贴水持续收敛，市场情绪延续乐观 [Table_ReportTime] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦 B座 邮编：100031 [贴水持续收敛 Table_Title] ，市场情绪延续乐观 [Table_ReportDate] 202 ...

Group 1 - The VIX index incorporates three major risk events: the Federal Reserve FOMC meeting, non-farm payroll data, and tariff deadlines [1]

Core Viewpoint - The VIX index will now incorporate three major risk events: the Federal Reserve FOMC meetings, non-farm payroll data, and tariff deadlines [1] Group 1 - The inclusion of the Federal Reserve FOMC meetings is expected to enhance the predictive power of the VIX index [1] - Non-farm payroll data will provide insights into employment trends, which are crucial for market stability [1] - Tariff deadlines will reflect trade tensions and their potential impact on market volatility [1]

Quantitative Models and Construction 1. Model Name: Volume Model - **Construction Idea**: This model uses trading volume data to predict short-term market trends[2][11] - **Construction Process**: The model evaluates trading volume changes across broad-based indices to generate buy or neutral signals. Specific thresholds or patterns in volume are used to determine the directional bias[11] - **Evaluation**: The model is partially optimistic for broad-based indices in the short term[11][66] 2. Model Name: Low Volatility Model - **Construction Idea**: This model focuses on the volatility of asset prices to assess market conditions[11] - **Construction Process**: The model calculates the historical volatility of indices and assigns a neutral signal when volatility remains within a predefined range[11] - **Evaluation**: The model is neutral for the short term[11][66] 3. Model Name: Institutional Feature Model (LHB) - **Construction Idea**: This model incorporates institutional trading data, such as large trades or block trades, to predict market movements[11] - **Construction Process**: The model analyzes institutional trading patterns, such as those from the "Dragon and Tiger List" (龙虎榜), to generate signals. A bearish signal is issued when institutional selling dominates[11] - **Evaluation**: The model is bearish for the short term[11][66] 4. Model Name: Intelligent Algorithm Models (HS300 and CSI500) - **Construction Idea**: These models use machine learning algorithms to analyze historical data and predict market trends[11] - **Construction Process**: The HS300 model generates a bullish signal for the CSI 300 index, while the CSI500 model remains neutral. The models likely use features such as price momentum, volume, and other technical indicators[11] - **Evaluation**: The HS300 model is optimistic, while the CSI500 model is neutral in the short term[11][66] 5. Model Name: Limit-Up/Limit-Down Model - **Construction Idea**: This model evaluates the frequency and distribution of limit-up and limit-down events to assess market sentiment[12] - **Construction Process**: The model calculates the ratio of stocks hitting daily price limits and assigns a neutral signal when no significant bias is observed[12] - **Evaluation**: The model is neutral for the medium term[12][67] 6. Model Name: Calendar Effect Model - **Construction Idea**: This model leverages seasonal or calendar-based patterns in market behavior[12] - **Construction Process**: The model analyzes historical performance around specific calendar dates (e.g., month-end or quarter-end) to generate signals. It remains neutral when no strong seasonal patterns are detected[12] - **Evaluation**: The model is neutral for the medium term[12][67] 7. Model Name: Long-Term Momentum Model - **Construction Idea**: This model uses long-term price momentum to predict market trends[13] - **Construction Process**: The model calculates momentum indicators over extended periods and assigns a neutral signal when no clear trend is identified[13] - **Evaluation**: The model is neutral for all broad-based indices in the long term[13][68] 8. Model Name: Comprehensive Weaponry V3 Model - **Construction Idea**: This composite model integrates multiple short-term, medium-term, and long-term signals to provide an overall market outlook[14] - **Construction Process**: The model aggregates signals from various sub-models (e.g., volume, volatility, momentum) and generates a bullish signal for the A-share market[14] - **Evaluation**: The model is optimistic for the A-share market[14][69] 9. Model Name: Comprehensive Guozheng 2000 Model - **Construction Idea**: This model focuses on the Guozheng 2000 index, combining multiple signals to assess market conditions[14] - **Construction Process**: Similar to the Weaponry V3 model, this model aggregates signals but remains neutral for the Guozheng 2000 index[14] - **Evaluation**: The model is neutral for the Guozheng 2000 index[14][69] 10. Model Name: Turnover-to-Volatility Model (Hong Kong Market) - **Construction Idea**: This model evaluates the ratio of turnover to price volatility to predict market trends in the Hong Kong market[15] - **Construction Process**: The model calculates the turnover-to-volatility ratio and generates a bullish signal when the ratio indicates strong market activity relative to volatility[15] - **Evaluation**: The model is optimistic for the medium term in the Hong Kong market[15][70] --- Backtesting Results of Models 1. Volume Model - **Signal**: Partially bullish for broad-based indices in the short term[11][66] 2. Low Volatility Model - **Signal**: Neutral for the short term[11][66] 3. Institutional Feature Model (LHB) - **Signal**: Bearish for the short term[11][66] 4. Intelligent Algorithm Models (HS300 and CSI500) - **Signal**: Bullish for HS300; neutral for CSI500 in the short term[11][66] 5. Limit-Up/Limit-Down Model - **Signal**: Neutral for the medium term[12][67] 6. Calendar Effect Model - **Signal**: Neutral for the medium term[12][67] 7. Long-Term Momentum Model - **Signal**: Neutral for all broad-based indices in the long term[13][68] 8. Comprehensive Weaponry V3 Model - **Signal**: Bullish for the A-share market[14][69] 9. Comprehensive Guozheng 2000 Model - **Signal**: Neutral for the Guozheng 2000 index[14][69] 10. Turnover-to-Volatility Model (Hong Kong Market) - **Signal**: Bullish for the medium term in the Hong Kong market[15][70]

- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

- The report introduces the dividend forecast for stock index futures contracts during their duration, predicting dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 73.53, 68.56, 52.96, and 65.86 respectively[9][11][16] - The dividend-adjusted annualized basis calculation is explained as: Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract[20] - CSI 500 futures contract IC2507 predicts dividend points of 20.73, IC2509 predicts 30.13, and IC2512 predicts 30.13, with a dividend ratio of 0.53% during the next season contract duration[9] - CSI 300 futures contract IF2507 predicts dividend points of 34.94, IF2509 predicts 48.09, and IF2512 predicts 48.4, with a dividend ratio of 1.26% during the next season contract duration[11] - SSE 50 futures contract IH2507 predicts dividend points of 40.11, IH2509 predicts 44.54, and IH2512 predicts 44.97, with a dividend ratio of 1.68% during the next season contract duration[16] - CSI 1000 futures contract IM2507 predicts dividend points of 18.42, IM2509 predicts 22.63, and IM2512 predicts 22.73, with a dividend ratio of 0.38% during the next season contract duration[18] - CSI 500 futures contract IC's dividend-adjusted annualized basis rose to -8.70% from a weekly low of -9.76%[21] - CSI 300 futures contract IF's dividend-adjusted annualized basis fell to -2.54% from a weekly high of -1.77%[27] - SSE 50 futures contract IH's dividend-adjusted annualized basis rose to 0.91% from a weekly low of 0.40%[33] - CSI 1000 futures contract IM's dividend-adjusted annualized basis rose to -12.34% from a weekly low of -14.89%[40] - The continuous hedging strategy and minimum basis strategy are introduced, with parameters including holding corresponding total return indices for the spot side and shorting futures contracts with equal nominal principal for the hedging side[45][46][47] - CSI 500 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -2.75%, -1.97%, and -0.95% respectively, with volatility of 3.89%, 4.78%, and 4.70%[48] - CSI 300 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 0.60%, 0.88%, and 1.44% respectively, with volatility of 3.03%, 3.38%, and 3.17%[50][54] - SSE 50 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are 1.10%, 2.04%, and 1.76% respectively, with volatility of 3.15%, 3.58%, and 3.16%[55][58] - CSI 1000 futures hedging strategy results: Annualized returns for monthly continuous hedging, seasonal continuous hedging, and minimum basis strategy are -5.99%, -4.36%, and -3.68% respectively, with volatility of 4.74%, 5.78%, and 5.60%[59][60] - Cinda-VIX index reflects market volatility expectations, with 30-day VIX values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 16.54, 17.01, 25.03, and 22.92 respectively[63][65] - Cinda-SKEW index captures implied volatility skew characteristics, with values for SSE 50, CSI 300, CSI 500, and CSI 1000 indices at 101.73, 106.09, 97.81, and 105.04 respectively[72][75]

Quantitative Models and Construction 1. Model Name: Volume Model - **Model Construction Idea**: This model evaluates market timing based on trading volume dynamics[10][64] - **Model Evaluation**: The model currently signals a neutral stance for the short term[10][64] 2. Model Name: Low Volatility Model - **Model Construction Idea**: This model assesses market timing by analyzing low volatility trends in the market[10][64] - **Model Evaluation**: The model currently signals a neutral stance for the short term[10][64] 3. Model Name: Institutional Feature Model (Dragon-Tiger List) - **Model Construction Idea**: This model uses institutional trading features from the Dragon-Tiger list to predict market movements[10][64] - **Model Evaluation**: The model currently signals a bearish outlook for the short term[10][64] 4. Model Name: Feature Volume Model - **Model Construction Idea**: This model leverages specific volume features to predict market trends[10][64] - **Model Evaluation**: The model currently signals a bearish outlook for the short term[10][64] 5. Model Name: Intelligent CSI 300 Model - **Model Construction Idea**: This model applies intelligent algorithms to predict movements in the CSI 300 index[10][64] - **Model Evaluation**: The model currently signals a bullish outlook for the short term[10][64] 6. Model Name: Intelligent CSI 500 Model - **Model Construction Idea**: This model applies intelligent algorithms to predict movements in the CSI 500 index[10][64] - **Model Evaluation**: The model currently signals a bearish outlook for the short term[10][64] 7. Model Name: Limit-Up/Down Model - **Model Construction Idea**: This model evaluates market timing based on the frequency of limit-up and limit-down events[11][65] - **Model Evaluation**: The model currently signals a bullish outlook for the mid-term[11][65] 8. Model Name: Calendar Effect Model - **Model Construction Idea**: This model incorporates calendar-based patterns to predict market movements[11][65] - **Model Evaluation**: The model currently signals a neutral stance for the mid-term[11][65] 9. Model Name: Long-Term Momentum Model - **Model Construction Idea**: This model evaluates long-term market trends using momentum indicators[12][66] - **Model Evaluation**: The model currently signals a neutral stance across all broad-based indices for the long term[12][66] 10. Model Name: A-Share Comprehensive Weapon V3 Model - **Model Construction Idea**: This model integrates multiple signals to provide a comprehensive market timing prediction[13][67] - **Model Evaluation**: The model currently signals a bearish outlook for the A-share market[13][67] 11. Model Name: A-Share Comprehensive CSI 2000 Model - **Model Construction Idea**: This model focuses on the CSI 2000 index, combining various timing signals[13][67] - **Model Evaluation**: The model currently signals a neutral stance for the A-share market[13][67] 12. Model Name: Turnover-to-Volatility Model (Hong Kong Market) - **Model Construction Idea**: This model evaluates market timing in the Hong Kong market by analyzing turnover relative to volatility[14][68] - **Model Evaluation**: The model currently signals a bullish outlook for the mid-term[14][68] --- Model Backtesting Results 1. Volume Model - **Short-Term Signal**: Neutral[10][64] 2. Low Volatility Model - **Short-Term Signal**: Neutral[10][64] 3. Institutional Feature Model (Dragon-Tiger List) - **Short-Term Signal**: Bearish[10][64] 4. Feature Volume Model - **Short-Term Signal**: Bearish[10][64] 5. Intelligent CSI 300 Model - **Short-Term Signal**: Bullish[10][64] 6. Intelligent CSI 500 Model - **Short-Term Signal**: Bearish[10][64] 7. Limit-Up/Down Model - **Mid-Term Signal**: Bullish[11][65] 8. Calendar Effect Model - **Mid-Term Signal**: Neutral[11][65] 9. Long-Term Momentum Model - **Long-Term Signal**: Neutral across all broad-based indices[12][66] 10. A-Share Comprehensive Weapon V3 Model - **Comprehensive Signal**: Bearish[13][67] 11. A-Share Comprehensive CSI 2000 Model - **Comprehensive Signal**: Neutral[13][67] 12. Turnover-to-Volatility Model (Hong Kong Market) - **Mid-Term Signal**: Bullish[14][68]

Group 1 - Retail investors are gradually withdrawing funds from the "Big Seven" tech stocks (Apple, Microsoft, Amazon, Google, Meta, Nvidia, Tesla) and are instead investing in companies with strong performance but declining stock prices [1] - Nvidia is the top stock being sold off by retail investors, indicating a shift in investment strategy as they adjust their portfolios based on stock performance [1] - Beneficiaries of this rotation include stocks like Salesforce (CRM.US), Okta (OKTA.US), and Marvell Technology (MRVL.US), which have underperformed compared to dominant tech stocks [1] Group 2 - During periods of extreme market volatility, there is a notable shift from single stocks to exchange-traded funds (ETFs), with the ratio changing from 80% single stocks to 20% ETFs to 60% single stocks to 40% ETFs [2] - Bitcoin remains a highly sought-after financial product among Robinhood's customer base, with a popular strategy of dollar-cost averaging being favored by younger investors [2] - The average age of Robinhood's customer base is slightly above 30 years, indicating a younger demographic engaging in regular investment practices [2]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the convergence of basis in stock index futures and aims to optimize hedging performance by continuously rolling over contracts[47][48] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to May 16, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[48] - **Rebalancing Rules**: Continuously hold the current month/quarter contracts until two days before expiration, then roll over to the next contract at the closing price[48] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[48] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[49] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to May 16, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and the remaining 30% for shorting futures contracts with the same nominal principal[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for at least eight trading days or until two days before expiration[49] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.45% (current month), -1.66% (quarterly), -0.66% (minimum basis)[51] - Volatility: 3.94% (current month), 4.85% (quarterly), 4.76% (minimum basis)[51] - Maximum Drawdown: -7.51% (current month), -8.34% (quarterly), -7.97% (minimum basis)[51] - Net Value: 0.9331 (current month), 0.9543 (quarterly), 0.9818 (minimum basis)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.76% (current month), 1.01% (quarterly), 1.59% (minimum basis)[56] - Volatility: 3.08% (current month), 3.42% (quarterly), 3.21% (minimum basis)[56] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly), -4.06% (minimum basis)[56] - Net Value: 1.0212 (current month), 1.0286 (quarterly), 1.0450 (minimum basis)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.20% (current month), 2.13% (quarterly), 1.84% (minimum basis)[60] - Volatility: 3.19% (current month), 3.62% (quarterly), 3.21% (minimum basis)[60] - Maximum Drawdown: -4.22% (current month), -3.75% (quarterly), -3.91% (minimum basis)[60] - Net Value: 1.0339 (current month), 1.0605 (quarterly), 1.0521 (minimum basis)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.28% (current month), -3.88% (quarterly), -3.23% (minimum basis)[62] - Volatility: 4.35% (current month), 5.45% (quarterly), 5.31% (minimum basis)[62] - Maximum Drawdown: -14.36% (current month), -12.63% (quarterly), -11.11% (minimum basis)[62] - Net Value: 0.8595 (current month), 0.8953 (quarterly), 0.9124 (minimum basis)[62] --- 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[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's on-exchange options market[65] - Calculated using implied volatilities from options with different maturities[65] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations[65] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness in implied volatility across different strike prices, capturing market expectations of extreme tail risks[74] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with varying strike prices[74] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[75] - **Factor Evaluation**: Useful for assessing market sentiment and potential "black swan" events[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.24[65] - CSI 300: 19.19[65] - CSI 500: 22.56[65] - CSI 1000: 26.89[65] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.71[75] - CSI 300: 103.73[75] - CSI 500: 98.73[75] - CSI 1000: 107.96[75]

- The report includes the construction of dividend points for stock index futures contracts, predicting the dividend points for the next year for indices such as CSI 500, CSI 300, SSE 50, and CSI 1000[10][12][16][18] - The construction process involves estimating the dividend points for the contract's duration, adjusting the basis by removing the impact of dividends, and annualizing the basis[20] - The basis adjustment formula is: Expected dividend-adjusted basis = Actual basis + Expected dividends during the contract period[20] - The annualized basis formula is: Annualized basis = (Actual basis + (Expected) dividend points) / Index price × 360 / Remaining days of the contract[20] - The evaluation of the basis adjustment indicates that the basis for IC, IF, IH, and IM contracts has generally increased, with the basis for IC and IM contracts showing a narrowing discount, while IF and IH contracts show a slight increase in premium[21][27][32][38] Model Backtesting Results - IC contract: Annualized basis discount narrowed to 7.58%[21] - IF contract: Annualized basis discount narrowed to 2.07%[27] - IH contract: Annualized basis premium increased to 0.83%[32] - IM contract: Annualized basis discount narrowed to 10.35%[38] Quantitative Factors and Construction - Cinda-VIX: Reflects the expected future volatility of the underlying asset in the options market, with a term structure indicating different volatility expectations for different periods[63] - Cinda-SKEW: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events and potential risks[72] Factor Backtesting Results - Cinda-VIX values as of April 25, 2025: SSE 50VIX 19.21, CSI 300VIX 19.66, CSI 500VIX 29.03, CSI 1000VIX 28.66[64] - Cinda-SKEW values as of April 25, 2025: SSE 50SKEW 102.81, CSI 300SKEW 104.47, CSI 500SKEW 102.76, CSI 1000SKEW 103.65[72] Evaluation of Models and Factors - The basis adjustment model effectively accounts for the impact of dividends on futures contracts, providing a more accurate basis measurement[20] - The Cinda-VIX and Cinda-SKEW indices offer valuable insights into market sentiment and potential risks, with high SKEW values indicating increased concern over extreme negative events[72]