Report Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Views - As of the week ending November 21, index futures declined. IH2511 dropped 2.49%, IF2511 fell 3.38%, IC2511 decreased 5.17%, and IM2511 declined 5.02%. Geopolitical tensions and overseas tech - stock corrections, along with the weakening of the Fed's rate - cut expectations, pressured investors' risk appetite [1]. - The high - frequency macro - fundamental factor scores for index futures are: inflation indicator 8 points, liquidity indicator 8 points, valuation indicator 11 points, and market sentiment indicator 9 points. For treasury bond futures, the inflation indicator is 8 points, the liquidity indicator is 10 points, and the market sentiment indicator is 8 points [1]. - The weighted annualized basis rates (dividend - adjusted) of IH, IF, IC, and IM at the end of the period were - 3.35%, - 5.92%, - 9.19%, and - 9.89% respectively. The basis rates of IC and IM contracts were above the 50th percentile in the past year, showing significant divergence in the basis trends of index futures [1]. - The net value of the financial derivatives quantitative CTA strategy rose slightly by 0.21% last week. In the long - term, most economic data indicate weakening growth, pressuring index futures. In the short - term, high - frequency real estate and consumption remain weak, the exchange rate is at a low level, and the capital market remains relatively loose, resulting in a relatively limited short - term decline [1]. - For index futures, the risk appetite is at a six - month low, IF and IH are relatively neutral, and the overall comprehensive signal is below neutral. For treasury bond futures, the capital market remains loose, the market risk appetite is conducive to the bond market's recovery, but the stock - bond seesaw effect is not significant, and the bond market is insensitive to fundamental feedback. The position factor has declined, and institutional year - end allocation behavior has not yet emerged intensively, with the comprehensive signal in a neutral oscillation [1]. Summary by Related Catalogs Macro - fundamental High - frequency Factor Scores - Economic kinetic energy: The scores for index futures and treasury bond futures are 8 and 0 respectively (on a scale of 0 - 10). Different indicators such as blast furnace开工率, PTA开工率, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [2]. - Inflation indicators: The scores for both index futures and treasury bond futures are 8 (on a scale of 0 - 10). Various inflation - related indicators like the vegetable basket product wholesale price index, coking coal index, etc., have different week - on - week changes, historical percentiles, and correlations with stock and bond indices [3]. - Liquidity: The score for index futures is 9 (on a scale of 0 - 10). Indicators such as DR007, DR001, etc., show different week - on - week changes, historical percentiles, and correlations with stock and bond indices [4]. - Index valuation: The score for index futures is 10 (on a scale of 0 - 10). Valuation indicators such as PE, PS, etc., have different week - on - week changes, historical percentiles, and correlations with stock indices [5]. - Market sentiment: For stock indices, the score is 9 (on a scale of 0 - 10), and for bonds, the score is 8 (on a scale of 0 - 10). Different sentiment - related indicators such as margin trading balances, bond yields, etc., show various week - on - week changes, historical percentiles, and correlations with stock and bond indices [6][7]. Strategy Introduction - The variety pool includes index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and macro - economic low - frequency indicators. The position is synthesized based on institutional long and short positions [16]. - The comprehensive signal strength is weighted by three independent models (0 - 1). Contracts with the top 2 comprehensive signal strengths and values greater than or equal to 0.6 are considered for long positions, and those with the bottom 2 and values less than or equal to 0.4 are considered for short positions. Position data signals are shielded 7 days before delivery [17]. Treasury Bond Futures Cross - variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model uses the Nelson - Siegel instantaneous forward - rate function, and signals are classified into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), '- 1' (large spread may increase). The trend regression model filters signals, and trading occurs when there is resonance. In practice, a 1:1.8 ratio is used for the 10 - 5Y spread adjustment [20]. - For TF and T main contracts, different dates show different signals from the N - S model and the trend regression model [23].

Core Viewpoint - The article argues that the notion of "stock index futures settlement day must decline" is a baseless myth in the capital market, akin to historical witch hunts, aimed at misleading retail investors into selling their stocks prematurely [1][3][5]. Group 1: Market Analysis - Historical data from the S&P 500 index shows that on "Quadruple Witching Days," the index has risen 65% of the time over the past 30 years, with an average fluctuation of only 0.23%, contradicting the idea of a "must decline" phenomenon [7]. - In the A-share market, from 2015 to 2025, the Shanghai Composite Index rose on 58 out of 120 settlement days, with an average fluctuation of ±0.52%, indicating no significant downward trend [7][9]. - The probability of the CSI 300 index rising on settlement days is only 46%, with extreme fluctuations exceeding 2% occurring only 5 times, representing 4.2% of the total [7]. Group 2: Market Mechanisms - The trading volume of stock index futures on settlement days is minimal compared to the total market capitalization of 106 trillion yuan, making it unlikely to significantly impact the market [9][11]. - The settlement price for A-share stock index futures is based on the arithmetic average of the last two hours of the cash index, making manipulation nearly impossible due to the required capital and regulatory oversight [11][13]. - The monthly settlement system in the A-share market is designed to avoid conflicts with major financial reports and macroeconomic data releases, which is a strategic choice rather than a disadvantage [11][13]. Group 3: Investor Behavior - A survey by the China Financial Futures Exchange in 2024 indicated that over 70% of investors support maintaining the current settlement model, with less than 7% advocating for a shift to quarterly settlements [13]. - The article emphasizes that the so-called "witch hunt" in the capital market exploits retail investors' fears, leading them to make irrational decisions based on misinformation [15].

Section 1: Report Overview - The report, titled "Stock Index Options Data Daily Report", is provided by the Research Institute of Guomao Futures on November 21, 2025, with data sourced from Wind and the institute itself [2][3] Section 2: Market Review Index Performance - The Shanghai Composite Index closed down 0.4% at 3931.05 points, the Shenzhen Component Index fell 0.76%, the ChiNext Index dropped 1.12%, the Beijing Stock Exchange 50 declined 1.07%, the Science and Technology Innovation Board 50 decreased 1.24%, the Wind All A fell 0.66%, the Wind A500 dropped 0.62%, and the CSI A500 declined 0.67%. A - shares traded 1.72 trillion yuan throughout the day, compared to 1.74 trillion yuan the previous day [5] - The Shanghai 50 index had a trading volume of 1009.82 billion, a closing price of 3008.2904, a decline of 0.54, and a turnover of 194.56 billion yuan; the CSI 300 index had a trading volume of 4564.9483 billion, a closing price of 3567.12, a decline of 18.19, and a turnover of 227.54 billion yuan; the CSI 1000 index had a trading volume of 7340.4118 billion, a closing price of 6999.7818, a decline of 44.89, and a turnover of 4150.65 billion yuan [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Volume PCR | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | Shanghai 50 | 3.27 | 5.53 | 0.60 | 3.47 | 2.07 | 0.74 | | CSI 300 | 17.28 | 6.54 | 0.61 | 13.10 | 10.24 | 0.78 | | CSI 1000 | 33.92 | 0.78 | 0.89 | 16.23 | 19.11 | 0.89 | [3] Section 3: Volatility Analysis Shanghai 50 Volatility - The historical volatility of the Shanghai 50 index is analyzed through the historical volatility cone, including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values. The volatility smile curve shows the next - month at - the - money implied volatility [3][4] CSI 300 Volatility - The historical volatility of the CSI 300 index is presented using the historical volatility cone with various quantile values. The volatility smile curve depicts the next - month at - the - money implied volatility [3][4] CSI 1000 Volatility - The historical volatility of the CSI 1000 index is analyzed via the historical volatility cone, and the volatility smile curve shows the next - month at - the - money implied volatility [3][4]

1. Report Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Core Viewpoints of the Report - In the stock index futures market, use a dumbbell structure to cope with the market. The market is expected to be under pressure and stable before the main line becomes clear. December中下旬 may be a potential turning point. In the short term, use a dumbbell structure to deal with the market [1][7]. - In the stock index options market, adopt a covered call strategy for defense. The market style is rotating, and no capital main line has been formed yet. It is recommended to continue holding the covered call strategy [2][7]. - In the treasury bond futures market, the funding factor may support the bullish sentiment. The bond market is currently volatile, and the market space may not be opened yet. Towards the end of the year, the bond market allocation power may remain strong, and there is a possibility of further implementation of loose monetary policies. The bond market is expected to be volatile with a bullish bias [3][7][10]. 3. Summary by Relevant Catalogs 3.1 Market Views Stock Index Futures - **Viewpoint**: Use a dumbbell structure to cope with the market. The IF, IH, IC, and IM contracts have different basis and spread changes, and the total positions have also changed. The market is expected to be under pressure and stable before the main line is clear. December中下旬 may be a potential turning point. Short - term strategy is to hold IM + dividend [7]. - **Logic**: The equity market on Thursday continued to be weak, with coal, new energy, and petrochemical sectors leading the decline. The trading volume of the price - increase chain is at a high level, and the divergence among funds has intensified. The trading volume is around 1.7 trillion, and the turnover rate is at the bottom, indicating low participation. After the overnight rebound of the US and Japanese stocks, the market preference continued to decline, implying a strong profit - taking demand [1][7]. Stock Index Options - **Viewpoint**: Adopt a covered call strategy for defense. The total turnover of each option variety decreased by 6.70%, and the liquidity is at a relatively low level since October. The trading volume decline indicates that the market is not overly pessimistic. It is recommended to continue holding the covered call strategy [2][7]. - **Logic**: The equity index fluctuated weakly yesterday, with the Shanghai Composite Index falling 0.40%. The market style is rotating, and no capital main line has been formed [2][7]. Treasury Bond Futures - **Viewpoint**: The funding factor may support the bullish sentiment. The trading volume, open interest, spreads, and basis of T, TF, TS, and TL contracts have changed. The bond market is currently volatile, and towards the end of the year, it is expected to be volatile with a bullish bias. Operational suggestions include trend strategy (volatile with a bullish bias), hedging strategy (pay attention to long - position substitution at high basis), basis strategy (pay attention to basis widening), and curve strategy (the curve may remain steep) [7][8][10]. - **Logic**: Treasury bond futures rose and fell differently yesterday. The central bank conducted 300 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 10 billion yuan. Due to the weakening of tax - period factors, the funding situation has eased, and the funding rate has declined slightly, which may support the bullish sentiment, especially for the short - end. The long - end TL variety may be affected by the expectation of intensified real - estate policies [3][7][10]. 3.2 Economic Calendar - The report lists the economic data of the EU, China, and the US from November 19 - 20, 2025, including CPI, core CPI, LPR, unemployment claims, non - farm payrolls, and unemployment rate [11]. 3.3 Important Information and News Tracking - Chinese Vice Premier He Lifeng conducted research in Hubei and Hunan from November 18 - 20, emphasizing the promotion of foreign trade quality improvement, the construction of a high - standard logistics system, and the support of high - quality development of the manufacturing industry [12]. - Shenzhen will conduct a bond auction on November 24. The 2025 Shenzhen Special Bond (Sixty - fourth Issue) plans to issue 6.52 billion yuan with a 10 - year term, and the funds are intended for the Shenzhen government investment guidance fund. This year, many places have issued special bonds to local government investment funds, with a total scale exceeding 50 billion yuan [13][14]. - Since November, more than 15 bond funds have suffered large - scale redemptions, mainly pure - bond funds. The new - issue market for bond funds is also cold. In contrast, equity products have shown strong capital - attracting ability, with a net subscription of 143.623 billion yuan for equity ETFs since October [14]. 3.4 Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided in the text.

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The implied volatility of stock index options is decreasing, and stock index options are approaching expiration [2]. 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, Shanghai - Shenzhen related ETFs all decreased. For example, the Shanghai - Shenzhen 300 Index closed at 4564.95, down 23.34; the CSI 1000 Index closed at 7340.41, down 46.80. The trading volumes of most underlying assets changed, with some increasing and some decreasing [3]. - **Option Market Statistics**: The trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai - Shenzhen 300 Index options was 172,768, up 6704; the open interest was 233,386, down 1521. The VL - PCR and OI - PCR of different options varied, such as the VL - PCR of Shanghai - Shenzhen 300 Index options was 60.97%, and the OI - PCR was 78.20% [3]. 3.2 Option Volatility Statistics - **Near - month Options**: The ATM - IV, IV changes, and other volatility - related indicators of different options showed different trends. For example, the ATM - IV of Shanghai - Shenzhen 300 Index options was 15.02%, up 1.08%; the ATM - IV of Shanghai - Shenzhen 300 ETF options was 15.82%, down 0.13% [6]. - **Next - month Options**: Similar to near - month options, the ATM - IV and other indicators of next - month options also had different changes. For instance, the ATM - IV of Shanghai - Shenzhen 300 Index options was 16.40%, down 0.54% [6]. 3.3 Option Index Data Statistics - No specific analysis content is provided, only the table title is given [7]. 3.4 Different Option Types Analysis - **Shanghai 50 Index Options**: Multiple charts are provided, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can be used to analyze the market situation of Shanghai 50 Index options [10]. - **Shanghai - Shenzhen 300 Index Options**: Similar to Shanghai 50 Index options, multiple charts are used to analyze the market situation of Shanghai - Shenzhen 300 Index options, such as the full - contract PCR chart and the main - contract volatility chart [14][16]. - **CSI 1000 Index Options**: The report presents relevant charts for CSI 1000 Index options to help analyze its market characteristics [20][21]. - **Shanghai 50 ETF Options**: Various charts are provided to analyze the market of Shanghai 50 ETF options, including the main - contract volatility chart and the full - contract PCR chart [24][26]. - **Huatai - Baorui 300 ETF Options**: Multiple charts are used to analyze the market situation of Huatai - Baorui 300 ETF options [28][30]. - **Southern CSI 500 ETF Options**: The report uses charts to analyze the market of Southern CSI 500 ETF options [32][33]. - **Huaxia Science and Technology Innovation 50 ETF Options**: Relevant charts are provided for the analysis of Huaxia Science and Technology Innovation 50 ETF options [42][43]. - **E Fund Science and Technology Innovation 50 ETF Options**: Multiple charts are used to analyze the market situation of E Fund Science and Technology Innovation 50 ETF options [46][51]. - **Harvest 300 ETF Options**: The report presents charts to analyze the market of Harvest 300 ETF options [54][55]. - **Harvest CSI 500 ETF Options**: Various charts are used to analyze the market situation of Harvest CSI 500 ETF options [59][60]. - **Growth Enterprise Market ETF Options**: Multiple charts are provided to analyze the market of Growth Enterprise Market ETF options [64][66]. - **Shenzhen 100 ETF Options**: The report uses charts to analyze the market situation of Shenzhen 100 ETF options [68][70].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The implied volatility of stock index options is declining, and stock index options are approaching maturity [2] 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index all declined. Trading volumes for most indexes and ETFs had significant changes. For example, the Shanghai Composite 50 Index had a trading volume of 54.04 billion shares, a change of 5.84 billion shares [3]. - **Option Market Statistics**: Trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai Composite 50 Index options was 55,319, with an increase of 7,001, and the open interest was 76,915, with an increase of 319 [3]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options changed. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.95%, with an increase of 0.08%. The historical volatility (HV) of some options decreased, like the HV of Shanghai Composite 50 ETF options decreased by 3.15% to 7.96% [6]. - **Next - Month Options**: Similar to near - month options, the ATM - IV and HV of next - month options also had different changes. For example, the ATM - IV of Shanghai Composite 50 Index next - month options was 14.49%, with a decrease of 0.59% [6]. 3.3 Option Index Data Statistics - Not provided in the report 3.4 Option Charts - **Shanghai Composite 50 Index Options**: There are charts showing the PCR, skew, volatility cone, and volatility term structure of Shanghai Composite 50 Index options, which can help analyze the market sentiment and volatility characteristics of these options [10][12] - **CSI 300 Index Options**: Similar to Shanghai Composite 50 Index options, there are corresponding charts for CSI 300 Index options to analyze their market conditions [14][16] - **CSI 1000 Index Options**: The report provides charts for CSI 1000 Index options to assist in market analysis [18][21] - **ETF Options**: There are also various charts for different ETF options, such as Shanghai Composite 50 ETF options, Huatai - Peregrine 300 ETF options, etc., to analyze their market performance [24][26]

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - For stock index futures, adopt a defensive allocation strategy as the equity market is weak. The inflow of funds into the price - rising chain has slowed, and the market is in an observation period for sector rotation, with risk preference declining [1][7]. - For stock index options, continue to hold covered strategies for defense. The market sentiment has stabilized, but there is no clear capital main - line yet [2][8]. - For treasury bond futures, the market divergence is large. Although the bond market has been weak recently, it is expected to be oscillating with an upward bias towards the end of the year due to potential broad - money policies and strong allocation demand [3][8][9]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Data**: IF, IH, IC, IM's current - month contract basis points are - 4.89, - 2.35, - 6.15, 3.19 respectively, with a change of - 6.30, - 2.93, - 7.93, 5.69 points compared to the previous period. Their current - month and next - month contract spreads are 18.2, 7.0, 61.8, 92.2 points respectively, with a change of 3.6, 1.0, - 11.2, - 1.6 points. The total positions of IF, IH, IC, IM changed by - 6521, - 2454, - 5507, 2119 hands [7]. - **Logic**: The equity market was weak on Wednesday. The All - A index fell 0.3%, with over 4000 stocks declining. Only the price - rising chain and banks were resilient. The inflow of funds into the price - rising chain has slowed, and the market is in a sector rotation observation period, so a short - term cautious allocation is recommended [7]. - **Operation Suggestion**: Hold IM + Dividend [7]. 3.1.2 Stock Index Options - **Data**: The trading volume of each option variety increased slightly by 1.08%, with liquidity rising for 4 consecutive trading days but the increase rate slowing. The sentiment index (PCR of open interest) recovered, and the implied volatility decreased by an average of 1.14% [2][8]. - **Logic**: The equity index was oscillating and differentiated, with the Shanghai Composite Index rising 0.18%. Since there is no clear capital main - line, continue to hold covered strategies for defense [2][8]. - **Operation Suggestion**: Covered strategy [8]. 3.1.3 Treasury Bond Futures - **Data**: The trading volumes of T, TF, TS, TL's current - quarter contracts are 66875, 54572, 28995, 100953 hands respectively, with a 1 - day change of 3202, 2656, - 5728, 11525 hands. Their open interests are 154751, 88573, 42295, 80575 hands respectively, with a 1 - day change of - 22730, - 12266, - 7951, - 16039 hands. Other data such as spreads and basis points are also provided [8]. - **Logic**: Treasury bond futures closed down across the board. The bond market was weak but the decline was not large, mainly due to market divergence on the central bank's broad - money operations. Towards the end of the year, the bond market is expected to be oscillating with an upward bias [3][8][9]. - **Operation Suggestion**: Trend strategy: oscillating with an upward bias; Hedging strategy: pay attention to long - position substitution at high basis points; Basis strategy: pay attention to basis widening; Curve strategy: the curve may remain steep [9]. 3.2 Economic Calendar - It includes data such as the Eurozone's CPI in October (both month - on - month and year - on - year), the US retail sales and CPI in October, and the US unemployment - related data from September to November [10]. 3.3 Important Information and News Tracking - In October, the consumer market maintained a steady growth trend, with the total retail sales of consumer goods reaching 4.63 trillion yuan, a year - on - year increase of 2.9%. From January to October, the total retail sales of consumer goods were 41.2 trillion yuan, a 4.3% increase [11]. - The Ministry of Finance has pre - allocated part of the central - fiscal subsidy funds for urban affordable housing projects in 2026 [11]. 3.4 Derivatives Market Monitoring - **Stock Index Futures Data**: Not detailed in the provided content [12]. - **Stock Index Options Data**: Not detailed in the provided content [16]. - **Treasury Bond Futures Data**: Not detailed in the provided content [28].

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。 ...