Report Summary 1. Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. 2. Core View of the Report There is no clear core view presented in the provided content. The document mainly lists the spot prices, futures prices, basis, basis rates, historical quantiles, and other data of various commodities and financial products. 3. Summary by Related Catalogs Metals - **Ferroalloys**: For 72 - silicon - iron qualified blocks (SF507), the spot price is 5322, the basis is 376, and the basis rate is 93.30%. For 6517 - silicon - manganese (SM509), the spot price is 5530, the basis is 240, and the basis rate is 4.34% [1]. - **Steel Products**: The spot price of HRB400 20mm in Shanghai for rebar (RB2510) is 2978, and the futures price is 3120 with a basis of 142 and a basis rate of 4.77%. For hot - rolled coil (HC2510), the spot price is 3110, the futures price is 3200, the basis is 90, and the basis rate is 2.89% [1]. - **Iron Ore and Coking Coal**: The spot price of 62.5% Brazilian mixed powder (BRBF) from Vale at Rizhao Port for iron ore (I2509) is 707, with a basis of 10.07%. For coke (J2509), the spot price is 1332, and the basis rate is 4.95%. For coking coal (JM2509), the spot price is 759, and the basis rate is 23.19% [1]. - **Non - ferrous Metals**: For copper (CU2507), the spot price is 78485, the futures price is 78130, the basis is 355, and the basis rate is 0.45%. For aluminum (AL2507), the spot price is 20380, the futures price is 20200, the basis is 180, and the basis rate is 0.89% [1]. Precious Metals - For gold (AU2508), the spot price is 764.3, the futures price is 762.5, the basis is - 1.8, and the basis rate is - 0.24%. For silver (AG2508), the spot price is 8224.0, the futures price is 8202.0, the basis is - 22.0, and the basis rate is - 0.27% [1]. Agricultural Products - For soybean meal (M2509), the spot price is 2962.0, the futures price is 2820, the basis is - 142.0, and the basis rate is - 4.79%. For soybean oil (Y2509), the spot price is 7960, the futures price is 7724.0, the basis is 236.0, and the basis rate is 3.06% [1]. Energy and Chemicals - For paraxylene (PX509), the spot price is 7111.1, the futures price is 6788.0, the basis is 323.1, and the basis rate is 4.76%. For PTA (TA509), the spot price is 4860.0, the futures price is 4814.0, the basis is 46.0, and the basis rate is 0.96% [1]. Financial Products - For CSI 300 index futures (IF2506), the spot price is 3858.7, the futures price is 3832.8, the basis is - 25.9, and the basis rate is - 0.68%. For SSE 50 index futures (IH2506), the spot price is 2690.9, the futures price is 2673.6, and the basis rate is - 0.65% [1].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and treasury bond futures are all "neutral" or "wait - and - see", indicating a cautious stance [6][7][9] 2. Core View of the Report - The market for stocks and bonds should be approached with caution. Stock index futures are in a state of shrinking volume and awaiting a trend change, stock index options show an increase in hedging transactions, and treasury bond futures are expected to continue oscillating [1][2] 3. Summary by Related Catalogs 3.1 Market Outlook Stock Index Futures - Yesterday, the market had shrinking volume and consolidation, with the All - A index dropping 0.3%. The impact of tariff disturbances has weakened, and the market is more sensitive to industry events. There is a possibility of a trend change, and currently, it's in an oscillating pattern with a downside tail - risk. It's recommended to wait and see [6] Stock Index Options - In a low - volatility environment of the underlying asset, the trading volume of the options market decreased slightly. The trading data of Shanghai 500ETF options shows an increase in hedging power. Volatility trend strategies should avoid varieties with extremely low volatility quantiles. The operation suggestion is to continue with the covered - call strategy, appropriately allocate short - term bullish spread portfolios, and lightly position in long - volatility strategies [7] Treasury Bond Futures - Yesterday, treasury bond futures closed down across the board. The market is in an oscillating pattern, and it's difficult to break out of this pattern. Attention should be paid to upcoming PMI data and the central bank's May outright reverse repurchase. The short - end bullish sentiment may stabilize, while the long - end needs to be cautious [9] 3.2 Economic Calendar - The economic calendar includes the US initial jobless claims for the week ending May 24, 2025, the US April core PCE price index annual rate, and the US May University of Michigan consumer confidence index final value [11] 3.3 Important Information and News Tracking - As of the end of April 2025, there are 163 domestic public - fund management institutions in China, with a total net asset value of public funds under management of 33.12 trillion yuan. From January to May 2025, the number and area of second - hand housing transactions in Guangzhou increased significantly year - on - year. The Hong Kong Exchange plans to launch same - day - expiration options contracts as early as the first half of 2026. Japan lost its status as the world's largest creditor nation for the first time in 34 years [11][12]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: The strategy is based on the convergence of basis factors in stock index futures and optimizes hedging through continuous adjustments[47] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[48] - **Spot Side**: Hold the total return index of the corresponding underlying index[48] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[48] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than 2 days. Close the position at the closing price on that day and simultaneously short the next quarterly/monthly contract at the closing price[48] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[48] 2. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount for hedging, aiming to optimize returns[49] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to May 23, 2025[49] - **Spot Side**: Hold the total return index of the corresponding underlying index[49] - **Futures Side**: Use 70% of the funds for the spot side and short the futures side with the same nominal principal, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities of the spot and futures sides based on the product's net value[49] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest discount for opening a position. Hold the same contract for 8 trading days or until the remaining time to maturity is less than 2 days before selecting a new contract. Even if the result is to hold the original contract, it must still be held for 8 trading days[49] - **Assumptions**: Equal allocation of principal between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[49] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.50% (monthly), -1.64% (quarterly)[51] - Volatility: 3.93% (monthly), 4.83% (quarterly)[51] - Maximum Drawdown: -7.51% (monthly), -8.34% (quarterly)[51] - Net Value: 0.9312 (monthly), 0.9545 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -2.34% (monthly), 0.05% (quarterly)[51] - **IF (CSI 300 Futures)**: - Annualized Return: 0.72% (monthly), 0.99% (quarterly)[56] - Volatility: 3.07% (monthly), 3.41% (quarterly)[56] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[56] - Net Value: 1.0204 (monthly), 1.0281 (quarterly)[56] - Annual Turnover: 12 (monthly), 4 (quarterly)[56] - 2025 YTD Return: -0.30% (monthly), 0.83% (quarterly)[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.18% (monthly), 2.14% (quarterly)[60] - Volatility: 3.18% (monthly), 3.61% (quarterly)[60] - Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly)[60] - Net Value: 1.0336 (monthly), 1.0612 (quarterly)[60] - Annual Turnover: 12 (monthly), 4 (quarterly)[60] - 2025 YTD Return: 0.28% (monthly), 1.18% (quarterly)[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -5.76% (monthly), -4.12% (quarterly)[62] - Volatility: 4.76% (monthly), 5.81% (quarterly)[62] - Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly)[62] - Net Value: 0.8595 (monthly), 0.8909 (quarterly)[62] - Annual Turnover: 12 (monthly), 4 (quarterly)[62] - 2025 YTD Return: -7.32% (monthly), -2.55% (quarterly)[62] 2. Minimum Discount Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -0.61%[51] - Volatility: 4.75%[51] - Maximum Drawdown: -7.97%[51] - Net Value: 0.9829[51] - Annual Turnover: 17.78[51] - 2025 YTD Return: 0.42%[51] - **IF (CSI 300 Futures)**: - Annualized Return: 1.56%[56] - Volatility: 3.20%[56] - Maximum Drawdown: -4.06%[56] - Net Value: 1.0445[56] - Annual Turnover: 14.94[56] - 2025 YTD Return: 1.09%[56] - **IH (SSE 50 Futures)**: - Annualized Return: 1.85%[60] - Volatility: 3.19%[60] - Maximum Drawdown: -3.91%[60] - Net Value: 1.0528[60] - Annual Turnover: 16.36[60] - 2025 YTD Return: 1.16%[60] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.45%[62] - Volatility: 5.62%[62] - Maximum Drawdown: -11.11%[62] - Net Value: 0.9068[62] - Annual Turnover: 16.12[62] - 2025 YTD Return: -1.64%[62] --- 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 different time horizons[65] - **Factor Construction Process**: - Based on methodologies from international markets, adjusted for China's options market[65] - Captures implied volatility from options prices to reflect market sentiment[65] - **Factor Values**: - 30-day VIX values as of May 23, 2025: - SSE 50: 18.91 - CSI 300: 17.52 - CSI 500: 24.78 - CSI 1000: 26.65[65][66][67] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme risks[72] - **Factor Construction Process**: - Analyzes the slope of implied volatility curves to assess market sentiment on tail risks[72] - Higher SKEW values indicate increased concerns about extreme downside risks[73] - **Factor Values**: - SKEW values as of May 23, 2025: - SSE 50: 107.30 - CSI 300: 108.20 - CSI 500: 101.41 - CSI 1000: 110.79[73][74][79]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].

Core Insights - The forum focused on how derivative tools can support the stable operation of the real economy amidst new international trade dynamics [1] - Experts discussed the significant role of the derivatives market in serving the real economy and the need for innovative risk management solutions [2] Group 1: Derivative Market Insights - Professor Li Zhengqiang emphasized the importance of the derivatives market in supporting high-quality economic development and the legal requirements for its functionality [2] - The chairman of Hainan International Clearing House, Feng Bo, highlighted the rapid growth of the OTC derivatives market, with over 230 members and a cumulative clearing scale of nearly 200 million tons, valued at approximately 4 billion yuan, showing a growth rate exceeding 200% [3] - The introduction of iron ore swaps by Hainan International Clearing House has gained traction as a risk management tool, with over 50 million tons cleared in just over a month [4] Group 2: Challenges and Opportunities - The current environment has increased risks in the bulk commodity sector, making it difficult for enterprises to maintain stable operations and manage profits effectively [3] - The forward market faces significant issues, particularly regarding reliance on corporate credit and the lack of a systematic risk prevention framework, which can lead to widespread impacts in case of defaults [5] - Hainan International Clearing House aims to continuously develop new OTC derivative tools to meet the real needs of enterprises and enhance service capabilities [5][6]

Group 1 - The A-share market experienced a rebound with leading weights driving the increase [1] - All types of options saw increased trading activity and rising open interest, indicating a more active market [2] - The trading volume and open interest for various ETF options were significant, with the highest being the CSI 500 ETF options at 1,807,038 contracts traded and an open interest of 1,268,751 contracts [2] Group 2 - All option underlying assets closed in the green, and implied volatility increased, reflecting improved market sentiment [3] - The weighted implied volatility for major ETF options showed a range from 0.1432 for the CSI 300 index options to 0.2749 for the Huaxia Sci-Tech 50 ETF options [3] - The outlook for the stock market remains strong, with expectations of continued high implied volatility and strategies focusing on volatility [3]

Core Insights - The "Swap Connect" has seen significant growth in trading volume, with daily transaction amounts increasing from approximately 3 billion RMB to over 22 billion RMB, marking a nearly sevenfold increase since its launch [1] - As of April 2025, 20 domestic quoting institutions and 79 foreign investors have participated, with over 12,000 transactions totaling a nominal principal amount of about 6.5 trillion RMB [1] - The People's Bank of China (PBOC) has introduced further optimization measures, including extending the interest rate swap contract duration to 30 years and expanding the product range to include swaps based on loan market quoted interest rates [1][2] Group 1 - The "Swap Connect" was officially launched on May 15, 2023, providing an efficient tool for managing RMB interest rate risks for domestic and foreign investors [1] - The extension of the interest rate swap contract duration is significant, as previous contracts rarely exceeded 5 years, aligning with the active trading characteristics of 10-year and 30-year government bonds [1] - The optimization measures are expected to enhance liquidity in the market and attract more institutions to participate, catering to diverse trading strategies of foreign investors [1] Group 2 - Previous optimization measures were implemented in May 2024, which included contract compression services and the introduction of swaps with international currency market settlement dates [2] - The ongoing optimization of the "Swap Connect" mechanism is anticipated to promote collaborative development between the financial derivative markets of mainland China and Hong Kong, reinforcing Hong Kong's position as a preferred offshore RMB market for international investors [2] - The PBOC aims to continuously improve related mechanisms to steadily advance the opening of China's financial markets and support the prosperity of Hong Kong as an international financial center [2]

数据是个宝 数据宝 投资少烦恼 宏观新闻 央行：拟进一步丰富"互换通"产品类型 据中国人民银行消息，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。两地金融市场基础设施机构将陆续上线以上优化措施。下一 步，内地与香港金融管理部门将继续指导两地金融市场基础设施机构，根据"互换通"的运行情况，持续 完善相关机制安排，稳步推动中国金融市场进一步对外开放，稳慎扎实推进人民币国际化，支持香港国 际金融中心繁荣发展。 最高法、证监会：对于"小作文"损害他人权益且构成犯罪的，依法追究刑事责任 最高人民法院、证监会联合发布的《关于严格公正执法司法 服务保障资本市场高质量发展的指导意 见》提到，依法打击编传虚假信息、"维权黑产"、发行上市环节不正当竞争等干扰市场正常运行、扰乱 资本市场秩序 ...

Group 1 - The People's Bank of China, the Hong Kong Securities and Futures Commission, and the Hong Kong Monetary Authority announced enhancements to the "Swap Connect" product types, which were welcomed by the Hong Kong industry [1] - The optimization measures include extending the interest rate swap contract duration to 30 years and introducing interest rate swap contracts referencing the Loan Prime Rate (LPR) [1] - The Hong Kong government supports the continuous optimization of the "Swap Connect" mechanism, aiming to promote the coordinated development of financial derivative markets between mainland China and Hong Kong [1] Group 2 - Bank of China (Hong Kong) stated that the optimization measures will provide greater operational space and diverse options for overseas investors in managing RMB interest rate risks [2] - The Hong Kong Stock Exchange plans to collaborate with the China Foreign Exchange Trade System and the Interbank Market Clearing House to further enrich the product duration and types under "Swap Connect" [2] - The initiatives are expected to enhance the attractiveness of the domestic RMB interest rate derivatives and RMB bond markets [1][2]

Group 1: Financial Market Developments - The People's Bank of China plans to further enrich the "Swap Connect" product types, extending interest rate swap contracts to 30 years and introducing swaps based on the Loan Prime Rate (LPR) [1] - As of April 2025, over 12,000 RMB interest rate swap transactions have been completed, with a total nominal principal amount of approximately 6.5 trillion RMB [1] Group 2: Company Performance and Market Reactions - Green Tea Group's stock closed down 7.65% at HKD 6.64 in the dark market, indicating volatility in investor sentiment despite its established presence in the restaurant industry [2][3] - Heng Rui Pharmaceutical has initiated its Hong Kong IPO with a price range of HKD 41.45 to HKD 44.05, with an entry fee of approximately HKD 8,898.85, marking a significant step in its international expansion strategy [4] - Alibaba's cloud revenue grew by 18% in the latest quarter, driven by strong AI demand, with AI-related product revenue achieving triple-digit growth for seven consecutive quarters [5] Group 3: New Market Entries - MIRXES-B, a cancer early screening company, has announced a global offering of 46.62 million shares at HKD 23.30 each, focusing on innovative solutions in disease screening and diagnosis [6]