1. Report Industry Investment Rating The report does not provide an overall industry investment rating. For different financial derivatives, the outlooks are as follows: - **Stock Index Futures**: The outlook is "oscillation" [7]. - **Stock Index Options**: The outlook is "oscillation" [7]. - **Treasury Bond Futures**: The outlook is "oscillation" [8]. 2. Core View of the Report The report analyzes the market conditions of stock index futures, stock index options, and treasury bond futures on December 31, 2025, and believes that better investment opportunities may come after the holiday. It also provides corresponding operation suggestions for different derivatives based on market trends and signals [1]. 3. Summary by Relevant Catalogs 3.1 Market Conditions and Suggestions for Different Derivatives Stock Index Futures - **Market Conditions**: On Tuesday, the Shanghai Composite Index opened lower and recovered, closing flat at the end of the session with basically the same trading volume and continued cooling market sentiment. There are three signals: the daily high has decreased; only one hot - spot sector can be supported; new hot - spots are emerging. Incremental funds have returned to rationality, and it is expected that there will be no systematic opportunities at the end of the year [7]. - **Operation Suggestions**: Retain long positions, wait for the opportunity to increase positions after New Year's Day, and temporarily use high - dividend and price - increase chains as the main allocation lines, with large - cap stocks preferred over small - cap stocks. The recommended operation is "Dividend ETF + IC long positions" [7]. Stock Index Options - **Market Conditions**: The equity market opened lower and fluctuated higher. The trading volume of each option variety increased slightly, but the increase was limited, and the trading volume remained at a relatively low level. The intraday implied volatility of options fluctuated sharply and showed a strong overall trend. It is speculated that the proportion of investors in directional trend trading has decreased, and the demand for option hedging and risk management may be more stable [7]. - **Operation Suggestions**: Continue to hold sold options to increase returns, and can also supplement with a small amount of bought put options for protection and defense. The recommended operation is "covered call" [7]. Treasury Bond Futures - **Market Conditions**: Treasury bond futures closed with differentiated performance. The 30 - year main contract rose 0.17%, the 10 - year main contract fell 0.02%, the 5 - year main contract fell 0.01%, and the 2 - year main contract rose 0.01%. The yields of major inter - bank interest - rate bonds mostly increased, and the yields of spot bonds showed differentiated trends. The central bank's net injection of funds was 25.32 billion yuan, but the year - end capital market tightened, which affected the bond market. However, considering the central bank's care for the capital market, the probability of continued tight capital after the New Year is low [8]. - **Operation Suggestions**: For trend strategies, expect oscillation. For hedging strategies, pay attention to short - position hedging at low basis levels. For basis strategies, pay attention to the widening of the basis. For curve strategies, expect the curve to remain steep [9]. 3.2 Economic Calendar The economic calendar shows the time, region, indicators, previous values, forecast values, and unpublished release values of economic data from December 30, 2025, to January 1, 2026, including data from the United States, China, and Europe [11]. 3.3 Important Information and News Tracking - **Regulatory Policy**: The "Regulations for the Implementation of the Value - Added Tax Law of the People's Republic of China" will be implemented on January 1, 2026, aiming to implement the "Value - Added Tax Law of the People's Republic of China" [11]. - **Agriculture, Forestry, Animal Husbandry, and Fishery**: The Central Rural Work Conference from December 29th to 30th analyzed the situation and challenges of "agriculture, rural areas, and farmers" and deployed work for 2026 [12]. - **TMT**: The Ministry of Education plans to issue relevant policy documents next year to promote the application of artificial intelligence in education and build an education system for the future [12]. - **Real Estate**: Starting from January 1, 2026, individuals selling housing will have different value - added tax policies depending on the length of housing ownership [13]. - **Consumption**: The National Development and Reform Commission and the Ministry of Finance will implement a large - scale equipment renewal and consumer goods trade - in policy in 2026, with clear funding channels and cost - sharing ratios [14]. 3.4 Derivatives Market Monitoring The report mentions the monitoring of stock index futures, stock index options, and treasury bond futures data, but does not provide specific data content [15][19][31].

Core Viewpoint - The article discusses the recent explosive rise in silver prices and the implications for silver options trading, highlighting the extreme volatility and potential signals for market peaks. Group 1: Silver Market Overview - The Shanghai Futures Exchange silver futures have seen a significant increase of over 53% in the past month, indicating a strong bullish trend in the silver market [4]. - The implied volatility (IV) of the main silver options contract has reached over 80%, marking the highest level observed in recent trading history [6]. Group 2: Peak Signals in Silver Trading - The article identifies two key signals that may indicate a peak in the current silver price surge: 1. A "limit-up" scenario in silver futures without a corresponding price correction in domestic and international markets could signal the end of the current bullish phase [10]. 2. A scenario where long positions begin to liquidate, leading to a "limit-down" in silver prices, would suggest a shift in market sentiment and the potential end of the bullish trend [11]. Group 3: Implications for Options Trading - The first peak signal is likely to correspond with an implied volatility exceeding 100%, driven by forced liquidations leading to extreme price movements [12]. - The second peak signal would likely result in a significant drop in implied volatility as the bullish sentiment dissipates, indicating a potential shift to a range-bound market [12].

- The report tracks various quantitative factors across equity, commodity, options, and convertible bond markets, providing insights into market trends and factor performance during the week of December 15-19, 2025[3][9][24] - **Equity Market Factors**: - **Market Style**: The market showed a slight preference for large-cap and value styles, reversing the trend from the previous week[10][12] - **Market Structure**: Industry excess return dispersion and rotation speed increased, while the proportion of rising constituent stocks decreased. Concentration in the top 100 stocks remained stable, and the top 5 industries saw a slight decline in transaction concentration[10][12] - **Market Activity**: Both market volatility and turnover rate continued to decline[11][12] - **Commodity Market Factors**: - **Trend Strength**: All sectors except the black sector showed an increase in trend strength[24][29] - **Volatility**: Volatility decreased in the precious metals and agricultural sectors but increased in other sectors[24][29] - **Liquidity**: Liquidity declined in the energy and agricultural sectors but slightly improved in other sectors[24][29] - **Basis Momentum**: Basis momentum increased in the energy and black sectors but decreased in other sectors[24][29] - **Options Market Factors**: - Implied volatility for both the SSE 50 and CSI 1000 rebounded from low levels. The skew of call and put options for the SSE 50 decreased, while the skew of put options for the CSI 1000 continued to rise, indicating risk release in large-cap stocks and risk accumulation in small-cap stocks[32][36] - **Convertible Bond Market Factors**: - The market stabilized and recovered, with transaction volume exceeding the median level of the past year. The premium rate for bonds priced at 100 yuan reached a new annual high, while the proportion of low premium rate bonds continued to decline[34][38][40]

Market Overview - A-shares remain stable with controllable risks, suggesting opportunities for low-cost investments in high-prosperity sectors. The macro strategy team indicates that market enthusiasm for chasing high prices is still weak, but the index remains relatively stable, expected to maintain a fluctuating structure with controllable risks. Signs of market stabilization have become more apparent since December, particularly in high-prosperity sectors that have shown resilience. It is recommended to preferentially invest in industries with upward trends in prosperity and patiently await the upcoming spring market [1][4][6]. Stock Market Factors - Last week, market style shifted slightly towards large-cap stocks, with a value-oriented approach gaining traction compared to the previous week. The volatility of both large-cap and value-growth styles remained low. The dispersion of excess returns among industries and the speed of industry rotation have reversed, showing an increase, while the proportion of rising constituent stocks has decreased. The trading concentration of the top 100 stocks remained stable, with a slight decline in the trading concentration of the top five industries [6][8]. Commodity Market Factors - In the commodity market, all sectors except for the black metal sector showed an upward trend in strength. The efficiency coefficients for precious metals, non-ferrous metals, and agricultural products remained high. The basis momentum for precious metals saw a significant decline, while the basis momentum for energy and black metal sectors increased. Volatility increased in all sectors except for precious metals and agricultural products, and liquidity decreased in the energy and agricultural sectors, while other sectors saw a slight increase [20][21]. Options Market Factors - The implied volatility of the Shanghai Stock Exchange 50 and the CSI 1000 rebounded from low levels last week. In terms of volatility skew, both call and put options for the Shanghai index decreased, while the put option skew for the CSI 1000 continued to rise, indicating that the market has experienced some risk release, with small-cap styles still accumulating risks [29]. Convertible Bond Market Factors - The convertible bond market stabilized and showed signs of recovery last week. The valuation of bonds reached a new high for the year in terms of the premium rate for conversion at 100 yuan, maintaining a trend of oscillation and increase. The pure bond premium rate for debt-type groupings saw a slight increase, while the proportion of low premium conversion bonds continued to decline, remaining at a low level. Market transaction volume rebounded, surpassing the historical median for the past year [31].

投资咨询业务资格：证监许可【2012】669号 | | | | | | No. of the Real Pro- | | of the first of the results of | | --- | --- | --- | --- | --- | --- | --- | --- | | 股指 | 上证50期货 | 3025.6 | 0.24% | 0.64% | 2.25% | 1.22% | 12.98 | | | 中证500期货 | 7133.2 | 0.14% | 110% | 4.88% | -2.16% | 25.30 | | | 中证1000期货 | 7197.4 | -0.09% | 0.78% | 2.44% | -2.82% | 23.06 | | 国债 | 2年期国债期货 | 102.526 | 0.06% | 0.04% | 0.14% | 0.23% | -0.44 | | | 5年期国债期货 | 106.025 | 0.16% | 0.05% | 0.26% | 0.48% | -0.48 | | | 10年期国债期货 | 108.22 | 0.22% | 0.06% | 0.2 ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market showed a narrow - range oscillation this week, with a significant increase in the implied volatility of metal options. In the financial options market, the trading volume of 50ETF options increased compared to the previous week, and the put - call trading ratio decreased, while the put - call holding ratio increased. Different types of options had various changes in trading volume, holding volume, and implied volatility [1][2]. 3. Summary by Category Financial Options - **Trading Volume and Holding Volume**: 50ETF options had an average daily trading volume of 1.0623 million contracts this week, a 37.14% increase from the previous week. The put - call trading ratio was 0.83, lower than the historical average, and the put - call holding ratio last week was 1.01, higher than the historical average. Other options such as Huatai - Baorui 300ETF options, Southern China CSI 500ETF options, etc., also had corresponding average daily trading and holding volumes [1]. - **Implied Volatility**: As of the close on Friday, the implied volatility of CSI 300 index options was 15.10%, a 1.06% increase from a week ago; the implied volatility of 50ETF options was 12.61%, a 1.09% increase; the implied volatility of CSI 1000 index options was 17.41%, a 0.16% decrease [2]. Commodity Options - **Implied Volatility**: As of the close on Friday, the implied volatility of crude oil options was 15.41%, a 0.53% decrease from a week ago; the implied volatility of lithium carbonate options was 41.37%, an 8.43% increase; the implied volatility of rebar options was 21.57%, a 2.26% increase; the implied volatility of soda ash options was 23.53%, a 1.01% increase; the implied volatility of gold options was 21.57%, a 2.26% increase; the implied volatility of silver options was 43.74%, a 6.02% increase; the implied volatility of palm oil options was 16.79%, a 0.34% increase; the implied volatility of soybean oil options was 10.95%, a 0.71% decrease; the implied volatility of rapeseed oil options was 14.93%, a 1.86% increase; the implied volatility of rubber options was 16.20%, a 0.85% increase [2].

- The report covers the period from December 8, 2025, to December 12, 2025[2][10] - The A-share market showed limited incremental funds and a characteristic of stock game due to seasonal tightening of funds towards the end of the year[3][10] - In the stock market, the style was biased towards small-cap and growth, with decreased volatility in the small-cap style and increased volatility in the growth style[11][13] - The market structure showed a decrease in industry excess return dispersion, industry rotation speed, and the proportion of rising constituent stocks[11][13] - The trading concentration increased for the top 100 stocks but decreased for the top 5 industries[11][13] - Market activity showed a decline in both market volatility and turnover rate[12][13] - In the commodity market, trend strength increased, especially in precious metals and non-ferrous metals, while the basis momentum rose in the energy and chemical sectors but fell in others[26][33] - Volatility increased in all sectors except energy and chemicals, with precious metals maintaining high volatility, and liquidity rose slightly in all sectors except black metals[26][33] - In the options market, the implied volatility of the SSE 50 and CSI 1000 further declined to historical lows, with the put skew decreasing for the SSE 50 and increasing for the CSI 1000[37] - In the convertible bond market, the market showed low volatility, with the premium rate of bonds convertible at par remaining high, the pure bond premium rate decreasing, and the proportion of low premium convertible bonds declining[41]

Market Overview - The A-share market is experiencing limited incremental growth, characterized by stockholder competition as year-end approaches, leading to a seasonal tightening of market liquidity and a tendency for investors to lock in profits, resulting in a potential lack of new funds [3][5] - The overall market is entering a phase of adjustment and consolidation, although it remains in a bull market, suggesting that any temporary corrections may present good investment opportunities [5][6] Equity Market Factors - Last week, market style shifted towards small-cap stocks, while the growth style was favored over value [7][9] - The volatility of small-cap stocks decreased, while the volatility of growth stocks increased [9] - The dispersion of excess returns among industries decreased, and the speed of industry rotation slowed down, with a lower proportion of rising constituent stocks [7][9] - The trading concentration increased, with the top 100 stocks accounting for a higher proportion of trading volume, while the top 5 industries saw a decrease in their trading volume share [7][9] - Market activity decreased, as indicated by lower market volatility and turnover rates [8][9] Commodity Market Factors - In the commodity market, the trend strength of various sectors increased, particularly in precious metals and non-ferrous sectors [25][26] - The basis momentum in the energy and chemical sector increased, while it decreased in other sectors [26] - Volatility levels rose in all sectors except for energy and chemicals, with precious metals maintaining high volatility [25][26] - Liquidity in the black sector decreased, while other sectors saw a slight increase [25][26] Options Market Factors - The implied volatility of the SSE 50 and CSI 1000 indices further declined, reaching historical low levels, closely approaching historical volatility [28] - The skewness of put options for the SSE 50 decreased, while it increased for the CSI 1000, indicating that market adjustments may begin with a divergence in market capitalization styles [28] Convertible Bond Market Factors - The convertible bond market exhibited low volatility and oscillation last week [33] - The premium rate for bonds convertible at 100 remained high with little change, while the premium rate for debt-type bonds decreased [33] - The proportion of low premium convertible bonds declined again, remaining at a low level, with trading volume maintaining near the historical median for the past year [33]

Report Summary - The report focuses on the option market from November 24 to November 28, 2025, covering financial and commodity options, with a decline in implied volatility and an overall rise in the financial and commodity markets [1]. Financial Options Trading Volume and Open Interest - 50ETF options had an average daily trading volume of 749,700 contracts, a -7.02% decrease from the previous week. The put - call trading volume ratio was 1.02, lower than the previous week but higher than the historical average. The put - call open interest ratio was 0.99, higher than the previous week and the historical average [1]. - Other ETF and index options also had corresponding average daily trading volumes and open interests, such as Huatai - Ba瑞 300ETF options with an average daily trading volume of 1,045,400 contracts and an average daily open interest of 1,325,000 contracts [1]. Implied Volatility - As of the end of Friday, the implied volatility of CSI 300 index options was 13.89%, a 2.10% decrease from a week ago; 50ETF options was 11.84%, a 2.43% decrease; and CSI 1000 index options was 17.75%, a 2.11% decrease [2]. Commodity Options Implied Volatility - As of the end of Friday, the implied volatility of most commodity options decreased, such as crude oil options (17.09%, -0.86% decrease), lithium carbonate options (37.43%, -6.50% decrease), etc. However, the implied volatility of palm oil, rapeseed oil, and rubber options increased [2].

Report Summary Core View - The implied volatility has increased, and the financial and commodity markets have generally declined. In the financial options market, the trading volume of put options is higher than that of call options, and the put - call trading ratio and put - call holding ratio are higher than historical average levels. In the commodity options market, the implied volatility of different varieties shows different trends [1][2]. Option Market Data Financial Options - 50ETF options had an average daily trading volume of 806,300 contracts this week, a 0.00% decrease from the previous week. The put - call trading ratio was 1.04, which decreased compared to the previous week but remained higher than the historical average. The put - call holding ratio last week was 0.98, a decrease from the previous week and higher than the historical average [1][4]. - Huatai - Ba瑞 300ETF options had an average daily trading volume of 989,500 contracts and an average daily holding volume of 1,469,300 contracts. Southern China Securities 500ETF options had an average daily trading volume of 1,455,500 contracts and an average daily holding volume of 1,453,600 contracts. Huaxia Shanghai - Shenzhen Science and Technology Innovation 50ETF options had an average daily trading volume of 1,184,400 contracts and an average daily holding volume of 2,476,900 contracts. Shenzhen 100ETF options had an average daily trading volume of 87,000 contracts and an average daily holding volume of 139,800 contracts. ChiNext ETF options had an average daily trading volume of 1,846,500 contracts and an average daily holding volume of 1,983,300 contracts. CSI 300 index options had an average daily trading volume of 118,800 lots and an average daily holding volume of 210,900 lots. CSI 1000 index options had an average daily trading volume of 269,300 lots and an average daily holding volume of 323,100 lots [1][4]. Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 18.48%, a 2.49% increase from a week ago. The implied volatility of 50ETF options was 15.69%, a 1.42% increase from a week ago. The implied volatility of CSI 1000 index options was 22.97%, a 3.11% increase from a week ago [2][4]. Commodity Options Implied Volatility - As of the close on Friday, the implied volatility of crude oil options was 17.94%, a - 0.26% decrease from a week ago. The implied volatility of lithium carbonate options was 43.94%, a 9.42% increase from a week ago. The implied volatility of rebar options was 22.61%, a 0.37% increase from a week ago. The implied volatility of soda ash options was 23.03%, a - 0.44% decrease from a week ago. The implied volatility of gold options was 22.61%, with a 0.37% increase and a - 0.26% decrease from a week ago. The implied volatility of silver options was 31.28%, a 0.45% increase from a week ago. The implied volatility of palm oil options was 17.35%, a 0.89% increase from a week ago. The implied volatility of soybean oil options was 12.60%, a 0.66% increase from a week ago. The implied volatility of rapeseed oil options was 13.46%, a 0.56% increase from a week ago. The implied volatility of rubber options was 17.63%, a 0.34% increase from a week ago [2][5].