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 2025-08-27 股市⾏情未完，债市情绪回暖 股指期货：⾼位震荡，资⾦缩量。 股指期权：期权交易持续活跃，偏度暗⽰⾏情未完。 国债期货：债市多头情绪延续。 股指期货方面，高位震荡，资金缩量。周二沪指低开震荡，量能收缩 近5000亿元，资金出现对冲情绪，预计将进入高位震荡。一是高量能的持 续性有限，历史上A股成交额超过3万亿元的日期只有两个，其一是2024年 10月8日，对应去年沪指高点，其二就是周一，因此未见新增量资金的情 况下，量能继续放大的难度加大。二是进入中报密集披露期，资金规避前 期高估值板块，寻找低位补涨和业绩改善的行业机会，催化农林牧渔、 美容护理、基础化工领涨。三是阅兵临近，风险偏好随时可能收敛，资金 有所衰减，午后出现高位股回撤，导致出现集中平多，股指期货四品种均 减仓超万手。但此类回撤我们定义为牛市中的震荡，亏损股补涨等牛市尾 声信号尚未出现，居民存款搬家仍在进程中，因此回调是加仓良机，而非 担忧行情反转，建议继续持有IM多单，等待下方加仓契机。 股指期权方面，期权交易持续活跃，偏度暗示行情未完。前一日我们 ...

资产配置与金融工程 证券研究报告 A股领涨全球权益，股债负相关性达高位 ——大类资产周报（20250818-20250822） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年8月25日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 本周宏观增长因子继续向上，通胀高频因子反弹态势减弱，价格压力仍然较高。A股领涨全球（上证+3.49%、创业板+5.85%）， 科技成长主导，50ETF隐含波动率（IV）上升至19.78%，美股分化，道指创新高（+1.53%）而纳指回调（-0.58%），鲍威尔降息 预期提振风险偏好，国内债市调整显著（30年期国债期货跌1.43%），股债负相关性达历史高位，"跷跷板效应"凸显，外盘商品 强势（布油+2.14%、COMEX黄金+1.02%）受地缘风险与通胀对冲驱动，内盘商品普跌（南华商品指数-0.44%）；美元趋弱（美 元指 ...

Group 1 - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means it is relatively lower [3] Group 2 - The implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - The volatility spread is the implied volatility index minus the historical volatility [5]

Group 1: Introduction to Volatility Data - 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 obtained by weighting the IV of the two - strike options above and below 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: Volatility Index Charts - Charts show the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options like silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means high current IV, and a low quantile means low current IV. Volatility spread refers to the difference between the IV index and historical volatility [4] - Quantile rankings are provided for different options such as PVC, PTA, 50ETF, 300 - stock index, etc [5]

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].

Financial Engineering - The Shanghai Composite Index experienced fluctuations from July 28 to August 1, closing at 3559.95 with a decrease in trading volume compared to the previous week [2] - The Shenzhen Composite Index also saw a decline, with a drop of 1.58% and a closing value of 10991.32, alongside reduced trading volume [2] ETF Performance - The 50ETF opened at 2.917 and closed at 2.876, reflecting a decrease of 0.040 or 1.37%, with a trading volume of 10.865 billion [3] - The Huatai-PineBridge CSI 300 ETF opened at 4.203 and closed at 4.133, down by 0.070 or 1.67%, with a trading volume of 17.173 billion [3] - The Southern CSI 500 ETF opened at 6.365 and closed at 6.287, showing a decrease of 0.078 or 1.23%, with a trading volume of 6.109 billion [3] Options Market - From July 28 to August 1, the average daily trading volume of 50ETF options decreased compared to the previous week, while total open interest increased, with a PCR of 0.84, down 0.14 from the previous week [4] - The Huatai-PineBridge CSI 300 ETF options also saw a decrease in average daily trading volume, with total open interest increasing and a PCR of 0.89, down 0.14 [4] - The Southern CSI 500 ETF options experienced a reduction in average daily trading volume, with total open interest increasing and a PCR of 1.07, up 0.06 [4] Volatility Analysis - Short-term volatility has slightly increased, with monthly volatility trending upwards, while implied volatility has been declining throughout the week [5] - The implied volatility levels for the 50ETF and 300ETF have shown a downward trend, indicating increased market expectations for future volatility [5] Investment Recommendations - The market has shown varying degrees of decline, with all three options benchmarks dropping over 1%, and the PCR ratios indicating a decrease for the 50ETF and 300ETF, while the put option ratio for the 500ETF has risen [6] - Given the current market conditions and the shift in implied volatility curves, a cautious stance is recommended for small-cap growth stocks, while larger blue-chip stocks like the 50ETF and 300ETF may be more favorable [6]

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]

Quantitative Models and Construction Methods Model Name: Timing Radar Six-Factor Model - **Model Construction Idea**: The model aims to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding. It summarizes these into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score between [-1,1][1][6]. - **Model Construction Process**: - **Liquidity**: Includes indicators like monetary strength and credit strength. For example, the monetary direction factor is calculated based on the average change in central bank policy rates and short-term market rates over the past 90 days[12][15][18][21]. - **Economic Conditions**: Includes indicators like inflation direction and growth direction. For instance, the growth direction factor is based on PMI data, calculated as the 12-month moving average and year-over-year change[22][26][27][31]. - **Valuation**: Includes indicators like Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE minus the 10-year government bond yield, with a z-score over the past three years[32][36][39]. - **Capital Flows**: Includes indicators like margin trading increment and trading volume trend. For example, the margin trading increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short selling balance[41][44][47][49]. - **Technical Indicators**: Includes indicators like price trend and new highs and lows. For example, the price trend is measured using the distance between the 120-day and 240-day moving averages[51][54]. - **Crowding**: Includes indicators like implied premium/discount from derivatives and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship in options[57][62][65]. - **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, making it a robust tool for market timing[1][6]. Model Backtesting Results - **Current Comprehensive Score**: -0.10, indicating a neutral view overall[1][6]. - **Liquidity Score**: 0.00, indicating a neutral signal[8]. - **Economic Conditions Score**: 0.00, indicating a neutral signal[8]. - **Valuation Score**: -0.11, indicating a slightly bearish signal[8]. - **Capital Flows Score**: 0.00, indicating a neutral signal[8]. - **Technical Indicators Score**: -0.50, indicating a bearish signal[8]. - **Crowding Score**: -0.13, indicating a slightly bearish signal[8]. Quantitative Factors and Construction Methods Factor Name: Monetary Direction Factor - **Factor Construction Idea**: To determine the direction of current monetary policy by comparing central bank policy rates and short-term market rates over the past 90 days[12]. - **Factor Construction Process**: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days. - If the factor is greater than 0, it indicates a loose monetary policy; if less than 0, it indicates a tight monetary policy[12]. - **Factor Evaluation**: Provides a clear indication of the monetary policy direction, which is crucial for market timing[12]. Factor Name: Credit Direction Factor - **Factor Construction Idea**: To measure the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators[18]. - **Factor Construction Process**: - Calculate the monthly value of long-term loans. - Compute the year-over-year change over the past 12 months. - If the factor is rising compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18]. - **Factor Evaluation**: Effectively captures the credit conditions in the economy, which is vital for assessing market liquidity[18]. Factor Backtesting Results - **Monetary Direction Factor**: Score of 1, indicating a bullish signal[12]. - **Credit Direction Factor**: Score of 1, indicating a bullish signal[18]. - **Monetary Strength Factor**: Score of -1, indicating a bearish signal[15]. - **Credit Strength Factor**: Score of -1, indicating a bearish signal[21]. - **Growth Direction Factor**: Score of -1, indicating a bearish signal[22]. - **Growth Strength Factor**: Score of -1, indicating a bearish signal[26]. - **Inflation Direction Factor**: Score of 1, indicating a bullish signal[27]. - **Inflation Strength Factor**: Score of 1, indicating a bullish signal[31]. - **Shiller ERP**: Score of 0.16, indicating a slightly bearish signal[32]. - **PB**: Score of -0.38, indicating a bearish signal[36]. - **AIAE**: Score of -0.11, indicating a slightly bearish signal[39]. - **Margin Trading Increment**: Score of -1, indicating a bearish signal[41]. - **Trading Volume Trend**: Score of -1, indicating a bearish signal[44]. - **China Sovereign CDS Spread**: Score of 1, indicating a bullish signal[47]. - **Overseas Risk Aversion Index**: Score of 1, indicating a bullish signal[49]. - **Price Trend**: Score of 0, indicating a neutral signal[51]. - **New Highs and Lows**: Score of -1, indicating a bearish signal[54]. - **Implied Premium/Discount**: Score of 1, indicating a bullish signal[57]. - **Implied Volatility (VIX)**: Score of 0, indicating a neutral signal[58]. - **Implied Skewness (SKEW)**: Score of -1, indicating a bearish signal[62]. - **Convertible Bond Pricing Deviation**: Score of -0.51, indicating a bearish signal[65].

Group 1: Definitions - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. Commodity option implied volatility index is obtained by weighting the IVs of the two strike prices above and below the at - the - money option of the main contract month, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Charts - Charts show the IV, HV, and IV - HV differences of various products including 300 index, 50ETF, 1000 index, 500ETF, cotton, sugar, rubber, PTA, crude oil, methanol, iron ore, copper, PVC, rebar, urea, gasoline, aluminum, zinc, etc. from different time periods [4][6][7][8] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current IV level of a product in history. High quantiles mean current IV is high, and low quantiles mean current IV is low. Volatility spread is the difference between IV and HV [19] - The implied volatility quantiles of different products are provided, such as PTA (0.85), PVC (0.72), etc. [21]

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the given content. 2. Report's Core View No clear core view is presented in the given content. The document mainly provides a large amount of data on various financial products such as ETFs and indices, including historical volatility, implied volatility, and related price trends. 3. Summary by Related Catalogs 3.1 50ETF - On June 16, 2025, the underlying price was 2.753, with 5HV at 8.25%, 10HV at 5.68%, 20HV at 5.92%, and the current month's IV at 11.21%. The IV percentile for the current month in the past 1 year was 4.80%, and in the past 2 years was 2.40%. The next month's IV was 12.16%, with an IV percentile of 5.70% in the past 1 year and 11.30% in the past 2 years [1][2]. - The current month's contract has 7 days until expiration [1]. 3.2 Shanghai 300ETF - On June 16, 2025, the underlying price was 3.990, with 5HV at 9.45%, 10HV at 6.81%, 20HV at 6.89%, and the current month's IV at 0.32%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.36%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [9]. - The current month's contract has 7 days until expiration [9]. 3.3 Shenzhen 300ETF - On June 16, 2025, the underlying price was 4.026, with 5HV at 9.82%, 10HV at 7.08%, 20HV at 7.04%, and the current month's IV at 13.11%. The IV percentile for the current month in the past 1 year was 20.40%, and in the past 2 years was 16.70%. The next month's IV was 12.75%, with an IV percentile of 12.20% in the past 1 year and 10.10% in the past 2 years [15]. - The current month's contract has 7 days until expiration [15]. 3.4 Shanghai CSI 500ETF - On June 16, 2025, the underlying price was 5.797, with 5HV at 10.82%, 10HV at 9.26%, 20HV at 9.77%, and the current month's IV at 0.00%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.00%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [26]. - The current month's contract has 7 days until expiration [26]. 3.5 Shenzhen CSI 500ETF - On June 16, 2025, the underlying price was 2.319, with 5HV at 12.27%, 10HV at 10.15%, 20HV at 10.73%, and the current month's IV at 14.23%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 14.10%. The next month's IV was 15.64%, with an IV percentile of 1.20% in the past 1 year and 25.80% in the past 2 years [37]. - The current month's contract has 7 days until expiration [37]. 3.6 ChiNext ETF - On June 16, 2025, the underlying price was 2.037, with 5HV at 16.59%, 10HV at 13.76%, 20HV at 14.11%, and the current month's IV at 17.99%. The IV percentile for the current month in the past 1 year was 2.40%, and in the past 2 years was 9.80%. The next month's IV was 19.57%, with an IV percentile of 8.00% in the past 1 year and 23.90% in the past 2 years [49]. - The current month's contract has 7 days until expiration [49]. 3.7 Shenzhen 100ETF - On June 16, 2025, the underlying price was 3.725, with 5HV at 11.72%, 10HV at 9.51%, 20HV at 11.55%. The data for the current month's IV and related IV percentiles showed errors (VALUE!) [59]. - The current month's contract has -1 days until expiration [59]. 3.8 Science and Technology Innovation 50ETF - On June 16, 2025, the underlying price was 1.021, with 5HV at 12.36%, 10HV at 13.16%, 20HV at 12.46%, and the current month's IV at 18.11%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 4.90%. The next month's IV was 20.29%, with an IV percentile of 2.10% in the past 1 year and 17.30% in the past 2 years [68]. - The current month's contract has 7 days until expiration [68]. 3.9 Science and Technology Innovation 50ETF E Fund - On June 16, 2025, the underlying price was 0.995, with 5HV at 11.77%, 10HV at 13.04%, 20HV at 12.35%, and the current month's IV at 17.64%. The IV percentile for the current month in the past 1 year was 9.30%, and in the past 2 years was 5.70%. The next month's IV was 19.64%, with an IV percentile of 8.00% in the past 1 year and 17.30% in the past 2 years [78]. - The current month's contract has 7 days until expiration [78]. 3.10 300 Index - On June 16, 2025, the underlying price was 3873.795, with 5HV at 9.23%, 10HV at 6.91%, 20HV at 7.42%, and the current month's IV at 11.17%. The IV percentile for the current month in the past 1 year was 1.60%, and in the past 2 years was 0.80%. The next month's IV was 13.05%, with an IV percentile of 11.40% in the past 1 year and 5.90% in the past 2 years [88]. - The current month's contract has 4 days until expiration [88]. 3.11 1000 Index - On June 16, 2025, the underlying price was 6147.460, with 5HV at 13.88%, 10HV at 12.77%, 20HV at 13.82%, and the current month's IV at 15.88%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 19.60%. The next month's IV was 17.74%, with an IV percentile of 0.40% in the past 1 year and 28.40% in the past 2 years [90]. - The current month's contract has 4 days until expiration [90]. 3.12 Shanghai Composite 50 Index - On June 16, 2025, the underlying price was 2685.009, with 5HV at 7.42%, 10HV at 5.31%, 20HV at 6.19%, and the current month's IV at 11.56%. The IV percentile for the current month in the past 1 year was 3.60%, and in the past 2 years was 1.80%. The next month's IV was 43.63%, with an IV percentile of 51.80% in the past 1 year and 75.80% in the past 2 years [100]. - The current month's contract has 4 days until expiration [100].