| | 11/25 21:30 美国9月PPI、核心PPI、零售销售 | | --- | --- | | | 11/26 21:30 美国11月22日当周首次申请失业救济人数 | | | 11/26 23:00 美国10月PCE、核心PCE | | | 11/27 9:30 中国10月规模以上工业企业利润 | | 重点关注 | 11/30 9:30 中国11月制造业、非制造业、综合PMI | 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：IF:沪深300 IH:上证50 IC:中证500 IM：中证1000 IO:沪深300期权 研究员: 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 微信号：yanjiufuwu 电话：0595-86778969 免责声明：本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完整性不做任何保 证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否符合其特定状况。本报告版权仅为我公 司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。如 ...

由期货日报主办的第十九届全国期货（期权）实盘交易大赛（下称本届大赛），3月28日开赛，9月26日圆满结束。比赛期间，各路参赛选手各显身手、一展 风采。大宗商品市场变幻莫测，对选手策略的适配性提出了更高要求。随着行情的变化以及选手策略的不断调整，各组排名不断刷新，榜首更替频繁。经过 激烈争夺，196个奖项各归其主。 整体看，本届大赛盈利情况较上届有所好转，专业交易者盈利占比过半，重量组、高净值组、量化组全部实现盈利，盈利账户占比及收益率明显提升，中小 交易者亏损幅度加大。专业、机构交易者优势继续体现。 参赛账户数及权益 | 组别 | 账户数 | 权益 | 权益 | 盈利账 | 净利润 | 收益率 | 最高净 | | --- | --- | --- | --- | --- | --- | --- | --- | | (个) | | (亿元) | 日比 | 户占比 (亿元) | | | 利润 | | | | | (%) | | | | (亿元) | | 轻量组 158737 103 | | | 21 | 20% | -53 | -34% | -0.94 | | 重量组 | 5916 | 106 | 22 | 50% ...

Investment Rating - No investment rating for the industry is provided in the report. Core Viewpoints - A - share major indices closed with collective gains. The three major indices opened and closed higher, with the Shanghai Composite Index regaining the 4000 - point mark. The overall equity market's bullish sentiment remains relatively high due to the double expectations of the Fed's further interest - rate cut and the Sino - US summit. It is recommended to buy on dips with a light position and prioritize allocating to IC and IM [2]. Summary by Relevant Contents Futures Market - **Contract Prices and Changes**: The latest prices of IF, IH, IC, and IM main and secondary contracts all increased compared to the previous period. For example, the latest price of the IF main contract (2512) is 4732.6, up 57.6 [2]. - **Contract Spreads**: Most of the contract spreads between different varieties increased, such as the IF - IH spread which rose by 46.6. However, the IM - IC spread decreased by 43.6 [2]. - **Quarter - to - Month Spreads**: Some quarter - to - month spreads changed, with the IF and IH quarter - to - month spreads mostly decreasing, while the IC and IM quarter - to - month spreads showed mixed trends [2]. - **Net Positions of Top 20 Holders**: The net positions of the top 20 holders of IF and IC decreased, while those of IH and IM increased [2]. Spot Market - **Spot Index Prices**: The prices of the CSI 300, SSE 50, CSI 500, and CSI 1000 all increased, with the CSI 300 rising to 4747.84, up 55.9 [2]. - **Basis**: The basis of the IF, IH, IC, and IM main contracts all increased [2]. Market Sentiment - **Trading Volume and Margin Trading**: The A - share trading volume and margin trading balance increased, with the A - share trading volume reaching 22906.74 billion yuan, up 1253.67 billion yuan [2]. - **Options and Volatility**: The closing price of the IO at - the - money call option increased, while that of the put option decreased. The implied volatility of the call option increased, and that of the put option decreased [2]. Industry News - **International Events**: Chinese President Xi Jinping will meet with US President Trump in Busan, South Korea on October 30 to exchange views on Sino - US relations and common concerns. The Fed is expected to cut interest rates by 25 basis points [2]. - **Domestic Policies**: The full text of the "15th Five - Year Plan" suggestions was released, aiming to achieve various economic and social development goals, including promoting high - tech self - reliance and strengthening new productive forces [2]. Company Earnings - The net profit growth rate of all A - shares and CSI 500 has accelerated significantly, with the CSI 500's net profit growth rate exceeding 10% [2]. Key Events to Watch - From October 27 - 31, 4347 A - share listed companies will disclose their third - quarter reports. On October 30, there will be interest - rate decisions from the Fed, the Bank of Japan, and the European Central Bank. On October 31, there will be China's PMI data and US economic data such as PCE [3].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - A股主要指数收盘普遍上涨，三大指数全天高开后维持震荡态势，沪深两市成交额大幅回落，全市场超4000只个股上涨，行业板块普遍上涨，通信、煤炭板块大幅走强，有色金属板块逆市领跌 [2] - 海外方面，特朗普在关税政策上的松动对市场风险偏好有一定修复；国内方面，经济基本面有喜有忧，政策端市场关注二十届四中全会对“十五五”规划的安排，预计以发展新质生产力为主线 [2] - 9月工业生产支撑经济，通缩压力减缓，通胀预期回升有提振作用，但中美贸易问题困扰市场，宏观层面不确定性大，前期估值偏高的中小盘股面临回调压力，建议暂时观望 [2] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices**: IF主力合约（2512）涨至4506.8，环比+22.2；IH主力合约（2512）涨至2970.4，环比+8.8；IC主力合约（2512）涨至6909.2，环比+44.2；IM主力合约（2512）涨至7059.2，环比+35.0 [2] - **Futures Spreads**: IF - IH当月合约价差为1547.8，环比+16.2；IM - IC当月合约价差为165.6，环比+25.6等 [2] - **Futures Positions**: IF前20名净持仓为 - 27,364.00，环比+774.0；IH前20名净持仓为 - 16,222.00，环比 - 185.0等 [2] - **Basis**: IF主力合约基差为 - 31.4，环比 - 2.4；IH主力合约基差为 - 4.5，环比+0.3等 [2] 3.2 Market Sentiment - A股成交额为17,512.95亿元，环比 - 2031.13；两融余额为24,293.85亿元，环比 - 278.11等 [2] 3.3 Industry News - 前三季度国内生产总值1015036亿元，同比增长5.2%；9月规模以上工业增加值同比增长6.5%；1 - 9月全国固定资产投资同比下降0.5%等 [2] - A股主要指数收盘普遍上涨，海外特朗普关税政策松动，国内经济基本面有变化，政策端关注二十届四中全会 [2] 3.4 Key Data to Focus On - 10月24日15:15 - 16:30关注法国、德国、欧元区、英国10月SPGI制造业PMI；20:30关注美国9月CPI、核心CPI；21:45关注美国10月SPGI制造业PMI [3]

Core Viewpoint - The rapid development of China's options market has significantly enhanced its ability to serve the real economy, becoming a crucial pillar for capital market reform and risk management in a volatile global financial landscape [1][2]. Market Growth - The market scale has continuously expanded, with record high open interest of 13.48 million contracts on August 6, 2025, and a daily average open interest increase of 207% compared to 2022 [2]. - The number of listed options has accelerated, with 62 options currently available, covering major sectors such as energy, agriculture, and metals [7]. - Corporate participation has increased, with notable growth in open interest and trading activity among corporate clients in various sectors, indicating a rising acceptance of options as flexible risk management tools [2][6]. Historical Development - The options market in China has evolved from its inception in 2015, with significant milestones including the launch of the first financial ETF options and commodity options, paving the way for a comprehensive derivatives market [4][5]. - The period from 2015 to 2018 was characterized by the expansion of pilot programs and regulatory frameworks, establishing a solid foundation for market growth [4]. - Since 2019, the market has entered a phase of accelerated growth, with the introduction of various commodity options and the expansion of index options [5]. Performance Metrics - In the first half of 2025, the average daily trading volume of financial futures options reached 284.78 billion yuan, reflecting a sustained increase in market activity [3]. - The average daily trading volume for the soybean meal options was 148,100 contracts, with a year-on-year increase of 29.72%, while gold options saw a staggering 173.54% increase in average daily trading volume [3]. Future Outlook - The options market is expected to continue expanding, with projections indicating that the total trading volume could exceed 1 trillion yuan in 2025, supported by economic recovery and foreign capital inflow [9]. - Product innovation is anticipated to accelerate, with exchanges expected to introduce more options products to achieve full industry chain coverage [9]. - The integration of options with insurance products is expected to empower more small and medium-sized enterprises, enhancing their risk management capabilities [9].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - The Fed cut interest rates by 25 basis points, and the A - share major indices closed generally lower. Although the economic data in August was under pressure, the financial data showed that residents were shifting from excess savings to increased consumption. The RMB was under short - term pressure due to Powell's hawkish remarks, but the dot - plot indicated two more rate cuts this year, which would reduce the RMB depreciation pressure and provide room for domestic policy easing. Therefore, stock indices still have long - term upward potential, and it is recommended to buy on dips with a light position [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Contract Prices**: The prices of IF, IH, IC, and IM main and sub - main contracts all declined. For example, the IF main contract (2509) dropped from the previous level to 4487.2, a decrease of 61.2 [2]. - **Futures Spreads**: All spreads such as IF - IH, IC - IF, etc. showed a downward trend. For instance, the IF - IH monthly contract spread decreased by 20.6 to 1576.4 [2]. - **Futures Seasonal - Monthly Spreads**: Most of the seasonal - monthly spreads for IF, IH, IC, and IM decreased, except for the IH seasonal - monthly spread which increased slightly [2]. - **Futures Position Holdings**: The net positions of the top 20 in IF, IH, IC, and IM all decreased. For example, the IF top 20 net position decreased by 3206 to - 24,119 [2]. 3.2 Spot Market - **Spot Index Prices**: The prices of the Shanghai - Shenzhen 300, Shanghai 50, CSI 500, and CSI 1000 all declined. For example, the Shanghai - Shenzhen 300 dropped by 52.9 to 4498.11 [2]. - **Contract Basis**: The basis of IF, IH, IC, and IM main contracts all decreased [2]. 3.3 Market Sentiment - **Trading Volume and Balance**: A - share trading volume increased by 7637.19 billion yuan to 31,666.43 billion yuan, and the margin trading balance increased by 127.92 billion yuan to 24,054.44 billion yuan [2]. - **North - bound Trading and Repurchase**: North - bound trading volume increased slightly, and the reverse repurchase operation volume increased while the maturity volume decreased [2]. - **Other Indicators**: The proportion of rising stocks decreased, the Shibor increased, the closing price of the IO at - the - money call option decreased, the closing price of the IO at - the - money put option increased, and other indicators showed different trends [2]. 3.4 Market Strength - Weakness Analysis - The overall A - share market, technical, and capital aspects all showed a weakening trend in the Wind market strength - weakness analysis [2]. 3.5 Industry News - The Fed cut interest rates by 25 basis points for the first time this year and after a 9 - month pause. The A - share major indices closed generally lower, with small and medium - cap stocks outperforming large - cap blue - chip stocks. The domestic economic data in August was under pressure, and the M1 - M2 gap narrowed significantly [2].

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View - A-shares' major indices mostly closed higher, with the market entering the macro data verification phase during the performance and policy vacuum period. August economic data remained under pressure, with real estate significantly dragging down fixed - asset investment and the marginal weakening of the trade - in policy pressuring social retail. However, previous financial data indicated a shift from excess savings to increased consumption, and the Fed's potential rate cut would provide room for domestic policy easing. Therefore, stock indices still have long - term upward potential, but poor economic data short - term pressures the market. It is recommended to wait and see for now [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Data - **Futures Contracts Prices**: IF main contract (2509) was at 4527.8 (+2.0↑), IC main contract (2509) at 7114.2 (-38.2↓), IH main contract (2509) at 2962.4 (-7.4↓), IM main contract (2509) at 7368.6 (-32.2↓) [2] - **Futures Spreads**: IF - IH current - month contract spread was 1565.4 (+10.8↑), IC - IF current - month contract spread was 2586.4 (-30.4↓) [2] - **Futures Seasonal Spreads**: IF current - season minus current - month was -30.8 (-4.6↓), IH current - season minus current - month was 0.2 (-0.6↓), IC current - season minus current - month was -174.8 (-23.6↓), IM current - season minus current - month was -225.4 (-6.2↓) [2] - **Futures Net Positions**: IF top 20 net positions were -28,938.00 (-1367.0↓), IH top 20 net positions were -18,383.00 (+136.0↑), IC top 20 net positions were -25,779.00 (+937.0↑), IM top 20 net positions were -47,196.00 (+58.0↑) [2] 3.2 Spot Market Data - **Underlying Index Prices**: CSI 300 was at 4533.06 (+11.1↑), SSE 50 was at 2962.6 (-5.9↓), CSI 500 was at 7137.4 (-10.4↓), CSI 1000 was at 7415.6 (-7.3↓) [2] - **Basis**: IF main contract basis was -5.3 (-6.5↓), IH main contract basis was -0.2 (-0.3↓), IC main contract basis was -23.2 (-15.4↓), IM main contract basis was -47.0 (-16.9↓) [2] 3.3 Market Sentiment Data - **Trading Volume and Balance**: A - share trading volume (daily) was 23,031.80 billion yuan (-2451.32↓), margin trading balance (previous trading day) was 23,515.70 billion yuan (+111.45↑), north - bound trading volume (previous trading day) was 3112.83 billion yuan (-39.84↓) [2] - **Other Indicators**: The proportion of rising stocks (daily) was 35.28% (-0.22↓), Shibor (daily) was 1.408% (+0.041↑), IO at - the - money call option closing price (2509) was 29.00 (-3.00↓), IO at - the - money put option closing price (2509) was 51.20 (-5.40↓) [2] 3.4 Industry News - **Economic Data**: In August, the year - on - year actual growth of above - scale industrial added value was 5.2% (expected 5.7%, previous 5.7%); social consumer goods retail sales were 39668 billion yuan, a year - on - year increase of 3.4% (expected 3.8%, previous 3.7%); from January to August, national fixed - asset investment (excluding rural households) was 326111 billion yuan, a year - on - year increase of 0.5%, with private fixed - asset investment down 2.3% year - on - year; from January to August, real estate development investment was 60309 billion yuan, down 12.9% year - on - year; in August, the national urban survey unemployment rate was 5.3%, up 0.1 percentage points from the previous month [2] - **Market Performance**: A - share major indices closed with mixed results. The Shanghai Composite Index fell 0.26%, the Shenzhen Component Index rose 0.63%, and the ChiNext Index rose 1.51%. The trading volume of the Shanghai and Shenzhen stock markets significantly declined, and over 3300 stocks fell. Overseas, the US August PPI unexpectedly turned negative month - on - month, which supported the Fed's September rate cut [2] 3.5 Key Data to Watch - September 16, 20:30: US August import and export price indices, retail sales, and core retail sales - September 18, 2:00: Fed interest rate decision - September 18, 19:00: Bank of England interest rate decision - September 19, 10:47: Bank of Japan interest rate decision [3]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - A股主要指数收盘集体大幅上涨，三大指数早盘高开高走，午后短暂回落随后再度拉升，大盘蓝筹股强于中小盘股。本周国内处于宏观数据真空期，迎来上市公司板报密集披露潮，市场关注半年报披露状况。低利率环境下居民存款搬家为市场注入流动性，政策助推中长期资金入市优化投资结构，美股估值偏高使A股吸引外资流入，市场对政策加码仍有预期，策略上建议轻仓逢低买入 [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market - 各期货主力和次主力合约价格多数上涨，如IF主力合约（2509）涨至4474.6，涨幅+100.2；各期货合约价差有不同变化，如IF - IH当月合约价差涨至1482.6，涨幅+30.6；各期货当季 - 当月、下季 - 当月价差有不同变化，如IF当季 - 当月为 - 17.2，涨幅+2.0；各期货前20名净持仓多数增加，如IF前20名净持仓为 - 38,591.00，增加3517.0 [2] 3.2 Spot Market - 沪深300、上证50、中证500、中证1000等现货价格上涨，如沪深300涨至4469.22，涨幅+91.2；各主力合约基差多数下降，如IF主力合约基差降至5.4，降幅 - 10.6 [2] 3.3 Market Sentiment - A股成交额、两融余额、北向成交合计等增加，如A股成交额达31,769.48亿元，增加5981.06亿元；主力资金昨日流入138.67亿元，今日流出562.82亿元；上涨股票比例增加，Shibor下降；IO平值看涨期权收盘价、隐含波动率上涨，IO平值看跌期权收盘价下降、隐含波动率上涨；沪深300指数20日波动率增加，成交量PCR下降，持仓量PCR增加 [2] 3.4 Wind Market Strength - Weakness Analysis - 全部A股、技术面、资金面评分均上涨，全部A股为6.90，涨幅+0.50；技术面为6.20，涨幅+1.10；资金面为7.70，涨幅+0.10 [2] 3.5 Industry News - 今年以来权益类ETF规模新增近8000亿元，总规模达4.11万亿元，增幅24%；养老基金二季度新进入29家个股前十大流通股东名单，11只个股新增持股市值超1亿元；截至8月24日18时，1688家上市公司披露2025年半年报，978家公司净利润同比增长，288家公司拟分红1646.98亿元；美联储主席鲍威尔称就业下行风险上升，或调整政策立场 [2] 3.6 Key Data to Focus On - 8月27日9:30关注中国7月规上工业企业利润；8月29日20:30关注美国7月个人收入/支出、PCE、核心PCE；8月31日9:30关注中国8月官方制造业、非制造业、综合PMI [3]

Market Overview - On August 19, the A-share market experienced a slight decline, with a total transaction volume of 2.64 trillion yuan across the Shanghai and Shenzhen stock exchanges. Over 2900 stocks rose, indicating rapid rotation of market hotspots [1] - Leading sectors included liquor, small metals, home appliances, and traditional Chinese medicine, while previously strong sectors such as insurance, military, securities, gaming, and pharmaceuticals saw the largest declines [1] Options Market Activity - The options market showed a decrease in transaction volume but an increase in open interest. The total options transaction volume for the day was 11.01 million contracts, down 23.60% from the previous trading day, while total open interest rose by 12.52% to 11.35 million contracts [1] - The trading volume for the SSE 50 ETF options decreased by 13.14%, but open interest increased by 13.67%, with a total of 1.76 million contracts traded and 1.94 million contracts in open interest [1] Specific Options Insights - The SSE 300 options also reflected a similar trend, with a significant decrease in transaction volume: down 25.40% for the SSE 300 ETF options and down 36.69% for the CFFEX SSE 300 index options. However, open interest increased by 11.35% for the SSE 300 ETF options [2] - The STAR 50 ETF options saw a decrease in transaction volume by 119.86 million contracts, while open interest increased by 22.74 million contracts, indicating a mixed sentiment in the market [2] Volatility Analysis - The implied volatility of options opened high but declined throughout the day, with the SSE 50 ETF's at-the-money implied volatility at 15%. Historical volatility remained low, with the 30-day historical volatility at 8.87% for the SSE 50 ETF and 9.41% for the SSE 300 index [3] - Overall, the options market showed a comprehensive increase in call options, indicating a potential increase in market pressure in the short term, while put options showed little change [3]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View - A-share major indices collectively declined significantly, with the Shanghai Composite Index falling below 3,600 points. The trading volume in the Shanghai and Shenzhen stock markets increased notably. Most industry sectors dropped, with the steel, non-ferrous metals, and real estate sectors weakening substantially. [3] - In July, China's official manufacturing PMI declined from the previous month and has been in the contraction range for four consecutive months. Although the non-manufacturing PMI and composite PMI remained above the boom-bust line, they also decreased from the previous values. The decline in manufacturing sentiment negatively affected market sentiment. [3] - China and the US reached a 90-day tariff truce extension as scheduled. The Politburo meeting on July 30 did not announce more incremental policies, which was weaker than market expectations. [3] - The third trade negotiation provided more flexibility for the market, but the decline of China's three major PMI indices in July indicated that economic recovery still faced challenges. After the Politburo meeting, without unexpected policies, market bulls might take profit, and stock index futures were expected to enter a wide-range oscillation. It is recommended to wait and see. [3] 3. Summary by Relevant Catalogs Futures Contract Prices and Spreads - IF, IH, IC, and IM main and sub-main contracts all declined. For example, the IF main contract (2509) dropped to 4,057.0, down 73.2; the IH main contract (2509) fell to 2,777.0, down 40.6; the IC main contract (2509) decreased to 6,124.0, down 85.8; the IM main contract (2509) dropped to 6,538.0, down 58.2. [2] - There were changes in the spreads between different contracts. For instance, the IF - IH current month contract spread decreased to 1,293.0, down 32.6; the IC - IF current month contract spread dropped to 2,117.0, down 7.2. [2] Futures Position Holdings - The net positions of the top 20 in IF increased by 401.0 to -24,341.00, while those in IH decreased by 729.0 to -15,476.00, IC decreased by 1,765.0 to -12,414.00, and IM decreased by 56.0 to -37,444.00. [2] Spot Prices and Basis - The spot prices of the CSI 300, SSE 50, CSI 500, and CSI 1000 all declined. The basis of the IF main contract decreased to -18.6, down 3.8; the basis of the IH main contract increased to 1.0, up 0.4; the basis of the IC main contract decreased to -102.3, down 3.1; the basis of the IM main contract decreased to -123.2, down 8.9. [2] Market Sentiment - A-share trading volume reached 19,618.49 billion yuan, up 908.73 billion yuan. Margin trading balance increased by 21.07 billion yuan to 19,847.48 billion yuan. Northbound trading volume increased by 57.13 billion yuan to 2,391.44 billion yuan. [2] - The proportion of rising stocks decreased to 19.58%, down 12.04 percentage points. The Shibor increased to 1.392%, up 0.075 percentage points. [2] Industry News - The Politburo meeting decided to hold the Fourth Plenary Session of the 20th Central Committee, emphasizing the need to continue and strengthen macro - policies, release domestic demand potential, expand high - level opening - up, and resolve local government debt risks. [2] - China and the US held economic and trade talks in Stockholm, and agreed to extend the 24% reciprocal tariff suspension and China's counter - measures for 90 days. [2] - In July, the manufacturing PMI was 49.3%, down 0.4 percentage points from the previous month; the non - manufacturing business activity index and composite PMI output index were 50.1% and 50.2% respectively, down 0.4 and 0.5 percentage points from the previous month, both remaining above the critical point. [2]