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 2025-12-19 股市强势⽅向切换，债市⻓端情绪不稳 ⾦融衍⽣品团队 研究员: 股指期货：强势⽅向再度切换 股指期权：年末⾏为保守，保护看跌应对 国债期货：超⻓端情绪或仍不稳 股指期货方面，强势方向再度切换。周四未能延续周三情绪，主要宽 基弱势为主，其中创业板指深跌2%，量能再度萎缩，同时配置风格呈现保 守化的特征，红利及微盘结构占优。行业方面，机场、煤炭、银行涨幅在 2%之上，高股息、泛消费抗跌，前者作为防御板块配置进行产品降波，后 者博弈元旦春节双节临近，历史上来看消费板块的年末季节性特征明显。 展望后市，目前处于多空因素均难以证伪的阶段，悲观者忌惮日元、AI风 险，乐观者信任政策托底，在缩量博弈氛围中，仍建议谨慎配置，大市值 近期优于小市值。 股指期权方面，年末行为保守，保护看跌应对。昨日标的市场震荡分 化，以上证50为代表的红利股维持定力，其余品种尤其是双创风格下跌幅 度较大，期权市场总成交额70.99亿元以上，相较前一日下降29.54%。情 绪指标方面，持仓量PCR震荡为主，部分品种下行，偏度各品种整体呈上 行趋势 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and slightly declined. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1.92 trillion yuan, a decrease of 134 billion yuan compared to the previous day. The Political Bureau meeting pointed out that in 2026, a more proactive fiscal policy and a moderately loose monetary policy will continue to be implemented. The expectation of policy benefits continues to ferment, driving up the market's risk appetite. However, near the end of the year, the power of capital to drive the market to break through is insufficient, and there is still a need for short - term shock consolidation. Currently, the stock indices remain within the previous shock range. Subsequently, as more policy details are introduced at the Central Economic Work Conference, the expectation of policy benefits will gradually become the main line of the market, and the capital inflow is expected to continue, driving the stock indices to have a spring market. In general, the expectation of policy benefits is gradually fermenting, and the stock indices will be mainly fluctuating strongly in the short term. [3] - Regarding options, considering the long - term upward trend of the stock indices, a bull spread or ratio spread with a moderately bullish approach can be adopted. [3] 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On December 9, 2025, the 50ETF fell 0.70% to close at 3.142; the 300ETF (Shanghai Stock Exchange) fell 0.51% to close at 4.708; the 300ETF (Shenzhen Stock Exchange) fell 0.54% to close at 4.783; the CSI 300 Index fell 0.51% to close at 4598.22; the CSI 1000 Index fell 0.57% to close at 7380.58; the 500ETF (Shanghai Stock Exchange) fell 0.74% to close at 7.224; the 500ETF (Shenzhen Stock Exchange) fell 0.80% to close at 2.844; the ChiNext ETF rose 0.54% to close at 3.188; the Shenzhen 100ETF fell 0.29% to close at 3.467; the SSE 50 Index fell 0.71% to close at 2997.96; the Science and Technology Innovation 50ETF fell 0.42% to close at 1.41; the E Fund Science and Technology Innovation 50ETF fell 0.36% to close at 1.37. [5] - The trading volume PCR and position PCR of various options on December 9, 2025, and their changes compared with the previous trading day are provided in detail, such as the trading volume PCR of SSE 50ETF options being 79.26 (previous day: 78.66), and the position PCR being 101.14 (previous day: 107.67). [6] - The implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are presented, for example, the implied volatility of at - the - money options of SSE 50ETF options in December 2025 is 11.44%, and the 30 - trading - day historical volatility of the underlying asset is 11.04%. [7][8] 3.2 Relevant Charts - The report provides a series of charts for different types of options, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms for options such as SSE 50ETF options, SSE 300ETF options, etc. [9][20][33]

Market Overview - The market has shown extreme volatility, with significant fluctuations leading to a rapid rise and fall in indices, recently surpassing the 4000-point mark again, with trading volume exceeding 200 billion [1][9] - This lack of continuity in market trends indicates a significant divergence between bullish and bearish sentiments, resulting in rapid capital movement across various sectors [3][12] Technical Analysis - Key resistance level identified at 4020, with support at 3950, indicating potential price action boundaries for the market [5][13] - The market's volatility has been negatively correlated, with a recent drop in volatility to 13.74, marking a 7.10% decrease and reaching a recent low [12] Investment Insights - The recent market rebound has led to substantial gains in indices such as the CSI 500 and ChiNext, with notable stocks like Cambrian Technology surpassing Kweichow Moutai in price [1][13] - The current market environment presents both opportunities and risks, particularly for inexperienced investors who may struggle to navigate the rapid changes [1][3]

Macro Insights - The U.S. federal government has entered its 35th day of a shutdown, matching the longest shutdown record in U.S. history, with no agreement reached between the Democratic and Republican parties on a temporary funding bill [2] - The State Council announced a nine-day holiday for the Spring Festival in 2026, leading to a significant increase in online travel bookings for both New Year's and Spring Festival periods, particularly for popular tourist destinations [2] Real Estate Market - Since 2019, the proportion of existing residential sales has increased from 10% to 33% at the beginning of this year, with over 30 provinces and cities in China implementing pilot programs for existing home sales [3] Financial Engineering - From October 27 to October 31, the Shanghai Composite Index closed at 3954.79, with increased trading volume compared to the previous week. The Shenzhen Component Index closed at 13378.21, also with increased trading volume [6] - The 50ETF saw a weekly decline of 1.00%, while the Southern CSI 500ETF increased by 0.91% during the same period [8] - The average daily trading volume of 50ETF options decreased, while total open interest increased, indicating a mixed sentiment in the options market [7] Investment Strategy - The market showed a divergence in performance among different ETFs, with the 50ETF underperforming and the 500ETF showing strength. The PCR indicators reflected this divergence, with a decrease in put option holdings for the weaker ETFs [8][9] - The overall market sentiment appears to be cautious, with expectations of continued volatility but stable implied volatility levels, suggesting a potential strategy of shorting on rallies [9]

Core Insights - As of October 31, 2025, the total margin balance for ETFs in the Shanghai and Shenzhen markets reached 118.932 billion yuan, an increase of 0.648 billion yuan from the previous trading day [2] Summary by Category ETF Financing Activities - The financing balance for ETFs was 110.985 billion yuan, increasing by 0.935 billion yuan from the previous trading day [2] - The margin balance for ETF securities lending was 7.947 billion yuan, decreasing by 0.287 billion yuan from the previous trading day [2] Top ETFs by Net Financing Inflows - A total of 299 ETFs received net financing inflows, with the leading fund being the Hai Fu Tong Zhong Zheng Short Bond ETF (code: 511360), which had a net inflow of approximately 0.285 billion yuan [2] - Other notable ETFs with significant net inflows included: - Huatai-PB CSI 300 ETF (code: 510300) with a net inflow of approximately 0.142 billion yuan [2] - E Fund ChiNext ETF (code: 159915) with a net inflow of approximately 0.119 billion yuan [2] - Guotai Junan CSI All Share Securities Company ETF (code: 512880) with a net inflow of approximately 0.115 billion yuan [2] - E Fund Hong Kong Securities Investment Theme ETF (code: 513090) with a net inflow of approximately 0.104 billion yuan [2]

Group 1 - The article discusses the suitability of fund regular investment (定投) for lazy investors and emphasizes the importance of preparing before starting a fund investment plan [2] - It outlines the necessity of creating a well-structured investment plan and highlights four different methods of fund regular investment, suggesting that investors choose the one that best fits their needs [2] - The article also mentions strategies for profit-taking (止盈) in fund investments, indicating that understanding these strategies is crucial for successful investing [2] Group 2 - The article provides insights into how to observe the national team's (国家队) investments in index funds, particularly during market downturns [7] - It explains that the national team, represented by entities like Central Huijin, invests in index funds and that their holdings in major ETFs are publicly disclosed in regular fund reports [8] - Specific data is provided, indicating that Central Huijin holds 39% and 29% of the largest 300 ETFs, showcasing the scale of their investments [8]

Group 1 - The overall A-share market has risen since the beginning of 2024, with growth style performing relatively strong while value style has been weaker [3][4] - From early 2024 to August 21, 2025, the CSI All Share Index saw a maximum increase of 56.98%, while the CSI 300 Value Index had a maximum increase of 45.13%, and the ChiNext Index reached a maximum increase of 82.16% [4] - The current market uptrend is similar to the period from 2013 to 2017 [6] Group 2 - Between 2012 and 2014, A-shares experienced a bear market with a maximum drawdown of 39.24% due to poor fundamentals and declining corporate profits [7] - In the second half of 2014, financial stocks such as securities and insurance surged significantly, with the Securities Industry Total Return Index rising by 206.91% from July 1 to the end of 2014 [9] - In the first half of 2015, small-cap and growth styles saw substantial gains, with the CSI All Share Index rising from over 2000 points to over 8000 points [10][11] Group 3 - The second half of 2015 saw a significant market decline, with valuations quickly dropping to around 4 stars [16] - From 2015 to the end of 2018, the A-share market experienced a maximum drawdown of 55.78%, with small-cap stocks and growth stocks facing even larger declines [20] - The period from 2016 to 2017 saw a recovery in value and consumer stocks, leading to a slow bull market [21] Group 4 - The current market phase resembles the 2015-2016 period, with stimulus policies beginning to take effect and corporate fundamentals starting to recover [35] - If corporate fundamentals continue to improve, there is potential for further market growth, similar to past economic recovery phases [36] - The current market is rated at around 4 stars, indicating it is relatively inexpensive and still offers opportunities for stock asset allocation [37][40] Group 5 - The current bull market differs from the 2014-2015 bull market in that there is stricter control over leveraged investments and the real estate sector remains in a bear market [32][33] - The main drivers of the recent market uptrend have been financial stocks, with the Securities Industry Total Return Index achieving a maximum increase of 80.43% from June 3, 2024, to the end of 2024 [28] - By 2025, small-cap and technology stocks are expected to take over as the main growth drivers, while value and consumer stocks may remain relatively subdued [29]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The overall sentiment of stock index futures is positive, with the Shanghai Composite Index rising nearly 1% and financial stocks leading the gain, indicating signs of large - scale capital inflow. It is advisable to continue holding IM long positions [1][7]. - The stock index option market maintains a view of moderate growth. It is recommended to continue holding covered options to maintain positive delta and negative gamma exposures and obtain time - value decay benefits [2][7]. - The bond market shows differentiation. Short - term bonds may perform better, and there is a higher odds of steepening the yield curve in the medium term [3][9]. 3. Summary by Directory 3.1 Market Views Stock Index Futures - The basis of IF, IH, IC, and IM current - month contracts are - 8.45, - 1.33, - 37.84, and - 33.08 points respectively, with a month - on - month change of - 2.95, - 2.14, - 6.70, and - 5.19 points [7]. - The spreads between current - month and next - month contracts of IF, IH, IC, and IM are 13.0, - 1.6, 66.8, and 72.4 points respectively, with a month - on - month change of 0.6, - 1.4, 5.2, and 3.2 points [7]. - The total open interest of IF, IH, IC, and IM changes by 1005, 660, - 1806, and - 7110 lots respectively [7]. - The market continues to rise, and there are positive factors for the August market, such as pre - parade risk - preference support, limited impact of the earnings season, and potential benefits from a weaker US dollar [1][7]. Stock Index Options - The trading volume of the option market is 4.72 billion yuan, a decrease of 8.06% from the previous day. The liquidity continues to decline, but the trading volume of the broader market increases marginally [2][7]. - Most varieties' open - interest PCR continues to rise, and the skewness mainly declines, indicating that the market starts to trade the upward expectation again after a short consolidation [2][7]. - The implied volatility of varieties such as 50ETF, 300ETF, and MO fluctuates at a low level, and that of Shanghai 500ETF rises slightly. The low - level implied - volatility fluctuation may continue [2][7]. Treasury Futures - The trading volume and open interest of T, TF, TS, and TL current - quarter contracts change to varying degrees. The spreads between current - quarter and next - quarter contracts, cross - variety spreads, and basis also change [8]. - The central bank conducts 16.07 billion yuan of 7 - day reverse repurchases, with 44.92 billion yuan of 7 - day reverse repurchases maturing, resulting in a net withdrawal of 28.85 billion yuan from the open market [8]. - The long - end of treasury bonds performs better than the short - end, and the yield curve flattens. The loose funding situation is beneficial to the bond market, while the strong equity market and the release of pro - growth policies are negative factors for the bond market [3][8][9]. - Operation suggestions include being cautiously optimistic about trends, paying attention to short - selling hedging at low basis levels, appropriately paying attention to basis widening, and having a higher odds of steepening the yield curve in the medium term [9]. 3.2 Economic Calendar - The economic data to be released this week include the US factory orders month - on - month rate in June, the US ISM non - manufacturing PMI in July, China's trade balance in July, the UK central bank's benchmark interest rate in August, the US initial jobless claims for the week ending August 2, and China's M2 money supply annual growth rate in July [11]. 3.3 Important Information and News Tracking - 16 departments including the National Disease Control Bureau jointly issued the Implementation Plan for the Health Environment Promotion Action of the Healthy China Initiative (2025 - 2030) to promote the construction of a beautiful and healthy China [12]. - Seven departments including the central bank jointly issued the Guiding Opinions on Financial Support for New - style Industrialization, aiming to promote the deep integration of the digital economy and the real economy [12]. - Fed's Daly said that the time for interest - rate cuts is approaching, and two interest - rate cuts this year are still an appropriate adjustment. There may be fewer than two cuts, but more cuts are more likely [12]. - On the afternoon of August 5, the power load of the Chongqing power grid reached 30.28 million kilowatts, a new high this summer, an increase of 6.7% compared to last year's highest load [13]. - The World Semiconductor Trade Statistics Organization (WSTS) announced that the global semiconductor market size from January to June this year reached $346 billion, a year - on - year increase of 18.9% [13].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is weighted by the IV of the two - strike options around the at - the - money option of the main contract, reflecting the IV change trend of the main contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility Quantile and Volatility Spread Quantile - The implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the IV is low [3] - The volatility spread is defined as the IV index minus the HV [3] - Implied volatility quantiles for various products are provided, such as EVC (0.67), PVC (0.92), PTA (0.44), etc. [4][6] Group 3: IV - HV Difference Chart - The chart shows the IV, HV, and IV - HV differences for multiple products including 300股指, 50ETF, 1000股指, 500ETF, and many commodity options like silver, soybean meal, corn, etc. [7]

Core Viewpoint - The current sentiment in the A-share market reflects a struggle between the fear of missing out on a potential bull market and the risk of significant drawdowns due to high valuations in convertible bonds and stocks [1][2]. Group 1: Market Sentiment - Many investors express concern about missing out on a bull market while also fearing the risks associated with high valuations, leading to a cautious approach to adjusting their positions [1][7]. - The A-share market is characterized by a lack of sustainable performance in key sectors, resulting in a tendency to trade lower-tier stocks for quick profits, which complicates long-term investment strategies [2][19]. Group 2: Investment Strategies - Some investors maintain high leverage positions, such as using convertible bonds as collateral to maximize exposure to ETFs, indicating a bullish outlook despite market volatility [4][10]. - A significant number of investors are adopting a wait-and-see approach, with many holding cash positions or reducing their equity exposure, reflecting skepticism about the sustainability of the current market rally [13][18]. Group 3: Performance Metrics - Reports of varying portfolio performances highlight the disparity in investor experiences, with some achieving substantial gains while others express frustration over missed opportunities or underperformance [8][15]. - The sentiment around the market's current phase suggests that while some investors are enjoying record gains, others are feeling the pressure of potential losses or missed chances [8][19].