新年伊始，A股市场放量上涨，融资融券（简称两融）余额也显著增长。据中证数据有限责任公司公布 的最新数据，截至1月7日，A股市场两融余额为26047.42亿元，首次突破2.6万亿元大关。期货日报记者 注意到，1月5日至7日，两融余额连续3个交易日攀升，累计增加640.60亿元。对此，分析人士认为，A 股市场气势如虹主要得益于政策预期向好、资金流动性改善与市场情绪回暖，投资者对后市信心增强， 各类资金积极参与明显提升了市场整体成交。 谈及两融交易活跃度持续提升，中国国际期货研究院负责人李冰在接受记者采访时表示，去年12月中旬 以来，A股市场便呈现出节节攀升的多头趋势，元旦假期后两融交投活跃且余额持续增长更是延续了假 期前市场的多头氛围。 "元旦假期前，投资者因担忧假期消息面的不确定性，常在加杠杆方面较为谨慎。而假期后，随着半导 体、有色资源、机器人等主题板块活跃，资金明显加快了入市布局的步伐。"李冰进一步解释道。 南华期货权益与固收研究分析师廖臣悦认为，两融余额增长是市场情绪回暖与风险偏好回升的重要信 号。"开年以来，A股市场放量大涨，截至1月8日，已连续3个交易日成交额超过2.8万亿元，交投热情显 著升温。市场 ...

Report Industry Investment Rating No relevant content provided. Core Views - The core pain point of the futures basis - eating strategy lies in the forced - liquidation risk and capital occupation pressure brought by leverage. In a falling market, margin calls increase capital allocation difficulty and affect investment experience [4]. - The in - the - money call option basis - eating strategy has three core advantages: no need to worry about forced liquidation and margin calls, more stable capital occupation; low time - value proportion, less impact of time - value erosion on returns; cash - settlement mechanism is suitable for long - term holding, reducing the negative impact of illiquidity [4]. - Long - term backtesting shows that the return trend of the in - the - money call option strategy is basically consistent with that of the futures basis - eating strategy, with a better maximum drawdown. The improved "optimal contract with the smallest time value" strategy boosts the annualized return by about 4.3% and reduces the maximum drawdown by about 13.4%, making the risk - return ratio more attractive [4]. - The in - the - money call option strategy performs stably in different market environments: it can capture upward returns in a bull market, reduce losses due to automatic Delta reduction in a bear market, and is less affected by time - value erosion than at - the - money options in a volatile market, suitable for diverse market scenarios [4]. Summary by Directory Preface - The CSI 500 and CSI 1000 index futures have long had significant basis. Although the futures basis - eating strategy can bring excess returns, the leverage scares some investors. The biggest risk is the falling - market risk, which may lead to margin calls and forced liquidation. It also increases the difficulty of capital allocation among different strategies [9]. - The report aims to propose an option - based basis - eating strategy to help investors better obtain basis returns [10]. Introduction to the In - the - Money Option Basis - Eating Strategy - A common option - based basis - eating idea is to buy a call option and sell a put option with the same strike price and expiration date to replicate a futures long position. However, this synthetic futures portfolio is not discussed in this report as it has no essential difference in profit - and - loss compared to the futures long position [11][12]. - Buying deep in - the - money call options can enjoy basis returns. This strategy has advantages such as no forced - liquidation risk, less impact of time - value erosion, and reduced negative impact of illiquidity. But it also has disadvantages like higher capital occupation and some negative impacts from illiquidity [12][13][16]. Long - Term Performance Comparison of Each Basis - Eating Strategy Backtest Settings - Backtest target: CSI 1000 index futures and options; backtest period: from July 22, 2022, to November 4, 2025; backtest contracts: near - month contracts for both options and futures; opening time: at the opening; trading costs: futures commission is 0.003%, option commission is 20 yuan per contract, and option slippage is 0.05% [19]. Futures Basis - Eating - Since the listing of IM, continuously rolling long the near - month IM contract can achieve an annualized return of about 9.37% (without leverage), with an excess return of about 7.39% compared to the index. The basis has deepened in recent years, and the future excess return is expected to be significantly higher than the average of 7.39% since listing [19]. At - the - Money Call Long Substitution - When using at - the - money call options to replace the futures long position, the long - term return seems better, mainly due to the significant gains during the continuous bull market in 2024. However, it underperforms in the volatile market from July 2022 to the end of 2023 because of continuous time - value erosion [23]. In - the - Money Call Option Basis - Eating - Using in - the - money call options to eat the basis, the long - term return trend is similar to that of the futures long position, but the annualized return is slightly lower due to time - value erosion and trading slippage. The maximum drawdown is improved as the directional exposure decreases during a falling market [25]. Improved In - the - Money Call Option Basis - Eating - Selecting the in - the - money call option contract with the smallest time value for opening positions can improve the annualized return by about 4.3% and reduce the maximum drawdown by about 13.4% compared to the futures basis - eating strategy. However, it may be difficult to replicate the backtest results in actual trading [30][32]. Summary - The net - value curves and risk - return indicators of each strategy are presented for reference [33]. Actual Case Analysis of Basis - Eating Bull Market - In the bull market from July to August 2025, the at - the - money call long strategy is the most suitable, with the smallest capital occupation and the largest profit. The in - the - money call basis - eating strategy and the futures basis - eating strategy have similar profit - and - loss and capital - occupation situations [40][45]. Bear Market - In the bear market from the end of 2023 to the beginning of 2024, the at - the - money call long strategy is the most suitable due to its limited - loss feature, with small capital occupation and small losses. The in - the - money call basis - eating strategy and the futures basis - eating strategy have similar profit - and - loss, but the futures strategy has much higher capital occupation [48][54]. Volatile Market - In the volatile market in September 2025, the at - the - money call long strategy performs the worst due to high time - value erosion, with small capital occupation but large losses. The in - the - money call basis - eating strategy has smaller losses but higher capital occupation compared to the futures basis - eating strategy [57][63]. Conclusion - The in - the - money call option basis - eating strategy is a feasible and advantageous alternative to the traditional futures basis - eating strategy. It can capture basis returns under controllable risks. The improved strategy further optimizes the return performance. It is suitable for investors seeking stable basis returns and avoiding leverage risks, especially as a sub - strategy in a portfolio. Attention should be paid to option liquidity and trading slippage in actual trading [65].

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - This week, the A - share market showed a narrow - range oscillation, with daily trading volume remaining above one trillion. For index options, the overall strategy is to focus on defense or go long on volatility. Specifically, for index options, the trend strategy is to focus on defense, and the volatility strategy is to buy wide - straddle options after the decline in volatility to go long on volatility. For example, for the CSI 300 index, the weekly K - line showed three consecutive positives, but the Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red. For the CSI 1000 index, the daily line first rose and then declined, and the weekly line returned to the 120 - week moving average. For the SSE 50 index, it remained above the 850 - day moving average, and the daily three - color K - line indicator remained red [2] 3. Summary According to the Table of Contents 3.1 CSI 300 Index Options (IO) - Index performance: The CSI 300 index had a narrow - range oscillation. The weekly K - line showed three consecutive positives, but the Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red [10][12] - Option data: The 2505 contract of CSI 300 index options had the maximum open - interest strike prices of call and put options both at 3800, and the option pain point was also 3800. The implied volatility first decreased and then increased. The current - month IF futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of IO options decreased, and the open interest increased. The trading volume PCR of options decreased, and the open - interest PCR increased [14][17][20] 3.2 CSI 1000 Index Options (MO) - Index performance: The CSI 1000 index's daily line first rose and then declined, and the weekly line returned to the 120 - week moving average. The Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red [38][41] - Option data: The 2505 contract of CSI 1000 index options had the maximum open - interest strike prices of call and put options at 6000 and 5800 respectively, and the option pain point was 5900. The implied volatility first decreased and then increased. The current - month IM futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of MO options decreased, and the open interest increased. The trading volume PCR of options decreased, and the open - interest PCR increased [43][46][49] 3.3 SSE 50 Index Options (HO) - Index performance: The SSE 50 index remained above the 850 - day moving average. The weekly K - line closed in the negative, and the Wednesday color K - line indicator remained gray, while the daily three - color K - line indicator remained red [67][69] - Option data: The 2505 contract of SSE 50 index options had the maximum open - interest strike prices of call and put options at 2750 and 2650 respectively, and the option pain point was 2650. The implied volatility increased. The current - month IH futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of HO options increased, and the open interest increased. Both the trading volume PCR and open - interest PCR of options increased [71][73][77]

Investment Rating - The report indicates a cautious investment sentiment in the A-share market, with a recommendation to adopt volatility strategies due to the current market conditions [2]. Core Insights - The A-share market is experiencing a fluctuating and differentiated pattern, with daily trading volume dropping below 2 trillion yuan. The CSI 300 index has fallen below its 60-day moving average, and the daily K-line indicator has turned gray, while the weekly K-line indicator has turned green after breaking below the 20-week moving average [2][12]. - The implied volatility of options has increased, indicating a rise in market uncertainty. The put-call ratio (PCR) has also risen, suggesting a growing interest in options trading [2][30]. - The report highlights that the underlying index has breached the strike price of the maximum open interest for put options, indicating bearish sentiment among investors [33]. Summary by Sections 1. CSI 300 Index Options (IO) - The CSI 300 index has broken below the 20-week moving average, with the weekly K-line indicator turning green. The index's daily K-line indicator has turned gray after falling below the 60-day moving average [9][12]. - The current trading volume for options has increased, with a stable PCR for open interest, while implied volatility has risen [27][30]. 2. CSI 1000 Index Options (MO) - The CSI 1000 index has also broken below its 250-week moving average, maintaining a bearish K-line indicator. The daily K-line indicator remains red after falling below the 10 and 850-day moving averages [36][39]. - The implied volatility for the CSI 1000 options has increased, reflecting heightened market uncertainty [43]. 3. SSE 50 Index Options (HO) - The SSE 50 index has fallen below its 10 and 850-day moving averages, with the daily K-line indicator remaining red. The weekly K-line indicator has turned green after a bearish trend [2][12]. - The trading volume for options has expanded, with an increase in implied volatility and a decrease in PCR for open interest [27][30].

Investment Rating - The report indicates a cautious outlook on the A-share market, suggesting a focus on trading opportunities post the Two Sessions [1]. Core Insights - The A-share market experienced a rebound after an initial decline, with the CSI 300 index facing resistance at the 850-day moving average, while the weekly indicators turned positive [2]. - The report highlights that the implied volatility of options has decreased, with a notable shift in the maximum open interest strike prices for both call and put options remaining stable [2][33]. - The report emphasizes the performance of the CSI 1000 index, which reached a new high for the year, with indicators showing a bullish trend [2][37]. Summary by Sections 1. CSI 300 Index Options (IO) - The CSI 300 index's weekly K-line chart shows a bullish trend, with the index closing above the 250-week moving average [9]. - The current month’s futures contract is trading at a discount to the underlying asset, while the next month’s contract shows a stable basis [19][22]. - The report notes a decrease in trading volume for options, but an increase in open interest, indicating a potential shift in market sentiment [27][30]. 2. CSI 1000 Index Options (MO) - The CSI 1000 index has maintained a bullish trend, with the weekly indicators remaining positive [35]. - The current month’s options pricing reflects a slight decline, with the maximum open interest for call options at 6600 and for put options at 6000, indicating market positioning [38][31]. - The implied volatility for the CSI 1000 options has shown fluctuations, initially decreasing before rising again [41].