期货研究院 股指期货日度策略报告 Stock Index Futures Strategy Daily Report 金融衍生品研究中心 | 作者： | 李彦森 | | --- | --- | | 从业资格证号： | F3050205 | | 投资咨询证号： | Z0013871 | | 联系方式： | 010-68518392 | 投资咨询业务资格：京证监许可【2012】75号 成文时间：2025年05月13日星期二 更多精彩内容请关注方正中期官方微信 摘要 【行情复盘】 周一股指上行步伐有所加快，沪指收涨0.82%。期指主力合约也全 面走升。成交持仓方面，四个品种成交持仓均上升，市场情绪有所 好转。 【重要资讯】 行业来看，31个一级行业大多数上涨，行业涨跌差异上升，结合行 业在指数中所占权重看，非银金融对300和50带动最强，电力设备 带动300，国防军工、电子带动500和1000，医药生物是四大指数 主要拖累。资金方面，主要指数资金全面流入。消息面上看，央行 今日公开市场操作净投放流动性430亿元，短端资金成本小幅下降 。消息显示，中美关税谈判取得突破性进展，双方联合声明确认将 4月2日后增量关税降至 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market shows an upward trend, with different industries contributing to the gains of various indices. The subsequent basis trend is affected by complex factors, and both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts for IH, IF, IC, and IM. Different arbitrage and timing strategies of stock index futures have different performances last week [3][4]. - For treasury bond futures, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. The multi - factor timing strategy signal is bullish, the inter - variety arbitrage strategy signal of TS - T is neutral and T - TL is bearish, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. - In the commodity market, various style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking 3.1.1 Stock Index Futures Market Review - The market shows an upward trend. Banks and food and beverage contribute to the gains of the SSE 50 Index, banks and power equipment contribute to the gains of the CSI 300 Index, national defense and military industry and computer contribute to the gains of the CSI 500 Index, and power equipment and national defense and military industry contribute to the gains of the CSI 1000 Index [3]. - The trading volume of each variety increases month - on - month. The basis of IF and IH strengthens, while that of IC and IM weakens, with IC and IM maintaining a deep discount [4]. 3.1.2 Stock Index Futures Basis Strategy Recommendation - IH and IF are prone to provide trading opportunities of going long on the near - term contracts and short on the far - term contracts during the ex - dividend season. IC and IM maintain a discount due to the dominant roll - over of neutral strategies. Both the roll - over strategy and the inter - period strategy recommend going long on the near - term contracts and short on the far - term contracts [4]. 3.1.3 Stock Index Futures Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the annualized basis rate, cash - and - carry, and momentum strategies gain 1.1%, 1.0%, and 0.8% respectively last week [5]. - The inter - variety arbitrage timing strategy's signal turns to going long on small - cap and short on large - cap, and the synthetic strategy has a drawdown of 0.1% last week. The latest signal recommends a 100% position to go long on IC and short on IF, and a 100% position to go long on IM and short on IF [6]. - The inter - variety arbitrage cross - section strategy gains 0.04% last week [7]. 3.1.4 Stock Index Futures Timing Strategy Tracking - The daily timing strategy's different models have different performances last week. The single - factor equal - weighted, OLS, and XGB models lose 1.5%, 1.3%, and gain 1.7% respectively. The latest signal of the OLS model is bearish on each index, and the XGB model is bullish on the CSI 500/CSI 1000 and bearish on the SSE 50/CSI 300 [8]. 3.2 Treasury Bond Futures Quantitative Strategy 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period, the inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance. - In the futures timing strategy, the net value of the multi - factor timing strategy fluctuates this week, and the signal is bullish. - In the futures inter - variety arbitrage strategy, the latest signal of the TS - T strategy is neutral, and the T - TL strategy is bearish. - In the credit bond neutral strategy, the hedging pressure index of treasury bond futures based on far - term contracts rebounds, and the current credit bond duration rotation plus hedging strategy holds the 3 - 5 - year index and conducts treasury bond futures hedging [56]. 3.2.2 Key Points of Treasury Bond Futures Basis and Inter - Period Spread - The inter - period spreads of different treasury bond futures varieties show obvious differentiation this week. TS rebounds significantly, TL weakens significantly, and T and TF fluctuate at a low level. The inter - period strategy maintains the previous view, suggesting that short - hedging positions of treasury bond futures start to arrange the roll - over in advance [57]. 3.3 Commodity CTA Factor and Tracking Strategy Performance 3.3.1 Commodity Factor Performance - Affected by the combination of macro policies and external events, the domestic commodity market shows mixed performance. Different style factors of commodities perform differently. The term structure and basis factors rebound slightly, the warehouse receipt factor falls, and the volume - price and value factors rise more. The CTA strategy may fluctuate in the short - term, but the long - term prospects of the CTA's volume - price trend and spot - futures structure factors are promising [76][79]. 3.3.2 Tracking Strategy Performance - Different tracking strategies have different performances. For example, the CWFT strategy has an annualized return of 9.8%, a Sharpe ratio of 1.64, and a Calmar ratio of 1.11, with a return of 0.34% last week and 1.08% this year [77].

Core Insights - The article discusses the development and application of options strategies, particularly focusing on risk management and income enhancement through options trading [1][9]. Options Hedging Strategies - In a volatile market, strategies that hedge against market beta risk while capturing alpha are increasingly common, utilizing derivatives like stock index futures for hedging [2]. - The introduction of options has led to more managers using them for risk management, as options provide economic compensation during losses, unlike futures [2][3]. - Protective put strategies allow investors to profit from market beta while limiting losses during downturns, although they incur time decay costs in sideways markets [3][5]. Performance Comparison - Backtesting over four years shows that protective put strategies exhibit greater volatility compared to futures hedging strategies, but can outperform during significant market upswings [5][6]. - The performance of different hedging strategies, including futures and options, indicates that the collar strategy (buying puts and selling calls) can provide a smoother return profile compared to outright futures [6][7]. Income Enhancement Strategies - Income enhancement strategies, such as covered call writing, involve holding long positions while selling call options to generate premium income [9][10]. - The covered call strategy is particularly effective in flat or slightly bullish markets, allowing investors to lock in selling prices while generating additional income [10][11]. - Data shows that professional investors increasingly focus on income enhancement strategies, which accounted for 57.8% of trading purposes in 2023 [13].

Group 1 - The core viewpoint of the news is that the Chinese government has introduced significant monetary policies, including interest rate cuts and mortgage rate reductions, which have positively impacted market sentiment and led to a substantial increase in A-share trading volumes [1][2]. - From September 24 to October 8, the major indices experienced remarkable gains, with the Shanghai 50, CSI 300, CSI 500, and CSI 1000 rising by 27.20%, 32.47%, 36.95%, and 38.77% respectively [1]. - The trading volume increased significantly, with average daily trading amounts for the Shanghai 50, CSI 300, CSI 500, and CSI 1000 reaching 156.27 billion, 520.32 billion, 264.87 billion, and 307.18 billion respectively, indicating a high turnover rate [1]. Group 2 - The current market rally shares characteristics with previous policy-driven surges, such as the "5·19 rally" in 1999 and similar events in late 2008, late 2014, and early 2019, suggesting a potential for a subsequent consolidation phase after the initial surge [2]. - Following the rally, the market experienced profit-taking on October 9, with a decrease in trading volume and increased divergence between bulls and bears, indicating a shift towards a consolidation phase [2]. - For investors holding index or ETF positions, employing a collar strategy is recommended to manage downside risk during this volatile period [2]. Group 3 - The collar strategy involves holding the underlying asset, buying put options for downside protection, and selling call options to offset the cost of the puts, making it suitable for investors with a bullish long-term outlook [3]. - When selecting put options for the collar strategy, shallow out-of-the-money puts are preferred for minor declines, while deep out-of-the-money puts are chosen for potential significant downturns, allowing for greater coverage against losses [3]. - The choice of call options in the collar strategy should consider the potential upside, typically opting for higher out-of-the-money options to limit profit caps while managing risk [3]. Group 4 - An example of the collar strategy using the Shanghai 50 ETF illustrates its effectiveness; an investor bought a shallow out-of-the-money put option and sold a high strike call option, resulting in a return of 1.34% with a maximum drawdown of 0.44%, compared to a -3.16% return and 8.93% drawdown for the underlying ETF [4][5]. - The collar strategy demonstrated superior performance in terms of risk management and return compared to simply holding the underlying asset, especially in a volatile market environment [5].

2024年私募基金期权策略类产品净值出现大幅波动，期权策略指数创近几年最大回撤。我们以私募排排网中期权 策略指数为例进行分析，该指数主要通过选取市面上具有代表性的私募基金期权策略产品加权而得，基本能代表整个 私募基金期权策略类产品市场平均表现。 2017年至今，期权策略产品指数累计收益率85.2%，最大回撤6.16%，但近两年收益有明显放缓。其中，2024年 期权策略指数累计收益率仅有2.25%，且2月2日当周创出历史最大回撤。主要原因在于该周A股市场的大幅回落导致波 动率急剧放大，而期权策略产品一般以做空波动率、收取时间价值等卖方策略为主，波动率的快速放大对该类策略极 其不利。 备兑策略构建：持有标的指数现货，同时卖出虚值2%看涨期权，持有到期后自动换月，其中手续费加滑点取0.55 点/手。 图为2017年以来私募基金期权策略指数净值及动态回撤 期权PCR是Put-Call-Ratio的简称，PCR是指看跌期权与看涨期权之间的比值。一般而言，我们常见的PCR指标有 两个：成交量的PCR值和持仓量的PCR值。成交量PCR值，它衡量了过去某段时间不同类型合约的交易活跃程度；持 仓量PCR值，它则代表了过去某段时 ...

Core Viewpoint - The article discusses the evolution and application of options as a risk management tool in industries, highlighting their advantages over traditional futures contracts in terms of flexibility and cost efficiency [1][10]. Group 1: Understanding Options - Options differ from futures as they provide a right rather than an obligation, allowing for more strategic risk management [2][3]. - Buying call options acts as a price insurance for raw materials, enabling businesses to lock in costs while retaining the ability to benefit from price drops [3][4]. - The flexibility of options allows companies to manage risks without the need for margin payments, thus improving capital efficiency [4][9]. Group 2: Strategies for Risk Management - Companies can adopt various strategies such as buying out-of-the-money call options to reduce costs while managing potential price increases [5][6]. - Selling options can generate income through premiums, especially in stable market conditions, but it does not provide full protection against price declines [7][8]. - The combination of buying and selling options can enhance returns while managing risks effectively, allowing for tailored strategies based on market conditions [9]. Group 3: Market Trends and Innovations - The rise of over-the-counter (OTC) options and rights-inclusive trading has made options more accessible to businesses, integrating them into existing trading practices [10][11]. - Customized options can be designed to meet specific business needs, enhancing flexibility in risk management [11]. - The development of rights-inclusive trading represents a new phase in risk management, allowing for more dynamic pricing and risk-sharing arrangements [10][11].

Core Viewpoint - The article suggests a strategy of shorting the VIX index as a more certain approach to capitalizing on market downturns, rather than directly buying into the S&P 500, especially when the latter's valuation has not fully bottomed out [2][4]. VIX Index Overview - The VIX index measures the expected volatility of the S&P 500 over the next 30 days and is often referred to as the "fear index," serving as a gauge of market sentiment [3]. - Historically, regardless of significant risk events, the VIX index tends to stabilize at an average level after spikes, indicating a potential strategy of shorting the VIX at high levels and buying back at lower levels [3][4]. Strategy Comparison - Shorting the VIX focuses on "shorting market sentiment," requiring only a return to normal market conditions for profit, which is less complex than predicting stock price movements when directly buying the index [4]. - Directly buying the index requires a low valuation entry point, but markets may not wait for a complete downturn before rebounding, leading to missed opportunities [5]. Backtesting Results - The article presents backtesting results for various shorting strategies based on VIX levels, indicating that shorting above 30 and covering below 12 yields significant returns, albeit with long holding periods that can reduce annualized returns [12][11]. - A more relaxed strategy of shorting above 30 and covering below 20 shows quicker recovery opportunities, with some trades yielding 30%-40% returns in a short time frame [13][14]. Risk and Considerations - The strategy's risks include the potential for infinite losses if the VIX spikes unexpectedly, as it is not tied to a tangible asset like stocks [22]. - Costs associated with shorting the VIX through derivatives can introduce discrepancies in expected outcomes, particularly during volatile market conditions [22]. Summary of Strategy Characteristics - The strategy is characterized by strong certainty, relying on the recovery of market sentiment over time, with the potential for significant short-term gains [23]. - It is advisable to prepare for short-term losses and to exit positions when the VIX stabilizes around 25, as holding beyond this point may not be cost-effective [23].

金十数据4月30日讯，香港证监会今天就建议提高以香港三大股票指数为基础的交易所买卖衍生工具的 持仓限额，发表咨询总结。回应者大力支持有关建议，并指出相关修订将加强市场流动性，提升对冲效 率，并促进市场进一步增长。证监会共接获25份来自本地和海外的市场参与者的意见书，其中包括庄 家、资产管理人、业界组织及其他持份者。证监会在考虑所接获的意见，过往及潜在的市场增长，以及 市场参与者的持仓限额使用情况后，将着手落实有关建议。为此，证监会将修订《证券及期货（合约限 量及须申报的持仓量）规则》及《持仓限额及大额未平仓合约的申报规定指引》。 香港证监会着手提高主要股票指数衍生工具的持仓限额 ...

Group 1 - The core viewpoint of the news is that Guanglian Da is optimistic about its future growth and development, particularly in its digital cost business, which is seen as a cornerstone for the company [1] - Guanglian Da plans to expand its product application range and improve product renewal rates and market share by leveraging new policy lists to meet diverse customer needs in cost management [1] - The company is optimistic about the growth trend in urban renewal, although its current revenue contribution from this area is still low [1] Group 2 - The increase in sales expenses is attributed to higher advertising, promotion, and travel costs due to business development, while R&D expenses have risen due to software amortization and technology investment [1] - The company expects a significant decrease in overall labor costs for the year [1] - Guanglian Da's core business is primarily domestic, with a small proportion of foreign business, and local authorized sales and services are the main channels, limiting the direct impact of tariffs [1] Group 3 - The company aims to achieve its annual net profit target through an equity incentive plan, with quarterly data expected to fluctuate but striving for stable annual results [1] - Guanglian Da's AI strategy focuses on overcoming technical bottlenecks, enhancing competitiveness, and empowering products, with specific applications in Concetto, New Calculation, and Trading [1] - The company will showcase its progress at the construction industry summit in mid-May [1]

Core Viewpoint - The article emphasizes the recent surge in gold prices, which have increased by nearly 30% this year, and discusses the implications of this volatility for investors [1][8]. Group 1: Gold Price Dynamics - The international gold price's deviation rate has reached historical extremes, with a 98% percentile deviation from the 20-day moving average and a 99% percentile deviation from the 60-day moving average, indicating a high risk of further price increases [3][4]. - Domestic gold ETFs have doubled in size within two months, with total assets nearing 160 billion yuan, up from approximately 70 billion yuan on February 28 and over 90 billion yuan on March 31, reflecting accelerated inflows [4][8]. Group 2: Options Market Insights - Near-expiry out-of-the-money gold options experienced a maximum increase of 9800%, showcasing a "doomsday effect," but their value plummeted to 0.04 yuan shortly after, highlighting the speculative nature of such options [4][6]. - The majority of investors are unlikely to purchase deep out-of-the-money options due to their high probability of expiring worthless, similar to betting on an unlikely sports comeback [6][7]. Group 3: Long-term Gold Investment Logic - Gold is viewed as a robust asset for 2023, driven by factors such as inflation hedging, risk aversion, and the increasing accumulation of gold by central banks, with the share of gold in global reserves rising from 8.7% in 2001 to 18.3% by Q1 2025 [8]. - The article suggests that as long as the themes of inflation protection, risk aversion, and central bank purchases persist, gold remains a favorable investment, despite short-term volatility [8].