投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-08-26 股市趋势上⾏，股债联动弱化 股指期货：板块⾼低切换不改趋势上⾏。 股指期权：情绪持续乐观，买⼊看涨仍强。 国债期货：债市情绪回暖。 股指期货方面，板块高低切换不改趋势上行。周四沪指高开震荡， 盘中续创新高，量能基本持平。热点板块出现轮动，一是反内卷举措继续 发酵，叠加头部猪企中报成本下降、增加分红，催化农林牧渔、石油石化 行业领涨；二是中国香港的稳定币发行拉开序幕，催化跨境支付板块走 强。资金轮动下，前期热门板块出现回撤，机械设备、电力设备、国防军 工行业领跌，涨停板数量减少，高位股掀跌停潮。由于成交额维持高位， 杠杆资金继续流入，板块切换不改整体上行趋势，我们建议继续持有IM多 单，享受成长风格超额。 股指期权方面，情绪持续乐观，买入看涨仍强。昨日标的市场延续上 周乐观情绪，各品种全线上涨，双创品种仍有上行动能。期权市场成交额 破200亿大关，相比前一交易日上升36.72%，交易型资金进一步活跃。 期权市场各情绪指标均给出乐观预期：持仓量PCR极端高位，且部分品种 上方仍有一定空间；比值PCR各品种继续下 ...

金融期权 2025-08-25 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,825.76 | 54.66 | 1.45 | 10,951 | 973 | 16.41 | | 深证成指 | 399001.SZ | 12,166.06 | 246.30 | 2.07 | 14,516 | 253 | 29.31 | | 上证50 | 000016.SH | 2,928 ...

更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2025 年 8 月 25 日 星期一 研究员： 于军礼 从业资格： F0247894 交易咨询资格：Z0000112 早盘提示 Morning session notice 联系方式：yujunli@greendh.com | 板块 | 品种 | 多（空） | 推荐理由 【行情复盘】 | | --- | --- | --- | --- | | | | | 周五芯片板块暴涨，带动科创 50 指数大涨 8.5%，两市主要指数震荡上涨。两市成 交额 2.54 万亿元，稍有放大。上证 50 指数收 2928 点，涨 66 点，涨幅 2.32%；沪 | | | | | 深 300 指数收 4378 点，涨 89 点，涨幅 2.10%；中证 500 指数收 6822 点，涨 118 | | | | | 点，涨幅 1.77%；中证 1000 指数收 7362 点，涨 109 点，涨幅 1.51%。行业与主题 | | | | | ETF 中涨幅居前的是科创 50ETF 富国、科创芯片设计 ETF、科创芯片 ETF、科创信息 | | ...

1. Report Industry Investment Rating - No information provided regarding the industry investment rating. 2. Core Views of the Report - The stock market shows a high - level slight oscillation, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all in this state [3]. - The implied volatility of financial options gradually rises to fluctuate above the mean level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double - selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double - selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [3]. 3. Summary According to Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,771.10, up 4.89 (0.13%), with a trading volume of 997.7 billion yuan and a volume change of - 19.8 billion yuan, and a PE of 16.16 [4]. - The Shenzhen Component Index closed at 11,919.76, down 6.98 (- 0.06%), with a trading volume of 1426.3 billion yuan and a volume change of 35.6 billion yuan, and a PE of 28.65 [4]. - The SSE 50 Index closed at 2,862.18, up 15.19 (0.53%), with a trading volume of 136.5 billion yuan and a volume change of - 3.2 billion yuan, and a PE of 11.71 [4]. - The CSI 300 Index closed at 4,288.07, up 16.67 (0.39%), with a trading volume of 558.5 billion yuan and a volume change of 19.7 billion yuan, and a PE of 13.73 [4]. - The CSI 500 Index closed at 6,704.17, down 23.90 (- 0.36%), with a trading volume of 404.1 billion yuan and a volume change of - 5.5 billion yuan, and a PE of 32.02 [4]. - The CSI 1000 Index closed at 7,253.34, down 52.12 (- 0.71%), with a trading volume of 516.5 billion yuan and a volume change of - 1 billion yuan, and a PE of 44.56 [4]. 3.2 Option - Based ETF Market Overview - The SSE 50 ETF closed at 2.990, up 0.015 (0.50%), with a trading volume of 8.7402 million shares and a volume change of 8.6399 million shares, and a trading value of 2.612 billion yuan and a value change of - 0.348 billion yuan [5]. - The SSE 300 ETF closed at 4.378, up 0.014 (0.32%), with a trading volume of 9.13 million shares and a volume change of 8.9922 million shares, and a trading value of 3.997 billion yuan and a value change of - 1.941 billion yuan [5]. - The SSE 500 ETF closed at 6.786, down 0.038 (- 0.56%), with a trading volume of 2.9833 million shares and a volume change of 2.9495 million shares, and a trading value of 2.028 billion yuan and a value change of - 0.252 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.208, unchanged (0.00%), with a trading volume of 45.2083 million shares and a volume change of 44.6828 million shares, and a trading value of 5.501 billion yuan and a value change of - 0.728 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.180, up 0.001 (0.08%), with a trading volume of 10.7717 million shares and a volume change of 10.6569 million shares, and a trading value of 1.281 billion yuan and a value change of - 0.049 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.515, up 0.020 (0.44%), with a trading volume of 2.2215 million shares and a volume change of 2.1995 million shares, and a trading value of 1.003 billion yuan and a value change of 0.023 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.712, down 0.016 (- 0.59%), with a trading volume of 1.0161 million shares and a volume change of 1.0035 million shares, and a trading value of 0.276 billion yuan and a value change of - 0.062 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.124, up 0.003 (0.10%), with a trading volume of 0.6078 million shares and a volume change of 0.602 million shares, and a trading value of 0.019 billion yuan and a value change of 0.0012 billion yuan [5]. - The ChiNext ETF closed at 2.572, down 0.016 (- 0.62%), with a trading volume of 18.828 million shares and a volume change of 18.6221 million shares, and a trading value of 4.859 billion yuan and a value change of - 0.401 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF, the trading volume was 1.4943 million contracts (down 0.215 million), the open interest was 1.7591 million contracts (down 0.0319 million), the trading volume PCR was 0.73 (down 0.17), and the open - interest PCR was 1.06 (up 0.05) [6]. - For the SSE 300 ETF, the trading volume was 1.5079 million contracts (down 0.3795 million), the open interest was 1.4525 million contracts (down 0.0081 million), the trading volume PCR was 0.72 (down 0.50), and the open - interest PCR was 1.22 (unchanged) [6]. - For the SSE 500 ETF, the trading volume was 2.1288 million contracts (down 0.3029 million), the open interest was 1.4928 million contracts (up 0.0402 million), the trading volume PCR was 0.74 (down 0.04), and the open - interest PCR was 1.38 (down 0.06) [6]. - For the Huaxia Science and Technology Innovation 50 ETF, the trading volume was 1.8815 million contracts (down 0.1721 million), the open interest was 1.9954 million contracts (down 0.0243 million), the trading volume PCR was 0.50 (down 0.03), and the open - interest PCR was 0.82 (up 0.01) [6]. - For the E Fund Science and Technology Innovation 50 ETF, the trading volume was 0.4171 million contracts (down 0.0977 million), the open interest was 0.6025 million contracts (up 0.0033 million), the trading volume PCR was 0.43 (down 0.39), and the open - interest PCR was 0.86 (up 0.03) [6]. - For the Shenzhen 300 ETF, the trading volume was 0.3459 million contracts (up 0.0533 million), the open interest was 0.3282 million contracts (up 0.0114 million), the trading volume PCR was 1.08 (up 0.09), and the open - interest PCR was 1.25 (up 0.06) [6]. - For the Shenzhen 500 ETF, the trading volume was 0.4278 million contracts (down 0.07 million), the open interest was 0.4312 million contracts (down 0.0051 million), the trading volume PCR was 0.83 (up 0.01), and the open - interest PCR was 1.08 (up 0.03) [6]. - For the Shenzhen 100 ETF, the trading volume was 0.1825 million contracts (up 0.0057 million), the open interest was 0.1755 million contracts (down 0.0007 million), the trading volume PCR was 1.20 (down 0.25), and the open - interest PCR was 1.40 (up 0.12) [6]. - For the ChiNext ETF, the trading volume was 2.4921 million contracts (down 0.1566 million), the open interest was 2.0992 million contracts (up 0.053 million), the trading volume PCR was 0.68 (down 0.07), and the open - interest PCR was 1.31 (down 0.04) [6]. - For the SSE 50 index options, the trading volume was 0.0529 million contracts (up 0.0047 million), the open interest was 0.0732 million contracts (up 0.0017 million), the trading volume PCR was 0.31 (down 0.05), and the open - interest PCR was 0.56 (up 0.02) [6]. - For the CSI 300 index options, the trading volume was 0.1119 million contracts (up 0.0028 million), the open interest was 0.1772 million contracts (up 0.0036 million), the trading volume PCR was 0.46 (down 0.08), and the open - interest PCR was 0.82 (up 0.03) [6]. - For the CSI 1000 index options, the trading volume was 0.3082 million contracts (up 0.033 million), the open interest was 0.2809 million contracts (up 0.0134 million), the trading volume PCR was 0.49 (down 0.14), and the open - interest PCR was 1.03 (unchanged) [6]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF, the closing price was 2.990, the at - the - money strike price was 3.00, the pressure point was 3.10, the support point was 2.95, the maximum long position for calls was 123,462, and the maximum long position for puts was 93,725 [8]. - For the SSE 300 ETF, the closing price was 4.378, the at - the - money strike price was 4.40, the pressure point was 4.40, the support point was 4.30, the maximum long position for calls was 55,919, and the maximum long position for puts was 71,619 [8]. - For the SSE 500 ETF, the closing price was 6.786, the at - the - money strike price was 6.75, the pressure point was 7.00, the support point was 6.50, the maximum long position for calls was 82,012, and the maximum long position for puts was 107,604 [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the closing price was 1.208, the at - the - money strike price was 1.20, the pressure point was 1.25, the support point was 1.15, the maximum long position for calls was 87,148, and the maximum long position for puts was 70,589 [8]. - For the E Fund Science and Technology Innovation 50 ETF, the closing price was 1.180, the at - the - money strike price was 1.20, the pressure point was 1.25, the support point was 1.15, the maximum long position for calls was 27,222, and the maximum long position for puts was 26,807 [8]. - For the Shenzhen 300 ETF, the closing price was 4.515, the at - the - money strike price was 4.50, the pressure point was 4.60, the support point was 4.30, the maximum long position for calls was 16,481, and the maximum long position for puts was 23,477 [8]. - For the Shenzhen 500 ETF, the closing price was 2.712, the at - the - money strike price was 2.70, the pressure point was 2.70, the support point was 2.55, the maximum long position for calls was 18,589, and the maximum long position for puts was 17,967 [8]. - For the Shenzhen 100 ETF, the closing price was 3.124, the at - the - money strike price was 3.10, the pressure point was 3.10, the support point was 3.00, the maximum long position for calls was 6,223, and the maximum long position for puts was 9,094 [8]. - For the ChiNext ETF, the closing price was 2.572, the at - the - money strike price was 2.55, the pressure point was 2.60, the support point was 2.50, the maximum long position for calls was 95,481, and the maximum long position for puts was 72,965 [8]. - For the SSE 50 index options, the closing price was 2,862.18, the at - the - money strike price was 2,850, the pressure point was 3,200, the support point was 2,700, the maximum long position for calls was 6,714, and the maximum long position for puts was 2,897 [8]. - For the CSI 300 index options, the closing price was 4,288.07, the at - the - money strike price was 4,300, the pressure point was 4,700, the support point was 4,250, the maximum long position for calls was 8,045, and the maximum long position for puts was 8,904 [8]. - For the CSI 1000 index options, the closing price was 7,253.34, the at - the - money strike price was 7,300, the pressure point was 7,400, the support point was 6,500, the maximum long position for calls was 10,159, and the maximum long position for puts was 7,419 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF options, the at - the - money implied volatility was 17.47%, the weighted implied volatility was 18.53% (up 0.71%), the annual average was 15.05%, the call implied volatility was 19.08%, the put implied volatility was 17.61%, the HISV20 was 13.26%, and the implied - historical volatility difference was 5.27% [11]. - For the SSE 300 ETF options, the at - the - money implied volatility was 17.79%, the weighted implied volatility was 18.50% (up 0.07%), the annual average was 15.69%, the call implied volatility was 18.52%, the put implied volatility was 18.47%, the HISV20 was 13.99%, and the implied - historical volatility difference was 4.51% [11]. - For the SSE 500 ETF options, the at - the - money implied volatility was 21.19%, the weighted implied volatility was 23.05% (down 0.36%), the annual average was 19.39%, the call implied volatility was 23.57%, the put implied volatility was 2

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of slight fluctuations at high levels [3]. - The implied volatility of financial options gradually rose to fluctuate above the average level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [3]. 3. Summaries Based on Relevant Catalogs 3.1 Stock Market Review - The Shanghai Composite Index closed at 3,766.21, up 38.92 points or 1.04%, with a trading volume of 101.75 billion yuan, a decrease of 43.4 billion yuan [4]. - The Shenzhen Component Index closed at 11,926.74, up 105.11 points or 0.89%, with a trading volume of 139.07 billion yuan, a decrease of 136.7 billion yuan [4]. - Other major indices also showed varying degrees of increases [4]. 3.2 Option Underlying ETF Market Overview - The closing prices, price changes, trading volumes, and trading volumes changes of various option underlying ETFs are presented, such as the Shanghai 50 ETF closing at 2.975, up 0.038 or 1.29%, with a trading volume of 10.0375 million shares, an increase of 9.9572 million shares [5]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR values and their changes of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are analyzed from the perspective of the exercise prices with the largest open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties, including at-the-money implied volatility and weighted implied volatility, is presented, with explanations of their calculation methods [11][12]. 3.6 Strategy and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, and different option strategies are recommended for each sector [13]. - For example, for the Shanghai 50 ETF, a short-biased long combination strategy can be constructed to obtain time value income [14].

Group 1: Report Industry Investment Ratings - The investment rating for stock index futures is "oscillating upward with a bias towards strength" [10] - The investment rating for stock index options is "oscillating" [11] - The investment rating for treasury bond futures is "oscillating downward with a bias towards weakness" [11] Group 2: Core Views of the Report - Stock index futures are catalyzed by anti - involution policies. The upward trend of the market continues, and it is recommended to hold long positions in IM contracts to enjoy the excess returns of the growth style [3][10] - Stock index options see the fulfillment of positive expectations and an increase in volatility. It is advisable to adopt bull spread and short - volatility strategies [4][11] - Treasury bond futures experience a resurgence of risk appetite. The long - end of the bond market is significantly disturbed, and it is recommended to pay attention to opportunities for the yield curve to steepen and long - end arbitrage [5][11][12] Group 3: Summary by Related Catalogs 1. Market Views Stock Index Futures - On Wednesday, the Shanghai Composite Index opened lower and closed higher, standing firmly at a ten - year high with trading volume slightly shrinking to 2.44 trillion yuan. The growth style was prominent. Affected by the overnight slump in US tech stocks, A - shares opened lower but became an opportunity for portfolio adjustment. Anti - involution news catalyzed the oil and petrochemical industry, and the index accelerated its upward movement with the discount further narrowing. It is recommended to hold long positions in IM contracts [3][10] Stock Index Options - The underlying assets first declined and then rose. The option market turnover increased in the afternoon. Volatility decreased in the morning and increased in the afternoon. It is recommended to build short - volatility positions in batches and maintain a positive directional exposure [4][11] Treasury Bond Futures - The main contracts of treasury bond futures closed lower again. The decline was mainly due to the stock - bond seesaw effect. The long - end of the bond market was more disturbed, and the short - end performed relatively well with the curve steepening. It is recommended to pay attention to curve - steepening opportunities and long - end arbitrage [5][11][12] 2. Economic Calendar - On August 20, 2025, China's one - year loan prime rate (LPR) in August remained at 3%. The preliminary value of the US SPGI manufacturing PMI in August is expected to be 49.5, and Japan's national CPI annual rate in July is expected to be 3.1% [13] 3. Important Information and News Tracking - The upcoming military parade will feature domestically - produced active - service main battle equipment, including new fourth - generation equipment, unmanned intelligent and anti - unmanned equipment, and advanced strategic weapons, demonstrating the military's combat capabilities [13] - The US Treasury Secretary said that the US and China had a "very good dialogue" on economic and trade issues and expected to meet again before November [14] 4. Derivatives Market Monitoring - The report includes data on stock index futures, stock index options, and treasury bond futures, but specific data details are not elaborated in the summary requirements [15][19][31]

1. Report Industry Investment Ratings - The investment ratings for different financial derivatives are as follows: The outlook for stock index futures is "oscillating with a slight upward bias"; for stock index options, it is "oscillating"; and for treasury bond futures, it is "oscillating with a slight downward bias" [9][10][11] 2. Core Viewpoints of the Report - The report analyzes the market trends of stock index futures, stock index options, and treasury bond futures. The stock index futures market has broken through a key point with active incremental funds, and the upward trend is expected to continue. In the stock index options market, it is advisable to observe the persistence of the volatility inflection point and continue to hold bull spread strategies. The treasury bond futures market is affected by factors such as the stock - bond seesaw effect and capital tightening, and there are opportunities for curve steepening and long - end arbitrage [3][4][5] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - The Shanghai Composite Index fluctuated and closed flat on Tuesday, with trading volume slightly narrowing to 2.64 trillion yuan. After breaking through a 10 - year high, there was a style shift from dividends to growth. The market neutral strategy has faced setbacks since last week, indicating a shift from micro - small caps to small - medium caps. With positive sentiment indicators, there is no need to overly worry about pullbacks in August. It is recommended to hold IM long positions [3][9] 3.1.2 Stock Index Options - The underlying assets oscillated weakly, with only the CSI 1000 Index rising by 0.07%, while the SSE 50 ETF fell by 1.14%. Option trading volume declined by about 30%. Volatility decreased in most options. It is advisable to observe whether the morning volatility continues to decline and add short - volatility positions if it does. The bull spread strategy can be continued [4][10] 3.1.3 Treasury Bond Futures - Treasury bond futures rose across the board. The T contract rose due to the stock - bond seesaw effect and some short - sellers taking profits. However, capital tightening restricted the rise. The market risk preference and anti - involution may affect the bond market, and it is advisable to pay attention to curve steepening and long - end arbitrage opportunities [5][10][11] 3.2 Economic Calendar - On August 20, 2025, China's one - year loan prime rate (LPR) in August was announced at 3.35%, higher than the previous and predicted value of 3%. Other data such as China's July全社会 electricity consumption annual rate, the US August SPGI manufacturing PMI preliminary value, and Japan's July national CPI annual rate are yet to be released [13] 3.3 Important Information and News Tracking - **Pension**: On August 19, five departments issued a notice to enrich the scenarios for receiving personal pensions, adding three new scenarios and new application channels, effective September 1 [13] - **Photovoltaic**: On August 19, multiple departments held a photovoltaic industry symposium, calling for strengthening industry regulation, curbing low - price disorderly competition, standardizing product quality, and supporting industry self - regulation [14] 3.4 Derivatives Market Monitoring - The report mentions data monitoring for stock index futures, stock index options, and treasury bond futures, but specific data details are not elaborated in the provided content [15][19][31]

Report Summary Market Performance - The Shanghai Composite Index fell 0.02% to 3727.29 points, the Shenzhen Component Index fell 0.12%, the ChiNext Index fell 0.17%, the Beijing Stock Exchange 50 rose 1.27% hitting a new record high, the STAR 50 fell 1.12%, the Wind All - A fell 0.05%, the Wind A500 fell 0.31%, and the CSI A500 fell 0.43%. A - share trading volume was 2.64 trillion yuan, compared with 2.81 trillion yuan the previous day [11]. Index Futures and Options Index Futures - The closing price of the SSE 50 was 2812.4225, down 0.93%, with a trading volume of 62.84 billion and a turnover of 1531.40 billion yuan; the CSI 300 closed at 4223.3741, down 0.38%, with a trading volume of 250.82 billion and a turnover of 5535.36 billion yuan; the CSI 1000 closed at 7242.8494, up 0.07%, with a trading volume of 340.88 billion and a turnover of 5587.81 billion yuan [4]. Index Options - For the SSE 50 index options, the trading volume was 4.84 million contracts (3.76 million for call options and 1.07 million for put options, PCR = 0.29), and the open interest was 6.66 million contracts (4.32 million for call options and 2.34 million for put options, PCR = 0.54). - For the CSI 300 index options, the trading volume was 9.98 million contracts (7.25 million for call options and 2.73 million for put options, PCR = 0.38), and the open interest was 16.36 million contracts (9.18 million for call options and 7.18 million for put options, PCR = 0.78). - For the CSI 1000 index options, the trading volume was 26.82 million contracts (18.08 million for call options and 8.74 million for put options, PCR = 0.48), and the open interest was 25.29 million contracts (12.46 million for call options and 12.83 million for put options, PCR = 1.03) [4]. Volatility Analysis SSE 50 - Historical volatility and volatility smile curves are analyzed, including historical volatility ranges (minimum, maximum, 10% - 90% quantiles) and current values for different time - periods (5 - day, 20 - day, 40 - day, 80 - day, 120 - day), as well as the next - month at - the - money implied volatility [8][10]. CSI 300 - Similar to the SSE 50, historical volatility and volatility smile curves are presented, with historical volatility ranges and current values for different time - periods and the next - month at - the - money implied volatility [10]. CSI 1000 - Historical volatility and volatility smile curves are also analyzed, showing historical volatility ranges and current values for different time - periods and the next - month at - the - money implied volatility [10].

Report Industry Investment Rating - Not provided in the given content Core View of the Report - The major indices of the two markets had a strong consolidation on Tuesday to repair technical indicators, and the trading volume remained high. Hedge funds' net buying of Chinese stocks last week reached the highest level in seven weeks, making China the market with the largest capital inflow on the platform since August. The year 2025 has seen a "quantitative boom" in the quantitative circle. Continuous capital inflows will drive the stock market to maintain an upward trend [1][2]. Summary by Relevant Catalogs Market Review - On Tuesday, the major indices of the two markets had a strong consolidation, showing mixed trends to repair technical indicators. The trading volume was 2.58 trillion yuan, still relatively high. The CSI 1000 Index closed at 7,242 points, up 5 points or 0.07%; the CSI 500 Index closed at 6,655 points, down 12 points or -0.19%; the SSE 300 Index closed at 4,223 points, down 16 points or -0.38%; the SSE 50 Index closed at 2,812 points, down 26 points or -0.93%. Among industry and theme ETFs, those with the highest gains were Communication ETF, Gem Artificial Intelligence ETF Cathay, 5G ETF, Cloud 50 ETF, and Robot 50 ETF, while those with the highest losses were Tianhong Innovative Drug ETF, Leading Military Industry ETF, and Southern Securities ETF. Among the sector indices of the two markets, those with the highest gains were consumer electronics, home appliance parts, communication equipment, motor manufacturing, and industrial Internet index, while those with the highest losses were medical services, glass fiber, insurance, aviation equipment, and securities index. The settlement funds of stock index futures for the CSI 1000, SSE 300, CSI 500, and SSE 50 indices had net outflows of 5.5 billion, 5.1 billion, 1.8 billion, and 0.9 billion yuan respectively [1]. Important Information - The State Council meeting emphasized continuously stimulating consumption potential, systematically clearing restrictive measures in the consumption field, and accelerating the cultivation and expansion of new growth points such as service consumption and new - type consumption. It also aimed to increase effective investment, give play to the leading and driving role of major projects, and actively promote private investment [1]. - Data from Goldman Sachs' Prime Brokerage (GS PB) showed that hedge funds' net buying of Chinese stocks last week reached the highest level in seven weeks, making China the market with the largest capital inflow on the platform since August [1]. - In just eight months of 2025, the quantitative circle has witnessed a "quantitative boom" comparable to 2019 and even surpassing 2020. Many quantitative institutions have quietly enjoyed a "silent bull market" with substantial floating profits [1]. - According to data compiled by Zishitang, among 53 quantitative private equity funds' CSI 500 enhanced products (with institutional scale all above 1 billion yuan, including 26 "10 - billion - scale giants"), the average return in 2025 was about 28.4%, while the CSI 500 Index only rose 10.4% during the same period [1]. - Zhaopin data showed that in the second quarter, the number of recruitment positions in the humanoid robot field increased by 398.1% year - on - year, far leading the growth rate. Technical talents proficient in algorithms and mechanical structure design have become highly sought - after in the job market [1]. - Apollo's chief economist said that consumer spending usually accounts for 70% of the US GDP, and private consumption is usually the main driving force for US GDP growth. However, in the first half of the year, the contribution of data center investment to US GDP growth was the same as that of consumer spending. The contribution of consumer spending has been declining, while that of data center construction has been rising [1]. - The drag effect of US trade tariffs is becoming increasingly apparent in Europe. In June, the exports of the 27 EU countries to the US decreased by 10% year - on - year to just over 40 billion euros (about 46.8 billion US dollars), the lowest level in two years [2]. - JPMorgan Chase said that multiple alternative inflation indicators showed that inflation not only failed to continue to decline, but the sticky part of core inflation was accelerating again, and a considerable part of its persistence was not related to tariffs. Unless the economy falls into recession, the persistent inflation will not support the Fed to take more aggressive easing policies [2]. - Goldman Sachs said that among the S&P 500 component stocks that have announced their earnings reports, 60% of the companies' earnings per share exceeded expectations by more than one standard deviation, mainly due to companies' multiple strategies such as supplier negotiations, supply chain adjustments, cost cuts, and passing on price increases to consumers, and the weakening of the US dollar provided additional impetus for corporate sales growth [2]. Market Logic - The major indices of the two markets had a strong consolidation on Tuesday to repair technical indicators. Hedge funds' net buying of Chinese stocks last week reached the highest level in seven weeks, making China the market with the largest capital inflow on the platform since August. The Shanghai Composite Index hit a nearly 10 - year high on Monday, and the total A - share market capitalization of A - share companies exceeded 100 trillion yuan, a record high. The year 2025 has seen a "quantitative boom" in the quantitative circle, and many quantitative institutions have enjoyed a "silent bull market" with floating profits [2]. Future Market Outlook - The major indices of the two markets had a strong consolidation on Tuesday to repair technical indicators, and the trading volume remained high. The State Council meeting emphasized measures to stimulate consumption and investment. Hedge funds' net buying of Chinese stocks reached a seven - week high. Goldman Sachs believes that the Chinese humanoid robot industry is iterating products at an amazing speed with a clearer commercialization path. The Fed may use currency depreciation to deal with debt, and the probability of a September interest rate cut by the Fed has risen to 100%. The "de - Americanization" of global financial asset reallocation is expected to accelerate the inflow of international funds into A - shares. The strong consolidation of major indices after continuous rises is a normal technical trend, and continuous capital inflows will drive the stock market to maintain an upward trend [2]. Trading Strategy - Stock index futures directional trading: The strong consolidation of major indices after continuous rises is a normal technical trend, and continuous capital inflows will drive the stock market to maintain an upward trend [2]. - Stock index options trading: With continuous capital inflows, investors can choose to buy out - of - the - money long - term call options on growth - type stock indices [2].

Report Industry Investment Rating - The industry investment rating is "Oscillation" [1] Core Viewpoints of the Report - The bull market sentiment continued to ferment last week, with the stock index hitting a new high for the year. The Shanghai Composite Index broke through the 3,700 - point mark during the week, and the small - cap growth style outperformed. The overseas market sentiment returned to caution, and the US stock market was basically flat. The market is expected to oscillate at a high level this week, and the one - sided trading strategy should focus on short - term long positions within the day [1][2] Summary According to Relevant Catalogs I. Last Week's Stock Index Operation Review 1. Bull Market Atmosphere Continued to Ferment, and A - shares Reached a New High - The bull market atmosphere continued to ferment last week, and the stock index hit a new high for the year. The Shanghai Composite Index broke through 3,700 points. Among the four broad - based indexes, CSI 1000 (+4.09%) > CSI 500 (+3.88%) > SSE 50 (+2.37%) > SSE 50 (+1.57%). Overseas, the international market sentiment became cautious, and US stocks were basically flat, with the Nasdaq rising 0.81% [1][8] 2. Communications and Electronics Led the Rise, and Trading Volume Increased Rapidly - From the perspective of Shenwan's primary industry classification, most sectors rose last week. Communications (+7.66%) and electronics (+7.02%) led the gains, while banks (-3.19%) and steel (-2.04%) lagged. The A - share trading volume increased rapidly and exceeded 2 trillion at the end of the week [2][9] 3. The Premium of Stock Index Futures Narrowed Rapidly, and the Option Volatility Increased Rapidly - In the futures market, the basis of each stock index futures (spot - futures) declined last week. In operation, short - term long positions within the day are appropriate, and it is an opportunity to lay out long - term long positions when there is a sharp decline. In the options market, the implied volatility of stock index options increased, and the at - the - money IV of the current - month SSE 300 Index reached around 18%. One can try short - term double - selling to reduce volatility [3][10] II. Fundamental Elements Review and Market Outlook 1. The Central Bank Conducted a Net Withdrawal of 41.49 Billion Yuan in the Open Market Last Week - In terms of inter - bank liquidity, the central bank conducted a net withdrawal of 41.49 billion yuan in the open market last week, with 71.18 billion yuan in reverse repurchase operations and 112.67 billion yuan in reverse repurchase maturities. Inter - bank interest rates changed little, with Shibor overnight rising 8.36bp, Shibor one - week rising 2.94bp, etc. [69] 2. Short - Term Sentiment Remained Strong, and One - Sided Operations Became More Difficult - In the short term, investor sentiment remained strong. The brokerage sector related to the bull market expectation performed well. However, the rotation of sectors continued, indicating that the main line of the bull market has not been established. The market showed some fear of high prices, but the willingness of funds to enter the market was strong. It is expected that the market will oscillate at a high level this week, and one - sided trading strategies should focus on short - term long positions within the day [2][70] III. Economic Data & Financial Event Forecast 1. Macroeconomic Data Release - On August 19th (20:30), the data of new housing starts in the US in July will be released [101] 2. Key Financial Events - There are no major financial events [101]