报 告 摘 要 截至 20260105 两融余额为25606亿元，其中融资余额25434亿元，融券余额172亿元。 两融余额占流通市值比重为2.6%，两融交易占市场成交额比重为11.4%。 四、折溢价 20260105当日ETF溢价较多的是银行AH优选ETF，ETF折价较多的是沪港深 300ETF。近半年以来大宗交易日均成交金额达到22亿元，20260105当日大宗交易成 交金额为26亿元，近半年以来平均折价率6.66%，当日折价率为9.01%。近一年以来 上证50、沪深300、中证500、中证1000股指期货主力合约的年化贴水率中位数分别为 0.85%、3.79%、11.15%、13.61%，当日上证50股指期货主力合约年化升水率为 0.51%，处于近一年来75%分位点，当日沪深300股指期货主力合约年化贴水率为 1.41%，处于近一年来76%分位点；当日中证500股指期货主力合约年化贴水率为 1.89%，处于近一年来96%分位点；当日中证1000股指期货主力合约年化贴水率为 6.93%，处于近一年来90%分位点。 五、机构关注与龙虎榜 一、 市场表现 20260106市场全线上涨，规模指数中中证500指数 ...

证券研究报告 | 2026年01月06日 金融工程日报 风险提示：市场环境变动风险；本报告基于历史客观数据统计，不构成投资 建议。 核心观点 金融工程日报 沪指 13 连阳再创十年新高，脑机接口、商业航天等题材多点 开花 市场表现：20260106 市场全线上涨，规模指数中中证 500 指数表现较好， 板块指数中科创 50 指数表现较好，风格指数中中证 500 价值指数表现较好。 有色金属、非银、国防军工、石油石化、基础化工行业表现较好，通信、食 品饮料、家电、银行、消费者服务行业表现较差。炒股软件、钛白粉、钒钛、 PTA、稀有金属精选等概念表现较好，光模块(CPO)、基站、光通信、谷歌 产业链、希音合作商等概念表现较差。 市场情绪：20260106 市场情绪较为高涨，收盘时有 141 只股票涨停，有 2 只股票跌停。昨日涨停股票今日高开高走，收盘收益为 5.76%，昨日跌停股 票今日收盘收益为 0.26%。今日封板率 83%，较前日提升 7%，连板率 41%， 较前日提升 11%，从封板率和连板率来看，市场情绪较为高涨，连板率创近 一个月新高。 市场资金流向：截至 20260105 两融余额为 25606 ...

Market Performance - Most indices are in a downward trend, with the CSI 1000 index performing relatively well, while the CSI 300 index fell by 0.50% and the CSI 500 index decreased by 0.29% [7] - Among sector indices, the Sci-Tech 50 index showed strong performance, increasing by 1.40%, while the automotive, media, pharmaceutical, comprehensive finance, and home appliance sectors performed poorly, with declines ranging from -1.45% to -2.36% [9] - Concept themes such as rare earths, rare earth permanent magnets, and photolithography machines performed well, with gains of 9.49% and 8.09%, while consumer electronics and PTA showed declines of -2.91% and -2.86% respectively [12] Market Sentiment - At market close, 72 stocks hit the daily limit up, while 10 stocks hit the limit down, indicating a mixed sentiment [3][15] - The closing return for stocks that were limit up yesterday was 2.01%, while those that were limit down returned 0.68% today [18] - The sealing rate was 77%, up 7% from the previous day, and the consecutive sealing rate was 25%, also up 7% [21] Market Capital Flow - As of October 10, 2025, the margin trading balance was 24,418 billion yuan, with a financing balance of 24,257 billion yuan and a securities lending balance of 161 billion yuan [4][25] - The margin trading balance accounted for 2.5% of the total market capitalization, while margin trading accounted for 11.4% of the total market turnover [27] Premium and Discount - On October 10, 2025, the Sci-Tech 50 ETF showed a premium of 2.02%, while the Southbound Sci-Tech 50 ETF had a discount of 0.81% [29] - The average discount rate for block trades over the past six months was 6.09%, with a discount rate of 4.70% on the same day [31] - The annualized discount rates for major stock index futures were 0.04% for the SSE 50, 2.55% for the CSI 300, 10.16% for the CSI 500, and 12.72% for the CSI 1000 [35] Institutional Attention and Rankings - The stocks with the most institutional research in the past week included Jiufeng Energy, Dangseng Technology, and Juyi Sockets, with Jiufeng Energy being researched by 110 institutions [36] - The top ten stocks with net inflows from institutional special seats included Canxin Co., Duoflu, and Wangzi New Materials, while the top ten with net outflows included Huahong Semiconductor and Ganfeng Lithium [40][43]

1. Report Industry Investment Ratings No specific industry investment ratings are provided in the report. 2. Core Viewpoints - The A-share market is expected to enter a high-level oscillation phase, waiting for a direction decision. It is recommended to buy put options to protect long positions or partially take profits on previous positions [2]. - The bond market sentiment is expected to continue to stabilize, and it is advisable to lightly test long positions on bond futures during pullbacks [2]. - Gold is oscillating strongly, and it is recommended to buy gold options and construct a bull spread strategy. Silver long positions should be held above $38 [2]. - The container shipping index is weakly oscillating, and short positions on the October contract should be continued [2]. - For steel products, it is possible to try long positions as the apparent demand has stopped falling and rebounded. For iron ore, coking coal, coke, etc., it is recommended to go long at low prices [2]. - For non-ferrous metals, copper is expected to see inventory depletion near the peak season, and it is recommended to refer to the price range. For other non-ferrous metals, different trading strategies are given according to their respective fundamentals [2]. - In the energy and chemical sector, different trading strategies are provided for each variety based on their supply and demand, cost, and other factors [2]. - In the agricultural products sector, different trading strategies are recommended for each variety according to their market conditions [2]. - For special commodities, trading strategies such as taking partial profits on previous short positions and going short at high prices are proposed [2]. - In the new energy sector, it is recommended to wait and see for polysilicon and lithium carbonate [2]. 3. Summary by Relevant Catalogs Financial Sector - **Stock Index Futures**: A-share market is expected to enter high-level oscillation. It is recommended to buy put options to protect long positions or partially take profits on previous positions [2]. - **Bond Futures**: Bond market sentiment is expected to continue to stabilize. It is advisable to lightly test long positions on bond futures during pullbacks [2]. - **Precious Metals**: Gold is oscillating strongly. It is recommended to buy gold options and construct a bull spread strategy. Silver long positions should be held above $38 [2]. Commodity Sector - **Shipping Index**: The container shipping index is weakly oscillating, and short positions on the October contract should be continued [2]. - **Steel and Iron Ore**: For steel products, it is possible to try long positions as the apparent demand has stopped falling and rebounded. For iron ore, it is recommended to go long at low prices in the range of 770 - 820 [2]. - **Coking Coal and Coke**: Due to a sudden mine accident and partial coal mine shutdowns, coking coal futures are expected to rebound. It is recommended to go long at low prices. Coke is also recommended to go long at low prices as the coking profit continues to repair [2]. - **Non-Ferrous Metals**: Copper is expected to see inventory depletion near the peak season. Different trading strategies are given for other non-ferrous metals according to their fundamentals [2]. - **Energy and Chemicals**: Different trading strategies are provided for each variety based on their supply and demand, cost, and other factors, such as going long, shorting, or waiting and seeing [2]. - **Agricultural Products**: Different trading strategies are recommended for each variety according to their market conditions, such as going long, shorting, or waiting and seeing [2]. - **Special Commodities**: Trading strategies such as taking partial profits on previous short positions and going short at high prices are proposed [2]. - **New Energy**: It is recommended to wait and see for polysilicon and lithium carbonate [2].

- The report does not contain any quantitative models or factors for analysis

Market Performance - On the last trading day of July, all three major A-share indices fell by over 1%, with the Shanghai Composite Index closing below 3600 points at 3573.21, down 1.18% [1] - The Shenzhen Component Index dropped 1.73% to 11009.77, while the ChiNext Index decreased by 1.66% to 2328.31 [1] - The total trading volume in the Shanghai and Shenzhen markets reached 1.96 trillion yuan [1] Sector Performance - The sectors that saw gains included liquid cooling IDC, assisted reproduction, Google, biopharmaceuticals, chemical pharmaceuticals, and computers [1] - Conversely, sectors that experienced declines included aquaculture, PTA, iron ore, energy metals, steel, and minor metals [1] Notable Stocks - The AI sector showed strong fluctuations, with Yidian Tianxia (301171) hitting the 20% daily limit up [1] - The liquid cooling server sector performed well, with Sihua New Materials (301489) also reaching the 20% limit up, alongside Yingweike (002837) and Chunz中科技 (603516) [1] - The assisted reproduction sector continued to strengthen, with Gongtong Pharmaceutical (300966) and Anke Biotechnology (300009) both hitting the 20% limit up, while Hanshang Group (600774) also reached the limit [1] - The steel sector faced adjustments, with Baogang Co. (600010) dropping over 8% [1] - The coal sector declined across the board, with Antai Group (600408) falling over 7% [1] Market Outlook - According to Jifeng Investment Advisory, the A-share market is expected to continue a structural trend in August, supported by the intensive disclosure of mid-term performance and ongoing policy efforts, favoring industries with high earnings certainty [1] - Dongfang Securities noted that the current A-share market is in a sustained upward trend with ample trading volume, attracting new capital, and maintaining a cautiously optimistic sentiment without immediate risk of reversal [2]