以下文章来源于紫金天风期货研究所 ，作者金融量化组 紫金天风期货研究所 . 紫金天风期货研究所官方订阅号 文 | 贾瑞斌 来源 | 紫金天风期货研究所 编辑 | 杨兰 审核 | 浦电路交易员 中秋降至，市场即将迎来长达8天的休市期。本公众号已对节假日期间应持仓或持币做过相关指引，简洁来说，对于持仓过节的投资 者来说，风险和机遇并存。除了通过资产标的持仓参与市场外，可以用期权这个相对占用资金小，风险可控的方式来参与。本文主 要基于以往思路，聚焦分析国庆假期中的期权组合的优劣（全部采用收盘作为计算依据），本文不构成投资建议。 01 摘要 、 当前市场各板块呈现差异化特征：原油和LPG波动率扩张，贵金属走势与宏观背离且隐含波动率高企，工业金属及新能源金属分化明 显，农产品内部结构差异显著。节前上需针对性布局，能源化工侧重波动率交易，贵金属避免卖权风险，工业金属分波动放大与弱势品 种施策，农产品关注油脂类看空波动率机会及菜粕特殊操作。国庆前后需聚焦隐含波动率、偏度结构等核心维度，高波动品种以价差组 合控风险，低波动品种控仓收权利金，同时跟踪宏观与政策动态应对风险。 02 各品种市场概况 首先，我们对过去三年国庆节前后 ...

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher, and a smaller difference means IV is relatively lower [3] Group 2: Volatility Data Graphs - The graphs show the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, and rapeseed oil [4] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the IV index and HV [5] - The implied volatility quantile rankings are as follows: 300 Index (0.83), 50ETF (0.74), PTA (0.19), etc., and the historical volatility quantile rankings are also presented [6]

Group 1 - The recent stock market has experienced increased volatility, while the bond market shows signs of improvement but remains oscillatory. The optimistic expectation for the resumption of government bond trading operations has contributed to this recovery, with the ten-year government bond yield dropping below 1.75% [2][5] - The market style has slightly shifted towards small-cap stocks, with growth styles prevailing. The volatility of market styles has increased, while the volatility of value and growth styles has decreased [7][8] - In the commodity market, the strength of the non-ferrous and energy chemical sectors has increased, while the trend strength of other sectors remains stable. The basis momentum across all sectors has decreased [3][20][23] Group 2 - In the options market, the implied volatility of the Shanghai Stock Exchange 50 index remains stable, while the implied volatility of the CSI 1000 index has begun to decline. The market experienced a brief pullback in early September, particularly affecting small-cap stocks, but current sentiment has eased [28] - The convertible bond market showed a relatively flat performance, with the index primarily oscillating. The premium rate for convertible bonds remains stable, and the proportion of low premium convertible bonds has not changed significantly [30]

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option implied volatility index is weighted by the IV of the upper and lower two - strike options of the front - month at - the - money options, showing the IV change trend of the front - month contract [2] - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Volatility Data Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of different varieties are presented, such as 300 Index with a quantile of 0.63, 50ETF with 0.73, PTA with 0.22, etc [5]

Core Viewpoint - The article highlights that the current market dynamics, driven by ETFs, quantitative trading, QE, and 0DTE options, are creating a bubble that is likely to burst, with a Shiller CAPE ratio of 38 indicating an inevitable market reset [2][9][14] Group 1: Market Dynamics - The S&P 500 is projected to reach 6512 points in 2025, with a 25% increase in the year, primarily driven by momentum rather than earnings [3] - The Shiller CAPE ratio is at 38, significantly above the historical average of 17, indicating a severe disconnection between valuation and earnings growth, which is only 7-10% [3][9] - The market is experiencing a similar scenario to the lead-up to the 1987 "Black Monday," where momentum and technical risks are overlapping [7][8] Group 2: Momentum Factors - Four key momentum factors are identified as driving the market: index ETFs, quantitative funds, QE liquidity, and 0DTE options [4] - The total assets under management (AUM) of U.S. ETFs reached $12.2 trillion in 2025, a 74% increase from $7 trillion in 2020, with significant inflows into large-cap stocks [4] - Quantitative hedge funds achieved an 11% return in the first half of 2025, with momentum strategy ETFs rising by 15.5%, indicating a strong reliance on price trends [5] - The Federal Reserve's balance sheet is projected to be $6.2 trillion in 2025, still 55% higher than pre-pandemic levels, contributing to a liquidity-driven market environment [6] - Retail trading volume has surged, with retail investors accounting for 10-36% of market activity in 2025, and 0DTE options making up 61% of S&P 500 options volume [6] Group 3: Historical Comparisons - The article draws parallels between the current market conditions and those of 1987, noting that both periods exhibit high CAPE ratios and reliance on momentum-driven trading strategies [9][12] - Historical data shows that when CAPE exceeds 30, markets typically experience a 20-30% decline, suggesting a similar outcome is likely in 2025 [9] Group 4: Investment Implications - The article suggests that value stocks, particularly in sectors like energy and finance, may outperform momentum stocks in the current environment, similar to post-1987 trends [13] - Diversifying assets and returning to fundamental analysis are emphasized as key strategies to navigate the current momentum-driven market [13][14]

Market Overview - The current market sentiment remains heated, with the A-share upward cycle not yet over, but transitioning from a unilateral rise to a "slow bull" phase, indicating potential short-term volatility [1][4] - Growth style shows greater elasticity supported by industrial trends and earnings growth prospects, while cyclical style remains more stable; a balanced approach is recommended for investors [1][4] Equity Market Analysis - Last week, the market style favored large-cap stocks, with value style significantly outperforming; the volatility of large and small-cap styles increased rapidly, while value and growth style volatility decreased [6][7] - The excess return dispersion of industry indices increased, indicating a rise in industry rotation speed, while the proportion of rising constituent stocks decreased, suggesting a weakening of the strong index trend [6] - The trading concentration increased, with the top 100 stocks' trading volume share rising, while the top five industries' trading volume share remained stable compared to the previous period [6] Market Activity - Market volatility and turnover rate continued to rise last week, indicating increased market activity [7] Commodity Market Insights - In the commodity market, the energy and chemical sector's trend strength increased, while other sectors remained stable; the basis differential momentum for black and energy sectors rose [21] - Volatility increased in the black and precious metals sectors, with liquidity performance showing divergence across sectors [21] Options Market Overview - Implied volatility for the SSE 50 and CSI 1000 remains high but has shown marginal easing; the skew of put options for the 50ETF has risen rapidly, while the CSI 1000 remains unchanged [25] Convertible Bond Market Analysis - The convertible bond market experienced a decline followed by recovery, with significant volatility; the premium rate for bonds convertible at 100 yuan stabilized at a mid-level [27] - The proportion of low premium convertible bonds has notably decreased, with these bonds performing relatively well; market trading volume has contracted but remains within a healthy range [27]

Core Viewpoint - The market has shown signs of cooling down after a prolonged period of strength, indicated by a significant drop in major indices, suggesting a potential period of consolidation and correction [2][4]. Group 1: Market Dynamics - A sudden large drop in indices has occurred, breaking through short-term moving averages, indicating a significant sell-off by large funds, which reflects a cooling intention from the market leaders [2]. - The implied volatility of options has surged, reflecting extreme market emotions. During the downturn, this corresponds to a capitulation of bullish positions, while in an uptrend, it indicates a rush of new capital entering the market [3]. - The recent large drop in indices has led to a noticeable shift in market sentiment, with implied volatility showing a negative correlation with index movements, suggesting fear of further declines [4][5]. Group 2: Market Sentiment and Future Outlook - The current market correction is seen as a natural response to previous extreme bullish sentiment, with the potential for a gradual recovery rather than a sharp decline, as existing funds appear to be staying in the market [7]. - The macroeconomic backdrop remains supportive, with expectations of a potential easing in the US dollar and domestic policies aimed at reducing competition, which could provide a foundation for future market strength [7]. - Despite recent declines, smaller indices and thematic stocks have shown relative strength, indicating that not all segments of the market are equally affected [8]. Group 3: Investment Strategies - In light of the current market conditions, a "buy low, sell high" strategy is recommended, with a focus on maintaining a balanced options portfolio to manage risk effectively [9]. - For options traders, it is advised to limit exposure to positive Vega, as the market remains heated, and to consider strategies that mitigate risks associated with extreme downward movements [11]. - Conservative investors may find more stability in indices like the 50 and 300, which are perceived to have lower downside risk compared to more aggressive indices [11].

1. Report's Investment Rating for the Industry - The report does not explicitly mention an overall industry investment rating. However, for specific financial derivatives: - Stock index futures are expected to be "oscillating with a bullish bias" [9] - Stock index options are also expected to be "oscillating with a bullish bias" [10] - Treasury bond futures are expected to be "oscillating" [10] 2. Core View of the Report - The stock market rally is not over, and the sentiment in the bond market has improved. Stock index futures are in high - level oscillations with shrinking capital; stock index option trading remains active, and the skewness indicates that the market rally is not over; the bullish sentiment in the bond market continues [2][3] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Market Situation**: On Tuesday, the Shanghai Composite Index opened lower and oscillated, with trading volume shrinking by nearly 500 billion yuan to 2.7 trillion yuan. All four stock index futures varieties reduced their positions by over 10,000 lots [9]. - **Reasons for Oscillations**: High trading volume is not sustainable; during the intensive disclosure period of interim reports, funds are avoiding high - valuation sectors; with the approaching military parade, risk appetite may converge [9]. - **Outlook**: This retracement is defined as an oscillation in a bull market. Loss - making stock price increases, a signal of the end of a bull market, have not appeared. It is recommended to continue holding IM long positions and wait for opportunities to add positions [9]. 3.1.2 Stock Index Options - **Market Situation**: The trading volume of the options market was 14.636 billion yuan, still above the 10 - billion - yuan level. After the decline, the position PCR did not drop significantly, and the skewness index decreased. Volatility is high, with most varieties oscillating at high levels [10][11]. - **Outlook**: The market is still expected to rise. It is recommended to continue holding long - position strategies, such as buying call options or using bull spreads [10][11]. 3.1.3 Treasury Bond Futures - **Market Situation**: Most yields of major inter - bank interest - rate bonds declined. The central bank's open - market operations had a net withdrawal of 17.45 billion yuan, but the inter - bank pledged repurchase rate mostly declined, and the capital market remained loose [4][12]. - **Reasons for Bullish Sentiment**: The decline of the Shanghai Composite Index supported the long - end of the bond market through the stock - bond seesaw effect. This week, trading funds such as fund companies have turned to net buying of bonds [4][12]. - **Outlook**: Short - term risk appetite improvement may disrupt the bond market. It is advisable to focus on opportunities for narrowing long - end basis spreads [4][12]. 3.2 Economic Calendar - The economic calendar lists data such as the US new home sales in July 2025, the S&P/CS housing price index of 20 large and medium - sized cities in the US in June, and the expected data of the eurozone's economic sentiment index and consumer confidence index in August [13]. 3.3 Important Information and News Tracking - The Ministry of Housing and Urban - Rural Development plans to start the renovation of 25,000 old urban residential areas in 2025, and 19,800 have been started from January to July. Six regions including Hebei and Liaoning have a start - up rate of over 90% [14]. - The State Council issued the "Opinions on Deeply Implementing the 'Artificial Intelligence +' Initiative", proposing to increase financial and fiscal support in the field of artificial intelligence [15][16]. - The State - owned Assets Supervision and Administration Commission requires state - owned enterprises to further deepen industrial assistance to Tibet and promote major projects such as the Yaxia Hydropower Project and the Sichuan - Tibet Railway [16]. 3.4 Derivatives Market Monitoring - The report mentions monitoring data for stock index futures, stock index options, and treasury bond futures, but specific data details are not provided in the given text [17][21][33]

Market Overview - The macro environment has improved since June 2025, leading to a significant rebound in major stock indices and most commodity futures prices, despite some disturbances from the Israel conflict [1] - Financial, chemical, and non-ferrous metal sectors saw a notable increase in options trading volume in June, indicating an expansion of the options market [1][2] Financial Market Conditions - In June, the manufacturing Purchasing Managers' Index (PMI) was at 49.7%, up 0.2 percentage points from the previous month, indicating marginal recovery despite remaining in contraction territory [2] - The production index rose to 51.0%, suggesting an acceleration in manufacturing activity, while the new orders index increased to 50.2%, indicating improved domestic demand [2] Trading Activity - The average daily trading volume for the Shanghai Stock Exchange 50 ETF was 648.77 million, with a month-on-month increase of 1.45% [3] - The total trading volume for the A-share market reached 44,715.60 million, with a significant month-on-month increase of 11.38% [3] Options Market Activity - The options market saw increased activity, with the trading volume for the Shanghai Stock Exchange 50 ETF options at 75.29 million, reflecting a 16% month-on-month increase [6] - The overall options trading volume for June was 463.70 million, with a 12% increase compared to the previous month [6] Commodity Market Conditions - The agricultural commodity market experienced fluctuations, with soybean meal prices rising initially due to lower quality ratings for U.S. soybeans, but later stabilizing as Brazilian soybeans arrived in large quantities [11] - The average daily trading volume for soybean meal futures was 1.18 million, showing a 26% increase month-on-month [12] Chemical Market Conditions - Crude oil prices initially rose but later fell due to easing tensions in the Middle East, with the market focusing on OPEC+ production policies [20] - The average daily trading volume for crude oil futures was 0.23 million, with a significant month-on-month increase of 2.3% [21]

1. Report Industry Investment Rating - The report does not explicitly provide an overall industry investment rating. However, for specific derivatives: - Stock index futures: The outlook is "oscillating, slightly bullish" [7]. - Stock index options: The outlook is "oscillating" [8]. - Treasury bond futures: The outlook is "oscillating" [8][10]. 2. Core Viewpoints of the Report - Stock index futures are in a period of sentiment adjustment, with the market showing signs of weakness after consecutive rises this week, entering a short - term observation period, and it is recommended to continue holding IM long positions [7]. - Stock index options are experiencing a temporary lull in sentiment, and it is advisable to take profits opportunistically. If the market remains oscillating, consider switching to a covered call strategy [2][8]. - Treasury bond futures' sentiment has stabilized to some extent. After recent adjustments, factors such as central bank net injections, non - excessive policy surprises, and potential market speculation on PMI data and central bank bond - buying have contributed. However, caution should still be maintained, and attention should be paid to June PMI data and central bank operations [3][8][10]. 3. Summary by Relevant Catalogs 3.1 Market Views Stock Index Futures - Yesterday, the market first rose and then fell. The Wind All - A Index slightly declined by 0.28%, and the Science and Technology Innovation 100 Index fell nearly 2%. Sectors such as banking and telecommunications rose against the trend, while the sentiment in the non - banking financial sector declined. - The open interest of stock index futures ended three consecutive days of increases, indicating profit - taking by funds. The narrowing of the futures discount may be due to some neutral strategy funds shifting from far - month to near - month hedging, with limited significance for trend prediction. - The basis of IF, IH, IC, and IM contracts and the spread between current and next - month contracts changed. The total open interest decreased. - It is recommended to hold IM long positions [7]. Stock Index Options - Yesterday, the underlying market declined across the board. The CSI 1000 initially performed well in the morning but weakened in the afternoon, closing down 0.45%. - The trading volume of the options market was 5.095 billion yuan, a 31.92% decrease from the previous trading day. The main trading drivers may be profit - taking and the re - entry of sellers. - The continuous increase in the intraday trading volume ratio of call options was interrupted, and the over - heated sentiment cooled. The put - call ratio of open interest in stock index options did not decline significantly, and the sellers were still relatively optimistic, but the decline from the high level was not a good sign historically. - The volatility of each option variety declined after a sharp increase the previous day, returning to the end - of - May level, with room for further decline compared to the beginning of the week. - It is recommended to take profits on directional strategies and switch to a covered call strategy if the market remains oscillating [2][8]. Treasury Bond Futures - Yesterday, treasury bond futures showed mixed performance. The T main contract initially rose but then declined, ultimately closing down 0.02%, while the TL main contract rose 0.10%, and the TF and TS main contracts were basically flat. - The central bank conducted 509.3 billion yuan of reverse repurchase operations, with 203.5 billion yuan of reverse repurchases maturing, resulting in a net injection of 305.8 billion yuan. The inter - bank liquidity eased, and the DR007 rate slightly declined. - The National Development and Reform Commission's press conference did not bring excessive policy surprises, and the stock - bond seesaw effect that had suppressed the bond market in recent days may have weakened. - As the end of the month approaches, the market may be speculating on June PMI data and the central bank's bond - buying restart. - For trading strategies, the trend strategy is to expect oscillation; for hedging, pay attention to short - hedging at low basis levels; for basis strategies, pay attention to basis widening; for yield curve strategies, it is more profitable to steepen the curve in the medium term [3][8][10]. 3.2 Economic Calendar - The report provides economic data for the week, including PMI data from the eurozone and the US, the German IFO business climate index, US consumer confidence indices, and US initial and continuing jobless claims [11]. 3.3 Important Information and News Tracking - Hong Kong Dollar: On June 26, the Hong Kong dollar triggered the "weak - side convertibility undertaking" of the linked exchange rate system. The Hong Kong Monetary Authority sold US dollars and bought 9.42 billion Hong Kong dollars, and the aggregate balance of the banking system will decrease to 164.1 billion Hong Kong dollars on June 27. Multiple factors led to this situation, which is part of the normal operation of the linked exchange rate system [12]. - China Macro: The National Development and Reform Commission will issue the third batch of consumer goods trade - in funds in July and will formulate a monthly and weekly plan for the use of national subsidy funds to ensure the orderly implementation of the consumer goods trade - in policy throughout the year [12]. - Digital Assets: The Hong Kong Special Administrative Region Government issued the "Hong Kong Digital Asset Development Policy Declaration 2.0" on June 26, aiming to make Hong Kong a global innovation center in the digital asset field. The new policy builds on the 2022 declaration, promoting the practical application of tokenization, diversifying application scenarios, and constructing a more vibrant digital asset ecosystem [13][14]. 3.4 Derivatives Market Monitoring - The report separately lists sections for stock index futures data, stock index options data, and treasury bond futures data, but specific data content is not fully presented in the provided text [15][19][31].