Report Information - Report Title: Stock Index Hedging Weekly Report - Report Date: October 17, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Market risk appetite continued to decline this week, with broad - based indexes falling on shrinking volume, and the market style tilted towards large - cap value. The Shanghai Composite 50 index fell only 0.24% this week, while the CSI 500 and CSI 1000 tumbled nearly 5%, and the Sci - tech Innovation and ChiNext sectors continued to decline, with a weekly decline of nearly 6% [4]. - The basis continued its high - volatility pattern this week. As of Friday, the basis of each variety decreased compared with last week. The premium of IH narrowed to about 0.6%, the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, and the discount of IM was basically the same as last week [4]. Summary by Directory 1. Stock Index Futures Basis Situation - **Futures Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, in the IF2510 contract, the basis changed from - 3.03 last week to 25.37 this week, with a change of 28.40 [2]. - **Market Conditions and Basis Analysis**: After the external relations fluctuated last weekend, the A - share market showed a complex trend. The overall market risk appetite declined, and the basis was highly volatile. The term structure of the remaining contracts was flat after the October contracts expired, and the hedging costs were similar [4]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH was 78,080 contracts, a 17.0% increase from the previous week, and the open interest was 97,922 contracts, a 7.4% decrease. Similar data were provided for IF, IC, and IM [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, the hedging profit and loss of the IF2510 contract changed from - 3.26 last week to - 28.40 this week [11]. - **Hedging Profit and Loss Charts**: Presented the 60 - trading - day cumulative hedging profit and loss charts of IF, IH, IC, and IM [10].

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The joint issuance of relevant opinions by the central authorities may promote the return of Hong Kong - listed technology leaders to the A - share market, triggering the rapid inclusion rules of several A - share broad - based indices and potentially driving the index market. The agreement reached in the Sino - US trade talks has little impact on the index. The market expects the Fed to cut interest rates twice this year. Funds continue to flow south, the A - share market is mainly in a volatile state, and the trading volume and margin trading balance have slightly recovered. Each broad - based index has a small decline, and the base spread of each futures variety is relatively stable. It is recommended to maintain near - end hedging [5] 3. Summary by Relevant Catalogs 3.1股指期货基差情况 - **Base Spread and Index - Enhanced Annualized Returns**: The base spreads of various futures contracts (IF, IH, IC, IM) have changed this week. For example, the base spread of IF2506 changed from - 18.58 last week to - 7.78 this week, with a change of 10.80 and an index - enhanced annualized return of 10.0%. The index - enhanced annualized returns are calculated with a 20% futures margin rate and a 2% cash wealth management yield [2] - **Market Situation and Base Spread Analysis**: The A - share market is mainly in a volatile state. The base spreads of each variety are relatively stable this week. IH has changed from a premium to a small discount state. The annualized discounts of IC and IM are maintained at around 10% and 15% respectively. The term structure has little change, and the annualized cost of near - month contracts is low, so it is advisable to maintain near - end hedging [5] - **Trading Volume and Open Interest**: The average daily trading volume and open interest of IH, IF, IC, and IM have increased compared with the previous week. For example, the average daily trading volume of IH this week is 50,533 lots, a 39.5% increase from the previous week, and the open interest is 88,097 lots, a 12.3% increase from the previous week [6] - **Base Spread after Considering Dividends**: The table shows the closing prices, base spreads after considering dividends, expected total dividend points, and annualized premium/discount rates of various contracts for different indices (CSI 300, SSE 50, CSI 500, CSI 1000) [7] 3.2 对冲盈亏 - **Hedging Profit and Loss**: The table shows the hedging profit and loss of various contracts (IF, IH, IC, IM) last week and this week. For example, the hedging profit and loss of IF2506 was 0.75 last week and - 10.80 this week [12]

Report Industry Investment Rating - No relevant information provided Core Views - This week, major broad - based indices declined. The CSI 1000 index fell 1.04%, the CSI 2000 index dropped 1.09%, the STAR 50 index declined 1.11%, the CSI 500 index decreased 1.19%, the CSI All - Share index went down 1.21%, the SSE 50 index dropped 1.37%, and the ChiNext index fell 2.95%. The equity market as a whole oscillated downward, and the implementation of Trump's "reciprocal tariffs" led to a decline in overseas risk assets. There is downward pressure on domestic risk assets next week. Dividend - related assets are expected to be relatively resilient in the short - term [8]. - For equity strategies, a cautious and defensive approach is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current valuation is still high, and there is a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - For option strategies, a neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9]. Summaries According to Relevant Catalogs Equity Market Review - **Stock Market Review**: Broad - based indices declined this week, with reduced volatility and decreased market activity. Large - cap stocks saw a decline in trading volume, and 32.3% of industries had positive returns, with the public utilities sector leading [8]. - **Futures Market Review**: As of April 3, 2025, from the perspective of quarterly - contract hedging, the basis of IF widened, while the bases of IC and IM converged. The estimated impacts on the average returns of neutral products from each contract's hedging were 0.01%, - 0.01%, and - 0.08% respectively [8]. - **Option Market Review**: As of April 3, 2025, the implied volatility of each index increased this week, which is beneficial for the performance of buying option strategies and option arbitrage strategies [8]. Strategy Environment Monitoring - **Intraday Alpha Environment**: Overall, this week, the intraday liquidity and volatility of stocks decreased marginally, and there was a net outflow of funds, which is unfavorable for the accumulation of intraday Alpha [8]. - **Trading Alpha Environment**: The cross - sectional volatility decreased marginally, large - cap stocks outperformed, and the balance of margin trading decreased marginally. There is a need to prevent the risk of retracement due to cooling market sentiment [8]. - **Holding Alpha Environment**: The environment is unfavorable for the accumulation and stability of holding Alpha [8]. - **Index Futures Hedging Environment**: Currently, the basis fluctuation has decreased, but the annualized discount is still significant, which is unfavorable for hedging cost control [8]. Future Strategy研判 - **Stock Strategy**: A cautious and defensive strategy is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current high valuation still poses a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - **Option Strategy**: A neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9].