Group 1 - The implementation of new quantitative regulations by the China Securities Regulatory Commission (CSRC) has led to increased volatility in the A-share market, with rapid shifts in market hotspots and a lack of sustained upward trends [1] - The recent market behavior shows that most hot stocks experience a quick rise followed by a decline, indicating a challenging environment for investors trying to capitalize on short-term movements [1] Group 2 - A significant positive development for the STAR Market is the introduction of the "STAR Growth Tier," allowing 32 unprofitable companies to enter this new tier, which may enhance their growth prospects [3] - The new pre-review mechanism aims to mitigate the negative impact of listing plans on the companies' operations, potentially benefiting the overall market sentiment towards the STAR Market [3] Group 3 - The Shanghai Composite Index is showing signs of breaking through last year's high of 3674 points, with recent trading patterns indicating a potential upward trend [5] - The recent trading session saw a long upper shadow on the candlestick chart, which, despite a last-minute pullback, does not alter the overall positive outlook for the index [5] Group 4 - The Shanghai Composite Index rose by 0.01%, the Shenzhen Component Index increased by 0.61%, and the ChiNext Index gained 0.8%, indicating a stable upward trend in the market [7] - The trading volume reached 1.7 trillion yuan, marking a recent high, and the market is experiencing a "slow bull" trend, suggesting a cautious but optimistic outlook for future trading [7]

Report Summary 1. Core View - This week, the on - site risk appetite was high but constrained by trade negotiations. The US sent tariff letters to multiple countries and postponed the tariff negotiation deadline to August 1st. There is still uncertainty in the global market for the remaining trading days in July. However, China and the US are still promoting negotiations based on the Geneva Agreement and London Conference, with relatively small impact on domestic assets [2]. - After the quantitative new rules were implemented on Monday, trading demand was briefly suppressed and then gradually released. The trading volume in the second half of the week increased rapidly, exceeding 1.7 trillion at the highest. The average daily trading volume of the entire A - share market this week was about 1.5 trillion, slightly higher than last week. The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - Most industry sectors closed up this week, but the banking sector tumbled on Friday. The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but the style reversed again. Small - and medium - cap stocks rose more this week, with the CSI 1000 rising over 2%, while large - cap stocks lagged with a gain of less than 1% [2]. - In terms of basis, as the index soared, the basis of each variety increased synchronously. The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end. With the July contracts approaching expiration, positions can be rolled over in advance. Except for the July contracts, the costs of other contracts are similar, and the term selection can be diversified between the near and far ends [2]. 2. Forecast for Next Week - The model predicts that the basis of IH, IF, and IC will weaken next week, while the basis of IM will strengthen [4]. 3. Market Performance This Week - **Trading Volume**: The average daily trading volume of the entire A - share market was about 1.5 trillion, slightly higher than last week [2]. - **Margin Balance**: The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - **Index Performance**: The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but small - and medium - cap stocks outperformed large - cap stocks [2]. - **Basis Performance**: The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end [2].

1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core View of the Report - The overall view of the financial derivatives market is that stocks and bonds will maintain a volatile trend. In the short - term, all three markets of stock index futures, stock index options, and treasury bond futures should be dealt with using a volatile mindset [1][2][3]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - Yesterday, the A - share market had a narrow - range oscillation, with the All - A Index fluctuating less than 0.4%. Real estate and public utilities led the gains, while telecommunications and healthcare led the losses. There were 76 daily limit stocks, concentrated in concepts such as electricity and stablecoins. - Recently, the market has shown a trend of decreasing trading volume. Uncertainty from tariff news and profit - taking sentiment due to the decline of previous hot sectors have affected market confidence. In the short - term, it should be treated as a volatile market, and short - term observation is recommended [1]. - IF, IH, IC, and IM's current - month contract basis points closed at - 20.17, - 17.93, - 41.21, and - 59.94 respectively, with a month - on - month change of - 1.77, - 0.49, - 3.97, and - 9.74 points. The spreads between the current - month and next - month contracts were 17.6, 5.2, 54.8, and 79.2 points respectively, with a month - on - month change of - 1.4, - 0.6, 1.6, and 3.6 points. The total positions of IF, IH, IC, and IM changed by - 22721, - 11893, - 15589, and - 30422 hands [7]. 3.1.2 Stock Index Options - Considering that some underlying assets reached local highs last week, there is a high risk of a phased correction at the beginning of this week. Although the underlying assets showed signs of correction, the amplitude was low yesterday, and the liquidity at the beginning of the week was weak, decreasing by more than 50% compared to last Friday. - The volatility of ChiNext ETF and 500ETF decreased significantly. For ChiNext ETF, the put - side volatility led the decline, indicating short - term put - position closing. For 500ETF options, the put - side increased while the call - side volatility decreased, suggesting a sign of building a collar strategy. - The sentiment of trading - type funds is neutral, and there is still an adjustment risk in the short - term. For volatility trend strategies, it is recommended to pay attention to opportunities when volatility spikes. In terms of varieties, 50 and 300ETF options have a higher safety margin. The main strategy should maintain covered calls to enhance returns in a volatile environment [2]. 3.1.3 Treasury Bond Futures - The T main contract opened slightly higher and strengthened, then adjusted with a decline in open interest, indicating strong profit - taking sentiment among market bulls. It rebounded in the afternoon but still maintained a low - level oscillation overall. - The central bank net - withdrew more than 200 billion yuan yesterday, and the overnight repurchase rate slightly increased, indicating that the capital interest rate may be bottoming out, which may cause some disturbances to the cash - bond market. - However, the June manufacturing PMI was still below the boom - bust line, and tariff policies are still uncertain. New factors such as the introduction of new quantitative regulations in the stock market may also affect risk appetite. Therefore, the bond market may also be supported, and a volatile mindset should be adopted in the short - term [3]. - The trading volume of T, TF, TS, and TL in the current quarter was 49192, 59821, 35462, and 55668 hands respectively, with a one - day change of - 11647, 16847, 9275, and - 15984 hands. The open interest was 216298, 157986, 115517, and 122562 hands respectively, with a one - day change of 2158, 81, - 1682, and - 16 hands [8]. 3.2 Economic Calendar - On July 7, 2025, the annual growth rate of retail sales in the Eurozone in May was 1.8%, with a previous value of 2.3% and a forecast value of 1.2%. - On July 9, China will release the annual growth rate of CPI and PPI in June, with forecast values of 0% and - 3.2% respectively. - On July 10, China will release the annual growth rate of M2 money supply in June, with a forecast value of 8.2%, as well as the cumulative new RMB loans and social financing scale in June [11]. 3.3 Important Information and News Tracking - The first batch of 10 science - innovation bond ETFs were launched today and successfully raised funds, approaching or exceeding the 3 - billion - yuan fundraising limit. After their establishment, they are expected to bring 30 billion yuan in new scale, and the scale of bond ETFs will soon exceed 400 billion yuan. - The State Council Information Office will hold a series of press conferences on "High - quality Completion of the 14th Five - Year Plan". The first press conference will be held on July 9. - US Treasury Secretary Bessent said that many positions in the negotiation have changed, and multiple new proposals were received last night. He expects to announce trade - related news within 48 hours. He announced that the overall tariff on Vietnam will be increased to 20%, and that the positions of the Treasury and the Federal Reserve will follow the president's wishes [12]. 3.4 Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided in the text.

Market Overview - The current market is experiencing a decrease in trading volume, which some analysts believe is a positive sign as it indicates more stability in price movements [1] - The banking sector has been identified as the main driver of the market's upward movement, contributing 87.61 points to the index in the first half of the year [1] - If quantitative funds continue to decrease, there may be a shift of capital from the banking sector to other sectors, which could lead to a broader market recovery [1] Investment Strategy - A stable investment strategy suggested by institutions involves taking profits when prices significantly deviate from the value center and buying when prices fall below it [3] - The current market conditions indicate that most stocks have already been harvested by quantitative funds, resulting in minimal price fluctuations [5] Sector Performance - The banking sector remains the primary focus for institutional investors, with little interest in other sectors due to a lack of new capital inflow [5] - The performance of stablecoins and certain sectors like electricity and RWA has shown some strength, but overall market hotspots are limited [7] Trading Dynamics - The buying power today was recorded at over 600, indicating a lack of new capital entering the market, which makes upward breakthroughs difficult [5] - The sell-side pressure is moderate, but the main constraint on market rebounds is the absence of new funds rather than selling pressure [5] Hotspot Analysis - The current market hotspots are scattered, with stablecoins and ST stocks showing some positive movement, while other sectors struggle to maintain momentum [7] - The market is characterized by a lack of strong trends, making it challenging for investors to identify reliable opportunities [7]

Group 1 - The China Securities Regulatory Commission (CSRC) has implemented new regulations to strengthen oversight of quantitative institutions and enhance operational standards, leading to a divergence in market performance where large-cap stocks are rising while small-cap stocks are declining [1][3] - After a six-day period of shrinking trading volume, the market saw an increase in trading volume to 1.43 trillion yuan, with a rise of over 110 billion yuan, indicating some capital entering the market, although it remains insufficient to support a breakout above 3500 points [1][3] - The Shanghai Composite Index reached a new high of 3497.22 points but failed to break through the 3500-point resistance, indicating significant selling pressure above this level [3][5] Group 2 - The financial sector, led by brokerage firms, has shown strong performance, suggesting that as long as financial stocks rise, the index is likely to continue increasing, with a target of 3600 points [5] - Despite the index showing gains, over 4100 stocks declined, highlighting a situation where the index gains do not translate into profits for most investors [7] - The market's trading volume has increased, with a total of 1.43 trillion yuan, suggesting that increased volume could lead to price movements and potential opportunities for recovery in underperforming stocks [7]

Group 1 - The core viewpoint is that the resumption of jet engine supply from General Electric to COMAC indicates a gradual easing of U.S. technology restrictions on China, suggesting a new cooperative dynamic between the two countries [1] - The recent lifting of restrictions on chip and ethane supplies further supports the notion of improved U.S.-China relations, which is seen as a positive signal for the market and may lead to a turning point for the Chinese economy in the second half of the year [1] - The market has been adjusting due to trade restrictions, and the gradual resolution of these issues is expected to restore market confidence [1] Group 2 - The unexpected news of the U.S. resuming jet engine supplies has sparked bullish sentiment in the A-share market, despite the expectation of a market adjustment [2] - The market's upward movement driven by positive news may not change the underlying market dynamics, leading to a potential return to previous levels after initial gains [2] - The index's performance may not correlate with individual stock movements, indicating that even if the index reaches new highs, many stocks may not follow suit [3] Group 3 - The three major indices experienced slight increases, with the Shanghai Composite Index reaching a new high for the year, although there was significant divergence in market performance [4] - A large number of stocks experienced declines, leading to a greater loss effect compared to previous days, particularly in the small-cap sector [4] - The market's downturn is attributed to the impact of new quantitative regulations, which have adversely affected short-term market dynamics and made it challenging for investors to capitalize on opportunities [4]

Core Viewpoint - The implementation of the new quantitative trading regulations on July 7 is not expected to significantly impact the market, as institutions have already prepared for these changes and conducted self-assessments prior to the regulations' release [4][7]. Group 1: Market Reactions and Rumors - There are rumors suggesting that the market drop on July 4 was due to the upcoming quantitative regulations, but institutions argue that the market had already anticipated these changes [2][4]. - A claim by a well-known economist that high-frequency trading frequency would drop from 299 times per second to 30 times is dismissed by multiple institutions as unfounded [3]. - The industry has noted a trend of blaming quantitative strategies for market issues, with calls to stop stigmatizing quantitative trading as synonymous with high-frequency trading [3]. Group 2: Details of the New Regulations - The "Procedural Trading Management Implementation Rules," or "quantitative regulations," will officially take effect on July 7, with prior public consultation having occurred in June 2024 [4]. - The regulations define high-frequency trading and allow exchanges to impose differentiated management requirements on investors engaging in such trading [6][9]. - Many leading institutions have already adjusted their trading frequencies to fall below the new high-frequency trading definitions [6]. Group 3: Impact on Quantitative Strategies - The extent of the impact from the new regulations will depend on the scale of individual products, with larger quantitative institutions potentially facing manageable effects [7]. - Most quantitative strategies are not expected to be significantly affected, as many products do not reach the thresholds set by the new regulations [7]. - The trend towards lower-frequency trading strategies is seen as a response to regulatory guidance and the limited capacity of high-frequency strategies to meet the demands of larger institutions [10][11]. Group 4: Future of Quantitative Trading - The shift towards lower-frequency strategies is viewed as a key trend for the future of quantitative trading in the A-share market, driven by the need for larger capacity and diverse strategies [10][11]. - Quantitative investment is recognized as a neutral tool that extends beyond high-frequency trading, with applications in risk management and value investment strategies [11].

Group 1 - The three major stock indices opened higher, with the Shanghai Composite Index rising by 0.02%, the Shenzhen Component Index by 0.14%, and the ChiNext Index by 0.34% [1] - The National Index of Free Cash Flow saw an intraday increase of over 0.3%, with leading stocks such as Lao Feng Xiang, Jin Hong Group, City Media, and Huayu Automotive driving the gains [1] - The low-fee Free Cash Flow ETF (159201) experienced a net inflow of over 230 million yuan in the last 10 trading days, indicating a significant low-position layout characteristic [1] Group 2 - According to China Merchants Securities, as the economy stabilizes, leading listed companies are experiencing stable operations, with net cash flow beginning to grow steadily and capital expenditures declining, leading to a continuous rise in free cash flow yield [1] - The A-share weighted index is expected to undergo a revaluation in the next two years, as the concentration of small-cap factor trading has reached its limit, and new quantitative regulations are about to be implemented [1] - The Free Cash Flow ETF (159201) closely tracks the National Index of Free Cash Flow, selecting stocks with positive and high free cash flow after screening for liquidity, industry, and ROE stability, making it suitable for long-term investment [1] Group 3 - The fund management fee for the Free Cash Flow ETF is set at an annual rate of 0.15%, and the custody fee at 0.05%, both of which are the lowest in the market, maximizing benefits for investors [1]

Core Insights - The report indicates that the market is likely to experience a period of index fluctuations in June, with large-cap and quality indices expected to outperform [1] - The implementation of new quantitative regulations is anticipated to reduce the activity of quantitative funds, leading to a less favorable environment for small-cap stocks [1][3] - The liquidity environment is currently more favorable for large-cap and quality stocks due to regulatory and funding conditions [1] Liquidity Analysis - Recent regulatory actions have led to a clear divergence in market styles, with large-cap value and small-cap stocks both showing strength [3][8] - The trading volume of the CSI 2000 index has increased significantly, reaching over 35% of total A-share trading volume, while the CSI 300 has dropped to around 15% [8][9] - The net inflow of funds in the secondary market has shifted from outflow to inflow, with ETF net inflows recorded at 57.1 billion [3][27] Market Sentiment - Investor activity has decreased, leading to an increase in equity risk premiums [36] - The VIX index has declined, indicating improved risk appetite in the market [38] - The sectors attracting significant net inflows include automotive, electric equipment, and food and beverage, while sectors like pharmaceuticals and agriculture have seen net outflows [45][46] Regulatory Developments - The implementation of the "Procedural Trading Management Implementation Rules" is expected to reduce the trading activity of small-cap stocks [11][13] - Continuous efforts to regulate online financial information and illegal stock recommendations may further suppress the trading of small-cap stocks [14] Funding Supply and Demand - The supply of funds has decreased, with new equity mutual funds issued at 92.3 million units, down from previous levels [27] - The demand for funds has also decreased, with IPO financing dropping to 28.8 million and significant net selling by major shareholders [31]

Group 1: External Pressures - The announcement by Trump on May 24 regarding tariffs on EU goods and mobile manufacturers has created significant downward pressure on global markets, leading to declines in major indices such as the Dow Jones and Nasdaq, both dropping over 0.6% [1][2] - The indirect impact of these tariffs on the A-share market has resulted in heightened market volatility and investor anxiety, particularly evident in the sharp decline observed at the end of May [2][3] - The drop in European markets, with indices like Germany and France falling over 1.5%, has increased liquidity pressures on the A-share market, as foreign capital may withdraw in response to global risk aversion [3] Group 2: Domestic Support Factors - Northbound capital saw a record inflow of 224.49 billion yuan on May 30, indicating strong foreign confidence in Chinese assets, with significant investments in sectors like financials and consumer goods [5] - The upcoming Lujiazui Forum on June 18-19 is expected to announce major financial policies, further enhancing market expectations for growth-supporting measures [6] - The stabilization of the RMB exchange rate and the actions of the State Administration of Foreign Exchange are providing a solid foundation for the market, helping to attract foreign investment and bolster market confidence [6] Group 3: Market Trends and Predictions - The Hong Kong market exhibited a "V-shaped" recovery on June 2, which may signal a potential emotional recovery for the A-share market, as historical trends suggest that A-shares often follow Hong Kong's lead [7] - The A-share market is anticipated to open lower but may experience a rebound if it can hold above the critical support level of 3100 points, which is a significant psychological barrier [8] - The focus of market recovery is likely to shift towards large-cap stocks, especially as the upcoming half-year report period increases attention on companies with stable earnings and cash flow [10] Group 4: Sectoral Investment Opportunities - The semiconductor and AI sectors are highlighted as having substantial growth potential due to ongoing technological advancements and increasing market demand [13] - Consumer sectors, particularly those related to e-commerce, are expected to benefit from the upcoming 618 shopping festival, presenting investment opportunities [13] - Defensive investments in high-dividend sectors such as coal and electricity are recommended to provide stable returns amid market volatility [13]