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 2026-01-27 股市回撤，仍建议配置 股指期货：回撤不改趋势 股指期权：⻛格分化，波动抬⾼ 国债期货：曲线继续⾛平 股指期货方面，受亚太市场普跌影响，周一盘面放量小幅回撤，其中 偏防御属性的红利指数领跑，有色、油气等涨价链相对强势。回撤原因部 分与外部环境不稳有关，无论是地缘风险还是美联储主席人选等问题均有 不确定性，在持续上涨之后，部分资金有落袋为安需求，故导致盘面波 折。在此环境下，资金选择通胀主线进行进攻，鉴于中证500财务指标与P PI更为挂钩，配置上仍推荐IC多单。 股指期权方面，昨日期权市场成交量相较前一交易日抬升，重新进入 高位区间，随之而来的是各品种波动率的普遍上行。情绪指标方面，50ET F、300ETF持仓量PCR出现触底反弹迹象，500ETF、MO、双创等则高位回 落，卖方市场整体偏跟随；偏度指数方面，各品种出现普遍低位的现象， 结合昨日波动率继续上行，可推测买方博弈情绪相对较强，权益类资产短 期仍较为看好，方向上推荐适当买入认购。波动率层面，虽然当前隐含波 动率下方空间较大，但在中期拐点未见的情况下 ...

Core Insights - The report emphasizes that while short-term market sentiment may lead to a balanced style shift, the long-term perspective should focus on relative prosperity as the core factor driving market dynamics [1][3] - The A-share market's five styles have reached a state of equilibrium, prompting considerations for the next extreme direction, particularly in the technology sector's prosperity diffusion and identifying clues for valuation recovery in low-position stocks [1][3] Market Review - In the past week, the market experienced a style shift with funds moving from technology to consumption and cyclical sectors. From November 10 to 14, 2025, the A-share market showed an overall adjustment trend, with all three major indices declining, while the consumer sector strengthened and technology growth stocks faced adjustments [4][14] - The Consumer Price Index (CPI) turned positive year-on-year in October, coinciding with the upcoming consumption peak season in Q4, leading to a rebound in the consumer sector, particularly in textiles, retail, and beauty care industries [4][14] Style Dynamics - The report analyzes the current extreme positions, crowding levels, and style index trends in the A-share market. Since November, the trading theme has become unclear, with styles transitioning from extreme growth to a more balanced state between cyclical and consumption sectors. The crowding level in the growth style remains above 90%, indicating a high position [5][18] - The industry rotation has accelerated since November, with dividend and low-valuation styles gaining prominence. This shift is attributed to the cooling of the technology theme and a decline in market risk appetite, prompting funds to move from high-valuation technology stocks to low-valuation dividend stocks [6][23] Risk Premium Analysis - The report indicates that the current equity risk premium (ERP) for the CSI 300 index is near its 10-year average, suggesting that the market valuation is at a historical medium level. The ERP increased slightly from 5.19% on November 7 to 5.21% on November 14, reflecting a return to normal compensation for excess returns over risk-free assets [7][27] Leverage and Internal Differentiation - Since November, the financing balance as a percentage of the total A-share market value has decreased, with the TMT sector's financing balance share declining while the electric new energy sector's share has risen. This indicates a new direction for growth prosperity diffusion [8][31] Market Themes and Drivers - The report identifies recent market themes driven by prosperity diffusion, regional policy benefits, and style shifts. The top 20 concept sectors with significant gains since November include lithium batteries, chemicals, cross-strait integration, and Hainan Free Trade Zone-related themes. The lithium battery sector is entering a new prosperity cycle, positively impacting upstream materials and driving the phosphate chemical market [9][34]