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].

Report Information - Report title: Treasury Bond Derivatives Weekly Report - Report date: August 15, 2025 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Core Viewpoints - Bullish factors include monetary easing expectations providing support, a stable and loose funding environment with the DR007 central rate stable between 1.4% - 1.5%, and a weakened stock - bond seesaw effect reducing the pressure of capital outflows from the bond market [3] - Bearish factors are the increase in government bond supply, which is a short - term supply negative, and the continuous rise in market risk appetite leading to capital withdrawal from the bond market [3] - The trading advisory view is that institutional bond - selection thinking emphasizes the static curve and holding cost - effectiveness [3] Data Analysis Yield and Interest Rate - The report presents the historical data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from April 2024 to April 2025 [4] - It also shows the historical data of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day, as well as the 7 - day reverse repurchase rate from December 2023 to June 2025 [4] Term Spread - The historical data of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from April 2024 to April 2025 are presented [5] Futures Position and Trading Volume - The historical data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures positions from December 2015 to December 2023 are shown [7] - The historical data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures trading volumes from April 2024 to April 2025 are presented [7] Basis and Spread - The historical data of the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided [8][9][10][15] - The historical data of the inter - quarterly spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [12][13][16][17] - The historical data of the cross - variety spreads of TS*4 - T from April 2024 to April 2025 and T*3 - TL from June 2023 to June 2025 are shown [18][19]

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 Financial Engineering Derivatives Research Report Series III"[44] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days, then close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal allocation of principal between 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 to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to August 15, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal amount to short futures contracts of CSI 500, CSI 300, SSE 50, and CSI 1000 indices, occupying the remaining 30% of the funds[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 8 days before selecting a new contract[46] - **Assumptions**: Equal allocation of principal between 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**: - Annualized Return: -3.00% (monthly), -2.17% (quarterly)[48] - Volatility: 3.82% (monthly), 4.71% (quarterly)[48] - Maximum Drawdown: -9.01% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9112 (monthly), 0.9351 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -4.34% (monthly), -1.89% (quarterly)[48] - **CSI 300**: - Annualized Return: 0.42% (monthly), 0.57% (quarterly)[51] - Volatility: 2.97% (monthly), 3.32% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0128 (monthly), 1.0174 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -1.06% (monthly), -0.24% (quarterly)[51] - **SSE 50**: - Annualized Return: 0.98% (monthly), 1.87% (quarterly)[56] - Volatility: 3.08% (monthly), 3.50% (quarterly)[56] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[56] - Net Value: 1.0301 (monthly), 1.0583 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.08% (monthly), 0.89% (quarterly)[56] - **CSI 1000**: - Annualized Return: -6.19% (monthly), -4.65% (quarterly)[60] - Volatility: 4.71% (monthly), 5.76% (quarterly)[60] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[60] - Net Value: 0.8362 (monthly), 0.8654 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: -10.21% (monthly), -5.84% (quarterly)[60] 2. Minimum Basis Strategy - **CSI 500**: - Annualized Return: -1.32%[48] - Volatility: 4.60%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9603[48] - Annual Turnover: 17.36[48] - 2025 YTD Return: -1.85%[48] - **CSI 300**: - Annualized Return: 1.22%[51] - Volatility: 3.10%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0378[51] - Annual Turnover: 15.39[51] - 2025 YTD Return: 0.41%[51] - **SSE 50**: - Annualized Return: 1.64%[56] - Volatility: 3.10%[56] - Maximum Drawdown: -3.91%[56] - Net Value: 1.0509[56] - Annual Turnover: 16.05[56] - 2025 YTD Return: 0.97%[56] - **CSI 1000**: - Annualized Return: -4.02%[60] - Volatility: 5.56%[60] - Maximum Drawdown: -11.11%[60] - Net Value: 0.8720[60] - Annual Turnover: 15.97[60] - 2025 YTD Return: -5.09%[60] --- 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 expectations over different time horizons[62] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market[62] - **Factor Evaluation**: Provides insights into market volatility expectations and serves as a valuable tool for risk management[62] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of tail risks[69] - **Factor Construction Process**: Analyzes the slope of implied volatility to assess market sentiment towards extreme events[69] - **Factor Evaluation**: Useful for identifying market concerns about potential large-scale risks, often referred to as the "Black Swan Index"[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 24.25[62] - CSI 300: 24.25[62] - CSI 500: 28.09[62] - CSI 1000: 27.87[62] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 100.82[70] - CSI 300: 105.10[70] - CSI 500: 99.01[70] - CSI 1000: 109.56[70]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The trading activity in the financial options market has increased, and the bullish sentiment has risen. It is advisable to consider the bull call spread strategy [1] 3. Summary by Relevant Sections 3.1 Option Market Trading Overview - The total daily average call volume across all options is 600.78 million lots, the put volume is 426.02 million lots, and the total volume is 1026.80 million lots. The total daily average call open interest is 482.27 million lots, the put open interest is 487.63 million lots, and the total open interest is 969.91 million lots. The total daily average call turnover is 6.4715821 billion yuan, the put turnover is 2.7525962 billion yuan, and the total turnover is 9.2241783 billion yuan [1] 3.2 Option Volatility Statistics - On the last trading day of the week, for different options such as the SSE 50 Index Option, the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change are presented. For example, the SSE 50 Index Option has an ATM - IV of 17.62% with a 2.39% change, a same - term HV of 8.32% with a - 0.01% change, etc. [3] 3.3 Option Liquidity - Figures show the changes in total trading volume, total open interest, total turnover, total trading market value, and total open interest market value of financial options, as well as the trading volume and open interest proportions of each option variety [1][4][5][7][9] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, last week, the ATM - IV and HV of most options showed signs of convergence (except for the GEM ETF Option which showed signs of divergence). The current ATM - IV values for different options range from 15.06% to 30.13%. There is a positive correlation between the underlying asset and the ATM - IV, with correlation coefficients ranging from 80.22% to 98.09% [10][12][14][17][19][21][25][27][29][31][34][36][37] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. Figures show the PCR trends and daily环比 incremental percentages of different options [38][39][40][41][42][43][44][45][48] 3.6 Market Support and Resistance Levels - The key support and resistance levels for different option underlying assets are provided. For example, the SSE 50 Index has a key support level of 2800 and a resistance level of 3200; the CSI 1000 Index has a key support level of 6000 and a resistance level of 7000, etc. [48]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The trading volume of financial options reached 13.42 million contracts, indicating relatively active trading in the financial options market. The trading volume of most varieties' PCR ratios was significantly lower than 1, suggesting that the call options in the options market were more popular than the put options [1][3]. - The IV of SSE CSI 500 ETF options increased by 0.11%. On the SSE, the VIX indices of various ETF options rose to varying degrees, while on the CFFEX, the VIX index of CSI 1000 index options decreased by 0.28% [1][3]. 3. Summary by Directory 3.1. Market Quick Overview - **Trading Volume and Open Interest**: The report provides the closing price, price change, option trading volume, option open interest, trading volume PCR, and open interest PCR of multiple options, including SSE SSE 50 ETF, SSE CSI 300 ETF, etc. [9]. - **Volatility**: It presents the implied volatility index (VIX), IV price change, skewness index (SKEW), historical volatility (30 - day and 90 - day), and the difference between implied and historical volatility of multiple options. For example, the VIX of SSE SSE 50 ETF options was 17.65, with an IV increase of 0.06% [10]. 3.2. Product Research - **SSE SSE 50 ETF Options**: Various charts are provided, including the volatility smile curve, volatility term structure, VIX index, SKEW index, trading volume PCR, and open interest PCR [16]. - **SSE CSI 300 ETF Options**: Similar to the above, relevant charts for SSE CSI 300 ETF options are presented [19]. - **SSE CSI 500 ETF Options**: Charts such as the volatility smile curve, volatility term structure, etc., are included [23]. - **SSE STAR 50 ETF Options**: The report shows the volatility smile curve, volatility term structure, and other related information [26]. - **SSE STAR - BOARD 50 ETF Options**: Relevant charts for SSE STAR - BOARD 50 ETF options are provided [30]. - **SZSE CSI 300 ETF Options**: Information on volatility smile curve, volatility term structure, etc., is given [33]. - **SZSE CSI 500 ETF Options**: The report presents various charts related to SZSE CSI 500 ETF options [36].

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Report's Core View - The report presents a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) for various types of index options on August 14, 2025 [1][2][3]. 3. Summary by Related Catalogs Option Trading Volume - On August 14, 2025, the trading volumes of different index options were as follows: 127.52 million contracts for SSE 50 ETF options, 109.60 million contracts for SSE CSI 300 ETF options, 128.30 million contracts for SSE CSI 500 ETF options, 12.68 million contracts for Shenzhen 100 ETF options, 309.54 million contracts for ChiNext ETF options, 10.06 million contracts for SSE 50 index options, 21.42 million contracts for CSI 300 index options, and 40.51 million contracts for CSI 1000 index options [1]. Option PCR - The PCR data shows the following: for SSE 50 ETF options, the trading value PCR was 0.43 (a - 0.06 change from the previous period), and the open - interest PCR was 1.16 (+0.12 change). Similar data is provided for other index options, with varying changes in trading value and open - interest PCRs [2][35]. Option VIX - The VIX data indicates that for SSE 50 ETF options, the VIX was 17.65% (+0.07% change from the previous period). Other index options also had their respective VIX values and changes, with some increasing and some decreasing [3][50].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and Treasury bond futures are "volatile and bullish", "volatile", and "volatile and cautious" respectively [7][8][9] 2. Core Viewpoints of the Report - The stock market shows a positive trend, and the bond market sentiment has improved. The sentiment in the equity market has entered a positive feedback loop. Before the September military parade, a positive attitude towards the equity market is maintained. The bond market needs to remain cautious overall, but the financial data structure may support the bullish sentiment in the bond market to some extent [1][3] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Viewpoint**: The Shanghai Composite Index reached a new high, and the trading volume exceeded 2 trillion. The basis, spread, and total positions of IF, IH, IC, and IM contracts changed. The trading volume of the two markets reached a new high, approaching 2.2 trillion. The Shanghai Composite Index broke through the previous high in October 2024, and the ChiNext Index was close to the previous high. Before the September military parade, a positive attitude towards the equity market is maintained due to factors such as the Fed's expected interest - rate cut, policy support, and positive capital flow signals. The short - term strategy is to follow the trend [7] - **Operation Suggestion**: Hold IM contracts [7] 3.1.2 Stock Index Options - **Viewpoint**: Continue to hold the offensive strategy. The equity market continued to fluctuate strongly, and the ChiNext Index rose significantly. The trading volume of options exceeded 10 billion again since April 9th, with the trading volume of ChiNext ETF options increasing by 143.43% in a single day. The option sentiment index strengthened, and the implied volatility increased rapidly. It is recommended to follow the trend and continue to hold the bull spread portfolio [2][7] - **Operation Suggestion**: Continue to hold the bull spread portfolio [2][7] 3.1.3 Treasury Bond Futures - **Viewpoint**: The bond market sentiment has improved. The Treasury bond futures strengthened overall, but the stock market's strength may still have a negative impact on the bond market. The sentiment in the commodity market weakened, reducing the negative impact on the bond market. After continuous adjustments, the wait - and - see sentiment in the bond market increased. The July financial data showed that the social financing growth rate continued to rise, but the RMB loan segment needed further improvement. The financial data structure may support the bullish sentiment in the bond market, but overall, caution is still needed [3][8][9] - **Operation Suggestion**: The trend strategy is to be volatile and cautious. The hedging strategy is to pay attention to short - hedging at low basis levels. The basis strategy may have limited arbitrage space for the main contracts. The curve strategy is to pay attention to steepening the yield curve [9] 3.2 Economic Calendar - The economic data of the United States and China from August 12th to 15th, 2025 are presented, including the US July CPI annual rate, China's July M2 money supply annual rate, and other indicators [10] 3.3 Important Information and News Tracking - **Crude Oil**: The IEA stated that the global oil market will face a record supply surplus next year. OECD countries' oil demand is "resilient" due to low oil prices. The global crude oil processing volume in August is expected to reach a record high, and the observable global oil inventory in June reached a 46 - month high [11] - **Macro - economy**: The central bank released the July financial statistics report. The RMB deposits, loans, and social financing scale from January to July are detailed, including the changes in various sectors and sub - items [11][12] 3.4 Derivatives Market Monitoring - The report includes data on stock index futures, stock index options, and Treasury bond futures, but specific data details are not fully presented in the given text [13][17][29]

与美联储会期挂钩的隔夜指数互换合约在周三晚些时候完全消化了9月联邦公开市场委员会会议将降息 25个基点的预期，联邦基金利率 期货合约出现大量交易。纽约时间下午3点前，联邦基金利率期货8月 和10月合约交易活跃，担保隔夜融资利率 期货2025年9月合约出现大量交易。与美联储9月政策会议挂 钩的OIS利率因此降至日内低点，接近4.08%，显示有一次25个基点降息的可能性为100%。从互换曲线 更远端来看，市场目前预计今年剩余3次FOMC会议合计将降息62个基点，而周二收盘时为59个基点。 ...

（文章来源：证券日报） 证券日报网讯 8月13日晚间，安凯微发布公告称，公司于2025年8月12日召开第二届董事会第十四次会 议、第二届监事会第十次会议，审议通过了《关于开展外汇衍生品交易业务的议案》。公司拟开展总额 度不超过1，000万美元（含等值外币）的外汇衍生品交易，预计使用的交易保证金和权利金总额度上限 不超过1，000万美元（含等值外币），自第二届董事会第十四次会议审议通过之日起12个月内有效，开 展期限内任一时点的交易金额（含前述外汇衍生品交易的收益进行再交易的相关金额）不超过前述总额 度；在前述总额度及有效期限内，资金可以循环滚动使用。本事项无需提交股东大会审议。 ...

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoint The stock index options showed an upward volatility increase, with a significant rise in skewness. It is advisable to consider the bullish call spread strategy [1]. 3. Summary of Different Parts Market Data Statistics - **Underlying Market**: Included the closing price, change, trading volume, and change in trading volume of various indexes and ETFs such as the Shanghai Composite 50 Index, CSI 300 Index, and Shenzhen Component 100 ETF. Also presented the synthetic futures and basis of the current and next months [1]. - **Option Market**: Provided the trading volume, change, open interest, change, VL - PCR, OI - PCR, and the maximum positions of call and put options (near - month) for different stock index options and ETF options, like the Shanghai Composite 50 Index option and Huatai - Ba瑞 300ETF option [1]. Option Volatility Statistics - **Near - month**: Showed the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change for various options, including the Shanghai Composite 50 Index option and CSI 1000 Index option [4]. - **Next - month**: Displayed the ATM - IV, IV change, same - term HV, HV change, Skew, and Skew change for different options [4]. Option Charts - **Shanghai Composite 50 Index Option**: Included the full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [8]. - **CSI 300 Index Option**: Had the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [12][13]. - **CSI 1000 Index Option**: Contained the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [15][17]. - **ETF Options**: Each type of ETF option (such as Shanghai Composite 50ETF option, Huatai - Ba瑞 300ETF option) had corresponding main - contract volatility charts, full - contract PCR charts, main - contract skewness charts, volatility cone charts, and volatility term - structure charts [19][23][34].