Group 1: Report Industry Investment Rating - Not provided Group 2: Core Views of the Report - The stock market focuses on the price - rising chain, and the bond market is in a long - short game. The stock index futures are desensitized to negative factors, the stock index options should appropriately supplement call options for defense, and the bond market in the treasury bond futures has a long - short game with a slight decline [1]. - For stock index futures, the equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7]. - For stock index options, the trading volume of each option variety mostly declined, while the open interest increased. Some investors may trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7]. - For treasury bond futures, the main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8]. Group 3: Summary According to Relevant Catalogs Stock Index Futures - **View**: Desensitized to negative factors [7] - **Logic**: The equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. The impact of the adjustment of implicit margin for margin trading is weakening. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, the influence of regulatory cooling will gradually weaken, and the market will be driven by funds. Institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7] - **Operation Suggestion**: Hold IC [7] - **Outlook**: Oscillate strongly [7] Stock Index Options - **View**: Supplement call options for defense in the short term [7] - **Logic**: The trading volume of each option variety mostly declined, while the open interest increased. Considering the weak option sentiment index and the strengthening of implied volatility, it is speculated that some investors trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7] - **Operation Suggestion**: Covered strategy [7] - **Outlook**: Oscillate [7] Treasury Bond Futures - **View**: Long - short game, slight decline in the bond market [8] - **Logic**: The main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. The improvement of the equity market sentiment, the tightening of the overnight capital due to the tax payment and the small net injection of reverse repurchase by the central bank, and the stable open interest of the main futures contracts and the support from the cash bond allocation disk led to a limited adjustment. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8] - **Operation Suggestion**: Trend strategy: oscillate; Hedging strategy: pay attention to short - hedging at the low basis; Basis strategy: pay attention to the positive arbitrage opportunity of TL; Curve strategy: the curve may flatten first and then steepen [8] - **Outlook**: Oscillate [8]

Group 1: Report Industry Investment Rating - No specific industry investment rating is provided in the report. Group 2: Core Viewpoints - In the stock index futures market, the switching speed of strong sectors is relatively fast. Although the market is expected to rise before the Two Sessions, caution is needed regarding the upward rate, and the subsequent market trend will be upward with fluctuations. The increasing uncertainty in global liquidity, regulatory cooling, and escalating geopolitical risks affect the upward rate of A-shares. In this uncertain environment, the allocation value of non-ferrous metals and precious metals is enhanced, which is beneficial for the inflation expectation and indirectly boosts the value of CSI 500 [1][6]. - In the stock index options market, the trading volume of most varieties has declined. The hedging sentiment in the market may have slowed down. It is recommended to adopt a hedging strategy by selling call options on the basis of an equity bottom position [2][6]. - In the treasury bond futures market, the demand for medium - and long - term bonds has improved, and the yield curve has flattened. The sentiment in the medium - and long - term bond market has continued to recover. In the short term, the end of the tax period and the possible lower - than - planned issuance of local bonds in January may support the performance of ultra - long - term bonds, but the change in market risk preference needs to be continuously monitored [2][7]. Group 3: Summary According to Relevant Catalogs 1. Market Outlook - **Stock Index Futures**: The view is that the switching speed of strong sectors is fast. The logic is that the market sentiment has eased, but the rapid rotation of strong sectors affects the profit - making effect, and the market volume has shrunk. The outlook is oscillating and slightly bullish, and the operation suggestion is to hold IC [6]. - **Stock Index Options**: The view is to focus on hedging defense. The logic is that the trading volume has declined, and the hedging sentiment has slowed down. The outlook is oscillating, and the operation suggestion is hedging [6]. - **Treasury Bond Futures**: The view is that the demand for medium - and long - term bonds has improved, and the curve has flattened. The logic is that the sentiment in the medium - and long - term bond market has recovered due to factors such as the central bank's reverse - repurchase net injection, good issuance of 7Y treasury bonds, and reduced redemption pressure of bond funds. The outlook is oscillating. Operation suggestions include trend strategy (oscillating), hedging strategy (pay attention to short - hedging at low basis), basis strategy (pay attention to TL positive arbitrage opportunities), and curve strategy (the curve may flatten first and then steepen) [7]. 2. Derivatives Market Monitoring - **Stock Index Futures Data**: No specific content is provided in the given text. - **Stock Index Options Data**: No specific content is provided in the given text. - **Treasury Bond Futures Data**: No specific content is provided in the given text.

Group 1 - The core difference between futures and forward contracts lies in their standardization, with futures being standardized contracts traded on exchanges, while forwards are customized agreements negotiated between parties [1][2] - Futures contracts are traded on centralized exchanges with transparent trading information and a central counterparty clearing system, which reduces default risk, whereas forward contracts are traded over-the-counter with higher default risk due to the lack of a central clearing mechanism [1][2] - The margin system in futures trading requires both parties to deposit a percentage of the contract value as collateral, while forward contracts do not have standardized margin requirements, leading to different risk management practices [2][3] Group 2 - The delivery method for futures contracts is primarily through cash settlement or offsetting trades, resulting in a low delivery ratio, while forward contracts typically involve physical delivery, making them less liquid and harder to transfer [2] - The regulatory framework for futures trading is strict, covering various aspects such as trading rules and risk monitoring, while forward contracts are subject to a more flexible regulatory approach focused on risk management and information disclosure [3]

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 2026-01-21 股债跷跷板效应再度显现 股指期货：TMT及军⼯拖累情绪 股指期权：备兑防御为主 国债期货：⻛险偏好降温，债市上涨 股指期货方面，周二全天弱势，其中下跌个股多于上涨个股，尾盘跌 势收窄。行业方面，石化、地产、建材等价值行业领涨，高股息资产表现 占优，这显示盘面情绪偏向防御。触发早盘调整的因素有三，其一，亚太 市场早盘弱势，日韩股市普跌间接传导至A股及港股市场，其二，上午部 分宽基ETF成交放量，市场近期担心大资金集中止盈的可能性，故转向保 守，其三，以军工为代表的题材加速跳水，隐含融资新规之后，资金调仓 换股。展望后市，仍积极看待市场，尽管负面因素累积，但两会之前政策 偏暖预期、弱势美元、经济数据空窗期等有利因素难以证伪，短期虽有波 折，但不改趋势。同时降温之后，资金向稳健方向游走，中证500在主要 宽基中仍有比较优势。 股指期权方面，各个品种市场成交额有所回升；品种成交量则涨跌互 现，多数品种以提升为主；而持仓量的变化总体有限。结合日内行情，我 们的推测是，短期市场波动加剧，但中期卖权交易思路依旧主导，期权 ...

美国30年期掉期利差下跌4个基点，有望创下自4月以来的最大单日跌幅。 本文源自：金融界AI电报 ...

Core Viewpoint - The article introduces the "Liquidity-Adjusted Volatility Index (LVIX)" as a theoretical extension of the Volatility Adjusted Index (SVIX), which allows for deviations from the put-call parity in the context of the Chinese stock market. This development has significant implications for asset pricing and the assessment of systemic risk and expected excess returns in China's financial market [2][3]. Group 1: Market Characteristics and Systemic Risk - By the end of 2025, the total market capitalization of China's stock market is expected to exceed 100 trillion yuan, highlighting its status as one of the largest stock markets globally. The systemic risk in the A-share market continues to attract attention from regulators and investors [3]. - According to modern asset pricing theory, risk and return are two sides of the same coin, where expected excess returns compensate investors for bearing systemic risk. Effectively measuring the expected excess return in the A-share market can enhance price discovery and assist regulators in monitoring systemic risk [3]. Group 2: Challenges in Estimating Expected Excess Returns - Estimating the market's expected excess return is complex, as it is a key factor in pricing models like the Capital Asset Pricing Model (CAPM) and multi-factor models. The expected excess return reflects future returns and is influenced by macroeconomic trends rather than historical performance [5]. - Previous literature often substitutes historical average excess returns for expected excess returns, which has two main drawbacks: actual market excess returns may deviate from expected returns, and historical data is inherently lagging, making it less useful for predictions [5]. Group 3: Utilizing Information Beyond the Spot Market - A natural consideration is whether information from markets outside the spot market can be used to characterize systemic risk and estimate expected excess returns. Different financial markets exhibit distinct characteristics, and investors often trade across these markets, leading to shared information [6]. - Financial derivatives, particularly index options, play a crucial role in reflecting market risk and aiding price discovery. They can lower hedging costs and enhance risk management strategies, providing a data foundation for measuring market risk and estimating future expected excess returns [6].

Core Insights - CPT Markets emerged as a leading player in the global financial derivatives industry by winning two prestigious awards: "Most Popular Broker of 2025" and "Best Customer Service Broker of 2025" at the "2026 Global Financial Derivatives Industry Annual Gala and the Third Golden Honor Award Ceremony" [1][3] Group 1: Awards and Recognition - The "Most Popular Broker" award reflects CPT Markets' strong brand appeal and customer trust, showcasing its commitment to safety and transparency through its full license from the UK's Financial Conduct Authority (FCA) [5] - The "Best Customer Service Broker" award highlights CPT Markets' dedication to customer success, featuring a 24/7 multilingual service network and personalized service models like dedicated account managers [6] Group 2: Event Significance - The event gathered over 50 top global brokers and fintech companies, attracting more than 1,000 industry elites, including analysts, asset managers, and high-net-worth investors, emphasizing the competitive nature of the awards [3] - The rigorous evaluation process for the Golden Honor Awards involved a comprehensive assessment by an expert committee, recognizing companies that drive industry progress and earn customer trust [3] Group 3: Future Outlook - CPT Markets' Chief Marketing Officer stated that the awards represent not just glory but also the trust of global clients and the commitment to continuous innovation, marking the beginning of a new journey for the company [8] - The company aims to leverage this recognition to enhance its compliance, technology, service, and ecosystem development, striving for a more robust platform and superior service in the future [8][11]

Group 1 - The core viewpoint of the articles indicates a mixed performance in the stock indices, with significant changes in options trading volumes and open interest, suggesting a shift in market sentiment and risk management strategies [1][2] Group 2 - The Shanghai and Shenzhen 300, CSI 1000, and SSE 50 indices showed varied performance, with a notable decline in stock index options trading volume and value, while open interest increased [1] - Implied volatility for stock index options has decreased significantly, with IO at 16.24%, MO at 23.05%, and HO at 15.28%, indicating a potential for future declines in implied volatility premiums [1] - Market risk aversion has risen, as evidenced by the PCR ratios for various options, with IO at 0.67 for open interest, MO at 0.94, and HO at 0.62, reflecting changing trading behaviors [1] - The concentration of open interest in specific strike prices remains stable, with CSI 1000 options focused on 8600 call and 8400 put, SSE 50 options on 3200 call and 3000 put, and Shanghai 300 options on 4800 call and 4700 put [2] - The significant drop in trading volume and implied volatility suggests that traders may consider buying put options to hedge against potential risks in their positions [2]

1. Report's Industry Investment Rating No information provided in the content about the report's industry investment rating. 2. Core Viewpoints of the Report - The market showed a volatile trend last week, with most indices rising after falling and closing higher on a weekly basis. The Sci - Tech Innovation 50 Index led the gains with a weekly increase of 2.58%. The computer and electronics sectors were outstanding with weekly gains of 3.82% and 3.77% respectively, while the national defense and military industry sector was weak with a weekly decline of about 4.92% [1]. - The market focus last week was on the US dollar liquidity environment and domestic policy dynamics. The strengthening of the US dollar index due to geopolitical situations disturbed global risk - asset prices. Domestically, the central bank introduced a structural relending rate - cut tool, and the market generally interpreted it as aiming to guide liquidity to the real economy more effectively. After the stock indices rose for several consecutive trading days, regulatory authorities took measures such as raising the margin ratio for margin trading to cool the market moderately [1]. - It is expected that the short - term market may change from a smooth upward trend to a relatively strong volatile pattern, and the medium - to - long - term trend remains positive. Attention should continue to be paid to changes in US dollar liquidity and domestic policy signals [1]. - In the options market last week, the implied volatility (IV) of most financial options varieties rebounded slightly and was generally slightly higher than the one - year median. The IV of most financial options' position - volume PCR was in the range of 80% - 110%, showing a slight decline compared with the previous week [2]. - The market may continue to be volatile and relatively strong, and the IV of most financial options has rebounded. Investment strategies include: continuing to hold indices with relatively reasonable valuations such as the CSI 300 and CSI A500, and selling out - of - the - money put options on the corresponding indices; for the Sci - Tech Innovation 50 Index, which has large recent fluctuations and relatively high static valuations, if holding the underlying asset, one can consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risks; if there are substantial spot - market gains, one can consider taking profits on the spot and keeping a small amount of long - term call options to cope with irrational market rallies, such as for the ChiNext Index; for the CSI 1000 - 2603 stock index futures with converging discounts, one can consider moving positions to the 2606 contract with a higher discount to continue a covered - call strategy [3]. 3. Summary by Relevant Catalogs Overview - Market trend: Most indices rose after falling last week, with the Sci - Tech Innovation 50 Index leading the gains at 2.58%. The computer and electronics sectors were strong, while the national defense and military industry sector was weak [1]. - Market focus: US dollar liquidity environment and domestic policy dynamics. The strengthening US dollar index disturbed global risk - asset prices, and the central bank introduced a structural relending rate - cut tool. Regulatory authorities took measures to cool the market [1]. - Market outlook: The short - term market may shift to a volatile pattern, and the medium - to - long - term trend is positive. Attention should be paid to US dollar liquidity and domestic policies [1]. Options Market - Implied volatility: The IV of most financial options varieties rebounded slightly and was generally slightly higher than the one - year median. For example, the IV of the Sci - Tech Innovation 50 options was 29%, and that of the ChiNext Index options was 24%, approaching the one - year median. The IV of 50 and 300 options was in the 13% - 16% range, and the IV of CSI 500 and CSI 1000 options was in the 20% - 22% range [2]. - Position - volume PCR: The position - volume PCR of most financial options was in the 80% - 110% range, showing a slight decline compared with the previous week [2]. Strategy Outlook - Market situation: The market may continue to be volatile and relatively strong, and the IV of most financial options has rebounded [3]. - Investment strategies: Hold reasonable - valued indices and sell out - of - the - money put options on them; for high - volatility and high - valuation indices, take risk - reduction measures; consider taking profits on spot and keeping long - term call options; move positions for stock index futures with converging discounts to continue a covered - call strategy [3]. Market Overview - Multiple tables show the closing prices, price changes, IV, historical quantiles of IV, option trading volumes, and position - volume PCR of various underlying assets such as the SSE 50ETF, CSI 300ETF, and others from January 12 - 15, 2026, providing detailed information on market performance [5].

Report Summary 1. Report Industry Investment Rating - No investment rating information provided in the report. 2. Core View of the Report - On January 16, the A-share market opened higher but closed lower. AI application themes declined across the board, while memory concept stocks soared. The Shanghai Composite Index closed down 0.26% at 4101.91 points, and the total trading volume of A-shares reached 3.06 trillion yuan, up from 2.94 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Quotes Review of Stock Indexes - **Index Closing Prices and Changes**: The closing price of the Shanghai Stock Exchange 50 Index was 1999.99, with a trading volume of 72.45 billion and a decline of 0.83%. The closing price of the CSI 300 Index was 4731.8728, with a trading volume of 7856.24 billion and a decline of 0.41%. The closing price of the CSI 1000 Index was 8232.7293, with a trading volume of 6334.11 billion and a decline of 0.10% [3]. - **A-Share Market Performance**: On January 16, the Shanghai Composite Index fell 0.26%, the Shenzhen Component Index fell 0.18%, the ChiNext Index fell 0.2%, the Beijing Stock Exchange 50 Index rose 0.23%, the Science and Technology Innovation 50 Index rose 1.35%, the Wind All A Index fell 0.17%, the Wind A500 Index fell 0.41%, and the CSI A500 Index fell 0.43%. The total trading volume of A-shares was 3.06 trillion yuan, compared with 2.94 trillion yuan the previous day [5]. 3.2 Trading Situation of CFFEX Stock Index Options - **Option Trading Volume and Open Interest**: For the SSE 50 Index, the trading volume of call options was 2.51 million contracts, and the trading volume of put options was 6.22 million contracts. The open interest of call options was 3.72 million contracts, and the open interest of put options was 3.01 million contracts. For the CSI 300 Index, the trading volume of call options was 12.26 million contracts, and the trading volume of put options was 7.09 million contracts. The open interest of call options was 14.58 million contracts, and the open interest of put options was 8.73 million contracts. For the CSI 1000 Index, the trading volume of call options was 24.20 million contracts, and the trading volume of put options was 13.27 million contracts. The open interest of call options was 25.61 million contracts, and the open interest of put options was 12.34 million contracts [3]. - **PCR Indicators**: The trading volume PCR of the SSE 50 Index was 0.67, and the open interest PCR was 0.61. The trading volume PCR of the CSI 300 Index was 0.58, and the open interest PCR was 0.67. The trading volume PCR of the CSI 1000 Index was 0.76, and the open interest PCR was 0.93 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cones**: The report presents the historical volatility and volatility cones of the SSE 50, CSI 300, and CSI 1000 Indexes, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, along with minimum, maximum, 10%, 30%, 60%, 90% quantile values, and current values [3]. - **Volatility Smile Curves**: The report shows the volatility smile curves of the SSE 50, CSI 300, and CSI 1000 Indexes for the next - month at - the - money implied volatility [3].