1. Report's Industry Investment Rating - Not provided in the content 2. Core Views of the Report - In the stock index futures market, the pullback of popular sectors has dragged down sentiment. In mid - to late December, it is recommended to focus on risk - avoidance allocations, with a short - term combination of high - dividend and price - increase chains [1][9]. - In the stock index options market, volatility has rebounded, and a short - term defensive strategy is advisable, with a short - term protective put option recommended [2][9]. - In the treasury bond futures market, the bond market shows differentiation. Short - term caution is needed for the ultra - long - end, while the short - end has relatively stronger support [3][11][12]. 3. Summary of Each Directory 3.1 Market Views Stock Index Futures - On Tuesday, the equity market accelerated its correction, with popular sectors such as non - ferrous metals, new energy, and communications leading the decline. The market trading volume was around 17.5 trillion. The IC and IM contracts saw significant increases in positions, indicating hedging demand. The market attributes the pullback to various factors, but the core issue is the unclear leading funds. The operation suggestion is to hold IC and the dividend index [1][9]. Stock Index Options - The underlying market fell across the board. The total trading volume of the options market reached 9.854 billion yuan, a 60.16% increase from the previous day. The proportion of put option trading volume increased, showing a defensive sentiment. The sentiment indicators suggest a weak medium - term view. Volatility rebounded, and a short - term protective put option is recommended [2][9]. Treasury Bond Futures - Treasury bond futures showed differentiation. The T, TF, TS, and TL main contracts changed by 0.05%, 0.03%, - 0.02%, and - 0.19% respectively. The T main contract was volatile, and the ultra - long - end TL contract continued to decline, while the short - end TS contract adjusted. The market sentiment needs to improve. The operation suggestions include a trend strategy of range - bound trading, paying attention to short - selling hedging at low basis levels, focusing on basis widening, and expecting a steep yield curve [3][11][12]. 3.2 Economic Calendar - It includes data such as China's reserve currency in November 2025, the US non - farm payrolls change in November 2025, and upcoming data on the US core CPI and PCE price index in November 2025 [13]. 3.3 Important Information and News Tracking - **Domestic Macroeconomics**: The National Development and Reform Commission proposed measures to boost domestic demand, including stabilizing bulk consumption, implementing key projects in consumption - related fields, and improving market order [14]. - **Financial Technology**: Baidu's no - code application building platform "Miaoda" has generated over 500,000 commercial applications in 8 months. Baidu also launched a long - term support plan for creators [14]. - **Non - ferrous Metals**: The London Metal Exchange plans to implement new position limit rules from July next year to comply with UK financial regulatory requirements [15]. 3.4 Derivatives Market Monitoring - **Stock Index Futures Data**: Not detailed in the provided content [16]. - **Stock Index Options Data**: Not detailed in the provided content [20]. - **Treasury Bond Futures Data**: Not detailed in the provided content [32].

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-12-16 股市⻛格防御化，债市超⻓端情绪偏弱 股指期货：配置⻛格防御化 股指期权：备兑防御为主 国债期货：超⻓端情绪仍偏弱 股指期货方面，配置风格防御化。周一主要宽基指数疲弱，仅红利指 数、微盘指数逆势上涨，科创50、恒生科技跌幅均在2%之上，盘面风格呈 现防御化的特征。行业方面，保险、农产品、商业贸易领涨，资金进入稳 定板块避险。盘面回撤与外盘弱势有一定关系，近期呈现一定的跟随效 应，但本质在于重要会议结束之后，市场进入事件空窗期，叠加年末临 近，资金博弈意愿下降，预计年末难出现系统性机会。在此氛围之下，仍 建议资金防御配置，以高股息、涨价链作为配置主线。 股指期权方面，备兑防御为主。昨日权益指数低开后冲高再回落。期 权方面，各个品种成交额加总大幅下降19.49%。情绪指标方面持仓量PCR 整体走弱，但相比于持仓量的震荡，成交量的变化则更为显著，且体现在 看涨、看跌期权的同步下行。期权加权隐含波动率平均回落0.96%，日内 隐波跟随行情走势，震荡幅度较为剧烈。整体结合交易缩量和隐波变化， 推测当前方向趋势型交易的投 ...

Group 1: Core Views - The bond futures market is experiencing a shift, with the basis center moving down and structural differentiation emerging due to the interplay of declining coupon rates and diversified market participants [2][3] - The cross-period price differences in bond futures are negatively correlated with market trends, indicating an evolution in investor trading strategies towards forward-looking layouts [2][3] Group 2: Institutional Behavior Changes - The holding volume of bond futures has significantly increased, reflecting market expansion, but different contract maturities show varied growth driven by allocation and arbitrage needs [3] - New funds are increasingly concentrated in T and TL contracts due to their liquidity and longer duration, while TS and TF contracts see spikes in short positions driven by tight funding conditions [3] Group 3: Profit Strategies for 2025 - In Q1 2025, low basis conditions favor hedging strategies using T/TL contracts to mitigate losses [4] - In Q2 2025, high IRR conditions favor a long position in cash bonds combined with short futures, particularly in short-term bonds and long-term local government bonds [4] - In Q3 2025, as speculative funds withdraw, hedging and curve strategies are expected to perform better [4] - In Q4 2025, a focus on refined operations will be necessary, with short-term curve strategies or cross-period strategies providing opportunities [4] Group 4: 2026 Outlook - The cash bond remains the core pricing anchor in the bond market, while bond futures may act as a more sensitive sensor for stock-bond and commercial-bond relationships, leading to increased elasticity and structural differentiation [5] - Technical analysis suggests that if TL contracts do not quickly recover from a recent drop, a weak oscillation pattern may continue into 2026 [5] - Utilizing bond futures and derivatives effectively can help overcome yield bottlenecks and amplify profit elasticity, with strategies tailored to market conditions [5]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - On December 11, the A - share market fluctuated and declined, with over 4300 stocks falling. The Shanghai Composite Index closed down 0.7% at 873.32 points, the Shenzhen Component Index fell 1.27%, the ChiNext Index fell 1.41%, the North - bound 50 rose 8.84%, the Science and Technology Innovation 50 fell 1.55%, the Wind All - A fell 1.1%, the Wind A500 fell 0.95%, and the CSI A500 fell 0.84%. The A - share market traded 1.89 trillion yuan throughout the day, compared with 1.79 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Index Quotes | Index | Turnover (billion yuan) | Closing Price | Change (%) | Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 2977.0319 | 969.81 | - 0.39 | 39.40 | | CSI 300 | 4552.1848 | 4324.31 | - 1.30 | 168.42 | | CSI 1000 | 7311.9952 | 3819.34 | - 0.86 | 234.02 | [3] 3.2 CFFEX Stock Index Options Trading Situation | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.58 | 1.58 | 0.63 | 4.22 | 2.91 | 0.69 | | CSI 300 | 6.86 | 0.59 | 0.09 | 8.82 | 10.93 | 1.24 | | CSI 1000 | 13.47 | 0.78 | 0.06 | 24.00 | 17.45 | 0.73 | [3] 3.3 Volatility Analysis - **SSE 50 Volatility**: Analyzed historical volatility and volatility cone, and provided the volatility smile curve of the next - month at - the - money implied volatility [3][4] - **CSI 300 Volatility**: Analyzed historical volatility and volatility cone, and provided the volatility smile curve of the next - month at - the - money implied volatility [3][4] - **CSI 1000 Volatility**: Analyzed historical volatility and volatility cone, and provided the volatility smile curve of the next - month at - the - money implied volatility [3][4]

Core Viewpoint - Gemini Space Station (GEMI.US) experienced a pre-market surge of 18.31%, reaching a price of $13.44 due to the approval of its derivatives trading division, Titan, by the Commodity Futures Trading Commission (CFTC) for a Designated Contract Market (DCM) license, enabling it to offer prediction market services to U.S. clients [1] Group 1 - The approval from CFTC allows Titan to operate as a designated contract market [1] - The surge in stock price reflects positive market sentiment regarding the new service offering [1] - The new license positions the company to expand its services in the U.S. market [1]

Core Viewpoint - Gemini Space Station (GEMI.US) saw a pre-market surge of 18.31%, reaching a price of $13.44, following the announcement that its derivatives trading division, Titan, received a Designated Contract Market (DCM) license from the Commodity Futures Trading Commission (CFTC) to offer prediction market services to U.S. clients [1]. Group 1: Stock Performance - The closing price on December 10 was $11.36, reflecting a decrease of 0.70% [1]. - The pre-market price on December 11 was $13.44, an increase of $2.08 or 18.31% [1]. - The stock experienced a trading volume of 2.767 million shares, with a total transaction value of $34.11 million [1]. Group 2: Financial Metrics - The company has a total market capitalization of $1.337 billion [1]. - The stock's price-to-earnings ratio (P/E) is currently showing a loss, indicating no earnings [1]. - The stock's price-to-book ratio (P/B) stands at 2.045 [1]. Group 3: Historical Data - The stock's 52-week high is $45.89, while the 52-week low is $9.674 [1]. - The historical maximum price recorded is $45.89, and the historical minimum is $9.674 [1].

Group 1: Market Overview - On December 9th, A-share large and small indices showed mixed performance, with resource stocks falling across the board and the Shanghai Composite Index dropping; CPO concept stocks were repeatedly active, and the ChiNext Index rising. The Shanghai Composite Index closed down 0.37% at 3909.52 points, the Shenzhen Component Index fell 0.39%, the ChiNext Index rose 0.61%, the North Securities 50 fell 1.72%, the Science and Technology Innovation 50 fell 0.27%, the Wind All A fell 0.55%, the Wind A500 fell 0.54%, and the CSI A500 fell 0.56%. A-shares had a full-day turnover of 1.92 trillion yuan, compared with 2.05 trillion yuan the previous day. More than 4,000 stocks in the market declined [5] Group 2: Index Performance - The closing price of the Shanghai 50 was 2997.9603, with a decline of 0.71%, a turnover of 43.43 billion yuan, and a trading volume of 4598.2232 million [3] - The closing price of the CSI 300 was 3923.13, with a decline of 0.51%, a turnover of 4521.14 billion yuan, and a trading volume of 7380.5835 million [3] - The closing price of the CSI 1000 had a decline of 0.57%, a turnover of 228.49 billion yuan [3] Group 3: CFFEX Stock Index Options Trading Shanghai 50 - Call option trading volume was 2.23 million contracts, put option trading volume was 1.33 million contracts, call option open interest was 6.74 million contracts, put option open interest was 3.96 million contracts. The trading volume PCR was 0.67, and the open interest PCR was 0.70 [3] CSI 300 - Call option trading volume was 9.74 million contracts, put option trading volume was 5.93 million contracts, call option open interest was 19.49 million contracts, put option open interest was 10.86 million contracts. The trading volume PCR was 0.64, and the open interest PCR was 0.79 [3] CSI 1000 - Call option trading volume was 9.78 million contracts, put option trading volume was 8.11 million contracts, call option open interest was 32.95 million contracts, put option open interest was 16.56 million contracts. The trading volume PCR was 0.83, and the open interest PCR was 0.99 [3] Group 4: Volatility Analysis Shanghai 50 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4] CSI 300 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4] CSI 1000 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4]

Group 1: Investment Ratings - There is no information about the overall industry investment rating in the report. Group 2: Core Views - Various commodities in the market show different trends and outlooks. Some commodities are expected to be strong, some are in a tight - balance or weak situation, and investors should adjust their strategies according to different market conditions [2][3][4] Group 3: Summary by Category Daily Selections - **Tin**: With strong fundamentals, tin prices are expected to remain strong this year. Hold existing long positions and consider buying on dips. Monitor US interest rate decisions and supply - side changes [2] - **Styrene**: Supply - demand is in a tight balance, with limited upside. It is expected to be weak in the short - term. Pay attention to device changes and actual export transactions [3] - **Coking Coal**: Spot prices are falling, and the futures market is weak. Consider short - term short positions and a long - coke short - coking - coal arbitrage [4] - **Corn**: The supply is increasing, and the futures price is weak. Participate in the short - term and pay attention to the continuity of shipments [5] Financial Derivatives - Financial Futures Stock Index Futures - The stock index opened low and closed low, while the ChiNext and STAR Market showed an upward trend. The market is affected by domestic and overseas policies and capital flows. Consider a bullish spread strategy on CSI 1000 put options on dips [6][7][8] Bond Futures - Bond futures rose across the board. The market may return to a volatile state in the short - term. Temporarily observe and focus on the central economic work conference. Consider participating in bonds with a maturity of less than 10 years [9][10][11] Financial Derivatives - Precious Metals - Precious metals generally rose, with silver hitting a new high. Gold may oscillate around $4,200. Be cautious when chasing high on silver. Consider a low - buying strategy for platinum [12][13][14] Shipping Index (European Line) - The SCFIS European line index showed an upward trend. The market is expected to be volatile in the short - term [16] Non - ferrous Metals - **Copper**: Global inventory imbalance drives price increases. Long - term long positions can be held, and short - term long positions can be closed on rallies. Pay attention to inventory changes and squeeze risks [17][18][21] - **Alumina**: Supply is in excess, and prices are expected to oscillate at the bottom. Short - term traders can consider light - position long positions or selling out - of - the - money put options [22][23] - **Aluminum**: Affected by macro factors, prices are expected to be strong in the short - term but may pull back. Pay attention to the Fed's interest rate decision and inventory changes [24][26][27] - **Aluminum Alloy**: Cost support is strong, but demand is weak. It is expected to oscillate in a narrow range at a high level. Consider an arbitrage strategy of going long on AD03 and short on AL03 [27][28][29] - **Zinc**: TC is falling, and exports are improving the supply - demand structure. The price is expected to oscillate. Pay attention to the TC inflection point and inventory changes [29][30][33] - **Tin**: Fundamentals are strong, and prices are expected to be strong. Hold existing long positions and buy on dips [33][34][37] - **Nickel**: The surplus is narrowing, but the upside is limited. It is expected to oscillate weakly. Pay attention to macro and industrial policies [37][38][39] - **Stainless Steel**: Supply pressure is slightly relieved, but demand is weak in the off - season. It is expected to oscillate and repair. Pay attention to the implementation of steel mill production cuts and raw material prices [40][42][43] - **Lithium Carbonate**: The market is in a state of divergence, and prices are expected to oscillate widely. Observe the market [44][45][46] - **Polysilicon**: Affected by the news of the establishment of a storage platform, futures prices are rising. However, demand is weak, and prices may fall. Observe the market [47][48][49] - **Industrial Silicon**: Prices are falling. It is expected to oscillate at a low level. Consider closing positions [50][51][52] Black Metals - **Steel**: Raw material price drops drag down steel prices. Consider closing long - rebar short - iron - ore positions and continue to hold the strategy of narrowing the hot - rolled and rebar spread [52][53][56] - **Iron Ore**: Iron production is falling, and port inventory is increasing. The price is expected to oscillate weakly. Consider short - selling on rallies [58][59] - **Coking Coal**: Spot prices are falling, and the futures market is weak. Consider short - term short positions and a long - coke short - coking - coal arbitrage [60][64] - **Coke**: The first round of price cuts has been implemented, and there is an expectation of further cuts. Consider short - term short positions and a long - coke short - coking - coal arbitrage [65][67][68] Agricultural Products - **Meal**: The USDA report is lackluster, and the domestic supply is abundant. The price is expected to be weak. Pay attention to domestic procurement trends [69][70][71] - **Pig**: Spot prices are stabilizing, and the futures market may be slightly strong. However, the overall supply pattern remains unchanged [72][73][74] - **Corn**: Supply is increasing, and the price is weak. Participate in the short - term and pay attention to shipment continuity [75][76] - **Sugar**: The international raw sugar price is bearish, and the domestic price is expected to oscillate weakly. Observe the market [77][78] - **Cotton**: The international cotton price is oscillating at the bottom, and the domestic price is expected to oscillate within a range [79][80] - **Egg**: Supply is in excess, and demand is weak. The price is expected to oscillate weakly, but the downside is limited [83] - **Oil**: Palm oil and soybean oil prices are affected by various factors and are expected to oscillate. Pay attention to Indian procurement and MPOB reports [84][85] - **Jujube**: Supply pressure exists, and the price is expected to oscillate at a low level. Pay attention to downstream sales [87] - **Apple**: The trading volume is slow, and the price is stable. Observe the market [88] Energy and Chemicals - **PX**: Supply may shrink in the medium - term, and demand is seasonally weak. It is expected to oscillate in the range of 6,600 - 7,000 yuan/ton [89][90] - **PTA**: Supply - demand is expected to be weak in the medium - term, and the price is expected to oscillate weakly. Consider a short - term oscillation range of 4,500 - 4,800 yuan/ton and a TA5 - 9 low - level positive spread [91][92][93] - **Short - Fiber**: Supply - demand is expected to be weak, and processing fees are expected to be compressed. Follow the PTA strategy and consider compressing processing fees on rallies [94] - **Bottle Chip**: Supply is expected to increase in December, and demand is weak. The price is expected to follow the cost and compress processing fees. Consider a short - term strategy of compressing processing fees [96][97] - **Ethylene Glycol**: Port inventory is increasing, but domestic production cuts are increasing. It is expected to oscillate at a low level. Consider closing the EG1 - 5 reverse spread [98] - **Pure Benzene**: Supply is expected to be stable, and demand support is limited. It may follow oil prices and styrene fluctuations. Pay attention to domestic device changes [99][100] - **Styrene**: Supply - demand is in a tight balance, with limited upside. It is expected to be weak in the short - term. Pay attention to device changes and actual export transactions [101][102] - **LLDPE**: The market sentiment is pessimistic. Observe the inventory and basis [103] - **PP**: Supply is expected to increase, and the 01 contract has pressure. Pay attention to PDH profit expansion [104] - **Methanol**: The basis is strong, and trading is okay. Consider reducing the 05MTO position [104] - **Caustic Soda**: Supply - demand has pressure, and prices are expected to be weak. Hold short positions [105][106] - **PVC**: Supply exceeds demand, and prices are expected to be weak at the bottom [108] - **Soda Ash**: Production is high, and supply is in excess. Hold short positions [109][110] - **Glass**: Spot prices are weakening, and the market has pressure. Treat it bearishly [110][111] - **Natural Rubber**: Pay attention to the geopolitical conflict between Thailand and Cambodia. The price is expected to oscillate [112][113] - **Synthetic Rubber**: Supply in the upstream and mid - stream is abundant, and the price is expected to face pressure. Consider short - selling on rallies [114][116]

投资咨询业务资格：证监许可【2012】669号 股市仍需等待，债市⻓端情绪低迷 股指期货：双重因素提振市场，但持续进攻仍需等待 股指期权：期权备兑增厚 国债期货：国债⻓端情绪持续低迷 股指期货方面，双重因素提振市场，但持续进攻仍需等待。周一沪指 高开回升，重回3900点上方，TMT、券商领涨。日内乐观情绪受到两重因 素提振：一是上周五金监总局下调保险公司投资沪深300、科创板等标的 的风险因子，释放大盘股中期潜在增量资金；二是午后发布12月政治局会 议公告，定调积极有为，紧抓质效落实，结构性方向关注内需和科技创 新，政策偏暖支持、稳定发力，强化股市中期稳健上行趋势。同时也需注 意，"春躁"进攻时点仍需等待，年末资金风险尚未完全释放，一是大规 模限售解禁集中，二是股市整体缩量，三是下旬日本央行即将加息，市场 担忧日元套息交易平仓影响权益产品流动性。从历年春躁经验来看，元旦 之后机会的持续性更强，操作上，我们看长做多，短期关注涨价链及高股 息。 股指期权方面，期权备兑增厚。昨日权益市场放量上涨，沪指单日收 涨0.54%，科创50指数涨幅1.86%。期权方面，由于上周五期权市场流动性 已于周内放量提升，期权交投热情 ...

1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoint of the Report - For stock index options, with the upward movement and decreasing volatility, it is advisable to consider constructing a bull call spread strategy when implied volatility is at a low level [2] 3. Summary According to Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, etc. showed increases. For example, the Shanghai - Shenzhen 300 Index closed at 4621.75, up 37.22 points, with a trading volume of 199.62 billion hands, an increase of 2.82 billion hands. The CSI 1000 Index closed at 7423.05, up 80.55 points, with a trading volume of 240.92 billion hands, an increase of 25.19 billion hands. Some ETFs also had price increases, such as the Shanghai - Shenzhen 300 ETF (Huatai - Bairui) which closed at 4.732, up 0.034 [3] - **Option Market Statistics**: The trading volume of some options increased, like the Shanghai - Shenzhen 300 Index option with a trading volume of 139193, an increase of 13838, and an open interest of 188259, an increase of 3838. The VL - PCR and OI - PCR of different options varied, for instance, the VL - PCR of the Shanghai - Shenzhen 300 Index option was 62.29% and the OI - PCR was 80.47% [3] 3.2 Option Volatility Statistics - **Near - month Options**: The ATM - IV of different options had different changes. For example, the ATM - IV of the Shanghai - Shenzhen 300 Index option was 11.94%, a decrease of 0.23%, and its 10 - day HV was 9.02%, a decrease of 0.26% [6] - **Next - month Options**: The ATM - IV of the Shanghai - Shenzhen 300 Index option in the next - month was 14.85%, an increase of 0.50%, and its 10 - day HV was 14.26%, an increase of 0.11% [6] 3.3 Option Index Data Statistics - Not provided in the report 3.4 Analysis of Different Option Types - For each type of option (e.g., Shanghai 50 Index option, Shanghai - Shenzhen 300 Index option, etc.), there are corresponding analysis charts including full - contract PCR, main - contract skewness trend, volatility cone, and volatility term structure [10][14]