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 provides a positive outlook on the stock index options market, indicating a stable implied volatility and an overall positive bias structure [1]. Core Insights - The report highlights that the options market is experiencing fluctuations, with the implied volatility remaining steady. This suggests a potential for investment opportunities in the current market environment [1]. Summary by Sections Options Market Data Statistics - The report includes detailed statistics on various indices, such as the Shanghai Composite Index, CSI 300 Index, and others, showing closing prices, changes, and trading volumes. For instance, the CSI 300 Index closed at 4007.72 with a change of +10.94, while the trading volume was 140.21 million contracts, reflecting a decrease of 21.99 million contracts [2]. - The report also provides insights into the options market statistics, including trading volumes and open interest for different ETFs, such as the Huatai-PineBridge 300 ETF and the Southern 500 ETF, indicating significant trading activity [2]. Options Volatility Statistics - The report presents volatility statistics for various options, such as the ATM implied volatility for the CSI 1000 index options at 20.95%, with a slight decrease of 0.25% [4]. - It also details the skew and historical volatility changes, providing a comprehensive view of market sentiment and potential price movements [4]. Specific Index Options Analysis - The report analyzes specific index options, including the Shanghai 50 Index options, which show an ATM implied volatility of 15.95% and a historical volatility of 25.48% [4][7]. - The CSI 300 Index options are highlighted with an ATM implied volatility of 15.17%, indicating a stable market environment [11]. ETF Options Analysis - The report discusses various ETF options, such as the Huatai-PineBridge 300 ETF options, which have an ATM implied volatility of 15.73% and a trading volume of 884,964 contracts [22]. - The Southern 500 ETF options show a significant increase in trading volume, indicating heightened market interest [28]. Overall Market Sentiment - The report concludes with an analysis of market sentiment, suggesting that the current market conditions may present favorable investment opportunities, particularly in the options segment [1].

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 provides a positive outlook on the stock index options market, indicating a significant boost in market sentiment [2]. Core Insights - The report highlights a substantial increase in trading volumes and open interest across various stock index options, reflecting heightened market activity and investor interest [4][5]. - The volatility statistics for different index options suggest a mixed but generally stable outlook, with some options showing increased implied volatility, indicating potential for future price movements [5][6]. Summary by Sections Stock Index Options - The Shanghai Stock Exchange 50 Index option closed at 2740.51, with a trading volume of 106,706 and an open interest of 75,838, reflecting a 41.84% increase in volume [4]. - The CSI 300 Index option showed a trading volume of 229,347 and an open interest of 132,647, with a volume change of -1,970, indicating a 47.84% increase [4]. - The CSI 1000 Index option had a trading volume of 344,717 and an open interest of 33,040, with a significant volume increase of 75.27% [4]. Volatility Statistics - The ATM implied volatility for the SSE 50 Index option is reported at 18.54%, with a 4.80% increase, while the historical volatility shows a 15.32% increase [5]. - The CSI 300 Index option has an ATM implied volatility of 17.96%, with a 4.08% increase, and a historical volatility of 18.81% [5]. - The CSI 1000 Index option shows a higher ATM implied volatility of 22.23%, with a slight decrease of 0.36% [5]. ETF Options - The SSE 50 ETF option has an ATM implied volatility of 16.78%, with a 3.03% increase, and a historical volatility of 18.05% [5]. - The Huatai-PineBridge 300 ETF option shows an ATM implied volatility of 16.40%, with a 1.98% increase [5]. - The Southern 500 ETF option has a higher ATM implied volatility of 20.40%, with a 0.71% increase [5]. Market Trends - The report indicates a general upward trend in market sentiment, with various options experiencing increased trading volumes and open interest, suggesting a bullish outlook among investors [2][4]. - The volatility trends indicate that while some options are stabilizing, others are experiencing fluctuations that could present trading opportunities [5][6].

金 融 衍 生 品 研 究 2025 年 3 月 13 日 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 金融衍生品研究 | 表 2：期权指标数据统计 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 期权波动率统计 | | | | | | | VIX | V I X变动 | | (近月) | ATM-IV | IV变动 | 同期限HV | HV变动 | Skew | Skew变动 | | | | 上证50股指期权 | 13.73% | 0.25% | 12.48% | -0.28% | 5.97% | -3.16% | 16.30 | 0.007 | | 沪深300股指期权 | 13.88% | -0.06% | 11.03% | 0.33% | 5.12% | -2.04% | 16.95 | 0.133 | | 中证1000股指期权 | 22.59% | 0.45% | 18.66% | 5.37% | -5.55% | 1.98% | ...

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]