市场回归理性，静待节后契机 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 2025-12-30 股指期货：沪指险收九连阳，情绪回归理性。 股指期权：备兑防御为主。 国债期货：供给预期扰动。 股指期货方面，周一沪指冲高回落，尾盘收平，量能小幅萎缩。出现 四大情绪降温信号，1）ETF冲量暂告一段落，主要A500ETF产品的日总成 交额环比减少，日内收跌；2）市场热点快速缩圈，三市场共超3300只个 股下跌，仅商业航天产业链强势；3）IF、IC、IM持仓环比各减少1.2万 手、1.7万手、2万手，配合日内贴水走阔，或是上周五的投机追涨多单平 仓；4）贵金属商品连牛终止，铂钯期货跌停、白银大跌，联动拖累金属 股表现。增量资金回归理性，等待ETF冲量资金节后释放，预计年末难出 现系统性机会，保留多头仓位，等待元旦后的加仓机会，暂以高股息、涨 价链作为配置主线，大市值优于小市值。 股指期权方面，昨日权益市场震荡分化，沪指收涨0.04%。期权方 面，各个品种市场成交量整体呈现回落，同时日内期权隐含波动率跟随行 情变化，震荡幅度较为剧烈，但整体走势偏强。推测当前方向趋势型交易 的投资者占比 ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - On December 26, the broader market showed a volatile trend with increased trading volume. The Shanghai Composite Index recorded an eight - consecutive - day gain after two intraday dips were recovered. The commercial space concept attracted capital inflows in the afternoon, while other sectors faced significant long - short divergence. The short - term sentiment deviated from the gain - loss ratio, with nearly 3,400 stocks falling but nearly 100 stocks hitting the daily limit. The electrolyte, lithium ore, and industrial metal concepts led the gains, while the lithography machine, optical chip, and OCS concepts led the losses [5] 3. Summary by Relevant Catalogs 3.1 Market Review - Index Performance - The closing price of the Shanghai 50 Index was 3,045.4036 with a turnover of 34.1 billion yuan, a trading volume of 0.41 billion, and a daily change of 0.32%. The closing price of the CSI 300 Index was 4,604.27 with a turnover of 175.4 billion yuan, a trading volume of 0.35 billion, and a daily change of 266.26. The closing price of the CSI 1000 Index was 4,736.66, and its specific turnover and trading volume were not clearly stated [3] 3.2 CFFEX Stock Index Options Trading Situation - For the Shanghai 50 Index options, the trading volume of call options was 3.54 million contracts, and that of put options was 2.47 million contracts. The open interest of call options was 5.10 million contracts, and that of put options was 3.03 million contracts. The trading volume PCR was 0.68, and the open interest PCR was 1.07. For the CSI 300 Index options, the trading volume of call options was 13.58 million contracts, and that of put options was 9.03 million contracts. The open interest of call options was 4.55 million contracts, and that of put options was 0.50 million contracts. The trading volume PCR was 0.71, and the open interest PCR was 9.42. For the CSI 1000 Index options, the trading volume of call options was 32.12 million contracts, and that of put options was 19.53 million contracts. The open interest of call options was 27.04 million contracts, and that of put options was 12.58 million contracts. The trading volume PCR was 0.64, and the open interest PCR was 0.98 [3] 3.3 Volatility Analysis - **Shanghai 50 Volatility Analysis**: The historical volatility chart and volatility cone of the Shanghai 50 Index were presented, including data such as the 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, as well as the minimum, 10%, 30%, 60%, 90%, and maximum values. The volatility smile curve and the next - month at - the - money implied volatility were also shown [3][4] - **CSI 300 Volatility Analysis**: Similar to the Shanghai 50 Index, the historical volatility chart, volatility cone, volatility smile curve, and the next - month at - the - money implied volatility of the CSI 300 Index were provided [4] - **CSI 1000 Volatility Analysis**: The report included the historical volatility chart, volatility cone, volatility smile curve, and the next - month at - the - money implied volatility of the CSI 1000 Index [4]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The implied volatility has risen, and the market has seen a significant increase [1] Summary by Relevant Catalogs Option Market Data - Financial Options - 50ETF options had an average daily trading volume of 771,000 contracts this week, a -0.47% decrease from the previous week. The put - call trading ratio was 0.88, higher than the historical average, and the put - call holding ratio last week was 1.01, also higher than the historical average [1] - Huatai - Baorui 300ETF options had an average daily trading volume of 952,900 contracts and an average daily open interest of 1,334,700 contracts [1] - Southern China CSI 500ETF options had an average daily trading volume of 1,366,300 contracts and an average daily open interest of 1,283,900 contracts [1] - Huaxia SSE STAR 50ETF options had an average daily trading volume of 1,210,800 contracts and an average daily open interest of 2,298,000 contracts [1] - Shenzhen 100ETF options had an average daily trading volume of 61,100 contracts and an average daily open interest of 117,100 contracts [1] - GEM ETF options had an average daily trading volume of 1,774,600 contracts and an average daily open interest of 1,807,500 contracts [1] - CSI 300 index options had an average daily trading volume of 91,900 lots and an average daily open interest of 197,700 lots [1] - CSI 1000 index options had an average daily trading volume of 226,500 lots and an average daily open interest of 332,900 lots [1] Option Market Data - Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 15.33%, a 0.23% increase from a week ago; the implied volatility of 50ETF options was 12.47%, a 0.14% decrease from a week ago; the implied volatility of CSI 1000 index options was 18.88%, a 1.47% increase from a week ago [2] - In commodity options, the implied volatility of crude oil options was 15.53%, a 0.12% increase from a week ago; the implied volatility of lithium carbonate options was 52.67%, an 11.30% increase from a week ago; the implied volatility of rebar options was 25.43%, a 3.86% increase from a week ago; the implied volatility of soda ash options was 24.79%, a 1.26% increase from a week ago; the implied volatility of gold options was 25.43%, a 3.86% increase from a week ago; the implied volatility of silver options was 57.34%, a 13.60% increase from a week ago; the implied volatility of palm oil options was 16.62%, a -0.17% decrease from a week ago; the implied volatility of soybean oil options was 10.43%, a -0.52% decrease from a week ago; the implied volatility of rapeseed oil options was 15.26%, a 0.33% increase from a week ago; the implied volatility of rubber options was 18.83%, a 2.62% increase from a week ago [2]

Group 1 - The core difference between futures and forward contracts lies in their trading venues and standardization levels, with futures being traded on centralized exchanges with standardized terms, while forwards are privately negotiated with low standardization [1] - Futures contracts utilize a daily settlement mechanism, where gains and losses are calculated at the end of each trading day, requiring margin adjustments, whereas forward contracts settle all gains and losses at maturity without intermediate settlements [1] - The risk management systems differ significantly, as futures involve a clearinghouse that mitigates counterparty risk through margin requirements and circuit breakers, while forwards rely solely on the creditworthiness of the parties involved, leading to higher default risk [2] Group 2 - Liquidity characteristics vary, with futures offering high liquidity due to standardized terms and centralized trading, allowing participants to exit positions easily, while forwards have lower liquidity due to non-standardized terms and decentralized trading [2] - Regulatory frameworks also differ, with futures markets being subject to strict financial regulations and oversight, while forward contracts are primarily governed by civil law and self-regulatory rules, resulting in less direct regulatory intervention [2]

隐含波动率全天震荡下行，最终较前一交易日走低。截至12月23日，上证50ETF当月合约平值期权隐含 波动率为10.45%。历史波动率低位运行，上证50ETF的30日历史波动率为10.59%，沪深300指数的30日 历史波动率为13.48%。隐含波动率与历史波动率差值有所收缩。 各大指数认购、认沽期权多在虚值和浅虚值部位增仓，且增持力度相当，市场交易者对标的资产价格在 短期内出现显著波动的预期增强。因此，做空波动率的组合建议逢低减持。 沪深300期权整体成交量回落，而持仓量回升。深交所沪深300ETF期权持仓量增加20.93%，上交所沪深 300ETF期权持仓量增加12.35%，中金所沪深300股指期权持仓量增加4.42%。与此同时，深交所沪深 300ETF期权成交量减少21.67%，上交所沪深300ETF期权成交量减少0.28%，中金所沪深300股指期权成 交量则增加3.19%。从交投较为活跃的上交所沪深300ETF期权持仓变动情况来看，1月合约总计增持 12.27万张。其中，认购增持6.17万张，认沽增持6.10万张。认购、认沽在浅虚值部位均大幅增持，力度 相当，且价位宽泛，预计沪深300指数短期宽幅波动。 ...

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 2025-12-24 股市热点退潮，债市预期回暖 国债期货方面，昨日主力合约全线上涨，债市情绪整体回暖，且长短 端品种均走强，主要与宽货币预期、政府债供给预期有关。一方面，近期 资金面持续偏松，而基本面数据有所走弱，市场对明年年初央行降准降息 的预期有所升温；另一方面，午后，市场或预期明年国债发行期限可能更 偏均衡，叠加股市冲高回落，长端国债期货涨势扩大。受上述因素影响， 债市多头情绪升温，期货端多头增仓动力整体较强，T、TF主力合约单日 持仓量增加超1万手，且期货表现好于现券，主力合约基差有所回落。后 续来看，短期内资金面相对宽松，继续利好短端；而长端在宽货币预期以 及供给预期等影响下可能偏震荡。 风险因子：1）增量资金不足；2）期权流动性超预期；3）供给加速 超预期；4）货币宽松不及预期；5）政策超预期。 ⾦融衍⽣品团队 股指期货：前期热点出现退潮 股指期权：隐含波动率仍处于下⾏通道 国债期货：宽货币及供给预期影响下，债市情绪全⾯回暖 股指期货方面，周二沪指在3900点上方震荡收平，量能维持在1.9万 亿元，热点出现退潮切换 ...

以上内容为证券之星据公开信息整理，由AI算法生成（网信算备310104345710301240019号），不构成 投资建议。 《外汇衍生品套期保值交易业务管理制度》 《爱迪特（秦皇岛）科技股份有限公司关于开展外汇套期保值业务的可行性分析报告》 《中信建投证券股份有限公司关于爱迪特（秦皇岛）科技股份有限公司开展外汇套期保值业务的 核查意见》 《关于开展外汇套期保值业务的公告》 《第四届董事会第二次会议决议公告》 截至2025年12月23日收盘，爱迪特（301580）报收于43.23元，较前一交易日上涨0.02%，最新总市值为 46.07亿元。该股当日开盘43.3元，最高43.34元，最低42.93元，成交额达2267.98万元，换手率为 0.73%。 公司近日发布公告称，为规避外汇市场风险，拟开展外汇套期保值业务，交易品种包括远期结售汇、外 汇掉期、外汇期权等，交易对手为具有资质的银行等金融机构。保证金及权利金上限不超过人民币 1,500万元或等值外币，任一交易日持有的最高合约价值不超过人民币10,000万元或等值外币，期限自董 事会审议通过之日起12个月内有效，可循环使用。资金来源为自有资金，不涉及募集资金。 ...

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 2025-12-23 股市多空㬵着，债市⻓端偏弱 股指期货：空头因素减弱，多头热点分散 股指期权：隐波低位下探 国债期货：⻓端情绪仍偏弱 股指期货⽅⾯，周一沪指高开回升，站上3900点，小幅放量至1.88万 亿元。目前处于多空因素均难以证伪的阶段，缩量博弈氛围中，仍建议谨 慎配置。空头因素有所缓和，1）上周五日本央行加息落地，日元多头兑 现、汇率趋贬，并未出现套息交易逆转的风险；2）IC、IM贴水趋于收 敛，且持仓量减少，空头止盈主导，或受到量化策略年末调仓赎回的推 动。多头热点出现，但覆盖范围有限，海南自贸区封关、美光财报超预 期、金价新高等事件催化，海南、存储芯片、贵金属板块活跃，通信、电 子、有色金属行业领涨，消费也继续受益于季节性强势。展望后市，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，大市值优于小市值。 股指期权⽅⾯，周一全品种市场流动性有所下降，结构上科创ETF期 权在板块行情带动下成交额明显回升。海外日本加息落 ...

华尔街正为2026年美股市场的持续动荡做准备，投资者在对人工智能反弹的错失恐惧症（FOMO）与资 产泡沫即将破裂的焦虑之间反复摇摆。 策略师们指出，过去18个月市场呈现出大规模抛售与快速反转并存的特征，这一趋势极有可能在2026年 延续。随着AI技术革命经历繁荣与萧条的循环，处于投资热潮中心的科技巨头将继续对市场施加巨大 的影响力，其股价的大幅波动预计将成为常态。 除了宏观叙事，技术因素也在重塑期权定价。 花旗集团英国、欧洲、中东及非洲机构结构负责人Antoine Porcheret预计，2026年波动率曲线将加剧陡 峭化。这主要是由于投资流动的失衡：在曲线的短端，量化投资策略（QIS）和波动率卖出策略的显著 增长提供了大量供应，抑制了短期波动率；而在长端，对冲资金流将使波动率保持在高位。 尽管2025年科技股的强劲表现与其他板块的疲软相互抵消，这种各板块间的背离在一定程度上抑制了市 场的实际波动率，但投资者仍需警惕芯片股下跌可能引发的风险扩散。一旦宏观驱动因素重新占据主导 地位，此前被压抑的波动性可能导致Cboe波动率指数（VIX）等指标急剧飙升。 据美国银行的调查显示，尽管股价涨幅令基金经理将泡沫担忧视为 ...

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda derivatives research report series. Adjustments are made to the settings for continuous hedging[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[45] - **Spot Side**: Holding the total return index of the corresponding benchmark index[45] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[45] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[45] - **Rebalancing Rules**: - Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days - Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects contracts with the smallest annualized basis discount for hedging, as described in the Cinda derivatives research report series[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to December 19, 2025[46] - **Spot Side**: Holding the total return index of the corresponding benchmark index[46] - **Futures Side**: - 70% of the funds are allocated to the spot side - The remaining 30% is used for shorting futures contracts of the same nominal principal (e.g., CSI 500, CSI 300, SSE 50, CSI 1000 index futures)[46] - After each rebalancing, the quantities of the spot and futures sides are recalculated based on the product's net value[46] - **Rebalancing Rules**: - Calculate the annualized basis for all tradable futures contracts on the day of rebalancing - Select the contract with the smallest basis discount for opening a position - Hold the same contract for eight trading days or until the remaining time to maturity is less than eight days, then select a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **CSI 500 Index Futures**: - Annualized Return: -3.42% (monthly), -2.58% (quarterly)[48] - Volatility: 3.79% (monthly), 4.69% (quarterly)[48] - Maximum Drawdown: -11.27% (monthly), -8.74% (quarterly)[48] - Net Value: 0.8886 (monthly), 0.9149 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -6.60% (monthly), -3.91% (quarterly)[48] - **CSI 300 Index Futures**: - Annualized Return: 0.33% (monthly), 0.69% (quarterly)[53] - Volatility: 2.89% (monthly), 3.23% (quarterly)[53] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[53] - Net Value: 1.0112 (monthly), 1.0236 (quarterly)[53] - Annual Turnover: 12 (monthly), 4 (quarterly)[53] - 2025 YTD Return: -1.21% (monthly), 0.37% (quarterly)[53] - **SSE 50 Index Futures**: - Annualized Return: 1.02% (monthly), 1.95% (quarterly)[57] - Volatility: 2.96% (monthly), 3.36% (quarterly)[57] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[57] - Net Value: 1.0350 (monthly), 1.0679 (quarterly)[57] - Annual Turnover: 12 (monthly), 4 (quarterly)[57] - 2025 YTD Return: 0.42% (monthly), 1.85% (quarterly)[57] - **CSI 1000 Index Futures**: - Annualized Return: -6.48% (monthly), -4.82% (quarterly)[61] - Volatility: 4.73% (monthly), 5.75% (quarterly)[61] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[61] - Net Value: 0.8319 (monthly), 0.8498 (quarterly)[61] - Annual Turnover: 12 (monthly), 4 (quarterly)[61] - 2025 YTD Return: -12.98% (monthly), -7.87% (quarterly)[61] 2. Minimum Basis Strategy - **CSI 500 Index Futures**: - Annualized Return: -1.93%[48] - Volatility: 4.49%[48] - Maximum Drawdown: -8.75%[48] - Net Value: 0.9361[48] - Annual Turnover: 16.78[48] - 2025 YTD Return: -4.27%[48] - **CSI 300 Index Futures**: - Annualized Return: 1.09%[53] - Volatility: 3.00%[53] - Maximum Drawdown: -4.06%[53] - Net Value: 1.0376[53] - Annual Turnover: 15.01[53] - 2025 YTD Return: 0.40%[53] - **SSE 50 Index Futures**: - Annualized Return: 1.58%[57] - Volatility: 2.97%[57] - Maximum Drawdown: -3.91%[57] - Net Value: 1.0548[57] - Annual Turnover: 15.60[57] - 2025 YTD Return: 1.36%[57] - **CSI 1000 Index Futures**: - Annualized Return: -4.42%[61] - Volatility: 5.50%[61] - Maximum Drawdown: -11.11%[61] - Net Value: 0.8693[61] - Annual Turnover: 15.73[61] - 2025 YTD Return: -8.19%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons[63] - **Factor Construction Process**: - Based on overseas methodologies, adjusted for China's on-exchange options market[63] - Captures implied volatility from options pricing to reflect market sentiment[63] - **Factor Values** (as of December 19, 2025): - SSE 50 VIX: 15.85 - CSI 300 VIX: 17.10 - CSI 500 VIX: 26.35 - CSI 1000 VIX: 19.91[63] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market concerns about tail risks[70] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves for options with different strike prices[70] - Higher SKEW values indicate increased demand for out-of-the-money options, reflecting heightened tail risk concerns[70] - **Factor Values** (as of December 19, 2025): - SSE 50 SKEW: 101.20 - CSI 300 SKEW: 101.08 - CSI 500 SKEW: 102.87 - CSI 1000 SKE