72% - Maximum Drawdown: -14.01%, -12.63%, -11.11%, -41.60% - Net Value: 0.8346, 0.8629, 0.8725, 0.9185 - Annual Turnover: 12, 4, 15.85 - 2025 YTD Return: -9.60%, -4.77%, -4.37%, 17.96%[59] Quantitative Factors and Construction Methods 1. **Factor Name: Cinda-VIX** - **Factor Construction Idea**: The Cinda-VIX index reflects the market's expectation of future volatility of the underlying asset based on option prices[61] - **Factor Construction Process**: - The index is constructed by adjusting the methodology used in international markets to suit the Chinese market - It captures the implied volatility of options on major indices over different time horizons[61] - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and investment decisions[61] 2. **Factor Name: Cinda-SKEW** - **Factor Construction Idea**: The Cinda-SKEW index measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk[67] - **Factor Construction Process**: - The index captures the skewness in implied volatility by analyzing the differences in implied volatility for options with different strike prices - A higher SKEW index indicates greater concern about potential market downturns[67] - **Factor Evaluation**: The Cinda-SKEW index is a useful tool for assessing market sentiment regarding tail risks and potential extreme events[67] Factor Backtesting Results 1. **Cinda-VIX** - 30-day VIX values as of August 8, 2025: 18.48 (SSE 50), 18.32 (CSI 300), 23.46 (CSI 500), 23.00 (CSI 1000)[61] 2. **Cinda-SKEW** - SKEW values as of August 8, 2025: 102.35 (SSE 50), 109.58 (CSI 300), 105.49 (CSI 500), 114.07 (CSI 1000)[68]

Group 1: Index Trends - On August 4th, the Shanghai Composite Index rose 0.66% to close at 3583.31 points with a trading volume of 639.776 billion yuan; the Shenzhen Component Index rose 0.46% to close at 11041.56 points with a trading volume of 858.775 billion yuan [1]. - The CSI 1000 Index rose 1.04% with a trading volume of 329.555 billion yuan, opening at 6637.84, closing at 6739.69, with a daily high of 6739.73 and a low of 6631.12 [1]. - The CSI 500 Index rose 0.78% with a trading volume of 236.649 billion yuan, opening at 6190.34, closing at 6261.73, with a daily high of 6261.96 and a low of 6187.62 [1]. - The SSE 50 Index rose 0.55% with a trading volume of 80.252 billion yuan, opening at 2748.62, closing at 2769.39, with a daily high of 2769.39 and a low of 2748.62 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 69.22 points from the previous close, with sectors such as electronics, machinery, and national defense and military industry significantly contributing to the upward movement [2]. - The CSI 500 rose 48.53 points from the previous close, with sectors such as national defense and military industry, media, and non - ferrous metals significantly contributing to the upward movement [2]. - The SSE 50 rose 15.26 points from the previous close, with sectors such as banks, non - ferrous metals, and electronics significantly contributing to the upward movement [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 35.52, IM01 of - 107.93, IM02 of - 294.98, and IM03 of - 466.83 [13]. - For IC contracts, IC00 had an average daily basis of - 34.72, IC01 of - 96.84, IC02 of - 247.57, and IC03 of - 377.49 [13]. - For IF contracts, IF00 had an average daily basis of - 6.85, IF01 of - 19.1, IF02 of - 50.68, and IF03 of - 81.55 [13]. - For IH contracts, IH00 had an average daily basis of - 0.09, IH01 of 0.34, IH02 of 2.36, and IH03 of 2.52 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., 09:45, 10:00 etc.) are provided, such as at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791 etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, like at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318 etc. [22]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, for example, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098 etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889 etc. [24].

1. Index Trends - On July 30, the Shanghai Composite Index rose 0.17% to close at 3615.72 points, with a trading volume of 819.628 billion yuan; the Shenzhen Component Index fell 0.77% to close at 11203.03 points, with a trading volume of 1024.652 billion yuan [1]. - The CSI 1000 Index fell 0.82% with a trading volume of 392.675 billion yuan, opening at 6758.33, closing at 6718.48, with a daily high of 6770.88 and a low of 6662.91 [1]. - The CSI 500 Index fell 0.65% with a trading volume of 304.778 billion yuan, opening at 6345.37, closing at 6314.69, with a daily high of 6368.27 and a low of 6269.51 [1]. - The SSE 50 Index rose 0.38% with a trading volume of 112.597 billion yuan, opening at 2809.44, closing at 2819.35, with a daily high of 2842.47 and a low of 2802.74 [1]. - The CSI 300 Index fell 0.02% with a trading volume of 445.168 billion yuan, opening at 4148.94, closing at 4151.24, with a daily high of 4185.21 and a low of 4127.43 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 dropped 55.4 points from the previous close, with sectors such as non - ferrous metals, power equipment, and computers significantly dragging down the index [2]. - The CSI 500 dropped 41.44 points from the previous close, with power equipment, computers, and non - bank finance sectors having a significant downward pull on the index [2]. - The CSI 300 dropped 0.78 points from the previous close, with banks, food and beverage, and pharmaceutical biology sectors pulling the index up, while computers, electronics, and power equipment sectors pulling it down [2]. - The SSE 50 rose 10.76 points from the previous close, with banks, non - bank finance, and food and beverage sectors pulling the index up, and the electronics sector pulling it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 48.99, IM01 was - 119.91, IM02 was - 303.97, and IM03 was - 472.07 [13]. - IC00 average daily basis was - 46.19, IC01 was - 102.76, IC02 was - 241.09, and IC03 was - 367.61 [13]. - IF00 average daily basis was - 6.78, IF01 was - 17.41, IF02 was - 49.47, and IF03 was - 83.1 [13]. - IH00 average daily basis was 0.36, IH01 was 0.26, IH02 was 0.43, and IH03 was 0.33 [13]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on IM, IC, IF, and IH roll - over point differences and their corresponding annualized costs are presented in the relevant tables and figures, including specific values at different time points [20][21][22][23][24][25]

Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - **Model Construction Idea**: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - **Model Construction Process**: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Rebalancing Rule**: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Selection Rule**: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - **IC Futures**: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - **IF Futures**: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - **IH Futures**: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - **IM Futures**: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - **IC Futures**: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - **IF Futures**: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - **IH Futures**: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - **IM Futures**: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - **IC Futures**: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - **IF Futures**: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - **IH Futures**: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - **IM Futures**: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - **Factor Construction Process**: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - **Current Values**: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - **Factor Construction Process**: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - **Current Values**: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-day VIX**: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - **SKEW**: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]

Index Trends - On July 23, the Shanghai Composite Index rose 0.01% to close at 3582.3 points, with a trading volume of 857.046 billion yuan. The Shenzhen Component Index fell 0.37% to close at 11059.04 points, with a trading volume of 1007.554 billion yuan [1]. - The CSI 1000 Index fell 0.45% with a trading volume of 378.33 billion yuan. The opening price was 6634.12, the closing price was 6607.22, the highest price was 6667.86, and the lowest price was 6594.48 [1]. - The CSI 500 Index fell 0.27% with a trading volume of 311.06 billion yuan. The opening price was 6218.21, the closing price was 6196.76, the highest price was 6256.15, and the lowest price was 6187.01 [1]. - The SSE 50 Index rose 0.32% with a trading volume of 130.89 billion yuan. The opening price was 2798.96, the closing price was 2801.2, the highest price was 2824.86, and the lowest price was 2794.81 [1]. Impact of Sector Movements on Indexes - The CSI 1000 fell 29.88 points from the previous closing price. Sectors such as National Defense and Military Industry, Machinery, and Power Equipment significantly pulled the index down [2]. - The CSI 500 fell 16.65 points from the previous closing price. Sectors such as Electronics and Machinery significantly pulled the index up, while sectors such as Basic Chemicals, National Defense and Military Industry, and Power Equipment significantly pulled the index down [2]. - The SSE 300 rose 0.81 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Household Appliances significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. - The SSE 50 rose 9.02 points from the previous closing price. Sectors such as Non - Banking Finance, Banks, and Electronics significantly pulled the index up, while sectors such as National Defense and Military Industry, Power Equipment, and Machinery significantly pulled the index down [2]. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 48.5, IM01 was - 119.08, IM02 was - 302.24, and IM03 was - 461.12 [12]. - IC00 average daily basis was - 34.98, IC01 was - 84.14, IC02 was - 208.95, and IC03 was - 322.64 [12]. - IF00 average daily basis was - 5.22, IF01 was - 13.77, IF02 was - 44.24, and IF03 was - 74.51 [12]. - IH00 average daily basis was 0.54, IH01 was 0.86, IH02 was 3.02, and IH03 was 4.05 [12]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and annualized costs of IM, IC, IF, and IH futures at different time points are provided, including specific values at 09:45, 10:00, etc. [23][24][25]

Index Trends - On July 22, the Shanghai Composite Index rose 0.62% to close at 3581.86 points, with a trading volume of 840.573 billion yuan; the Shenzhen Component Index rose 0.84% to close at 11099.83 points, with a trading volume of 1052.465 billion yuan [1]. - The CSI 1000 Index rose 0.38%, with a trading volume of 395.915 billion yuan, opening at 6607.83, closing at 6637.1, with a daily high of 6642.24 and a low of 6597.05 [1]. - The CSI 500 Index rose 0.85%, with a trading volume of 313.662 billion yuan, opening at 6166.62, closing at 6213.41, with a daily high of 6215.41 and a low of 6152.81 [1]. - The SSE 50 Index rose 0.72%, with a trading volume of 129.395 billion yuan, opening at 2773.4, closing at 2792.18, with a daily high of 2795.49 and a low of 2760.31 [1]. - The SSE 300 Index rose 0.82%, with a trading volume of 450.874 billion yuan, opening at 4087.34, closing at 4118.96, with a daily high of 4119.2 and a low of 4068.34 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 24.84 points from the previous close. Sectors such as basic chemicals, power equipment, and non - ferrous metals significantly pulled the index up, while sectors like electronics and computers pulled it down [2]. - The CSI 500 rose 52.1 points from the previous close. Sectors such as non - ferrous metals, coal, and power equipment significantly pulled the index up [2]. - The SSE 300 rose 33.35 points from the previous close. Sectors such as power equipment, food and beverage, and coal significantly pulled the index up, while the banking sector pulled it down [2]. - The SSE 50 rose 19.94 points from the previous close. Sectors such as food and beverage, machinery, and coal significantly pulled the index up, while non - bank finance and banking sectors pulled it down [2]. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 62.26, IM01 was - 136.19, IM02 was - 321.36, and IM03 was - 483.19 [12]. - IC00 average daily basis was - 43.55, IC01 was - 95.98, IC02 was - 223.44, and IC03 was - 341.34 [12]. - IF00 average daily basis was - 7.04, IF01 was - 17.08, IF02 was - 49.26, and IF03 was - 76.95 [12]. - IH00 average daily basis was 0.75, IH01 was 1.12, IH02 was 3.73, and IH03 was 5.42 [12]. Stock Index Futures Roll - over Point Differences and Annualized Costs - Data on roll - over point differences and annualized costs for IM, IC, IF, and IH futures contracts at different time intervals are provided, including various combinations such as 00 - 01, 00 - 02, etc. [22][27][28]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the convergence of basis in stock index futures and optimizes hedging by continuously rolling over contracts[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 18, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining days to maturity are less than 2, then roll over to the next contract at the closing price[48] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 18, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[49] - **Rebalancing Rules**: Calculate the annualized basis discount for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining days to maturity are less than 8[49] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.86% (monthly), -2.06% (quarterly)[51] - Volatility: 3.86% (monthly), 4.75% (quarterly)[51] - Maximum Drawdown: -8.40% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9173 (monthly), 0.9400 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.50% (monthly), 0.75% (quarterly)[56] - Volatility: 3.00% (monthly), 3.35% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0149 (monthly), 1.0225 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.04% (monthly), 1.99% (quarterly)[60] - Volatility: 3.11% (monthly), 3.53% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[60] - Net Value: 1.0314 (monthly), 1.0603 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.06% (monthly), -4.43% (quarterly)[64] - Volatility: 4.73% (monthly), 5.78% (quarterly)[64] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[64] - Net Value: 0.8411 (monthly), 0.8718 (quarterly)[64] - Annual Turnover: 12 (monthly), 4 (quarterly)[64] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.08%[51] - Volatility: 4.65%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9683[51] - Annual Turnover: 17.50[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.32%[56] - Volatility: 3.13%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0397[56] - Annual Turnover: 15.48[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[60] - Volatility: 3.13%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0521[60] - Annual Turnover: 16.15[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.85%[64] - Volatility: 5.58%[64] - Maximum Drawdown: -11.11%[64] - Net Value: 0.8839[64] - Annual Turnover: 16.02[64] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons[66] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[66] - Tracks volatility expectations for major indices (e.g., SSE 50, CSI 300, CSI 500, CSI 1000)[66] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[66] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[71] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[71] - Higher SKEW values indicate increased concerns about tail risks[71] - **Factor Evaluation**: Useful for identifying market fears of extreme downside risks[72] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 18.43[66] - CSI 300: 17.92[66] - CSI 500: 27.44[66] - CSI 1000: 21.58[66] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 99.29[72] - CSI 300: 101.47[72] - CSI 500: 102.11[72] - CSI 1000: 103.83[72]

Report Summary Report Industry Investment Rating No information provided in the given text. Core Viewpoint The report provides a daily data tracking of stock index futures on July 16, 2025, including index trends, the impact of sector movements on indices, basis and annualized opening costs of stock index futures, and points differences and annualized costs during contract rollovers. Summaries by Section Index Trends - On July 16, the Shanghai Composite Index fell 0.03% to 3503.78 points, with a trading volume of 572.419 billion yuan; the Shenzhen Component Index fell 0.22% to 10720.81 points, with a trading volume of 869.619 billion yuan [1]. - The CSI 1000 Index rose 0.3%, with a trading volume of 306.083 billion yuan; the CSI 500 Index fell 0.03%, with a trading volume of 213.065 billion yuan; the SSE 50 Index fell 0.23%, with a trading volume of 68.142 billion yuan; the CSI 300 Index fell 0.3%, with a trading volume of 300.657 billion yuan [1]. Impact of Sector Movements on Indices - The CSI 1000 Index rose 19.23 points compared to the previous close. Sectors such as pharmaceutical and biological, machinery, and automotive had a significant upward pull, while non - ferrous metals had a downward pull [2]. - The CSI 500 Index rose - 1.57 points compared to the previous close. Sectors like pharmaceutical and biological, automotive, and power equipment had an upward pull, while banking, steel, and electronics had a downward pull [2]. - The CSI 300 Index rose - 11.86 points compared to the previous close. Sectors such as power equipment, non - banking finance, and banking had a downward pull [2]. - The SSE 50 Index rose - 6.33 points compared to the previous close. The electronics sector had an upward pull, while pharmaceutical and biological, banking, and non - banking finance had a downward pull [2]. Basis and Annualized Opening Costs of Stock Index Futures - For IM contracts, the average daily basis for IM00 was - 9.55, IM01 was - 79.03, IM02 was - 151.94, and IM03 was - 331.89 [13]. - For IC contracts, the average daily basis for IC00 was - 4.06, IC01 was - 60.43, IC02 was - 114.57, and IC03 was - 237.99 [13]. - For IF contracts, the average daily basis for IF00 was - 5.2, IF01 was - 19.39, IF02 was - 32.13, and IF03 was - 65.16 [13]. - For IH contracts, the average daily basis for IH00 was - 5.62, IH01 was - 7.61, IH02 was - 9.27, and IH03 was - 7.49 [13]. Points Differences and Annualized Costs during Contract Rollovers - The report presents the points differences and annualized costs during contract rollovers for IM, IC, IF, and IH contracts, with 15 - minute average data provided for each contract combination such as IM00 - 01, IM00 - 02, etc. [21][23][24][26]

1. Index Trends - On July 14th, the Shanghai Composite Index rose 0.27% to close at 3519.65 points, with a trading volume of 623.102 billion yuan; the Shenzhen Component Index fell 0.11% to close at 10684.52 points, with a trading volume of 835.636 billion yuan [1] - The CSI 1000 Index rose 0.02%, with a trading volume of 302.637 billion yuan, opening at 6465.51, closing at 6462.31, with a daily high of 6474.93 and a low of 6443.56 [1] - The CSI 500 Index fell 0.1%, with a trading volume of 226.291 billion yuan, opening at 6033.18, closing at 6020.86, with a daily high of 6042.89 and a low of 6011.69 [1] - The SSE 50 Index rose 0.04%, with a trading volume of 90.039 billion yuan, opening at 2761.48, closing at 2757.81, with a daily high of 2774.23 and a low of 2757.81 [1] 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 1.21 points from the previous close. Machinery, power equipment, and automotive sectors significantly pulled the index up, while media, non - bank finance, and computer sectors pulled it down [2] - The CSI 500 rose - 6.22 points from the previous close. Pharmaceutical biology, machinery, and public utilities sectors significantly pulled the index up, while electronics, media, and non - bank finance sectors pulled it down [2] - The SSE 300 rose 2.86 points from the previous close. Banks, non - ferrous metals, and household appliances sectors significantly pulled the index up, while national defense and military industry, computer, and non - bank finance sectors pulled it down [2] - The SSE 50 rose 1.04 points from the previous close. Banks, pharmaceutical biology, and petroleum and petrochemical sectors significantly pulled the index up, while electronics, food and beverage, and non - bank finance sectors pulled it down [2] 3. Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 13.34, IM01 was - 80.4, IM02 was - 149.25, and IM03 was - 329.11 [12] - IC00 average daily basis was - 9.63, IC01 was - 64.69, IC02 was - 114.85, and IC03 was - 238.97 [12] - IF00 average daily basis was - 8.32, IF01 was - 22.73, IF02 was - 32.29, and IF03 was - 61.46 [12] - IH00 average daily basis was - 6.87, IH01 was - 10.48, IH02 was - 11.07, and IH03 was - 9.58 [12] 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - The report provides detailed data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH futures contracts at different time points from 09:45 to 15:00 [21][23][25]