Core Viewpoint - The recent volatility in global financial markets, highlighted by the Cboe Volatility Index (VIX), has not exhibited the extreme pricing anomalies seen in previous market downturns, indicating a more stable market response to risk events like tariff announcements [1][2][3]. Group 1: Market Reactions and VIX Behavior - The VIX index spiked to 60 points but followed a similar trajectory to the S&P 500 index, contrasting with the extreme pricing seen in August [1][3]. - Following a tweet from Trump indicating a rational shift in tariff policy, global markets experienced a significant rebound, termed a "miracle day" for U.S. stocks [1]. - Investors managed risks during tariff-induced market turmoil by cashing out existing hedges rather than panic buying new protective positions, reflecting a more mature market behavior [2][8]. Group 2: Structural Market Dynamics - The widening bid-ask spreads in the market have increased to about 3-4 times the normal levels, indicating ongoing uncertainty despite the VIX's record drop following tariff news [2][13]. - The VIX remains approximately 20 points above its one-year average, suggesting that the market anticipates prolonged volatility and deeper risks related to global trade conflicts [2][10]. - The current market dynamics show that the VIX's pricing trend is healthy and not driven by extreme derivative positions, indicating a structural resilience in the market [7][8]. Group 3: Future Market Outlook - Analysts warn that the current volatility may become the new normal, with potential for further declines unless significant macroeconomic interventions occur [14]. - The market's response to recent tariff announcements suggests that traders are better prepared for volatility, which may lead to more stable pricing in the future [8][10].

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[44][45] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to April 11, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining maturity is less than 2 days, then close the position at the closing price and roll over to the next contract[45] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[45] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to April 11, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts daily and select the contract with the smallest discount. Hold the selected contract for 8 trading days or until the remaining maturity is less than 2 days before reselecting[46] - **Assumptions**: No transaction fees, impact costs, or indivisibility of futures contracts are considered[46] --- Backtesting Results of Models 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.08% (monthly), -1.71% (quarterly)[48] - Volatility: 3.98% (monthly), 4.89% (quarterly)[48] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9449 (monthly), 0.9544 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - YTD Return (2025): -0.97% (monthly), 0.04% (quarterly)[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.01% (monthly), 1.06% (quarterly)[53] - Volatility: 3.12% (monthly), 3.46% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0275 (monthly), 1.0288 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - YTD Return (2025): 0.42% (monthly), 0.89% (quarterly)[53] - **IH (SSE 50 Futures)**: - Annualized Return: 1.42% (monthly), 2.20% (quarterly)[57] - Volatility: 3.23% (monthly), 3.66% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0389 (monthly), 1.0604 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - YTD Return (2025): 0.80% (monthly), 1.10% (quarterly)[57] - **IM (CSI 1000 Futures)**: - Annualized Return: -4.95% (monthly), -3.96% (quarterly)[59] - Volatility: 4.39% (monthly), 5.48% (quarterly)[59] - Maximum Drawdown: -13.84% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8718 (monthly), 0.8965 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - YTD Return (2025): -1.53% (monthly), -0.34% (quarterly)[59] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -0.83%[48] - Volatility: 4.80%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9778[48] - Annual Turnover: 18.14[48] - YTD Return (2025): -0.09%[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.60%[53] - Volatility: 3.24%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0439[53] - Annual Turnover: 15.55[53] - YTD Return (2025): 1.03%[53] - **IH (SSE 50 Futures)**: - Annualized Return: 1.86%[57] - Volatility: 3.23%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0510[57] - Annual Turnover: 17.03[57] - YTD Return (2025): 0.98%[57] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.44%[59] - Volatility: 5.34%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.9098[59] - Annual Turnover: 16.66[59] - YTD Return (2025): -0.27%[59] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects market expectations of future volatility based on option pricing, with adjustments for the Chinese market[62] - **Factor Construction Process**: - Derived from option prices to measure expected volatility over different time horizons[62] - Includes term structures to capture volatility expectations for different maturities[62] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[62] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness in implied volatility across different strike prices, indicating market expectations of extreme events[68] - **Factor Construction Process**: - Captures the slope of implied volatility across strike prices[68] - Higher values indicate greater concern for tail risks[68] - **Factor Evaluation**: Useful for assessing market concerns about extreme downside risks[68] --- Backtesting Results of Factors 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 22.26[62] - CSI 300: 22.97[62] - CSI 500: 31.73[62] - CSI 1000: 32.42[62] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.46[69] - CSI 300: 101.54[69] - CSI 500: 101.32[69] - CSI 1000: 100.09[69]

Group 1 - The issuance of domestic CTA products significantly increased in Q1 2025, with 73 new products launched, showing a notable rise compared to previous quarters in 2024 [5][6] - The median annualized return for the reported CTA products was 12.40%, with a median Sharpe Ratio of 1.03 and a median maximum drawdown of -5.18%, indicating a healthy performance overall [6][7] - The overall profitability ratio of CTA products in Q1 was 66.0%, suggesting a majority of products generated positive returns [6] Group 2 - The expected returns for stock index CTA strategies are declining due to wide fluctuations in major indices, with small-cap indices performing relatively better [2][34] - A short-term downward price trend is anticipated, particularly in April when annual reports are disclosed, which historically leads to weaker market performance [2][34] - The uncertainty surrounding short-term tariff policies is likely to contribute to a predominantly volatile market in Q2 [2][34] Group 3 - The outlook for government bond CTA strategies is weak, as significant declines were observed in Q1, ending a two-year streak of quarterly gains [3][46] - The yield to maturity (YTM) for government bonds was at historical lows at the beginning of the year, indicating a potential for reversal in market conditions [3][46] - External factors, such as increased global tariff policies, may lead to rising inflation, further impacting the bond market negatively [3][46] Group 4 - The commodity market showed a strong upward trend in Q1, with inflationary signs emerging, although there was internal differentiation among sectors [4][55] - Agricultural products began to rebound, indicating potential for further price increases, while metals, despite leading gains, are at historically high price levels [4][55] - The overall positive trend in commodity prices is expected to enhance the profitability of commodity CTA strategies in Q2 [4][55]

Investment Rating - The report indicates a cautious investment sentiment in the A-share market, with a recommendation to adopt volatility strategies due to the current market conditions [2]. Core Insights - The A-share market is experiencing a fluctuating and differentiated pattern, with daily trading volume dropping below 2 trillion yuan. The CSI 300 index has fallen below its 60-day moving average, and the daily K-line indicator has turned gray, while the weekly K-line indicator has turned green after breaking below the 20-week moving average [2][12]. - The implied volatility of options has increased, indicating a rise in market uncertainty. The put-call ratio (PCR) has also risen, suggesting a growing interest in options trading [2][30]. - The report highlights that the underlying index has breached the strike price of the maximum open interest for put options, indicating bearish sentiment among investors [33]. Summary by Sections 1. CSI 300 Index Options (IO) - The CSI 300 index has broken below the 20-week moving average, with the weekly K-line indicator turning green. The index's daily K-line indicator has turned gray after falling below the 60-day moving average [9][12]. - The current trading volume for options has increased, with a stable PCR for open interest, while implied volatility has risen [27][30]. 2. CSI 1000 Index Options (MO) - The CSI 1000 index has also broken below its 250-week moving average, maintaining a bearish K-line indicator. The daily K-line indicator remains red after falling below the 10 and 850-day moving averages [36][39]. - The implied volatility for the CSI 1000 options has increased, reflecting heightened market uncertainty [43]. 3. SSE 50 Index Options (HO) - The SSE 50 index has fallen below its 10 and 850-day moving averages, with the daily K-line indicator remaining red. The weekly K-line indicator has turned green after a bearish trend [2][12]. - The trading volume for options has expanded, with an increase in implied volatility and a decrease in PCR for open interest [27][30].

Investment Rating - The report indicates a cautious outlook on the A-share market, suggesting a focus on trading opportunities post the Two Sessions [1]. Core Insights - The A-share market experienced a rebound after an initial decline, with the CSI 300 index facing resistance at the 850-day moving average, while the weekly indicators turned positive [2]. - The report highlights that the implied volatility of options has decreased, with a notable shift in the maximum open interest strike prices for both call and put options remaining stable [2][33]. - The report emphasizes the performance of the CSI 1000 index, which reached a new high for the year, with indicators showing a bullish trend [2][37]. Summary by Sections 1. CSI 300 Index Options (IO) - The CSI 300 index's weekly K-line chart shows a bullish trend, with the index closing above the 250-week moving average [9]. - The current month’s futures contract is trading at a discount to the underlying asset, while the next month’s contract shows a stable basis [19][22]. - The report notes a decrease in trading volume for options, but an increase in open interest, indicating a potential shift in market sentiment [27][30]. 2. CSI 1000 Index Options (MO) - The CSI 1000 index has maintained a bullish trend, with the weekly indicators remaining positive [35]. - The current month’s options pricing reflects a slight decline, with the maximum open interest for call options at 6600 and for put options at 6000, indicating market positioning [38][31]. - The implied volatility for the CSI 1000 options has shown fluctuations, initially decreasing before rising again [41].

Investment Rating - The report does not explicitly state an investment rating for the financial options industry Core Insights - The financial options market is experiencing an increase in trading volume and market sentiment adjustment, indicating a bullish outlook [2] - The total average daily trading volume for various options is reported at 646.90 million contracts, with a total average daily trading value of 573.97 billion yuan [2] - The report highlights a convergence of implied volatility and historical volatility for several options, suggesting a potential stabilization in market expectations [13][15][17][20][24][26][28][32][35][37][39] Summary by Sections 1. Options Market Trading Overview - The average daily trading volume for the Shanghai Stock Exchange 50 Index options is 2.99 million contracts, with a total trading value of 8.72 billion yuan [2] - The average daily trading volume for the CSI 1000 Index options is 23.42 million contracts, with a total trading value of 204.40 billion yuan [2] - The average daily trading volume for the CSI 300 Index options is 9.14 million contracts, with a total trading value of 42.65 billion yuan [2] - The Southbound 500 ETF options have the highest average daily trading volume at 123.04 million contracts, with a total trading value of 113.66 billion yuan [2] 2. Options Volatility Statistics - The implied volatility for the Shanghai Stock Exchange 50 Index options is reported at 13.48%, with a decrease of 1.27% [4] - The implied volatility for the CSI 1000 Index options is reported at 21.57%, with a decrease of 0.54% [15] - The implied volatility for the Southbound 500 ETF options is reported at 18.05%, with a decrease of 1.08% [26] - The implied volatility for the Huatai-PB 300 ETF options is reported at 13.77%, with a decrease of 0.93% [24] 3. Options Market Liquidity - The report indicates a significant increase in liquidity across various options, with the total open interest reaching 867.34 million contracts [2] - The total trading value for the options market has shown a consistent upward trend, reflecting increased investor participation [8][9] 4. Market Sentiment Indicators - The Put-Call Ratio (PCR) is utilized to gauge market sentiment, with fluctuations indicating shifts between bullish and bearish sentiments [40] - The PCR for the Shanghai Stock Exchange 50 Index options has shown a trend towards bullish sentiment in recent weeks [43] - The PCR for the CSI 1000 Index options has also indicated a similar trend, reflecting overall market optimism [43]