1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The stock market continues with the allocation strategy, while the sentiment in the bond market remains weak [2]. - For stock index futures, the Shanghai Composite Index is approaching its previous high. The market is not sensitive to negative factors in the short - term and will continue with the allocation strategy. If the Shanghai Composite Index breaks through upward, the small - cap factor will be more dominant [3]. - For stock index options, the market is recommended to switch to a bull spread portfolio as the market has made some upward breakthroughs [3]. - For treasury bond futures, the market is weak. Although there was some recovery in early August, the bullish sentiment is unstable and policy factors may cause significant disturbances, so caution is needed [4]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Viewpoint**: The Shanghai Composite Index is approaching its previous high. The basis of IF, IH, IC, and IM current - month contracts are 0.57 points, 2.79 points, - 8.96 points, and - 9.41 points respectively, with a month - on - month change of 7.09 points, 4.28 points, 14.60 points, and 8.93 points. The spreads between current - month and next - month contracts are 13.2 points, 0.2 points, 66.6 points, and 70.6 points respectively, with a month - on - month change of 2.0 points, 1.2 points, - 2.8 points, and - 3.8 points. The total open interest of IF, IH, IC, and IM changed by - 8595 lots, - 1720 lots, - 9999 lots, and - 20490 lots respectively [9]. - **Logic**: The equity market continued its upward trend on Tuesday. The strong sentiment is related to the China - US trade joint statement. Large - cap stocks performed prominently, which may be due to the need for large - cap stocks to support the index's upward breakthrough and the entry of large institutional funds. The market is recommended to hold IM [3][9]. 3.1.2 Stock Index Options - **Viewpoint**: Continue to hold the offensive strategy. The overall market trading volume decreased slightly, with most varieties having reduced liquidity, while the ChiNext and STAR Market - related varieties remained active. The option sentiment index strengthened significantly, and the implied volatility of call options increased rapidly at the end of the session, suggesting the entry of buyers [3][9]. - **Logic**: As the market has made an upward breakthrough, it is recommended to switch to a bull spread portfolio [3][9]. 3.1.3 Treasury Bond Futures - **Viewpoint**: The sentiment in the bond market remains weak. The T, TF, TS, and TL main contracts fell by 0.04%, 0.00%, 0.02%, and 0.31% respectively. The 10 - year and 30 - year treasury bond yields rose to 1.727% and 2.017% respectively [4][9]. - **Logic**: The improvement in risk appetite suppresses the bond market. The stock and commodity markets are strong, and the "stock - bond seesaw" has a negative impact on the bond market. The central bank conducted 114.6 billion yuan of reverse repurchase operations, resulting in a small net withdrawal of funds and a slight increase in capital interest rates. Policy factors such as "anti - involution" and stable growth are negative for the bond market. It is recommended to be cautious in the trend strategy, pay attention to short - hedging at low basis levels in the hedging strategy, note that the arbitrage space for main contracts may be small in the basis strategy, and pay attention to steepening the yield curve in the curve strategy [4][9][10]. 3.2 Economic Calendar - The US July CPI annual rate (unadjusted) was 2.7%, the same as the previous value and lower than the forecast of 2.8% [12]. - The forecast values for China's July M2 money supply annual rate, July new RMB loans (year - to - date), and July social financing scale (year - to - date) are 8.4%, 13.205 trillion yuan, and 24.3565 trillion yuan respectively [12]. - The forecast values for the US July PPI annual rate and China's July total retail sales of consumer goods annual rate are 2.5% and 4.6% respectively [12]. 3.3 Important Information and News Tracking - US President Trump demanded that Federal Reserve Chairman Powell cut interest rates immediately and criticized his performance. Trump is considering allowing relevant lawsuits against Powell to proceed [13]. - The Ministry of Finance, the People's Bank of China, and the National Financial Regulatory Administration issued the Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans, providing interest subsidies for eligible personal consumption loans from September 1, 2025, to August 31, 2026 [14]. - OPEC maintained its 2025 global crude oil demand growth forecast at 1.29 million barrels per day, adjusted the 2026 forecast from 1.28 million barrels per day to 1.38 million barrels per day. It also adjusted some economic growth forecasts [15]. - The National Healthcare Security Administration announced the list of drugs that passed the preliminary formal review for the 2025 adjustment of the national basic medical insurance, maternity insurance, work - related injury insurance drug catalog, and commercial insurance innovative drug catalog. Passing the preliminary review only means meeting the application conditions and does not guarantee inclusion in the catalog [15][16]. 3.4 Derivatives Market Monitoring No specific data is provided in the text for in - depth summary.

General Information - The report date is August 11, 2025 [1] - The core view is that for stock index options, with the upward movement and decreasing volatility, a covered call strategy can be considered [1] Market Data Statistics Underlying Market Statistics - The closing price of the Shanghai Stock Exchange 50 Index was 2789.90, up 0.72, with a trading volume of 43.48 billion hands, an increase of 4.56 billion hands. The current - month synthetic futures price was 2790.47, with a basis of 0.57, and the next - month synthetic futures price was 2793.13, with a basis of 3.24 [2] - The closing price of the CSI 300 Index was 4122.51, up 17.54, with a trading volume of 190.44 billion hands, an increase of 17.27 billion hands. The current - month synthetic futures price was 4119.40, with a basis of - 3.11, and the next - month synthetic futures price was 4109.87, with a basis of - 12.64 [2] - The closing price of the CSI 1000 Index was 6943.94, up 105.81, with a trading volume of 260.97 billion hands, an increase of 9.50 billion hands. The current - month synthetic futures price was 6926.33, with a basis of - 17.60, and the next - month synthetic futures price was 6860.13, with a basis of - 83.80 [2] Option Market Statistics - For the Shanghai Stock Exchange 50 Index Option, the trading volume was 44922, an increase of 15604, the open interest was 78144, an increase of 3462, VL - PCR was 59.91%, OI - PCR was 53.47%, the C - maximum open interest (near - month) was 2800, and the P - maximum open interest (near - month) was 2750 [2] - For the CSI 300 Index Option, the trading volume was 116426, an increase of 37090, the open interest was 211865, an increase of 2426, VL - PCR was 55.35%, OI - PCR was 75.11%, the C - maximum open interest (near - month) was 4150, and the P - maximum open interest (near - month) was 4100 [2] - For the CSI 1000 Index Option, the trading volume was 321756, an increase of 105966, the open interest was 294708, an increase of 1052, VL - PCR was 77.77%, OI - PCR was 115.94%, the C - maximum open interest (near - month) was 7000, and the P - maximum open interest (near - month) was 6500 [2] Option Volatility Statistics Near - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 11.76%, with an IV change of 0.07%, the same - term HV was 3.67%, with an HV change of - 3.47%, Skew was 3.19%, with a Skew change of 4.83%, and VIX was 17.79, with a VIX change of 0.750 [5] - The ATM - IV of the CSI 300 Index Option was 11.12%, with an IV change of - 0.13%, the same - term HV was 4.46%, with an HV change of - 2.43%, Skew was 3.96%, with a Skew change of 15.32%, and VIX was 17.71, with a VIX change of 0.081 [5] - The ATM - IV of the CSI 1000 Index Option was 16.44%, with an IV change of - 0.36%, the same - term HV was 13.83%, with an HV change of 3.68%, Skew was 0.27%, with a Skew change of 6.94%, and VIX was 22.28, with a VIX change of 0.321 [5] Next - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 14.13%, with an IV change of 0.11%, the same - term HV was 8.00%, with an HV change of - 0.01%, and Skew was 9.40%, with a Skew change of 5.12% [5] - The ATM - IV of the CSI 300 Index Option was 14.25%, with an IV change of - 0.14%, the same - term HV was 8.70%, with an HV change of 0.04%, and Skew was 7.35%, with a Skew change of 3.52% [5] - The ATM - IV of the CSI 1000 Index Option was 18.15%, with an IV change of 0.13%, the same - term HV was 10.81%, with an HV change of 0.66%, and Skew was 0.20%, with a Skew change of 1.21% [5] Option Types and Related Charts Shanghai Stock Exchange 50 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [9] CSI 300 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [13] CSI 1000 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [17] Shanghai Stock Exchange 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [21] Huatai - Peregrine 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [28] Southern CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [38] ChinaAMC STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [43] E Fund STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [53] Harvest 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [57] Harvest CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [59] ChiNext ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [66] Shenzhen 100ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [68]

Report Summary 1. Report's Industry Investment Rating - No relevant information provided. 2. Core View of the Report - No clear core view is presented in the provided content. 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite Index closed down 0.12% at 3,635.13 points, the Shenzhen Component Index fell 0.26%, the ChiNext Index dropped 0.38%, the Northern Securities 50 declined 1.22%, the Science and Technology Innovation 50 tumbled 1.39%, the Wind All - A fell 0.22%, the Wind 8500 dropped 0.25%, and the CSI A500 declined 0.24%. A - share trading volume was 1.74 trillion yuan, compared with 1.85 trillion yuan the previous day [10]. - **Specific Index Data**: The Shanghai 50 closed at 2,789.1744, down 0.33%, with a trading volume of 82.805 billion yuan and a turnover of 3.892 billion; the CSI 300 closed at 4,104.9669, down 0.24%, with a trading volume of 308.508 billion yuan and a turnover of 17.317 billion; the CSI 1000 closed at 6,838.1299, down 0.35%, with a trading volume of 381.545 billion yuan and a turnover of 25.147 billion [4]. 3.2 CFFEX Stock Index Option Trading Situation | Index | Put Option Volume (10,000 contracts) | Call Option Volume (10,000 contracts) | PCR | Option Open Interest (10,000 contracts) | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | Shanghai 50 | 1.08 | 1.86 | 0.58 | 7.47 | 4.76 | 2.71 | 0.57 | | CSI 300 | 3.01 | 4.93 | 0.61 | 20.94 | 11.95 | 8.99 | 0.75 | | CSI 1000 | 10.09 | 11.48 | 0.88 | 29.37 | 14.04 | 15.33 | 1.09 | [4] 3.3 Volatility Analysis - **Shanghai 50**: Historical volatility is presented with different percentile values and current values. The next - month at - the - money implied volatility has a volatility smile curve [8][9]. - **CSI 300**: Similar to the Shanghai 50, historical volatility and the next - month at - the - money implied volatility's smile curve are provided [9]. - **CSI 1000**: Historical volatility and the next - month at - the - money implied volatility's smile curve are also shown [10].

AI播客：换个方式听新闻 下载mp3 音频由扣子空间生成 在近期令人失望的美国经济数据公布后，期权交易员正利用澳元和欧元等货币来表达他们看空美元的观 点。 渣打银行驻新加坡的外汇期权全球主管Saurabh Tandon表示，在非农就业数据公布后，欧元兑美元和澳 元兑美元的看涨期权已出现"大量兴趣"。他说，市场现在"正聚焦于即将发生的事件"，例如美国通胀数 据和美联储的杰克逊霍尔研讨会。 澳元正受到澳洲联储在宽松政策上"谨慎渐进"的立场以及风险情绪改善的支撑。欧元则因市场预期地区 国防开支的增加将支持欧元区经济，以及欧洲央行听起来更鹰派而吸引力大增。与此同时，随着数据显 示美国7月份就业增长不及预期，且前几个月的数据也被向下修正，美元的前景看起来更加坎坷。 看涨澳元和欧元期权的增加，表明市场越来越相信美元将进一步走弱，同时也显示出，在关税风险和世 界最大经济体数据恶化的背景下，交易员在头寸布局上变得更具选择性。一些投资者在各国开始与美国 达成贸易协议后，曾一度转为看涨美元，而这标志着该势头的逆转。 加拿大皇家银行资本市场的外汇期权交易主管Jamie Sanders说，"在欧盟-美国贸易协议宣布后，我们曾 看到通 ...

Core Insights - The bond market is experiencing high volatility, with interest rate derivatives becoming essential tools for risk management [1] - Among various interest rate derivatives, interest rate swaps are favored for their ability to directly hedge interest rate risks and their broad applicability [1] Market Growth - The RMB interest rate swap market has shown significant activity in the first half of the year, with a total of 201,000 transactions, reflecting a 22.7% increase in daily average transactions [3] - The nominal principal amount reached 20.9 trillion yuan, with a daily average transaction of 174.51 billion yuan, marking a 28.9% increase [3] - The number of institutions registered for RMB interest rate swap business has exceeded 800, indicating a growing participation in the market [3] Risk Management Functionality - The tightening liquidity in the first quarter has led market participants to prioritize hedging strategies, especially as the bond market transitions from a bull market to increased volatility [4] - Financial institutions are increasingly utilizing interest rate swaps to mitigate investment volatility in a turbulent market environment [4] - The introduction of the "Northbound Swap Connect" 30-year contract provides overseas investors with long-term interest rate risk hedging tools, addressing the needs of pension funds, life insurance companies, and sovereign funds [4]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the stock index option market on August 8, 2025, there was a downward trend in volatility, and the positive skew declined. It is recommended to consider selling call options [1] 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs generally declined. For example, the Shanghai Composite 50 Index closed at 2789.17, down 9.14 points; the CSI 300 Index closed at 4104.97, down 9.70 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 38.92 billion hands, a decrease of 3.41 billion hands [2] - **Option Market Statistics**: Trading volumes of most option contracts decreased, while some open interest increased. For instance, the trading volume of Shanghai Composite 50 Index options was 29,318, a decrease of 3,056, and the open interest was 74,682, a decrease of 361 [2] - **Option Volatility Statistics**: The implied volatility (IV) of most options decreased, and the historical volatility (HV) showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index options was 11.69%, a decrease of 0.06%, and the 20 - day HV was 6.72%, a decrease of 2.69% [5] 3.2 Option Analysis by Type - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR, main - contract skew, volatility cone, and volatility term structure charts [8][9] - **CSI 300 Index Options**: Similar analysis methods were used as the Shanghai Composite 50 Index options, including full - contract PCR, main - contract skew, volatility cone, and volatility term structure [12][13] - **CSI 1000 Index Options**: Analyzed using full - contract PCR, main - contract skew, volatility cone, and volatility term structure [15][16] - **ETF Options**: Options such as Shanghai Composite 50 ETF, Huatai - Baorui 300 ETF, and others were analyzed in terms of full - contract PCR, main - contract skew, volatility cone, and volatility term structure [19][20][24]

Group 1: Market Overview - The Hang Seng Index closed at 24,858 points, with bearish investors indicating a target drop to 24,500 points next week [1] - Technical signals for the index are neutral, with 9 sell signals, 4 buy signals, and 10 neutral signals [1] - Key support and resistance levels are identified at 24,395 points and 25,355 points respectively [1] Group 2: China Mobile (00941.HK) - China Mobile's stock price closed at HKD 89.6, breaking through the middle line of the Bollinger Bands [3] - The stock has resistance levels at HKD 90.1 and HKD 93.4, with a neutral technical analysis signal [3] Group 3: Conch Cement (00914.HK) - Conch Cement's stock price closed at HKD 23.86, showing a significant upward movement and stabilizing above the middle line of the Bollinger Bands [6] - The stock has 2 sell signals, 10 buy signals, and 11 neutral signals, with a resistance level at HKD 24.9 [6] Group 4: Ganfeng Lithium (01772.HK) - Ganfeng Lithium's stock price has broken through the middle line of the Bollinger Bands, with a current buy signal [9] - The stock has resistance levels at HKD 30.5 and HKD 32.3, indicating potential to break above HKD 32 [9] Group 5: Meituan-W (03690.HK) - Meituan's stock price closed at HKD 120.8, showing a downward trend from a high of HKD 136.1 [12] - The technical signal is a sell, with 11 sell signals and 1 buy signal, and support levels at HKD 111.6 and HKD 110.7 [12] Group 6: Luoyang Molybdenum (03993.HK) - Luoyang Molybdenum's stock is viewed positively, with a current buy signal and resistance levels at HKD 10.4 and HKD 10.84 [14] - Investors are optimistic about reaching HKD 11 with call options at that strike price [14]

Core Insights - The launch of the "Northbound Swap Connect" long-term interest rate swap contracts on June 30 is seen as a significant step in meeting the long-term interest rate risk management needs of foreign investors and enhancing the openness of China's financial market [1][4] Group 1: Market Participation and Initial Performance - On the first day of trading, 25 domestic and foreign institutions participated, with a total of 56 transactions and a nominal principal amount of 1.53 billion yuan [1] - The successful organization of the first day's trading and settlement indicates smooth operation of the business and systems [1] Group 2: Demand for Long-term Derivatives - The demand for long-term government bonds has increased among foreign investors, with holdings of 30-year government bonds exceeding 100 billion yuan [2] - The introduction of the 30-year interest rate swap contract is expected to enhance the depth and breadth of the domestic and foreign interest rate derivatives market [2][3] Group 3: Benefits of the New Product - The new contracts will improve the yield curve and fill the gap in long-term interest rate management tools, providing precise duration matching for long-term funds like insurance and pensions [3] - The introduction of these products is anticipated to reduce irrational selling behavior in the market, thereby enhancing financial market stability and boosting foreign investor confidence [3] Group 4: Financial Market Connectivity - The "Northbound Swap Connect" has become a major channel for foreign investors to manage interest rate risks associated with RMB assets, with cumulative trading and clearing reaching 7.16 trillion yuan by June 2025 [4] - The initiative is supported by regulatory bodies in both regions, which have optimized business operations to facilitate cross-border trading [4][5] Group 5: Future Developments - The expansion of LPR-based interest rate swap contracts will further diversify the product offerings available to foreign investors, catering to various risk management needs [6]

自2023年5月正式上线以来，"互换通"通过境内与香港金融基础设施的连接机制，已成为当前境外 投资者直接参与境内利率衍生品市场、有效管理人民币资产利率风险的重要渠道。 "'互换通'业务有效满足境外投资者跨境资产配置需求，构建了多元化参与生态，境内利率衍生品 市场对外开放的成效也逐步显现。"业内人士表示，"互换通"业务上线后，5年期FR007利率互换的在岸 与离岸价格相关性从95%提升至99%，境内外价格联动效应不断增强。 "在合约上线前，机构为降低超长期限债券的风险敞口只能被动减持债券，现在可通过衍生品对冲 利率风险，大幅减少非理性抛售行为，对维护金融市场稳定性也具有重要意义，将持续提升境外'耐心 资本'的投资信心。"招商银行相关负责人说。 同时，境内报价商结构更趋均衡，外资报价商参与度显著提升。境外投资者覆盖范围进一步扩大， 新增多家国际机构参与，累计达82家。在"互换通"业务推动下，境外投资者持续增持中国市场债券，中 国人民银行上海总部最新数据显示，截至2025年6月末，境外投资者持有中国债券达4.23万亿元，较 2023年5月大幅增加1.04万亿元。同时，随着境外投资者结构的多元化发展以及境内利率波动收 ...

（责任编辑：蔡情） 本报讯 （记者刘琪）5月15日，中国人民银行发布消息称，为贯彻落实党中央、国务院关于稳步推进我 国金融市场对外开放的战略部署，2023年5月15日，内地与香港利率互换市场互联互通合作（以下简 称"互换通"）正式上线。自业务上线以来，"互换通"业务量持续上升。2024年5月份，"互换通"机制安 排进一步优化，推出以国际货币市场结算日为支付周期的利率互换合约、历史起息的利率互换合约及合 约压缩功能等，进一步便利境外机构管理人民币利率风险，提升境外投资者配置人民币资产意愿。截至 2025年4月末，20家境内报价商与79家境外投资者，累计达成人民币利率互换交易1.2万多笔，名义本金 总额约6.5万亿元人民币。 为进一步促进内地与香港金融衍生品市场协同发展，推动金融高水平对外开放，中国人民银行、香港证 券及期货事务监察委员会、香港金融管理局在充分总结"互换通"运行经验、认真听取境内外投资者意见 建议的基础上，拟进一步丰富"互换通"产品类型。一是延长合约期限，延长利率互换合约期限至30年， 满足市场机构多样化风险管理需求；二是扩充产品谱系，推出以贷款市场报价利率（LPR）为参考利率 的利率互换合约。两 ...