1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - Last week, the overall market showed a trend of falling first and then rising. Except for the CSI 500 Index, most major indices closed higher, with the SSE 50 Index leading the gains with a weekly increase of 0.89%. The power equipment and coal sectors performed well, with weekly increases of 4.98% and 4.52% respectively, while the computer sector was weak with a weekly decline of about 2.54%. The market focus was on the US dollar liquidity issue. After the Fed's interest - rate meeting, there were signs of marginal tightening of US dollar liquidity, putting pressure on US stocks. On Friday, news of the end of the US government shutdown improved market risk appetite, driving a rebound in US stocks and a decline in the US dollar. The impact of US dollar liquidity shocks on the domestic market was limited, and Chinese asset prices showed resilience. The short - term external disturbances had limited impact on the domestic market, and it is expected that the domestic market will mainly fluctuate at a high level in the medium term. Continue to monitor subsequent changes in US dollar liquidity and domestic policy signals [1]. - In the options market last week, the implied volatility (IV) of various financial options generally declined. The IV of the Sci - Tech Innovation 50 Index options (IV = 32%) and ChiNext Index options (IV = 28%) has been falling since September but remains at a relatively high level above the median of the past year. The IV of 50 and 300 options is currently in the range of 12% - 14%, and the IV of CSI 500 and CSI 1000 options is about 18%. The position PCR of most financial options is in the range of 75% - 110%, slightly higher than the previous week [2]. - The market may continue to show a relatively strong oscillating pattern, and the IV of most options varieties continues to decline. The impact of factors such as US dollar liquidity on domestic asset prices is limited. It is expected that the market may continue to oscillate strongly, and sectors such as power equipment will perform relatively strongly. The current domestic liquidity environment remains positive, and inflation data has stabilized and rebounded. One can continue to hold indices with relatively reasonable valuations, such as the SSE 300 and CSI A500. Since the current option IV has declined, one can also buy out - of - the - money call options with a long - term maturity on the corresponding indices. For the Sci - Tech Innovation 50 Index, which has experienced large fluctuations recently and still has a relatively high static valuation, if one holds the underlying asset, one can consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risk. If one has accumulated a large amount of spot gains, one can also consider taking profits on the spot and keeping a small amount of long - term call options to cope with the irrational rise of the market, such as the ChiNext Index. The CSI 1000 - 2603 stock index futures still have a high discount, and one can consider continuing to hold the covered call strategy of buying the index futures and selling out - of - the - money call options [3]. 3. Summaries According to Relevant Catalogs 3.1 Overview - The overall market last week showed a trend of falling first and then rising. Most major indices closed higher, with the SSE 50 Index leading the gains. The power equipment and coal sectors performed well, while the computer sector was weak. The market focused on US dollar liquidity. After the Fed's meeting, US dollar liquidity tightened marginally, affecting US stocks. The end of the US government shutdown improved market sentiment. The impact on the domestic market was limited, and the domestic market is expected to oscillate at a high level in the medium term [1]. 3.2 Options Market - The IV of various financial options generally declined last week. The IV of the Sci - Tech Innovation 50 Index and ChiNext Index options has been falling but remains high. The IV of 50 and 300 options is in the 12% - 14% range, and that of CSI 500 and CSI 1000 options is about 18%. The position PCR of most financial options is in the 75% - 110% range and slightly increased [2]. 3.3 Strategy Outlook - The market may continue to oscillate strongly, and the IV of most options varieties continues to decline. Hold indices with reasonable valuations and consider buying long - term out - of - the - money call options. For high - volatility indices, manage risk through option strategies. Consider the covered call strategy for CSI 1000 - 2603 stock index futures [3]. 3.4 Market Data of Each Index - Detailed data on the closing prices, price changes, IV, IV changes, historical quantiles, option trading volumes, and position PCR of various indices such as the SSE 50, SSE 300, CSI 500, CSI 1000, ChiNext Index, Sci - Tech Innovation 50 Index, and Shenzhen 100 Index are provided [5]. - Data on the price, IV, and related quantiles of each index over different time periods (recently, in the past year, and in the past three years) are presented, along with the IV term structure, intraday IV trends, and option smile curves of each index [8][19][27][34][43][48][52][64][70][77][86][93].

Core Viewpoint - Wansheng Co., Ltd. plans to engage in financial derivatives investment with a maximum balance of up to 60 million USD (or equivalent foreign currency) at any point in 2026 [1] Group 1 - The company will utilize the specified limit for trading activities, including reinvestment of profits from these trades [1] - The maximum trading amount, including related profits, shall not exceed the aforementioned limit of 60 million USD (or equivalent foreign currency) at any given time [1] - The expected upper limit for margin and premiums used in derivatives trading will also not exceed 60 million USD (or equivalent foreign currency) at any point [1] Group 2 - The company will prioritize the use of bank credit for the required margin and collateral for trading activities [1]

Core Viewpoint - Wansheng Co., Ltd. plans to engage in financial derivatives investment with a maximum balance of up to 60 million USD (or equivalent foreign currency) at any point in 2026 [1] Summary by Categories - **Investment Plan** - The company intends to conduct financial derivatives investment activities [1] - The maximum balance for these activities will not exceed 60 million USD (or equivalent foreign currency) at any point during the specified period [1] - **Transaction Limits** - At any given time, the transaction amount, including the reinvestment of earnings from previous transactions, must not exceed the aforementioned limit [1] - The expected upper limit for the margin and premiums used in derivatives trading will also be capped at 60 million USD (or equivalent foreign currency) at any point [1] - **Funding Sources** - The company will prioritize the use of bank credit for the required margin and collateral [1]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - Short - term, stock indices will maintain range - bound oscillations. Currently, the market is in a stage where the rhythm of policy - driven positive expectations and the rhythm of profit - taking by funds are in a tug - of - war. In the medium to long term, policy - driven positive expectations and the trend of net capital inflows into the stock market provide strong support for stock indices. However, in November, the incremental signals from the policy side have weakened, and although external risk factors have eased, uncertainties still remain, limiting the upward driving force of stock indices. With the significant increase in the valuation of stocks, the demand for profit - taking by profitable funds has risen, and there is still a need for technical consolidation of stock indices [3][9][84]. - The implied volatility of ETF options and stock index options is at a relatively low level. Considering that the stock indices are expected to rise in the medium to long term, it is advisable to maintain a mild bullish stance through bull spreads or ratio spreads [4][85]. 3. Summary According to the Directory 3.1 Market Review 3.1.1 Stock Index Trends Last week, all stock indices showed a trend of hitting bottom and then rebounding. The market is in a stage of game between the fermentation of policy - driven positive expectations and profit - taking by funds, with multiple long and short factors intertwined, leading to repeated oscillations of stock indices. In the medium to long term, policy - driven positive expectations and the trend of net capital inflows into the stock market provide strong support for stock indices. However, in November, the incremental signals from the policy side have weakened, and although external risk factors have eased, uncertainties still remain, limiting the upward driving force of stock indices. With the significant increase in the valuation of stocks, the demand for profit - taking by profitable funds has risen, and there is still a need for technical consolidation of stock indices [9]. 3.1.2 Option Price Trends This week, the 50ETF had a weekly increase of 0.82%, closing at 3.186; the 300ETF (Shanghai Stock Exchange) had a weekly increase of 0.82%, closing at 4.795; the 300ETF (Shenzhen Stock Exchange) had a weekly increase of 0.71%, closing at 4.941; the CSI 300 Index had a weekly increase of 0.82%, closing at 4678.79; the CSI 1000 Index had a weekly increase of 0.47%, closing at 7541.88; the 500ETF (Shanghai Stock Exchange) had a weekly increase of 0.05%, closing at 7.440; the 500ETF (Shenzhen Stock Exchange) had a weekly decrease of 0.03%, closing at 2.968; the GEM ETF had a weekly increase of 0.60%, closing at 3.185; the Shenzhen 100ETF had a weekly increase of 0.03%, closing at 3.567; the SSE 50 Index had a weekly increase of 0.89%, closing at 3038.35; the STAR 50ETF had a weekly decrease of 0.07%, closing at 1.49; the E Fund STAR 50ETF had a weekly increase of 0.00%, closing at 1.44 [16]. 3.1.3 Futures Basis and Monthly Spreads of Stock Index Futures The basis of the four stock index futures varieties: The basis of IF and IH is at a normal quantile level, while IM and IC show a state of significant backwardation in the far - month futures. The inter - period spreads between the current quarter and the next quarter of IC and IM futures have rebounded, indicating that the market's short - term risk appetite for IC and IM has increased [22]. 3.2 Option Indicators 3.2.1 PCR Indicators The trading volume PCR of SSE 50ETF options was 121.96, and the previous trading day's trading volume PCR was 102.40; the open - interest PCR was 93.44, and the previous trading day's open - interest PCR was 94.38. Similar data for other ETF and index options are also provided in the report [36]. 3.2.2 Implied Volatility The implied volatility of at - the - money options of SSE 50ETF options in November 2025 was 12.35%, and the 30 - trading - day historical volatility of the underlying asset was 12.16%. Similar data for other ETF and index options are also provided in the report [56]. 3.3 Conclusion - Stock index futures: Short - term, stock indices will maintain range - bound oscillations. The current market situation and influencing factors are the same as described in the core viewpoints [84]. - ETF options and stock index options: The implied volatility is at a relatively low level. Considering the medium - to - long - term upward trend of stock indices, maintain a mild bullish stance through bull spreads or ratio spreads [85].

Core Viewpoint - The U.S. Commodity Futures Trading Commission (CFTC) is in discussions with licensed exchanges to launch leveraged cryptocurrency spot trading products, potentially available as soon as next month [1] Group 1 - The CFTC's acting chair, Caroline Pham, confirmed the discussions regarding the introduction of leveraged cryptocurrency products [1] - The exchanges involved in these discussions include CME, Cboe, ICE, and Coinbase Derivatives [1] - This initiative is based on existing provisions of the Commodity Exchange Act, which mandates that retail commodity trading involving leverage, margin, or financing arrangements must occur on regulated exchanges [1]

- The report introduces the PCR (Put/Call Ratio) as a market sentiment indicator, which is used in a timing strategy for options trading. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests a potential sentiment reversal) approaches[5][73][65] - The PCR timing strategy is applied to the Shanghai Stock Exchange 50 Index and the CSI 300 Index. The strategy's performance is tracked, showing better results for the CSI 300 Index in 2025, with a year-to-date return of -2.66% and the latest signal being "no position" (signal 0)[5][83][79] - The performance metrics for the PCR strategy on the CSI 300 Index include an annualized volatility of 15.46%, a Sharpe ratio of 0, a Calmar ratio of 0.03, and a win rate of 50.25% for 2025. The overall performance from 2020 to 2025 shows an annualized return of 19.13%, a maximum drawdown of 23.42%, and a Sharpe ratio of 0.97[79][83][78] - For the Shanghai Stock Exchange 50 Index, the PCR strategy's performance metrics for 2025 include an annualized volatility of 13.35%, a Sharpe ratio of -0.04, a Calmar ratio of 0, and a win rate of 50.25%. The overall performance from 2017 to 2025 shows an annualized return of 14.20%, a maximum drawdown of 24.96%, and a Sharpe ratio of 0.76[80][83][78]

Core Insights - The "Swap Connect" business continues to show robust growth, with clearing volume achieving both year-on-year and quarter-on-quarter increases [1] - The People's Bank of China has announced plans to expand the quote provider team for "Swap Connect" and optimize management mechanisms, enhancing daily trading limits to support further business development [2] Group 1: Business Performance - In Q3 2025, the cumulative clearing amount for "Swap Connect" reached 1.41 trillion yuan, representing a 22.6% increase from the previous quarter and a 45.7% increase year-on-year [1] - Since its launch in May 2023, the total clearing scale of the business has reached 8.58 trillion yuan [1] - The number of participating institutions has expanded to 103 financial institutions across 15 countries and regions globally [1] Group 2: Product Development - A new interest rate swap contract based on the one-year Loan Prime Rate (LPR1Y) was launched during the quarter, aimed at addressing the interest rate risk management needs of foreign investors in the RMB loan business [1] - The initial response to the new contract has been positive, with active participation from both domestic and foreign institutions [1] Group 3: Market Structure - The FR007 variety remains dominant in trading, but there is a growing diversification in investors' term choices, with increased allocation to medium- and long-term products [1] - The market-making structure remains stable, with domestic institutions continuing to play a major role, while some brokerages and foreign institutions have also seen growth in their business volume [1] Group 4: Risk Management - Despite increased market volatility in Q3, "Swap Connect" has maintained stable operations through the Central Counterparty (CCP) mechanism, with risk resource utilization remaining within a safe range [1]

Core Insights - The report highlights the strong performance of gold assets, with significant price increases in both international and domestic markets, leading to a historic high in China's gold ETF scale [1][4][30] - China's gold reserves have been steadily increasing, reaching 2,068 tons by the end of September 2023, ranking fourth globally, which is crucial for financial security and optimizing foreign exchange reserves [1][9][10] - The domestic gold ETF market has rapidly developed due to rising investment demand, with a total of 63 ETFs and a market size exceeding 1,200 billion yuan, marking a year-on-year increase of 63.1% [1][34] - The report discusses the complex pricing factors of gold, emphasizing the inverse relationship between gold prices and the real yield of U.S. Treasury bonds, as well as gold's role as a safe-haven asset during market volatility [1][36] - A quantitative strategy for gold ETF timing is proposed, showing annualized returns of 12.3% since 2020, with a maximum drawdown of -12.5% [1] Domestic Gold Asset Development Status - China's gold reserves have shown a steady growth trend, with the People's Bank of China continuously increasing its holdings, reflecting the importance of gold in stabilizing financial security and enhancing international payment capabilities [9][10] - In the first half of 2023, domestic gold production was 158.5 tons, with a slight year-on-year decrease of 1.1%, while gold imports increased by 12.3% [10][12] Global Gold Demand Trends - Global gold demand reached a record high in the third quarter of 2023, with total demand of 1,200 tons, a year-on-year increase of 12%, driven primarily by investment demand [12][14] - The demand for gold jewelry has decreased in weight but increased in value due to rising prices, with global gold jewelry consumption dropping 6% to 400 tons in the third quarter of 2023 [13][24] Gold Pricing Factors - The report identifies U.S. Treasury real yields as a primary pricing factor for gold, with gold prices inversely related to these yields, influenced by U.S. economic data [36] - Gold's safe-haven attribute is highlighted, as demand increases during market turmoil, with supply and demand dynamics also playing a critical role in gold pricing [1][36] Gold Price Time Series Model - A time series prediction model for gold ETF logarithmic returns has been constructed, aiding investment decision-making [1] Huashan Gold ETF Timing Strategy - The Huashan Gold ETF timing strategy has provided specific operational guidance for investors, achieving an annualized return of 12.3% since 2020 [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views - The report is an introductory guide to treasury bond futures, providing a detailed introduction to the characteristics and related concepts of each treasury bond futures variety, and offering an analysis framework for investors to understand the relationship between the spot and futures markets, identify arbitrage opportunities, and manage interest rate risks [11]. 3. Summaries According to the Table of Contents 3.1 Treasury Bond Futures Basic Varieties - There are four treasury bond futures varieties listed on the China Financial Futures Exchange, with different contract specifications such as contract value, deliverable bonds, and margin requirements. The 2 - year treasury bond futures has a contract value of 2 million yuan, while the others have 1 million yuan. The shorter - term futures have lower minimum margin ratios and higher leverage [12]. - Each variety has four fixed contracts per year with delivery months in March, June, September, and December, but only the nearest three quarterly contracts are traded. The settlement price is the net price excluding accrued interest [12]. - In terms of trading volume and open interest, the 10 - year variety has the largest open interest, followed by the 5 - year and 30 - year varieties, and the 2 - year variety has the lowest. The 30 - year variety has a relatively high trading volume and a leading trading volume ratio [13][15]. 3.2 Treasury Bond Futures Basic Concepts - The basic concepts include the main contract, continuous contract, deliverable bonds, conversion factors, CTD (cheapest - to - deliver bond), treasury bond futures pricing, basis, net basis, and implied repo rate (IRR), which together reveal the arbitrage opportunities and the internal relationship between the spot and futures markets [20]. 3.3 Main Contract - The main contract is the one with the largest trading volume, open interest, and market influence in a certain variety, usually the current - quarter contract. As the current - quarter contract approaches the delivery month, its trading volume decreases, and the next - quarter contract takes over as the new main contract [21]. 3.4 Continuous Contract - The continuous contract is a virtual contract sequence created to connect the prices of individual treasury bond futures contracts with different maturity months, facilitating technical analysis, back - testing research, and long - term trend observation [22]. 3.5 Deliverable Bonds and Conversion Factors - To standardize and ensure the continuity of treasury bond futures, a virtual standard bond is used as the contract underlying, and the conversion factor is introduced to standardize different deliverable bonds. The invoice price in actual delivery is calculated based on the futures settlement price, conversion factor, and accrued interest [25]. 3.6 CTD (Cheapest - to - Deliver Bond) - The CTD is the bond with the lowest delivery cost among the deliverable bonds, which can be determined by calculating the delivery net cost. Its selection is affected by factors such as conversion factors, market interest rate fluctuations, and bond liquidity [33][35]. 3.7 Treasury Bond Futures Pricing - Treasury bond futures are priced based on the "no - arbitrage principle." The theoretical price is equal to the net cost of holding the CTD spot until delivery, considering factors such as the spot net price, financing cost, and interest income. The pricing also takes into account the seller's option value [41]. 3.8 Basis - The basis represents the difference between the spot price and the futures price of treasury bonds, reflecting the "holding cost" or "return" of holding spot treasury bonds and hedging through short - selling futures contracts. It is affected by factors such as interest income, financing cost, and short - seller option value [42][43]. 3.9 Net Basis - The net basis is the basis after deducting the holding - period net return, directly reflecting the short - seller option value of a certain type of futures and helping to identify "cheap" futures varieties [44][45]. 3.10 Implied Repo Rate (IRR) - The IRR is the theoretical annualized return rate of the basis trading strategy of "buying spot bonds and selling futures." When the IRR is higher than the actual financing cost, there is a positive arbitrage opportunity; otherwise, there may be a reverse arbitrage space. The CTD bond usually has the highest IRR [48].

Group 1: Report Industry Investment Ratings - The outlook for stock index futures is "oscillating with a slight upward bias" [7] - The outlook for stock index options is "oscillating" [7] - The outlook for treasury bond futures is "oscillating with a slight upward bias" [7][9] Group 2: Core Views of the Report - Stock index futures: The market sentiment rebounded, but it is currently considered a phased rebound. It is recommended to use a dumbbell - shaped portfolio. The reasons include the influence of the US dollar index and the policy and earnings data window period in November [1][7] - Stock index options: The market sentiment has stabilized with declining volatility. It is advisable to continue the covered - call strategy for now and switch to a bull - spread strategy after confirming the sustained improvement of sentiment [2][7] - Treasury bond futures: The performance is affected by the stock market. Although there is a lack of catalysts for further decline in bond yields, the fundamental environment may still be favorable for the bond market, and it is expected to oscillate with a slight upward bias [3][7][9] Group 3: Summary by Relevant Catalogs 1. Market Views Stock Index Futures - Yesterday, the market sentiment rose, with the Science and Technology Innovation 50 index rising over 3%. The A - share trading volume approached 2.1 trillion yuan, but the stock index showed a position - reducing trend. The current rebound is considered phased. It is recommended to hold IM + dividend index [1][7] Stock Index Options - The underlying market rose across the board yesterday, but the option market turnover decreased by 7.49% compared with the previous day. Volatility declined significantly. It is recommended to use the covered - call strategy for now [2][7] Treasury Bond Futures - Most treasury bond futures closed lower yesterday. The central bank's net withdrawal of 249.8 billion yuan through 7 - day reverse repurchase had little impact on the capital market. The long - end bond yields were affected by the stock - bond seesaw effect. It is recommended to adopt different strategies for trends, hedging, basis, and yield curve [3][7][9] 2. Economic Calendar - China's October SPGI Manufacturing PMI was 50.6, lower than the forecast of 50.9 and the previous value of 51.2. The US October ISM Manufacturing PMI was 48.7, lower than the forecast of 49.5 and the previous value of 49.1. The US October ADP employment change was 4.2 million, higher than the forecast of 2.5 million and the previous value of - 3.2 million [10] 3. Important Information and News Tracking - Medicine: The National Healthcare Security Administration plans to carry out a pilot project on full - process intelligent review of medical insurance handling to improve the national medical insurance handling and review capabilities [10] - Shipping: The US Secretary of Transportation confirmed that the capacity of 40 major US airports will be cut by 10% [11] 4. Derivatives Market Monitoring - The report mentions data on stock index futures, stock index options, and treasury bond futures, including basis, spreads, trading volume, and open interest changes, but specific data analysis is not provided in the summary [7][8]