Group 1: Market Review - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 indices were 2826.1249, 4450.0493, and 7619.8503 respectively, with daily declines of 0.25%, 0.93%, and 1.91% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 indices were 57.10 billion, 224.54 billion, and 255.26 billion respectively, and the trading turnovers were 1212.35 billion yuan, 4845.58 billion yuan, and 4046.52 billion yuan respectively [4]. Group 2: CFFEX Stock Index Options Trading - The option trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 2.97 million, 9.10 million, and 28.18 million contracts respectively [4]. - The trading volumes of call options for the Shanghai 50, CSI 300, and CSI 1000 were 1.79 million, 4.98 million, and 16.17 million contracts respectively, and the trading volumes of put options were 1.18 million, 4.13 million, and 12.01 million contracts respectively [4]. - The option open interests of the Shanghai 50, CSI 300, and CSI 1000 were 8.33 million, 19.59 million, and 33.06 million contracts respectively [4]. - The open interests of call options for the Shanghai 50, CSI 300, and CSI 1000 were 5.12 million, 11.82 million, and 18.53 million contracts respectively, and the open interests of put options were 3.21 million, 7.78 million, and 14.53 million contracts respectively [4]. - The PCR values of trading volume for the Shanghai 50, CSI 300, and CSI 1000 were 0.66, 0.83, and 0.74 respectively, and the PCR values of open interest were 0.63, 0.66, and 0.78 respectively [4]. Group 3: Volatility Analysis - The report presents the historical volatility cones and volatility smile curves of the Shanghai 50, CSI 300, and CSI 1000, including the current values, maximum values, minimum values, and percentile values of different periods [7].

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - No clear core view can be summarized from the given content 3. Summary by Related Catalogs 3.1 Market Review - **Stock Indexes**: The closing prices of Shanghai - Shenzhen 300, Shanghai Stock Exchange 50, and China Securities 1000 are 4446.30, 2833.2054, and 7767.9301 respectively, with changes of -0.24%, -0.14%, and 0.28% [3]. - **Trading Volume and Turnover**: The trading volume of Shanghai - Shenzhen 300, Shanghai Stock Exchange 50, and China Securities 1000 are 209.29 billion, 49.11 billion, and 261.17 billion respectively, and the turnover are 1033.15 billion, 4491.95 billion, and 4119.74 billion respectively [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Trading Volume and Open Interest**: For Shanghai Stock Exchange 50, the option trading volume is 8.25 million, open - interest is 5.09 million, with a call option trading volume of 2.79 million, put option trading volume of 3.16 million, call option open - interest of 1.30 million, and put option open - interest of 1.49 million. For Shanghai - Shenzhen 300, the option trading volume is 19.20 million, open - interest is 11.58 million, with a call option trading volume of 8.40 million, put option trading volume of 4.38 million, call option open - interest of 4.02 million, and put option open - interest of 7.62 million. For China Securities 1000, the option trading volume is 31.87 million, open - interest is 17.82 million, with a call option trading volume of 31.02 million, put option trading volume of 12.90 million, call option open - interest of 18.11 million, and put option open - interest of 14.05 million [3]. - **PCR**: The trading volume PCR of Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000 are 0.62, 0.92, and 0.71 respectively, and the open - interest PCR are 0.87, 0.66, and 0.79 respectively [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: For Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000, the historical volatility and volatility cone are presented, including the maximum, minimum, current value, and different percentile values (10%, 30%, 60%, 90%) [3]. - **Volatility Smile Curve**: The volatility smile curves of Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000 for the next - month at - the - money implied volatility are provided [3].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - The stock market showed resilience throughout the day, and the bullish sentiment in the bond market increased. For stock index futures, A - shares are more resistant to decline than some Asian - Pacific markets, with potential reasons including lower energy dependence and weaker linkage with the US stock market. It's advisable to buy on dips but not over - estimate the upside, and better opportunities may come after the situation becomes clear in April [1][5]. - For stock index options, the market turnover of each variety is rising, the option sentiment indicator (PCR) is falling, and the implied volatility is strong. It is recommended to continue holding call options for defense [2][5]. - For treasury bond futures, the main contracts rose, and the yields of major inter - bank interest - rate bonds declined. The market is trading the expectation of the 30Y treasury bond active - period coupon - cutting. The central bank's large - scale net liquidity injection supports the short - end of the bond market, and the "US - Iran conflict" boosts risk - aversion sentiment. The long - end of the bond market may be volatile, with only cautious long - making opportunities. Strategies such as ultra - long - end reverse arbitrage and 30Y - 10Y spread convergence are recommended [2][6]. 3. Summary by Related Catalogs (1) Stock Index Futures - **Market Performance**: On Monday, the market opened lower and then recovered. The All - A index rose slightly, and the trading volume was slightly over 1.9 trillion. Military, metal, and textile sectors led the gains. The expectation of US - Iran peace talks was the catalyst for market stabilization [1][5]. - **Reasons for Resistance**: China's lower energy dependence than Japan and South Korea may lead to the transfer of Asia - Pacific funds to A - shares. Also, the linkage between A - shares and the US stock market is weaker than that of Japanese and South Korean stocks, making the callback of A - shares more controllable [1][5]. - **Disadvantages**: The trading volume is still low, the market shows a dumbbell - shaped leading pattern (defensive style), and the high oil price indicates that the market has not priced in the rapid geopolitical easing [1][5]. - **Outlook and Suggestion**: A - shares have certain anti - decline properties. It is advisable to buy on dips, but the upside should not be over - estimated. A better time to increase positions may come after the situation is clear in April. The operation suggestion is to buy on dips and increase the position of IM to a medium level [1][5]. (2) Stock Index Options - **Market Situation**: The trading volume of each option variety is rising, the option sentiment indicator (PCR) is falling, and the daily implied volatility is strong, indicating a strong hedging atmosphere. The current option market is trading on volatility rather than just direction [2][5]. - **Strategy Suggestion**: Continue to hold call options for defense to protect the overall portfolio from systematic risks [2][5]. (3) Treasury Bond Futures - **Market Performance**: The main contracts of treasury bond futures rose across the board, and the yields of major inter - bank interest - rate bonds declined. The market started to trade the expectation of the 30Y treasury bond active - period coupon - cutting, with the 25T6 of 30Y treasury bonds performing weakly [2][6]. - **Supporting Factors**: The central bank's large - scale net liquidity injection supports the short - end of the bond market. The "US - Iran conflict" has increased risk - aversion sentiment, and the bond market has become less sensitive to high oil prices. When the 30Y treasury bond interest rate rises to around 2.3%, the buying power of banks and other institutional investors has increased, supporting the long - end [2][6]. - **Outlook and Strategy**: In the short term, the long - end of the bond market may be volatile, with only cautious long - making opportunities. It is recommended to pay attention to ultra - long - end reverse arbitrage strategies and 30Y - 10Y spread convergence strategies. The trend strategy is to maintain a volatile view, the hedging strategy is to pay attention to short - hedging at low basis levels, the basis strategy is to look for ultra - long - end reverse arbitrage opportunities, and the curve strategy is to focus on 30Y - 10Y spread convergence opportunities [2][6].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The US President's attempt to suppress Brent crude oil below $110 through social media is losing effectiveness, and oil prices may get out of control [4]. - The control of the Strait of Hormuz is crucial in the "ultimate battle" in the Middle East. If Iran retains control, the US may be seen as losing; if the US secures passage, it will strengthen its global leadership. Any threat to the strait's passage can impact the global energy supply, financial markets, trade system, and geopolitical landscape [7]. - Middle - East peace talks are likely to fail, and the battle for the Strait of Hormuz is likely to escalate. Short - term market rebounds may occur, and investors can reduce positions during rebounds. The neckline positions of the previous platforms of the CSI 1000 and CSI 500 indices are strong resistance levels [18]. - China has ended deflation and entered an inflationary phase, with increases in core CPI, PPI, and PPIRM [20][22][24]. - US two - year and ten - year Treasury bonds are facing selling pressure, and gold has fallen unexpectedly, indicating a spread of liquidity risk [44][48][50]. - US stocks are the biggest risk source, and the deterioration of the Middle - East situation will accelerate institutional distribution [52]. 3. Summary by Related Catalogs Energy and Geopolitics - The US President's measure to suppress oil prices is losing effect, and the price of crude oil may be out of control [4]. - The control of the Strait of Hormuz is a key factor in the Middle - East situation. Any threat to its passage can have far - reaching impacts [7]. - Iran claims sovereignty over the Strait of Hormuz, separates its passage rights from cease - fire negotiations, and plans to levy tolls on passing ships [8]. - The conflict between the US and Iran may continue until June with a 40% probability. If so, oil prices may exceed $200, and US gasoline may reach $7 per gallon. The release of strategic oil reserves by the IEA may not be sufficient to fill the supply gap caused by the blockage of the Strait of Hormuz [18]. Stock Market and Index - High inflation expectations are negative for growth - style indices. The CSI 1000 and CSI 500 indices have broken through their platform levels, and the Shanghai Composite Index has 4000 points as a strong resistance area after breaking through it [12][15]. - The two - margin balance remains stable, and the number of new A - share accounts opened in February was 2.52 million [27]. - For stock index trading, investors can open short positions in stock index futures at the neckline positions of the previous platforms of the CSI 1000 and CSI 500 indices, and buy out - of - the - money put options on the CSI 1000 index at high rebound levels [18][19]. - High inflation is negative for growth - style indices. Investors can conduct long - short arbitrage by buying the CSI 300 index and selling the CSI 1000 or CSI 500 index [58][61]. Macroeconomic Indicators - In February, China's core CPI increased by 1.8% year - on - year and 0.7% month - on - month, ending deflation and entering inflation [20]. - In February, China's PPI increased by 0.4% month - on - month, and the PPIRM increased by 0.7% month - on - month, indicating an upward trend in prices [22][24]. - China's exports in January and February were $356.7 billion and $299.8 billion respectively, with a year - on - year growth rate of 39.6% in February, which is related to seasonal factors and the enhanced competitiveness of Chinese electromechanical products [30]. - From January to February, manufacturing fixed - asset investment was 2.02 trillion yuan, with a year - on - year growth rate of 3.1%, and infrastructure investment was 1.85 trillion yuan, with a year - on - year growth rate of 9.7%. Real estate development investment decreased by 10.3% year - on - year, but the decline has significantly narrowed [33][36][39]. - From January to February, the total retail sales of consumer goods increased by 2.8% year - on - year, with a 2.5% increase in commodity sales, indicating a recovery in consumption [42]. Bond and Gold Markets - US two - year Treasury bonds are continuously falling, and the yield has reached 3.96%, higher than the federal funds rate, indicating a serious liquidity shortage. The ten - year Treasury bond yield has reached 4.42%, exceeding the critical point, with heavy selling pressure [44][46][48]. - Gold has fallen unexpectedly, indicating that institutions are selling gold to obtain liquidity, and the liquidity risk is spreading [50].

1. Report Industry Investment Rating - The outlook for stock index futures is "oscillating with a slight upward bias", for stock index options is "oscillating", and for treasury bond futures is "oscillating" [9][10] 2. Core View of the Report - Geopolitical risks continue to disrupt the market, leading to tightened risk - appetite. Stock index futures show a structural adjustment rather than a trend reversal. Stock index options' implied volatility has slightly rebounded, and the market is cautious. Treasury bond market sentiment has improved due to risk - aversion and loose liquidity, but there is still uncertainty [3][4][5] 3. Summary by Relevant Catalogs 3.1 Market Outlook 3.1.1 Stock Index Futures - Today's stock market oscillated downward, with the Shanghai Composite Index down 1.09%, the CSI 1000 down 1.44%, and the STAR 50 down 2.02%. Trading volume decreased by 240 billion yuan. Defensive sectors like energy and dividends strengthened, while high - beta sectors declined. It is currently a structural adjustment rather than a trend reversal. Short - term market is about style re - balancing. Wait for the right - side confirmation of capital indicators to lightly invest in IM [3][9] 3.1.2 Stock Index Options - The equity market had a volume - shrinking correction on Thursday. Implied volatility rebounded in the afternoon. Option market volume decreased, and the total trading volume fell below 10 billion yuan. Maintain the put - buying defense strategy and watch for out - of - the - money covered call opportunities [4][9] 3.1.3 Treasury Bond Futures - Treasury bond futures rose across the board yesterday. The central bank's net injection of 21.1 billion yuan in 7 - day reverse repurchase kept the liquidity stable. Geopolitical uncertainties led to risk - aversion, driving up long - term bond prices. Short - term bonds were supported by loose liquidity. The short - term is relatively stable, while the long - term may oscillate. Adopt oscillating trend strategy, and pay attention to short - selling hedging at low basis, ultra - long - term reverse arbitrage, and short - term steeper yield curve [5][10] 3.2 Derivatives Market Monitoring - The report mentions data monitoring for stock index futures, stock index options, and treasury bond futures, but no specific data content is provided in the given text [11][15][27]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The geopolitical situation in the Middle East has a significant impact on the global energy supply, with a sharp decline in oil exports from Middle - Eastern countries. The Fed maintains the federal funds rate, and the market is affected by multiple factors such as inflation expectations and geopolitical risks [6][7]. - Different sectors in the market show various trends. For example, in the agricultural products sector, there are differences in supply - demand relationships and price trends for different products; in the energy - chemical sector, prices are affected by factors like the Middle - East situation and supply - demand balance; in the financial market, A - share markets have certain investment opportunities after risk release, but short - term uncertainties remain [11][15][22]. 3. Summary by Relevant Catalogs 3.1 Chemicals - **Price Changes**: On March 26, 2026, compared with March 25, 2026, among chemical products, methanol had the largest increase of 1.942% (from 3,089.00 to 3,149.00), and benzene had the largest decrease of 1.217% (from 10,105.00 to 9,982.00) [4]. 3.2 Macro News - **Middle - East Situation**: The attack on Iranian energy facilities by the US and Israel has led to a sharp increase in the risk of attacks on Middle - East energy facilities. Iran has retaliated, and the conflict has severely impacted the global energy supply, with a significant drop in oil exports from Middle - Eastern countries [6]. - **Fed's Decision**: The Fed maintains the federal funds rate target range at 3.50% - 3.75%, with a more conservative approach to future interest rate cuts, reflecting a cautious stance in the face of multiple risks [7]. - **China - US Relations**: China and the US will continue to communicate about Trump's visit to China [8]. - **Land Policy**: China is conducting a second - round pilot project to extend land contracts for another 30 years, emphasizing the protection of collective ownership and the prevention of "non - agricultural" and "non - grain" use of land [8]. 3.3 Main Variety Morning Meeting Views 3.3.1 Agricultural Products - **Sugar**: The domestic sugar market is under short - term supply pressure, but the international market has a tightening supply expectation. It is advisable to pay attention to the opportunity of long - term contracts at low prices, with a support level of 5400 yuan/ton and a resistance level of 5450 yuan/ton [11]. - **Corn**: The corn price is in a weak - oscillating trend. The supply pressure may increase in the short term, and the support level is in the range of 2350 - 2380 yuan/ton [11]. - **Peanut**: The peanut price is in a high - level oscillation. The supply is tight, and the demand is divided. It is recommended to wait and see or conduct range operations, with a resistance level around 8200 yuan [11]. - **Pig**: The pig price is declining. The supply is sufficient, and the market is pessimistic. It is advisable to reduce short positions [11][13]. - **Egg**: The egg price is stable with a slight upward trend. The supply is sufficient, but there is also support at the bottom. It is recommended to conduct intraday operations [13]. - **Jujube**: The jujube market is in a seasonal consumption off - season. The supply exceeds demand, and it is recommended to conduct intraday range operations [13]. - **Cotton**: The cotton price is in a strong - oscillating trend. The supply is slightly affected by the import quota, and the demand is improving. It is advisable to go long on dips, with a support level around 15300 yuan [13]. 3.3.2 Energy - Chemicals - **Caustic Soda**: The price of caustic soda is rising, and there is an expectation of increased exports. However, attention should be paid to the risk of near - term contract correction [15]. - **Coking Coal and Coke**: The price of coking coal is stable with a slight increase, and the first - round price increase of coke has not been responded to by steel mills. The price is in an oscillating adjustment [15]. - **Double - offset Paper**: The supply of double - offset paper is recovering, but the demand is weak. The price is expected to oscillate, with a resistance level in the 4220 - 4230 area and a support level of 4180 yuan [15]. - **Urea**: The urea market is in a pattern of strong supply and weak demand, and the price is expected to continue high - level consolidation in the range of 1780 - 1950 yuan/ton [15]. 3.3.3 Non - ferrous Metals - **Gold and Silver**: The prices of gold and silver are rising due to factors such as the tense Middle - East situation and the Fed's interest - rate cut signal. They are in a high - level oscillation, and attention should be paid to risks [15][17]. - **Copper and Aluminum**: The prices of copper and aluminum are following the market correction. It is recommended to wait patiently for the price to stop falling and stabilize [17]. - **Alumina**: The domestic supply of alumina is large, but there are concerns about the supply of bauxite from Guinea. It is advisable to take a long - position approach on dips and be vigilant against macro risks [17]. - **Rebar and Hot - rolled Coil**: The steel market's supply - demand structure is improving, but the steel price is slightly under pressure in the short term and is expected to have a small - scale oscillating adjustment [17]. - **Ferroalloys**: The prices of ferroalloys are strong, mainly due to the energy premium caused by the geopolitical conflict. It is advisable to take a long - position approach on dips, but be cautious about the risk of chasing high prices [17][19]. - **Lithium Carbonate**: The price of lithium carbonate has broken through the previous high. It is not advisable to chase high prices. It is recommended to look for long - position opportunities on price corrections, with a resistance level of 161500 yuan and a support level of 158000 yuan [19]. 3.3.4 Options and Finance - **Stock Index Options**: On March 25, A - share indexes rose, and different stock index options showed different trends in volume and open interest. Trend investors can pay attention to the arbitrage opportunities between varieties, and volatility investors can take corresponding strategies according to price changes [19]. - **Stock Index**: On March 25, the three major indexes oscillated and rose. The A - share market has investment opportunities after risk release, but short - term uncertainties remain. It is advisable to control positions and participate in the rebound [19][22].

Group 1: Report Industry Investment Ratings - No relevant content provided Group 2: Core Views of the Report - The stock market had a volume - shrinking rebound, and the right - side signal for the future market is not clear. There is a possibility of a callback to build a bottom again. It is recommended to wait and see in the short term [3][9] - The implied volatility of stock index options declined, and the sentiment has not fully warmed up. It is recommended to continue holding the call option defense strategy [4][10] - The market priced in the easing of the US - Iran situation, and the sentiment of the long - end of the bond market warmed up. The long - end of treasury bond futures may be volatile, and the short - end has relatively strong support [5][10] Group 3: Summaries According to Relevant Catalogs Stock Index Futures - Yesterday, the stock market had a volume - shrinking rebound. The Shanghai Composite Index rose 1.78%, the CSI 1000 rose 2.59%, and the Science and Technology Innovation Composite Index rose 3.24%. The trading volume of the two markets decreased by more than 36 billion compared with the previous day. Small and micro - cap stocks were strong. The weak - dollar and anti - inflation sectors were strong, and the energy sector pulled back [3][9] - Overseas risks have not subsided, the stock market volume shrank significantly, and the support of institutional funds for broad - based ETFs is uncertain. So, it is recommended to wait and see in the short term [3][9] Stock Index Options - On Tuesday, the underlying market showed a "W" - shaped trend. The total trading volume of financial options decreased significantly. The implied volatility of each variety decreased during the day but was still higher than last week's level. The PCR of positions among varieties was divergent, and the skew index mostly increased, indicating a cautious view of the future market [4][10] - Considering the high uncertainty of external events, it is risky to bet on medium - term short - volatility or reversal strategies too early. It is recommended to continue holding the call option defense strategy [4][10] Treasury Bond Futures - Yesterday, the long - and short - end trends of the main contracts of treasury bond futures continued to diverge. The prices of T and TL rose, while the prices of TF and TS fell. The T main contract opened higher and closed up after fluctuating [5][10] - The central bank's 7 - day reverse repurchase had a net withdrawal of 3.35 billion yuan, and the capital market remained stable. The market priced in the easing of the US - Iran situation, and the long - end sentiment of the bond market warmed up [5][10] - The result of the US - Iran negotiation is undetermined. It is necessary to pay attention to the Middle East geopolitical conflict and inflation concerns. The central bank will renew 500 billion MLF on the 25th, and the short - end has relatively strong support, while the long - end may be volatile [5][10]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - **Stock Index Futures**: The market's risk - aversion sentiment has increased, and liquidity may be the key factor. The TACO trading may drive a short - term market rebound, but the market may still face pressure later. The key lies in whether liquidity increases. If the two - market stabilizes without a liquidity recovery, it may be a bull trap [1][10]. - **Stock Index Options**: The risk - aversion sentiment has escalated, and volatility has risen rapidly. In the context of long - term risk pricing of external events, one should be wary of the risk of secondary amplification of volatility caused by liquidity transmission. It is recommended to continue holding call options for defense in the short term [2][10]. - **Treasury Bond Futures**: The geopolitical situation has escalated, and most of the bond market has declined. One needs to pay attention to changes in the Middle East geopolitical conflict and inflation concerns. The short - end is relatively well - supported, while the long - end may be volatile [3][11]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: Yesterday, the stock market adjusted again. The Science and Technology Innovation 50 Index fell 4.31%, and the China Securities 1000 Index fell 4.81%. Precious metals, non - ferrous metals, and technology stocks were under pressure, and small - cap stocks led the decline [1][10]. - **Influencing Factors**: The Israel - Iran conflict heated up again over the weekend. The market is worried that the geopolitical risk may not end in the short term, and the impact of energy disturbances on inflation may be underestimated. Trump postponed the strike on Iran for 5 days after the market closed yesterday, leading to a rebound in crude oil and the US dollar index after a decline, and a weak stabilization of US and European stocks [1][10]. - **Outlook**: TACO trading may drive a short - term market rebound, but the market may still face pressure later. The key lies in whether liquidity increases. Reasons include: multi - asset resonance due to geopolitical conflicts, low trading volume in the past three days, and possible liquidity踩踏 caused by retail investors and hot money stopping losses [1][10]. - **Operation Suggestion**: Wait and see [10]. 3.2 Stock Index Options - **Market Performance**: On Monday, the underlying market declined throughout the day, and the total single - day trading volume of financial options soared to 21.83 billion yuan. The IV of each variety rose rapidly, reaching a relatively high level in the past quarter, and the position PCR declined rapidly, indicating that the implied risk is still being released [2][10]. - **Structural Features**: The upward volatility intensity of the call side of the 50 and 300 options is greater than that of the small - and medium - cap options, indicating that the market expects the former to be relatively more resistant to decline [2][10]. - **Strategy Suggestion**: In the context of long - term risk pricing of external events, be wary of the risk of secondary amplification of volatility caused by liquidity transmission. It is recommended to continue holding call options for defense in the short term [2][10]. 3.3 Treasury Bond Futures - **Market Performance**: Yesterday, the prices of the main contracts of treasury bond futures were divided. The price of the TL contract rose, while the prices of other varieties of contracts fell. The T main contract fluctuated downward after opening [3][11]. - **Influencing Factors**: The US - Iran situation escalated over the weekend, increasing the market's expectation of rising oil prices. At the same time, due to the decline in the stock market, some funds may have redemption on the liability side, leading to the net selling of spot bonds by some funds and a weakening of the treasury bond futures market [3][11]. - **Outlook**: One needs to pay attention to changes in the Middle East geopolitical conflict and inflation concerns. The short - end is relatively well - supported under the relatively loose capital situation, while the long - end may be volatile [3][11]. - **Operation Suggestion**: Trend strategy: volatile. Hedging strategy: pay attention to short - side hedging at low basis levels. Basis strategy: appropriately pay attention to the opportunity of reverse arbitrage at the ultra - long end. Curve strategy: the short - term curve may be steeper [11].

Macro Dynamics - The Ministry of Commerce announced measures to promote travel service exports and expand inbound consumption, including optimizing visa policies and expanding the list of countries with unilateral visa exemptions [2] - In January-February 2026, China attracted foreign investment of 161.45 billion RMB, a decrease of 5.7% year-on-year, with the manufacturing sector receiving 47.52 billion RMB and the service sector 111.22 billion RMB [3] Healthcare Sector - The National Healthcare Security Administration plans to release version 3.0 of the disease-based payment grouping scheme in July 2026, with implementation set for January 2027 [4][5] Financial Institutions - Postal Savings Bank announced the approval for the establishment of China Post Financial Asset Investment Co., with a registered capital of 10 billion RMB [7] Market Data - On March 20, A-shares saw the Shanghai Composite Index drop by 1.24%, with significant declines in sectors like computing power leasing and cloud computing [8] - The Hang Seng Index fell by 0.88%, with technology stocks experiencing notable declines, while lithium battery stocks showed strength [9][10] Oil Prices - U.S. gasoline prices have risen for 20 consecutive days, with a cumulative increase of 30%, reaching an average of $3.88 per gallon [11] Company Dynamics - China Duty Free Group reported a net profit of 3.586 billion RMB for 2025, a year-on-year decrease of 15.97% [12] - ByteDance has agreed to sell Moonton Technology for over $6 billion, signaling a strategic focus on AI [12] - Li Tong Electronics denied rumors regarding the smuggling of NVIDIA AI servers, stating that all procurement and project deliveries are normal [13]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The risk appetite in the financial derivatives market is under pressure. The stock index futures showed a weak performance throughout the day, the volatility of stock index options soared and a defensive strategy should be maintained, and the trading of treasury bond futures was affected by the intertwined factors of risk - aversion and inflation concerns [1][2]. 3. Summary by Related Catalogs (1) Market Outlook Stock Index Futures - The equity market on Thursday opened lower and moved lower, with only a few industries such as coal and oil and gas rising against the trend. The reasons for the decline include a weaker liquidity environment, further fermentation of geopolitical situations, and a strong US dollar index. Currently, the option indicators imply that it has entered the second half of the adjustment. The operation suggestion is to hold the bottom - position of IM and wait for the geopolitical situation to become clear before making further layouts [7]. Stock Index Options - The trading volume of the option market soared back above the 10 - billion mark. The proportion of put options in multiple varieties increased significantly, and the overall volatility and skewness rose. Short - term hedging and multi - volatility trading both exist. It is not recommended to immediately layout short - volatility strategies after the volatility rises. The short - term main strategy is to maintain defense [7]. Treasury Bond Futures - Treasury bond futures rose across the board yesterday, but the T main contract weakened in the afternoon. The risk - aversion sentiment and inflation concerns are intertwined. The intensification of the Middle East geopolitical conflict has increased risk - aversion sentiment and may have driven the bond market. At the same time, rising oil prices have strengthened inflation concerns, restricting the bullish sentiment in the bond market. The central bank emphasized maintaining the stable operation of the financial market, and liquidity may remain abundant. The bond market may still have support. Operation suggestions include a trend strategy of range - bound trading, paying attention to short - hedging at low basis levels, paying attention to the basis opportunities of ultra - long - term bonds, and paying attention to the convergence opportunity of the 30Y - 10Y spread [8]. (2) Derivatives Market Monitoring - The report mentions the monitoring of stock index futures, stock index options, and treasury bond futures data, but no specific data content is provided in the given text [9][13][25].