2025 年 06 月 05 日 晨会纪要 研究所： 证券分析师： 余春生 S0350513090001 yucs@ghzq.com.cn [Table_Title] 晨会纪要 ——2025 年第 94 期 观点精粹: 最新报告摘要 市场活跃度略降，交通基础设施连续上涨--资产配置报告 波动率放大，转债如何应对？--固定收益点评 证券研究报告 1、最新报告摘要 1.2、波动率放大，转债如何应对？--固定收益点评 分析师：靳毅 S0350517100001 分析师：范圣哲 S0350522080001 1.1、市场活跃度略降，交通基础设施连续上涨--资产配置报告 分析师：林加力 S0350524100005 投资要点: 一级市场项目储备充足：根据交易所最新披露，截至 5 月 30 日共有 1 单已申报、1 单已受理、1 单已问询、7 单已反馈，以及 5 单（含扩募）已通过审核等待上市。本周（2025 年 5 月 26 日至 2025 年 5 月 30 日，后同）， 交易所审核状态更新的项目共计 3 单，包括 2 单首发和 1 单扩募。 二级市场 REITs 指数表现领先，市场活跃度略有下降：本周中证 REITs ...

2025 年 06 月 04 日 固定收益点评 [Table_Title] 波动率放大，转债如何应对？ 固定收益点评 《固定收益点评：转债评级下调怎么看？*靳毅， 范圣哲》——2025-05-18 《固定收益点评：转债再现"黄金坑"*靳毅，范 圣哲》——2025-04-15 《固定收益点评：指数新高，转债如何应对？*靳 毅，范圣哲》——2025-04-03 《债券研究月报：2025 转债年度策略*靳毅，范圣 哲》——2024-12-26 《债券研究月报：牛市，转债如何跟涨正股？*靳 毅，范圣哲》——2024-10-27 投资要点: 最近一年走势 相关报告 中证转债逼近前期高位，市场整体估值处于股债稳态下的中等偏高 水平。中证转债指数高位运行，主要因为低价券自 2024 年 9 月大幅 上涨突破历史高点，其高余额权重推动指数上扬。中价转债维持历 史高位，高价低溢价券位于中等偏高水平。当前市场整体估值处于 中等偏高位置，截至 5 月 30 日，百元溢价率维持在 22%-23%区间， 处于相对高位。历史上估值压缩源于微盘股负反馈和大盘红利风格 叠加信用风险事件。市场若保持稳定，估值有望维持当前均衡水平。 Vega ...

Core Viewpoint - The article discusses the current volatility in the U.S. stock market and the strategies investors are considering to hedge against potential shocks, particularly in light of uncertainties surrounding Trump's policies [1]. Group 1: Market Volatility and Investor Strategies - Despite a calming of volatility in April, investors are preparing for sudden market shocks, similar to those experienced in the past [1]. - Derivatives strategists suggest that while periodic option selling from income-focused ETFs may suppress overall volatility, short-term shocks will continue to occur [1]. - Investors are weighing their preferences between Gamma and Vega strategies for hedging against market fluctuations [1][2]. Group 2: Gamma vs. Vega Strategies - Gamma represents a strategy focused on short-term options to capitalize on intraday volatility, while Vega pertains to long-term contracts benefiting from market turbulence [2]. - Data from Bloomberg indicates that short-term options were the biggest winners in April, but if the market retraces to previous lows, extreme volatility may not be repeated [2]. - Analysts expect a gradual repricing of the market driven by weak future guidance, indicating a low-volatility bear market [2]. Group 3: Alternative Hedging Tools - VKO (Volatility Knock Out) options are gaining popularity as a speculative method to short stocks or volatility, offering a cheaper alternative to standard options [3]. - Hedge funds have actively engaged in VKO during recent market declines to secure better entry points, emphasizing the importance of timing in establishing positions [3]. - Quantitative Investment Strategies (QIS) are also being considered for hedging, with a mixed approach potentially being more effective given the varied performance of these strategies during April's volatility [3]. Group 4: Cost Trends and Market Outlook - Trading costs have returned to levels seen at the end of March, providing a favorable environment for hedgers [5]. - Analysts predict that earnings downgrades and valuation compression will lead to a gradual decline in U.S. stocks, testing lows expected in 2025 [5]. - The article notes that while sudden news shocks previously defined market declines, the next downturn is anticipated to be a slow erosion rather than a sharp sell-off [5].