Core Viewpoint - The Hang Seng Index night futures opened at 25,860 points and reported a slight decline of 15 points or 0.058% by 17:15 Beijing time, indicating a stable yet cautious market sentiment [1] Market Performance - The Hang Seng Index night futures (August) reported at 25,849 points, down 15 points from the opening [1] - The futures traded at a premium of 19 points, suggesting some investor optimism despite the slight decline [1] - The trading volume was recorded at 106 contracts, reflecting moderate activity in the market [1] Open Interest - The total number of open contracts stood at 140,944, indicating a significant level of market participation [1] - The net open interest was reported at 46,863 contracts, suggesting a healthy level of positions held by traders [1]

以下通过场景假设案例，模拟企业运用期货及期权工具进行套保的效果。 2025年7月初，多晶硅市场受"反内卷"预期影响，现货销售价格不低于完全成本价格，企业报价大幅上涨，此前下游企业的低价订单 被迫取消，并且难以采购到低价多晶硅。基于"反内卷"预期强烈，现货价格短期易涨难跌，企业为了降低原料采购成本，选择"期货 +期权"方案，锁定原合同多晶硅采购价的同时，运用期权工具降低新单采购成本。2025年7月10日，假设企业通过期货市场买入600 手多晶硅期货，开仓价格为41000元/吨，保证金为4000元/吨，占用资金720万元；同时，搭配场内期权，卖出PS2509-P-38500，成交 量为2000吨，开仓权利金为900元/吨，保证金为1600元/吨，占用资金320万元，持有1个月到期。 最终，企业可以减少12900元/吨的多晶硅采购成本。 | 时间 | 期货价格 | 期货损益情况 | 期权损益情况 | | --- | --- | --- | --- | | 2025年7月10日 | 41000 | +12000 | +900 | | 2025年7月30日 | 53000 | | | | 效果 | 低12900元/吨硅 ...

Quantitative Models and Construction Methods - **Model Name**: Dividend Adjustment for Futures Basis **Construction Idea**: Adjust the futures basis by incorporating the expected dividend impact during the contract's lifespan[9][21] **Construction Process**: Futures basis is calculated as the difference between the futures contract closing price and the underlying index closing price. The adjustment accounts for dividends expected during the contract's lifespan, which are reflected in the futures price. The formula is: $ Annualized Basis = (Actual Basis + Expected Dividend Points) / Index Price × 360 / Remaining Days of Contract $[21] **Evaluation**: Provides a more accurate representation of the futures basis by accounting for dividend effects[21] - **Model Name**: Continuous Hedging Strategy **Construction Idea**: Optimize hedging by continuously rolling futures contracts based on expiration dates[44][45] **Construction Process**: - Hold the corresponding total return index for the spot side - Use 70% of funds for the spot side and 30% for shorting futures contracts - Roll futures contracts when the remaining days to expiration are less than 2 days, using the closing price for both closing and opening positions[45] **Evaluation**: Effective for maintaining consistent exposure but sensitive to transaction costs and market conditions[45] - **Model Name**: Minimum Basis Hedging Strategy **Construction Idea**: Select futures contracts with the smallest annualized basis for hedging[46] **Construction Process**: - Calculate the annualized basis for all available futures contracts - Open positions in the contract with the smallest basis - Hold the contract for 8 trading days or until the remaining days to expiration are less than 2 days[46] **Evaluation**: Reduces basis risk but requires frequent monitoring and adjustments[46] Quantitative Factors and Construction Methods - **Factor Name**: Cinda-VIX **Construction Idea**: Reflect market expectations of future volatility using a modified VIX calculation tailored to China's market[62] **Construction Process**: - Based on overseas VIX methodologies, adjusted for China's market conditions - Incorporates the term structure of volatility to capture expectations across different time horizons[62] **Evaluation**: Provides valuable insights into market sentiment and volatility expectations[62] - **Factor Name**: Cinda-SKEW **Construction Idea**: Measure the skewness in implied volatility across different strike prices to assess tail risk[67] **Construction Process**: - Analyze the implied volatility of options with varying strike prices - Higher SKEW values indicate increased tail risk expectations, while lower values suggest reduced concerns[67] **Evaluation**: Useful for understanding market sentiment regarding extreme events and tail risks[67] Model Backtesting Results - **Dividend Adjustment for Futures Basis**: - IC contract: Current basis -5.89%[22] - IF contract: Current basis -0.05%[27] - IH contract: Current basis +1.70%[32] - IM contract: Current basis -6.92%[37] - **Continuous Hedging Strategy**: - IC: Annualized return -3.07%, volatility 3.82%, max drawdown -9.27%, net value 0.9086[48] - IF: Annualized return 0.38%, volatility 2.97%, max drawdown -3.95%, net value 1.0116[53] - IH: Annualized return 0.97%, volatility 3.08%, max drawdown -4.22%, net value 1.0302[57] - IM: Annualized return -6.21%, volatility 4.72%, max drawdown -14.01%, net value 0.8345[59] - **Minimum Basis Hedging Strategy**: - IC: Annualized return -1.40%, volatility 4.60%, max drawdown -7.97%, net value 0.9577[48] - IF: Annualized return 1.18%, volatility 3.10%, max drawdown -4.06%, net value 1.0366[53] - IH: Annualized return 1.63%, volatility 3.09%, max drawdown -3.91%, net value 1.0511[57] - IM: Annualized return -4.04%, volatility 5.55%, max drawdown -11.11%, net value 0.8702[59] Factor Backtesting Results - **Cinda-VIX**: - 30-day volatility: - CSI 500: 32.58[62] - CSI 1000: 29.50[62] - HS 300: 22.97[62] - SSE 50: 24.31[62] - **Cinda-SKEW**: - 30-day skewness: - CSI 500: 98.22[68] - CSI 1000: 106.46[68] - HS 300: 104.77[68] - SSE 50: 99.82[68]

Market Size - The scale and structural changes of the OTC options market reflect the risk management needs of the global financial market [1] - As of the end of 2024, the global nominal principal amount of OTC derivatives reached $699.48 trillion, with OTC options accounting for $70.29 trillion, approximately 10.05% of the total [5] - The historical trend of OTC options shows a pattern of "growth-adjustment-adaptive growth," with a peak of nearly 15% before the 2008 financial crisis [5] Underlying Structure - OTC options are highly correlated with the risk hedging needs of different economic activities, leading to significant structural differences among various underlying types [7] - Interest rate options dominate the market, accounting for 65.67% (approximately $46.16 trillion) of the total nominal principal, driven by the need for financial institutions to hedge against interest rate volatility [8] - Foreign exchange options represent 27.28% (approximately $19.17 trillion), serving global trade and investment by managing exchange rate risks [10] - Equity options account for 6.01% (approximately $4.23 trillion), used by institutional investors to hedge stock market risks [11] - Commodity options have the smallest share at 0.83% (approximately $0.58 trillion), primarily used for price risk management in the real economy [12] Participant Ecosystem - The OTC options market is predominantly led by professional financial institutions, with over 80% of the nominal principal held by dealers and other financial institutions [13] - Dealers, including global investment banks and large commercial banks, play a crucial role as liquidity providers, with significant shares in interest rate (43%) and foreign exchange (35%) options [15] - Other financial institutions, such as hedge funds and insurance companies, are the main buyers of OTC options, utilizing them for various investment and risk management strategies [16] - Non-financial institutions, primarily multinational corporations, have a lower participation rate due to the complexity and cost of OTC options [16] Regulatory Impact and Future Trends - The OTC derivatives market underwent significant regulatory reforms post-2008 financial crisis, impacting the OTC options market [17] - The promotion of central counterparty clearing (CCP) has reduced counterparty credit risk but increased participation costs, limiting innovation in non-standardized products [18] - Enhanced transparency through trade reporting requirements has increased compliance costs for institutions [19] - As global economic uncertainties rise, the demand for OTC options for risk management is expected to increase, driven by factors such as trade tensions and geopolitical conflicts [19]

1. Report Industry Investment Ratings - The investment ratings for different financial derivatives are as follows: The outlook for stock index futures is "oscillating with a slight upward bias"; for stock index options, it is "oscillating"; and for treasury bond futures, it is "oscillating with a slight downward bias" [9][10][11] 2. Core Viewpoints of the Report - The report analyzes the market trends of stock index futures, stock index options, and treasury bond futures. The stock index futures market has broken through a key point with active incremental funds, and the upward trend is expected to continue. In the stock index options market, it is advisable to observe the persistence of the volatility inflection point and continue to hold bull spread strategies. The treasury bond futures market is affected by factors such as the stock - bond seesaw effect and capital tightening, and there are opportunities for curve steepening and long - end arbitrage [3][4][5] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - The Shanghai Composite Index fluctuated and closed flat on Tuesday, with trading volume slightly narrowing to 2.64 trillion yuan. After breaking through a 10 - year high, there was a style shift from dividends to growth. The market neutral strategy has faced setbacks since last week, indicating a shift from micro - small caps to small - medium caps. With positive sentiment indicators, there is no need to overly worry about pullbacks in August. It is recommended to hold IM long positions [3][9] 3.1.2 Stock Index Options - The underlying assets oscillated weakly, with only the CSI 1000 Index rising by 0.07%, while the SSE 50 ETF fell by 1.14%. Option trading volume declined by about 30%. Volatility decreased in most options. It is advisable to observe whether the morning volatility continues to decline and add short - volatility positions if it does. The bull spread strategy can be continued [4][10] 3.1.3 Treasury Bond Futures - Treasury bond futures rose across the board. The T contract rose due to the stock - bond seesaw effect and some short - sellers taking profits. However, capital tightening restricted the rise. The market risk preference and anti - involution may affect the bond market, and it is advisable to pay attention to curve steepening and long - end arbitrage opportunities [5][10][11] 3.2 Economic Calendar - On August 20, 2025, China's one - year loan prime rate (LPR) in August was announced at 3.35%, higher than the previous and predicted value of 3%. Other data such as China's July全社会 electricity consumption annual rate, the US August SPGI manufacturing PMI preliminary value, and Japan's July national CPI annual rate are yet to be released [13] 3.3 Important Information and News Tracking - **Pension**: On August 19, five departments issued a notice to enrich the scenarios for receiving personal pensions, adding three new scenarios and new application channels, effective September 1 [13] - **Photovoltaic**: On August 19, multiple departments held a photovoltaic industry symposium, calling for strengthening industry regulation, curbing low - price disorderly competition, standardizing product quality, and supporting industry self - regulation [14] 3.4 Derivatives Market Monitoring - The report mentions data monitoring for stock index futures, stock index options, and treasury bond futures, but specific data details are not elaborated in the provided content [15][19][31]

Core Viewpoint - Fortior (01304.HK) plans to utilize a maximum amount of RMB 1.5 billion or equivalent foreign currency for foreign exchange hedging activities, including various derivatives [1] Group 1 - The company intends to engage in foreign exchange hedging activities to meet operational and business needs [1] - The hedging activities will include forward foreign exchange settlement, foreign exchange swaps, foreign exchange futures, foreign exchange options, and other foreign exchange derivatives [1] - The usage period for the aforementioned amount is within 12 months from the date of approval by the company's shareholders' meeting, with funds being able to be rolled over within this limit and timeframe [1]

Report Summary 1. Investment Rating The report does not provide an industry investment rating. 2. Core View The report suggests that with the decline in the stock index option market and the decrease in volatility, investors can consider selling call options at high prices [1]. 3. Summary of Related Content 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, Shanghai 50 Index, and most ETFs declined, while the closing price of the CSI 1000 Index increased slightly. The trading volumes of most underlying assets decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 250.82 billion shares, a decrease of 50.66 billion shares [1]. - **Option Market Statistics**: The trading volumes of various options decreased significantly, while the open - interest of most options increased. For example, the trading volume of CSI 1000 index options was 264,630, a decrease of 94,783, and the open - interest was 256,493, an increase of 17,161. The VL - PCR and OI - PCR of most options showed different degrees of change [1]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased, such as the Shanghai 50 index option with an ATM - IV of 17.77%, a decrease of 1.27%. The historical volatility (HV) also showed different trends, with some increasing and some decreasing [4]. - **Next - Month Options**: The ATM - IV of most next - month options also decreased, for example, the Shanghai 50 index option with an ATM - IV of 18.90%, a decrease of 1.52% [4]. 3.3 Option Index Data Statistics - **Each Option Type**: The report presents multiple charts for each option type, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can help investors analyze the market conditions of different options [8][12][15].

Group 1 - The core viewpoint of the article discusses the complexity of options trading, highlighting various market trends and strategies involved in trading options [1][2][4]. Group 2 - The main trends in the options market include: - Trend Up: Continuous rise in the price of the underlying asset [2] - Trend Down: Continuous decline in the price of the underlying asset [2] - Range-Bound: Price fluctuations within a narrow range without a clear trend [2] - High Volatility: Significant price fluctuations without a defined direction [2] - Low Volatility: Minimal price fluctuations with slow price changes [2] Group 3 - Key options trading strategies include: - Call Options: Granting the holder the right to buy futures contracts at a specified price when the market price exceeds the strike price [4] - Put Options: Granting the holder the right to sell futures contracts at a specified price when the market price falls below the strike price [4] - Selling Call Options: The seller takes on the obligation to sell futures contracts at an agreed price if the buyer exercises the option [4] - Selling Put Options: The seller takes on the obligation to buy futures contracts at an agreed price if the buyer exercises the option [4] Group 4 - The article emphasizes the importance of risk and return characteristics associated with each option direction, suggesting that investors should consider market conditions and personal risk tolerance when choosing strategies [5]. - Spread strategies, such as bull spreads and bear spreads, are highlighted as methods to manage risk and reduce costs by buying and selling options with different strike prices [6][7]. Group 5 - The impact of time on options trading is discussed, focusing on the concept of "time value," which diminishes as the expiration date approaches [9]. - Buyers of options must consider both the direction and the speed of price movements, as time decay can erode potential profits [9]. - Sellers of options benefit from time decay, as they can earn premiums if the options expire worthless [9]. Group 6 - Options are defined as financial contracts that give the holder the right to buy or sell an underlying asset at a predetermined price within a specific timeframe [10]. - The buyer's maximum loss is limited to the premium paid, while the seller's maximum gain is the premium received, with theoretically unlimited risk [10].

Group 1 - Gold prices experienced a significant decline due to reduced safe-haven demand, with COMEX gold futures dropping to a low of $3368 before closing at $3378 per ounce, a decrease of 0.14% [1] - The China Gold ETF (518850) saw a 0.17% increase, marking four consecutive days of net inflows totaling 87.25 million, while the gold stock ETF (159562) fell by 0.83% [1] - The upcoming Jackson Hole "Global Central Bank Annual Meeting" is anticipated to be crucial, with Federal Reserve Chairman Jerome Powell's speech expected to influence market expectations for a potential rate cut in September [1] Group 2 - A meeting between former President Trump and Ukrainian President Zelensky took place, followed by discussions with European leaders, indicating geopolitical factors influencing market sentiment [1] - The market is currently experiencing heightened expectations for monetary easing, making Powell's upcoming remarks particularly significant for gold price movements [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock index futures market is in an upward trend, with electronics and non - bank finance contributing to the rise of major indices. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. For bond futures, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The commodity market has seen the profitability of term structure and trend momentum factors weaken, while volatility, term basis, and warehouse receipt factors have performed well [3][55][77]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Quantitative Strategy Tracking - **Market Review**: The market is on an upward trend. Electronics and non - bank finance contribute to the rise of CSI 300, SSE 50, and CSI 500 indices, while electronics and power equipment contribute to the rise of CSI 1000 index. The basis of each variety has strengthened significantly, and trading volume has increased month - on - month. IC and IM remain in a contango state [3]. - **Basis Strategy Recommendation**: Due to market sentiment, the basis of each variety has strengthened significantly. In the case of increased market volatility, the impact of market sentiment on the basis increases. For inter - period positive spreads, beware of the risk of large - scale fluctuations in the basis of far - month contracts caused by market speculation. The inter - period momentum signal recommends IC inter - period positive spreads, and the IM inter - period signal turns to reverse spreads. The roll - over strategy recommends holding near - month contracts to avoid short - term basis fluctuations caused by market conditions [3]. - **Arbitrage Strategy Tracking**: In the inter - period arbitrage strategy, the net value of the strategy last week showed mixed results. The annualized basis rate factor made a profit of 0.8%, while the positive spread and momentum factors lost 1.6% and 1.4% respectively (6 - times leverage). The annualized basis rate factor mostly gave reverse spread signals. The net value of the inter - variety arbitrage time - series synthetic strategy lost 0.5% last week, with losses mainly contributed by IF/IH and IC/IM pairings, and the IC/IF pairing made a profit. The latest inter - variety signal recommends a 100% position to go long on IC and short on IF, and a 50% position to go long on IM and short on IC [4]. - **Timing Strategy Tracking**: All models of the daily timing strategy lost last week. The single - factor equal - weight, OLS, and XGB models made a profit of 0.1%, lost 1.6%, and lost 0.8% respectively. The latest signal of the timing model shows that the bullish signal has strengthened. The XGB model is bullish on CSI 300 and CSI 500, and bearish on SSE 50 and CSI 1000. The OLS model is bullish on SSE 50, CSI 300, and CSI 500, and bearish on CSI 1000 [5]. 3.2 Treasury Bond Futures Quantitative Strategy - **This Week's Strategy Focus**: In terms of basis and inter - period spreads, the IRR of bond futures has declined this week, and the inter - period spread has been oscillating strongly. The subsequent positive spread space is limited, and the inter - period spread is expected to oscillate. The interest rate timing signal predicts an upward interest rate, and it is recommended to choose high - duration varieties for hedging. The multi - factor timing strategy signal is neutral. The inter - variety arbitrage strategy signals for TS - T and T - TL are both bullish. The credit bond neutral strategy currently holds the 1 - 3 - year index with reduced duration and hedges with treasury bond futures [55]. 3.3 Commodity CTA Factor and Tracking Strategy Performance - **Commodity Factor Performance**: Last week, the domestic commodity market generally continued the previous week's trend. The number of rising and falling futures products was basically half and half, and the overall risk preference slightly increased. The profitability of term structure and trend momentum factors continued to weaken and declined slightly last week. The best - performing factors were volatility, term basis, and warehouse receipt factors. In the short term, pay attention to the callback of CTA strategy returns caused by trend reversals [77]. - **Tracking Strategy Performance**: Different strategies have different performance indicators. For example, the CWFT strategy has an annualized return of 9.3%, a Sharpe ratio of 1.58, a Calmar ratio of 1.06, a maximum drawdown of - 8.81%, a return of 0.39% in the recent week, and a return of 1.44% since this year [78].