说句实在话，现在这市场有点"魔幻"。 VIX指数低得快看不见了，黄金却疯涨到4500美元以上。 一边是"岁月静好"，一边是"末日警报"，到底谁在说真话？ 今天周叔就带大家拆解这场看似矛盾、实则暗流汹涌的金融大戏。 这些哪一点不危险？ 问题就出在这儿——VIX已经不再是"恐慌指数"，而是"控盘指数"。 大量机构通过做空波动率（比如卖出跨式期权）和高频交易超短期期权（甚至一天到期），人为压制市 场波动。 做市商在微幅震荡中"低买高卖"，形成一个自动稳定器，把任何风吹草动都熨平了。 VIX失灵？不是没风险，是风险被"压"住了 咱们先看数据：截至2026年1月初，VIX指数一度跌至13.6，创下近五年新低。 按常理，这说明美股风平浪静，投资者信心爆棚。 但现实呢？AI股估值高到离谱，美债规模突破38万亿美元，财政赤字像无底洞，美联储悄悄重启扩 表…… 黄金暴涨，是在替VIX"说实话" 那黄金为啥能一路冲上4533美元？因为它根本不信VIX那一套。 黄金看的是真实世界的"资产负债表"。 这不是市场没风险，而是风险被机械性地"藏"起来了。 周叔提醒一句：这种平静极其脆弱。 回看2024年12月，VIX同样处于历史低位，结 ...

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda derivatives research report series. Adjustments are made to the settings for continuous hedging[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[45] - **Spot Side**: Holding the total return index of the corresponding benchmark index[45] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[45] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[45] - **Rebalancing Rules**: - Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days - Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount for hedging, as described in the Cinda derivatives research report series[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[46] - **Spot Side**: Holding the total return index of the corresponding benchmark index[46] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[46] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[46] - **Rebalancing Rules**: - Calculate the annualized basis for all tradable futures contracts on the day of rebalancing - Select the contract with the smallest basis discount for opening a position - Hold the same contract for eight trading days or until the remaining time to maturity is less than eight days, then select a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500 Index Futures**: - Annualized Return: -3.42% (monthly), -2.58% (quarterly)[48] - Volatility: 3.79% (monthly), 4.69% (quarterly)[48] - Maximum Drawdown: -11.27% (monthly), -8.74% (quarterly)[48] - Net Value: 0.8886 (monthly), 0.9149 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -6.60% (monthly), -3.91% (quarterly)[48] - **CSI 300 Index Futures**: - Annualized Return: 0.33% (monthly), 0.69% (quarterly)[53] - Volatility: 2.89% (monthly), 3.23% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0112 (monthly), 1.0236 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - 2025 YTD Return: -1.21% (monthly), 0.37% (quarterly)[53] - **SSE 50 Index Futures**: - Annualized Return: 1.02% (monthly), 1.95% (quarterly)[57] - Volatility: 2.96% (monthly), 3.36% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0350 (monthly), 1.0679 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - 2025 YTD Return: 0.42% (monthly), 1.85% (quarterly)[57] - **CSI 1000 Index Futures**: - Annualized Return: -6.48% (monthly), -4.82% (quarterly)[61] - Volatility: 4.73% (monthly), 5.75% (quarterly)[61] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[61] - Net Value: 0.8319 (monthly), 0.8498 (quarterly)[61] - Annual Turnover: 12 (monthly), 4 (quarterly)[61] - 2025 YTD Return: -12.98% (monthly), -7.87% (quarterly)[61] 2. Minimum Basis Strategy - **CSI 500 Index Futures**: - Annualized Return: -1.93%[48] - Volatility: 4.49%[48] - Maximum Drawdown: -8.75%[48] - Net Value: 0.9361[48] - Annual Turnover: 16.78[48] - 2025 YTD Return: -4.27%[48] - **CSI 300 Index Futures**: - Annualized Return: 1.09%[53] - Volatility: 3.00%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0376[53] - Annual Turnover: 15.01[53] - 2025 YTD Return: 0.40%[53] - **SSE 50 Index Futures**: - Annualized Return: 1.58%[57] - Volatility: 2.97%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0548[57] - Annual Turnover: 15.60[57] - 2025 YTD Return: 1.36%[57] - **CSI 1000 Index Futures**: - Annualized Return: -4.42%[61] - Volatility: 5.50%[61] - Maximum Drawdown: -11.11%[61] - Net Value: 0.8693[61] - Annual Turnover: 15.73[61] - 2025 YTD Return: -8.19%[61] --- 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[63] - **Factor Construction Process**: - Based on overseas methodologies, adjusted for China's on-exchange options market[63] - Captures implied volatility from options pricing to reflect market sentiment[63] - **Factor Values** (as of December 19, 2025): - SSE 50 VIX: 15.85 - CSI 300 VIX: 17.10 - CSI 500 VIX: 26.35 - CSI 1000 VIX: 19.91[63] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market concerns about tail risks[70] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with different strike prices[70] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[70] - **Factor Values** (as of December 19, 2025): - SSE 50 SKEW: 101.20 - CSI 300 SKEW: 101.08 - CSI 500 SKEW: 102.87 - CSI 1000 SKE

证 券 研 究 报 告 【金工周报】（20251201-20251205） 指数择时多空交织，后市或中性震荡 本周回顾 本周市场普遍上涨，上证指数单周上涨 0.37%，创业板指单周上涨 1.86%。 A 股模型： 短期：成交量模型所有宽基指数中性。特征龙虎榜机构模型中性。特征成交量 模型看空。智能算法沪深 300 模型看多，智能算法中证 500 模型看多。 金融工程 中期：涨跌停模型中性。上下行收益差模型所有宽基指数看多。月历效应模型 中性。 长期：长期动量模型看多。 综合：A 股综合兵器 V3 模型看空。A 股综合国证 2000 模型看空。 港股模型： 中期：成交额倒波幅模型看多。恒生指数上下行收益差模型中性。 本周行业指数涨跌互现，涨幅前五的行业为：有色金属、通信、国防军工、非 银行金融、机械，跌幅前五的行业为：传媒、房地产、食品饮料、纺织服装、 农林牧渔。从资金流向角度来说，除煤炭、建材外所有行业主力资金净流出， 其中基础化工、计算机、电子、传媒、医药主力资金净流出居前。 本周股票型基金总仓位为 97.29%，相较于上周增加了 70 个 bps，混合型基金 总仓位 86.86%，相较于上周减少了 80 ...

- The report discusses multiple quantitative models for A-share and Hong Kong stock markets, including short-term, medium-term, and long-term models. These models are constructed based on price-volume, momentum, acceleration, and trend perspectives, among others. The report emphasizes the importance of combining signals from different models and periods to achieve a balanced strategy[9][12][13] - For A-shares, the short-term models include the "Volume Model" (neutral for all broad-based indices), "Feature Institutional Model" (bearish), "Feature Volume Model" (bearish), and "Smart Algorithm Models" (neutral for CSI 300, bullish for CSI 500)[12][71] - Medium-term A-share models include the "Limit-Up and Limit-Down Model" (neutral), "Up-Down Return Difference Model" (bullish for all broad-based indices), and "Calendar Effect Model" (neutral)[13][72] - The long-term A-share model, "Long-Term Momentum Model," is bullish[14][73] - Comprehensive A-share models, such as "A-Share Comprehensive Weapon V3 Model" and "A-Share Comprehensive Guozheng 2000 Model," are bearish[15][74] - For Hong Kong stocks, the medium-term models include the "Turnover to Volatility Model" (bearish) and "Hang Seng Index Up-Down Return Difference Model" (neutral)[16][74] - The report highlights that the quantitative models are designed to provide market timing signals and are based on historical data, emphasizing simplicity and universality in their construction[9][12] - The backtesting results for the "Double Bottom Pattern" and "Cup and Handle Pattern" show that the double bottom pattern outperformed the Shanghai Composite Index by 1.93% this week, while the cup and handle pattern outperformed by 2.5%[44][50] - The cumulative performance of the double bottom pattern since December 31, 2020, is 13.99%, outperforming the Shanghai Composite Index by 2.02%. However, the cup and handle pattern underperformed the Shanghai Composite Index by -1.14% over the same period[44][50]

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - This week, although the index showed a weakening trend, the derivatives market demonstrated a relatively restrained emotional response. The VIX increased overall but did not experience an extreme upward movement. The SKEW continued to rise, but most varieties except the Shanghai - Shenzhen 50 remained below the extreme threshold, indicating that investors' concerns about tail - risks were relatively rational. More positively, the futures index market increased its positions by over 70,000 contracts this week, and the basis of small - and medium - cap futures improved significantly, with the IM basis narrowing by nearly 100 points, suggesting that funds were making structural layouts during the market adjustment, presenting a market characteristic of index pressure but non - extreme expectations [2]. 3. Summary by Relevant Catalogs 3.1. Estimation of Dividends during the Lifespan of Stock Index Futures Contracts and Basis Correction - **Dividend Estimation**: On November 21, 2025, the estimated dividend points for the CSI 500, SSE 50, CSI 1000, and Shanghai - Shenzhen 300 indexes in the next year were 80.73, 63.63, 63.40, and 80.42 respectively. The estimated dividend points during the lifespan of different contracts for each index were also provided [4][9]. - **Basis Correction**: The basis of a stock index futures contract is the difference between the contract's closing price and the closing price of the underlying index. When analyzing the contract basis, the impact of dividends needs to be removed. This week, the adjusted annualized basis of the current - quarter IC contract increased, while those of the IF, IH, and IM contracts decreased. The trading and holding levels of IC, IF, IH, and IM contracts increased compared to the previous week [19][20][26]. 3.2. Back - testing and Tracking of Spot - Futures Hedging Strategies - **Strategy Introduction**: The strategy is based on the analysis of basis convergence factors and optimization strategies in the relevant research report. Two strategies, continuous hedging and minimum basis strategy, are used for back - testing, with specific parameter settings provided [45][46]. - **Performance of Different Strategies**: For different indexes (CSI 500, Shanghai - Shenzhen 300, SSE 50, and CSI 1000), the back - testing results of different strategies (continuous hedging and minimum basis strategy) from July 22, 2022, to November 21, 2025, are presented, including indicators such as annualized return, volatility, maximum drawdown, net value, and annual turnover times. This week, the IC and IM hedging strategies had drawdowns, while the IF and IH hedging strategies performed stably [48][50][55]. 3.3. Cinda Options Series Indexes - **Cinda Volatility Index Cinda - VIX**: Cinda - VIX can reflect investors' expectations of the future volatility of the underlying asset. As of November 21, 2025, the 30 - day VIX values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 19.95, 21.49, 32.21, and 26.91 respectively [63]. - **Cinda Volatility Index Cinda - SKEW**: The SKEW index measures the degree of volatility skew. When the SKEW index exceeds 100, it usually means that investors are more worried about the risk of a significant market decline. As of November 21, 2025, the SKEW values for the SSE 50, Shanghai - Shenzhen 300, CSI 500, and CSI 1000 were 104.78, 104.75, 104.79, and 106.83 respectively [71][72].

Group 1: Monetary Policy and Economic Indicators - The Federal Reserve has lowered interest rates by 25 basis points to a range of 3.75%–4.00%, marking the second rate cut of the year, and plans to end balance sheet reduction by December 1, 2025, with all maturing U.S. Treasury securities being reinvested [1] - The breakeven inflation rate increased by 0.04% to 2.40%, while the U.S. September CPI rose by 3.02% year-on-year, up from 2.94%, indicating a rebound for five consecutive months [2] - The dollar index increased by 2.1% in October, influenced by hawkish statements from Fed Chairman Powell regarding future rate cuts [3] Group 2: Market Risks and Global Trends - The VIX index peaked in mid-October but significantly declined due to the easing of U.S.-China tariff risks, while geopolitical uncertainties remain high following the cancellation of a summit between Trump and Putin [3] - In 2024, global central banks have cumulatively purchased 1,044.63 tons of gold, marking the 17th consecutive quarter of net purchases, with a notable increase in global gold ETF holdings as of 2025 [3] Group 3: Gold and Silver Market Outlook - A new tax policy regarding gold transactions will take effect on November 1, 2025, which may initially pressure physical demand but could enhance the financial attributes of gold in the long term [4] - The short-term outlook for gold is cautiously bullish, with expectations of upward movement due to anticipated declines in real interest rates [5][6] - Silver prices are also expected to trend cautiously upward, sharing macroeconomic logic with gold amid expectations of lower future interest rates [7]

- The report mentions multiple quantitative models for market timing, including short-term, mid-term, and long-term models. Short-term models include the "Volume Model" (neutral for all broad-based indices), "Feature Volume Model" (bearish), "Feature Institutional Model" (bearish), and "Smart Algorithm Model" (bearish for CSI 300, neutral for CSI 500)[1][13][66]. Mid-term models include the "Limit-Up-Limit-Down Model" and "Calendar Effect Model," both neutral[14][67]. The long-term model is the "Long-Term Momentum Model," which is bullish[15][68]. Comprehensive models like "A-Share Comprehensive Weapon V3 Model" and "A-Share Comprehensive CSI 2000 Model" are bearish[16][69]. - The "Volume Model" is constructed based on trading volume trends, while the "Feature Volume Model" and "Feature Institutional Model" focus on specific volume characteristics and institutional trading patterns, respectively. The "Smart Algorithm Model" utilizes machine learning techniques to predict market movements[1][13][66]. The "Limit-Up-Limit-Down Model" analyzes price limits, and the "Calendar Effect Model" incorporates seasonal patterns[14][67]. The "Long-Term Momentum Model" evaluates price trends over extended periods[15][68]. - The "Comprehensive Weapon V3 Model" and "Comprehensive CSI 2000 Model" combine signals from multiple models across different timeframes to provide a holistic market outlook[16][69]. - The report evaluates these models qualitatively, noting that short-term models are generally neutral to bearish, mid-term models are neutral, and long-term models are bullish. Comprehensive models are bearish for A-shares[1][13][66][16][69]. - Testing results for the models are summarized as follows: Short-term models show mixed signals, with bearish predictions for specific indices like CSI 300 and CSI 2000. Mid-term models remain neutral, while the long-term momentum model indicates a bullish outlook. Comprehensive models suggest a bearish trend for A-shares[1][13][66][16][69]. - For Hong Kong stocks, the "Turnover Inverse Volatility Model" is bearish, indicating potential downward movement for the Hang Seng Index[16][70]. - The report also highlights shape-based models like the "Double Bottom Pattern" and "Cup-and-Handle Pattern." The "Double Bottom Pattern" portfolio outperformed the Shanghai Composite Index by 2.57% this week, with cumulative returns of 34.32% since December 31, 2020[43][48]. The "Cup-and-Handle Pattern" portfolio outperformed the Shanghai Composite Index by 1.28% this week, with cumulative returns of 70.89% since December 31, 2020[43][44]. - The report evaluates these shape-based models positively, noting their consistent outperformance compared to the benchmark index over time[43][44][48]. - Testing results for shape-based models: "Double Bottom Pattern" portfolio weekly return of 3.0%, cumulative return of 34.32% since December 31, 2020[43][48]. "Cup-and-Handle Pattern" portfolio weekly return of 1.71%, cumulative return of 70.89% since December 31, 2020[43][44].

Core Viewpoint - Intel's third-quarter financial report shows a return to profitability, ending a six-quarter losing streak, with net profit reaching $4.1 billion compared to a net loss of $16.6 billion in the same period last year, leading to a significant stock price increase of approximately 7.7% in after-hours trading [1][3]. Financial Performance - Intel's revenue exceeded expectations, marking the first quarterly report since the U.S. government's investment, which included $9 billion in federal funding for a 10% equity stake in the company [3]. - The company has experienced a stock price increase of over 90% year-to-date, primarily driven by developments since August, including significant investments from the U.S. government and Nvidia [3]. Market Environment - The improvement in Intel's performance is attributed to the overall market environment rather than a significant enhancement in the company's competitive position, with the AI boom driving demand for traditional servers and Intel's Xeon server products [5][7]. - The demand for CPUs is being supported by the expansion of data centers, which is indirectly benefiting Intel despite its CPUs not being central to AI training [5]. Investor Sentiment - Investors are advised to monitor the increased volatility in U.S. stocks, particularly in the tech sector, as indicated by the historical high difference between the VIX and VIX EQ indices, reflecting heightened anxiety over certain tech stocks [9][11]. - Upcoming earnings reports from other major U.S. tech companies are expected to face scrutiny amid rising concerns about market concentration and the AI boom [13].

- The report includes multiple quantitative models for market timing, such as the "Volume Model," "Low Volatility Model," "Feature Institutional Model," "Feature Volume Model," "Smart Algorithm Model," "Limit-Up-Limit-Down Model," "Calendar Effect Model," "Long-Term Momentum Model," and composite models like "A-Share Comprehensive Weapon V3 Model" and "A-Share Comprehensive Guozheng 2000 Model" [2][11][12][13][14] - The "Volume Model" is neutral in the short term, while the "Feature Volume Model" indicates bearish signals. The "Smart Algorithm Model" for CSI 500 also shows bearish signals, whereas the "Long-Term Momentum Model" is bullish for long-term market trends [11][13][14] - The "Composite Weapon V3 Model" and "Comprehensive Guozheng 2000 Model" both indicate bearish signals for A-shares, suggesting a negative outlook for the market [14][68] - For Hong Kong stocks, the "Turnover Inverse Volatility Model" continues to show bearish signals, indicating a negative outlook for the Hang Seng Index [15][63] - Backtesting results for the "Double Bottom Pattern" show a weekly decline of -2.06%, outperforming the Shanghai Composite Index by 1.37%. Since December 31, 2020, the cumulative return of the double bottom portfolio is 28.91%, compared to the Shanghai Composite Index's cumulative return of 10.04%, achieving an excess return of 18.88% [41][46] - Backtesting results for the "Cup-and-Handle Pattern" show a weekly decline of -5.45%, underperforming the Shanghai Composite Index by -2.02%. Since December 31, 2020, the cumulative return of the cup-and-handle portfolio is 62.41%, compared to the Shanghai Composite Index's cumulative return of 10.04%, achieving an excess return of 52.38% [41][42]

Group 1 - The government shutdown has become a routine occurrence, with citizens expressing a sense of resignation as their salaries remain unaffected [1][3] - The financial markets are largely unfazed by the shutdown, with the VIX index showing minimal fluctuations and traders maintaining a calm demeanor [4][10] - Companies reliant on government contracts, particularly in the defense sector, are experiencing slight stock price increases, while other sectors like banking are seeing net redemptions in ETFs [6][8] Group 2 - The impact of the shutdown on GDP is projected to be minimal, with estimates suggesting a 0.18% decrease if the shutdown lasts over two weeks [3] - Tech companies report little disruption, attributing their resilience to diversified revenue streams, while government-dependent firms are adjusting payment schedules [6][8] - Market sentiment remains stable, with investors confident that the Federal Reserve will intervene if the situation escalates [10]