Core Viewpoint - The Hong Kong Monetary Authority (HKMA) is enhancing its liquidity management tools to meet international investor demand, particularly through the "Swap Connect" initiative, which has seen significant growth in trading volumes since its launch in May 2023 [1] Group 1: Swap Connect Initiative - The daily trading net limit for "Swap Connect" has recently been increased to 45 billion RMB, with plans for further optimization, including expanding the list of participating dealers [1] - Monthly transaction volume for "Swap Connect" has surged from 50 billion RMB at launch to 380 billion RMB in May 2023, representing an increase of nearly 7 times [1] - The average daily clearing amount has reached 25 billion RMB, significantly exceeding initial expectations [1] Group 2: Market Development and Opportunities - The global derivatives market is valued at nearly 700 trillion USD, indicating robust market growth and its critical role in risk management, capital allocation, and financial stability [1] - Hong Kong is evolving from a regional market to a global hub, becoming one of the largest over-the-counter derivatives markets, particularly for RMB foreign exchange and interest rate products [1] - The integration of mainland and Hong Kong financial markets is creating opportunities for cross-border derivatives trading, supported by a regulatory framework that balances innovation and stability [1] Group 3: Regulatory Framework and Cooperation - As the market becomes more interconnected and complex, regulatory frameworks must adapt to mitigate risks and promote innovation [1] - The HKMA is collaborating closely with the Hong Kong Securities and Futures Commission to ensure that Hong Kong's regulatory system aligns with global standards while considering local circumstances [1]

Group 1 - The Hong Kong Securities and Futures Commission (SFC) is collaborating with mainland authorities and the Hong Kong Stock Exchange to develop Hong Kong as an offshore risk management hub [1] - The SFC is exploring the Southbound Swap Connect to allow mainland investors to utilize Hong Kong's swap market for expanding their risk management toolkit [1] - The introduction of the Swap Connect has seen significant growth, with trading volume reaching approximately 10% of the mainland interest rate swap market, totaling over 8.5 trillion RMB as of September [1][2] Group 2 - Since the introduction of the regulatory framework in 2014, Hong Kong's OTC derivatives market has rapidly developed, with the nominal value of Asian stock OTC positions reaching 800 billion USD, a 70% increase over three years [2] - The majority of OTC stock derivatives positions cover Asian securities outside of Hong Kong, with one-third tracking Hong Kong-listed stocks and indices, while two-thirds involve other Asian securities [2] - Hong Kong has become the largest OTC derivatives market related to mainland assets globally, driven by the growth of RMB foreign exchange and interest rate derivatives [2] Group 3 - The OTC stock derivatives market for locally listed securities in Hong Kong has reached 250 billion USD, doubling in size over the past three years, aligning with a 40% growth in exchange-traded derivatives [3] - The combined OTC and exchange-traded derivatives market accounts for 12% of the free float market capitalization of Hong Kong's stock market, indicating a strengthening position as a risk management hub in Asia [3] - The outstanding OTC derivatives positions cover over 2,000 stocks and ETFs, with approximately 80% related to stocks and 20% to indices [3]

股指期权方面，备兑为主，短线买权防御。昨日权益指数震荡走弱， 沪指单日收跌0.81%。期权方面，各个品种成交额再度提升12.15%。连续 几日的流动性上行，叠加情绪指标持仓量PCR指标大幅走弱，以及隐含波 动率平均提涨0.69%。综合来看，市场对冲避险情绪凸显。策略方面，我 们仍建议续持备兑策略防御为主。同时，如果认为当前权益市场在年末资 金偏紧、海外降息预期回落等背景影响下，短期有高位回落可能，可以适 当补充看跌买权进行对冲保护。 国债期货方面，税期因素有所扰动，但影响或有限。昨日国债期货小 幅上涨，截止收盘， T、TF、TS、TL主力合约分别上涨0.03%、0.03%、0. 01%、0.06%。昨日国债期货T主力合约上午走势较为震荡，午后有所走 强。近期来看，税期因素或对资金面以及债市情绪形成一定扰动，资金利 率小幅上行，昨日DR001和DR007分别录得1.53%和1.52%。不过在央行对资 金面的呵护下，整体影响或不大。央行昨日在公开市场操作中虽然净投放 规模有所下降，但是整体仍呈现净投放状态。另外昨日股市表现仍偏弱， 上证指数继续有所回调，风险偏好回落以及股债跷跷板可能也对债市情绪 继续有一定带动。 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - With the downward increase in volatility, it is advisable to consider buying put options for protection [2] 3. Summary of Key Information from the Report a. Market Data Statistics - **Underlying Market Statistics**: On November 18, 2025, the closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, and most of the ETFs declined. For example, the Shanghai - Shenzhen 300 Index closed at 4568.19, down 29.86 points; the CSI 1000 Index closed at 7448.10, down 74.98 points. Trading volumes also showed changes, with some increasing and some decreasing [3]. - **Option Market Statistics**: Volumes and open interests of various options changed. For instance, the volume of CSI 1000 index options increased by 45561 to 323505, and the open interest increased by 5348 to 335884. The VL - PCR and OI - PCR values varied across different options [3]. - **Option Volatility Statistics**: The implied volatility (IV) of most options increased, while the historical volatility (HV) showed different trends. For example, the near - month ATM - IV of Shanghai - Shenzhen 300 index options increased by 2.47% to 16.32%, and the 20 - day HV decreased by 13.74% to 8.41% [6]. b. Option - Specific Figures - Multiple figures are presented for each type of option, including full - contract PCR, main - contract skewness, volatility cones, and volatility term structures, which help in analyzing the market trends and characteristics of different options [10][14][18]

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - On November 18, 2025, all stock indices declined slightly, showing a weak performance throughout the day. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1946 billion yuan, an increase of 15.6 billion yuan from the previous day. In the short term, the incremental policy signals in November weakened, and geopolitical factors triggered an increase in risk - aversion sentiment. As the stock indices approached previous highs, the willingness of profit - taking funds to stop profits increased, and there was a need for technical consolidation of the stock indices. Overall, the stock indices are currently in a short - term volatile period where the expectation of policy benefits and the profit - taking rhythm of funds are in a game. In the long term, the expectation of policy benefits and the trend of capital inflow into the stock market jointly form strong support for the stock indices. In general, the short - term long - short game has intensified, and the stock indices will mainly fluctuate within a range in the short term. Since the implied volatility of options is currently at a relatively low historical quantile level and considering the long - term upward trend of the stock indices, the idea of a bull spread is maintained [4]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 18, 2025, the 50ETF fell 0.28% to close at 3.150; the 300ETF (Shanghai Stock Exchange) fell 0.57% to close at 4.683; the 300ETF (Shenzhen Stock Exchange) fell 0.49% to close at 4.832; the CSI 300 Index fell 0.65% to close at 4568.19; the CSI 1000 Index fell 1.00% to close at 7448.10; the 500ETF (Shanghai Stock Exchange) fell 1.01% to close at 7.262; the 500ETF (Shenzhen Stock Exchange) fell 0.96% to close at 2.899; the GEM ETF fell 1.07% to close at 3.051; the Shenzhen 100ETF fell 0.59% to close at 3.380; the SSE 50 Index fell 0.30% to close at 3003.02; the STAR 50ETF rose 0.35% to close at 1.43; the E Fund STAR 50ETF rose 0.36% to close at 1.38 [6]. - The trading volume PCR and position PCR of various options on November 18, 2025, and their changes compared with the previous trading day are provided in detail, including 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [7]. - The implied volatility of at - the - money options and the 30 - trading - day historical volatility of the underlying assets of various options in November or December 2025 are provided, including 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [8][9]. 3.2 Relevant Charts - For each type of option (such as 50ETF options, 300ETF options, etc.), multiple charts are provided, including the trend of the underlying asset, option volatility, trading volume PCR, position PCR, implied volatility curve, and the implied volatility of at - the - money options for different terms. These charts show the historical data from 2023 to 2025, providing a visual display of the changes in option - related indicators over time [10][21][34] etc.

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 2025-11-18 股债跷跷板⾏情 股指期货：时间换空间，哑铃配置过渡。 股指期权：备兑防御为主。 国债期货：资⾦⾯扰动或有限。 股指期货方面，时间换空间，哑铃配置过渡。周一权益市场窄幅震荡 为主，主要指数收绿居多，其中全A指数跌0.15%，风格层面，哑铃结构占 优，配置属性偏向防御化特征。同时量能在2万亿之下，事件空窗期资金 进攻意愿降低。近期外部纷争对市场情绪产生一定压制，但中性基准判断 不会出现地区冲突，故扰动偏短期。同时，我们认为短期走出震荡的可能 性也偏低，其一，纳斯达克ETF出现高溢价，而这一状态多数出现在A股偏 好回调的周期中，其二，12月重要会议时点尚远，暂不支持政策炒作的基 础。故持有哑铃结构度过过渡期，以时间换空间，静态春躁行情启动。 股指期权方面，备兑防御为主。昨日权益指数震荡走弱，沪指单日收 跌0.46%。期权方面，各个品种成交额小幅回升7.78%，但依旧位于10月以 来流动性的较低位置。期权情绪指标走势偏弱，尤其以50、300等大盘相 关品种的降幅较深，期权交易情绪伴随风格切换。期权隐含波动率平均下 ...

Core Insights - The fourth Sino-German high-level financial dialogue emphasizes the importance of developed derivatives markets in promoting market development, enhancing market depth, liquidity, and stability [1] Group 1 - Both China and Germany recognize the significance of their derivatives markets for market development [1] - The statement encourages eligible Chinese and German enterprises to participate in each other's derivatives markets [1]

1. Report Industry Investment Rating - No relevant information provided in the report. 2. Core View of the Report - For stock index options, there is a downward increase in volatility. A bearish put spread strategy can be considered [2]. 3. Summary According to Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs all declined. For example, the Shanghai Composite 50 Index closed at 3038.43, down 35.24 points; the CSI 300 Index closed at 4628.14, down 73.93 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 48.80 billion hands, down 5.32 billion hands [3]. - **Option Market Statistics**: Trading volumes of most options decreased, while open interest showed different trends. For instance, the trading volume of Shanghai Composite 50 Index Options was 33,387, down 7,626, and the open interest was 71,949, up 126. The VL - PCR and OI - PCR also varied among different options [3]. 3.2 Option Volatility Statistics - **Near - Month Options**: The ATM - IV of most options increased, and the same - term HV also showed different changes. For example, the ATM - IV of Shanghai Composite 50 Index Options was 13.32%, up 0.17%, and the same - term HV was 13.55%, up 3.84% [6]. - **Next - Month Options**: The ATM - IV and HV of next - month options also had different trends. For example, the ATM - IV of Shanghai Composite 50 Index Options was 15.15%, up 0.18%, and the same - term HV was 12.09%, down 0.44% [6]. 3.3 Option Indicator Data Statistics (Graphs) - **Shanghai Composite 50 Index Options**: There are graphs showing the full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [10]. - **CSI 300 Index Options**: Similar graphs are provided for CSI 300 Index Options, including full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [14]. - **CSI 1000 Index Options**: Graphs for CSI 1000 Index Options cover full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [18]. - **ETF Options**: Similar graph analyses are conducted for various ETF options, such as Shanghai Composite 50 ETF Options, Huatai - Baorui 300 ETF Options, etc. [27][32]

1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views of the Report - The stock market is recommended for a dumbbell - style allocation, while the bond market is expected to be in a weak and volatile state [2][3]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Market Conditions**: On Thursday, the Shanghai Composite Index continued to reach a 10 - year high, with the price - rising chain actively advancing. Power equipment, non - ferrous metals, and basic chemicals led the gains, driven by factors such as increased demand for lithium batteries from energy storage, policy support for new energy integration, and a rebound in international precious metal prices. The preferred allocation of the price - rising chain is gradually being realized, and the cost - effectiveness of value factor allocation has increased [3][7]. - **Data**: IF, IH, IC, IM's current - month basis points were - 8.47, - 1.07, - 19.89, - 24.58 respectively, with changes of - 7.57, - 3.56, - 0.64, 3.6 points compared to the previous trading day; their inter - period spreads (current - month - next - month) were 16.6, 3.8, 66.4, 87.6 points, with changes of - 0.4, - 0.2, - 2.4, - 0.8 points; and their positions changed by - 13919, - 1167, - 19353, - 20677 lots respectively [7]. - **Operation Suggestion**: Hold a combination of dividend ETF and IM long positions [7]. 3.1.2 Stock Index Options - **Market Conditions**: After the market recovered, the trading volume of each option variety showed a slight weakening trend. The weighted implied volatility of CSI 1000 index options decreased by 1.18%, and the position PCR of each variety strengthened, indicating a warming of market sentiment. However, from a weekly perspective, the varieties were weak first and then strong, still at a weekly high. Due to the recent rotation of market styles and the lack of a clear capital main line, it is recommended to continue to hold covered options to increase returns [3][7]. - **Operation Suggestion**: Continue to hold covered options [7][8]. 3.1.3 Treasury Bond Futures - **Market Conditions**: On the previous day, treasury bond futures fell across the board. The T, TF, TS, and TL main contracts changed by - 0.10%, - 0.08%, - 0.01%, and - 0.26% respectively. The bond market was weak, affected by the rebound of the A - share market and the rebound of commodity - related varieties. The overnight shibor rate was 1.3150%, down 10.00 basis points, indicating relatively abundant market liquidity. The central bank achieved a net injection of 9.72 billion yuan through 19 billion yuan of 7 - day reverse repurchase operations, which helped to stabilize market expectations. However, the bond market interest rate rose, and the decline of treasury bond futures may be mainly due to the improvement of market risk preference. Currently, after the treasury bond trading, the bond market has been in a volatile state, and the focus of market speculation is when and how the redemption new rules will be implemented [4][8]. - **Data**: Data on trading volume, inter - period spreads, cross - variety spreads, and basis points of T, TF, TS, and TL contracts are provided, along with their daily changes [8]. - **Operation Suggestion**: For trend strategies, expect a slightly stronger and volatile trend; for hedging strategies, pay attention to long - position substitution at high basis levels; for basis strategies, focus on positive arbitrage strategies and basis widening; for curve strategies, appropriately pay attention to curve steepening [9]. 3.2 Economic Calendar - Economic data such as China's new RMB loans, social financing scale, M2 money supply growth rate from January to October 2025 are presented, along with predicted and actual values. Data for China's October social consumer goods retail总额 annual rate and above - scale industrial added value annual rate are yet to be released [10]. 3.3 Important Information and News Tracking - The central bank announced that in the first 10 months, RMB loans increased by 1.497 trillion yuan, and the social financing scale increment accumulated to 3.09 trillion yuan, with a year - on - year increase of 383 billion yuan. M2, M1, and M0 data are also provided [11]. - The Financial Regulatory总局 will release a revised "Management Measures for Commercial Bank Merger and Acquisition Loans" to support corporate mergers, acquisitions, and transformations. It is also researching policies to promote the high - quality development of science and technology insurance [12]. - US President Trump signed a federal government temporary appropriation bill, ending a 43 - day government shutdown [12].

Core Viewpoint - The article discusses the recent performance of the MicroSectors 3x Long Gold ETF, highlighting its significant price drop and market activity, indicating potential investment opportunities or risks in the gold sector [2]. Group 1: Market Performance - The MicroSectors 3x Long Gold ETF has a net value of 161.0700, with a recent price drop of 19.2200, reflecting a decrease of 11.93% [2]. - The ETF's trading volume reached 2.37 billion, indicating active market participation despite the price decline [2]. - The pre-market price was noted at 126.9100, down by 14.9400 or 10.53% [2]. Group 2: Technical Indicators - The article mentions various moving averages, with MA5 at 158.9920, MA10 at 197.1030, and MA20 at 204.4775, suggesting a downward trend in the short term [5]. - Bollinger Bands are indicated with a mid-point of 4073.61, upper limit at 4303.54, and lower limit at 3843.69, which may provide insights into price volatility [5]. - The RSI (Relative Strength Index) values are reported at 74.10 and 63.66, indicating potential overbought conditions [5].