Report Industry Investment Rating No relevant content provided. Core View of the Report As of the end of the third quarter of 2025, the total position of public funds in stock index futures continued to reach a new high since 2015, with the increase mainly from short - position increases. The slowdown of long - position increases and concentration in the IH contract, along with short - position increases in the IM contract, indicate that public funds are more optimistic about large - cap indices. The increase in the proportion of long positions in quarterly contracts may be related to the high historical basis in the futures market. Different types of funds show varying participation in terms of quantity and market value, and the top ten managers' total positions have increased [2][42]. Summary According to Relevant Catalogs Market Overall Situation - Significant Growth in Stock Index Futures Position Market Value - As of the end of Q3 2025, public funds held 32,496 lots of stock index futures, a 7.97% increase quarter - on - quarter, with the growth mainly from short - position increases. Long positions were 26,017 lots (up 3.38% QoQ), and short positions were 6,479 lots (up 31.42% QoQ). The total position market value was 43.58 billion yuan, a 28.63% increase QoQ, with long - position market value at 34.25 billion yuan (up 22.15% QoQ) and short - position market value at 9.327 billion yuan (up 59.76% QoQ) [6]. - The net long position was 19,538 lots, a decrease of 699 lots from the previous quarter, but the net long - position market value increased by 9.7 billion yuan to 34.25 billion yuan [6]. - 61 public fund companies participated in stock index futures, 5 fewer than the previous quarter, while the number of participating products increased by 22 to 440. There were 57 long - position companies, 24 short - position companies, 374 long - position products, and 67 short - position products. The number of long - position products has been increasing for 6 consecutive quarters [7][10]. Position Variety and Month Analysis 2.1 Position Variety Indicates Public Funds Are More Optimistic about Large - Cap Indices in the Future - This quarter, public funds' positions in various varieties were divergent. Long - position increases slowed down and were mainly concentrated in the IH contract, with an increase of 1,160 lots (26.6% QoQ) and 1.43 billion yuan (40.82% QoQ). Short - position increases were mainly in the IM contract, with an increase of 1,725 lots (76.9% QoQ) and 3.11 billion yuan (111.1% QoQ). The short - position main variety continued to shift from IF to IM, and the proportion of IM in short - hedge increased from 48.4% to 63.38%. This shows that public funds are more optimistic about large - cap indices [11]. - For different contracts: IF total position was 11,918 lots, with long positions of 10,260 lots (down 5.21% QoQ) and short positions of 1,658 lots (down 5.58% QoQ); IH position was 5,749 lots, with long positions of 5,514 lots (up 26.64% QoQ) and short positions of 235 lots (down 9.96% QoQ); IC position was 6,904 lots, with long positions of 6,287 lots (up 3.09% QoQ) and short positions of 617 lots (down 7.77% QoQ); IM position was 7,925 lots, with long positions of 3,956 lots (up 1.67% QoQ) and short positions of 3,969 lots (up 76.9% QoQ) [17]. 2.2 The Proportion of Long Positions in Quarterly Contracts Continued to Increase Significantly - This quarter, the proportion of public funds' long positions in quarterly contracts increased significantly and reached a historical high, while the proportion in current - month contracts continued to decline. This may be related to the high historical basis in the futures market, as quarterly contracts have higher and more stable basis than current - month contracts. Specifically, the proportions of long positions in current - month, next - month, current - quarter, and next - quarter contracts were 14.41%, 0.66%, 78.36%, and 6.57% respectively, with changes of - 12.7, - 0.86, 17.96, and - 4.42 percentage points QoQ. The proportions of short positions were 33.36%, 1.53%, 58.95%, and 6.15% respectively, with changes of - 11.2, 1.31, 6.47, and 3.43 percentage points QoQ [18]. Position Situation of Various Fund Products 3.1 Significant Increase in the Number of Index - Enhanced Products - The total number of public fund products participating in stock index futures increased by 22 to 440. The number of index - enhanced and flexible - allocation products increased the most, from 120 and 36 to 131 and 43 respectively, while the number of partial - stock hybrid products decreased from 49 to 42 [20]. - In terms of total participation market value, passive index products were the main participants in long positions of public funds' stock index futures, followed by index - enhanced products. The long - position market values of passive index and index - enhanced products increased significantly, and the short - position market value of flexible - allocation products increased significantly, from 24.277 billion, 2.692 billion, and 0.965 billion yuan to 29.499 billion, 3.265 billion, and 3.695 billion yuan respectively. Partial - stock hybrid, flexible - allocation, and neutral products were the main participants in short positions, different from the previous quarter when it was mainly neutral products, indicating that public funds are more cautious about the short - term market and the active hedging momentum has increased [21]. 3.2 Significant Increase in Short Positions of Flexible - Allocation Products in IM - For long - position products, passive index products increased their long positions in all four major futures contracts. Index - enhanced products also significantly increased their positions in IC and IM due to the high historical basis. - For short - position products, in addition to traditional neutral products still having a large proportion of positions in IF, flexible - allocation products significantly increased their short positions in IM from 0.763 billion yuan to 3.46 billion yuan. Partial - stock hybrid products maintained a short - position of about 1.8 billion yuan in IM, with a slight increase from the previous quarter. This shows that public funds are more cautious about small - and medium - cap indices in the later period [34][35]. The Total Position of the Top Ten Managers Continued to Increase - This quarter, the total position of the top ten managers reached 28,153 lots, with a total position market value of 37.447 billion yuan, increasing by 10.78% and 31.86% respectively quarter - on - quarter. China Europe Fund significantly increased its short positions by more than 2,700 lots, and Harvest Fund increased its long positions by 1,200 lots. Specifically, the long positions of the top ten managers were 22,654 lots (up 4.21% QoQ) with a market value of 29.425 billion yuan (up 22.49% QoQ), and the short positions were 5,499 lots (up 49.6% QoQ) with a market value of 8.05 billion yuan (up 83.12% QoQ) [36][37].

Report Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of September 24, 2025, highlighting the number of companies at various stages of dividend announcements and distributions [1][3][17] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index showing a realized yield of 2.20% and a remaining yield of 0.57% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 2.47%, while the IC and IM contracts show significant discounts of 8.34% and 12.52%, respectively [4][12] Dividend Progress of Constituent Stocks - As of September 24, 2025, the Shanghai 50 Index has 16 companies in the proposal stage, 3 in the decision stage, 4 in the implementation stage, 24 that have paid dividends, and 3 that have not [1][3] - The CSI 300 Index has 69 companies in the proposal stage, 16 in the decision stage, 16 in the implementation stage, 174 that have paid dividends, and 25 that have not [1][3] - The CSI 500 Index has 42 companies in the proposal stage, 29 in the decision stage, 19 in the implementation stage, 339 that have paid dividends, and 71 that have not [1][3] - The CSI 1000 Index has 50 companies in the proposal stage, 41 in the decision stage, 25 in the implementation stage, 682 that have paid dividends, and 202 that have not [1][3] Dividend Yield Comparison - The article presents statistics on the current dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][4] Realized and Remaining Dividend Yields - The realized dividend yields as of September 24, 2025, are as follows: - Shanghai 50 Index: 2.20% realized, 0.57% remaining [8][7] - CSI 300 Index: 1.75% realized, 0.39% remaining [8][7] - CSI 500 Index: 1.12% realized, 0.12% remaining [8][7] - CSI 1000 Index: 0.88% realized, 0.07% remaining [8][7] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures as of September 24, 2025: - IH main contract: 2.47% premium [4][12] - IF main contract: 1.71% discount [4][12] - IC main contract: 8.34% discount [4][12] - IM main contract: 12.52% discount [4][12]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The A-share market has resumed its upward trend after several days of contraction and oscillation, with future upward potential due to abundant domestic liquidity, increased expectations of a September Fed rate cut, and potential PPI marginal repair and improved A-share profitability. The strategy is to go long opportunistically and utilize the discount advantage of stock index futures to place long orders [6] 3. Summary by Relevant Catalogs 3.1 Money Market - **Price Changes**: DROO1 closed at 1.37, down 5.69bp; DR007 at 1.48, up 0.50bp; GC001 at 1.08, down 46.00bp; GC007 at 1.41, down 8.00bp; SHBOR 3M at 1.55, unchanged; LPR 5-year at 3.50, unchanged; 1-year treasury at 1.40, down 1.31bp; 5-year treasury at 1.63, down 2.24bp; 10-year treasury at 1.87, down 1.74bp; 10-year US treasury at 4.04, down 4.00bp [4] - **Market Operations**: The central bank conducted 292 billion yuan of 7-day reverse repurchase operations, with 212.6 billion yuan of reverse repurchases maturing, resulting in a net injection of 79.4 billion yuan. The money market liquidity has marginally eased, and there are increasing expectations for the central bank to restart treasury trading operations [4] 3.2 Stock Index Market - **Price Changes**: The CSI 300 rose 2.31% to 4548; SSE 50 rose 1.48% to 2983; CSI 500 rose 2.75% to 7123; CSI 1000 rose 2.35% to 7400. The trading volume of the Shanghai and Shenzhen stock markets reached 2.4377 trillion yuan, a significant increase of 459.6 billion yuan. Industry sectors generally rose, with electronics, semiconductors, and communication equipment leading the gains, while precious metals and jewelry underperformed [5] - **Market Analysis**: The overnight surge of Oracle boosted the A-share AI sector. The announcement of 10 pilot projects for factor market - oriented allocation reform also contributed to the market's rise. With ample domestic liquidity, increased Fed rate - cut expectations, and potential PPI repair, the A - share market is expected to continue rising [6] 3.3 Stock Index Futures Market - **Volume and Open Interest Changes**: IF volume increased 29.8% to 169,613, and open interest rose 2.4% to 282,139; IH volume increased 33.3% to 70,995, and open interest rose 8.9% to 104,398; IC volume increased 45.5% to 195,795, and open interest rose 7.7% to 266,336; IM volume increased 15.6% to 318,107, and open interest rose 1.2% to 388,332 [5] - **Premium and Discount Situation**: IF had a discount of - 14.01% for the current - month contract, - 1.42% for the next - month contract, a premium of 1.45% for the current - quarter contract, and 1.72% for the next - quarter contract; IH had a discount of - 10.89% for the current - month contract, - 1.88% for the next - month contract, - 0.66% for the current - quarter contract, and - 0.52% for the next - quarter contract; IC had a discount of - 1.21% for the current - month contract and premiums for other contracts; IM had premiums for all contracts [7]

1. Report Industry Investment Rating - The investment rating for stock index futures is "oscillating with a slight upward bias" [7] - The investment rating for stock index options is "oscillating" [8] - The investment rating for treasury bond futures is "oscillating, taking a cautious approach" [10] 2. Core Views of the Report - Stock index futures are experiencing a strengthening of the technology - growth trend. The market sentiment is positive, and funds are flowing towards high - growth sectors. There is still room for price increases in the technology - growth sector, and it is recommended to continue to allocate long positions in IM contracts [7]. - For stock index options, there are two trading logics based on the volatility changes: partial profit - taking in the spot and switching to buying out - of - the - money call options, or buying put options for protection during the process of chasing the market. In the short - term, a double - selling strategy is recommended, and in the medium - term, the covered call strategy continues [2][8]. - Treasury bond futures are facing multiple disturbing factors. The market is pricing in potential risks from major meetings in advance. In the short - term, the bond market is affected by many factors, and it is recommended to pay attention to various strategies such as basis trading and curve trading [2][10]. 3. Summary by Relevant Catalogs 3.1 Market Views Stock Index Futures - **Market Performance**: On Tuesday, the Shanghai Composite Index opened lower and closed higher, with trading volume reaching 1.83 trillion yuan. The market sentiment is positive, and the focus is shifting to the technology - growth sector. The pharmaceutical and communication industries led the gains [7]. - **Logic**: The strong performance of the CXO leader's mid - year report and the technological catalysis of PCB are driving the technology - growth sector. Funds are flowing out of the "anti - involution" and dumbbell - shaped sectors, and there is still room for price increases in the technology - growth sector [7]. - **Operation Suggestion**: Allocate long positions in IM contracts [7]. Stock Index Options - **Market Performance**: The underlying assets continued to be strong, with the GEM ETF rising by 1.75% and the Science and Technology Innovation 50 ETF rising by 1.35%. The trading volume of the STAR Market and ChiNext ETF options increased, but the overall market share is limited [8]. - **Logic**: The increase in weighted volatility mainly comes from the out - of - the - money put side, while the at - the - money and slightly out - of - the - money call volatility has declined, implying short - term market correction concerns. Two trading logics are derived [8]. - **Operation Suggestion**: In the short - term, use the double - selling strategy; in the medium - term, continue the covered call strategy [2][8]. Treasury Bond Futures - **Market Performance**: Treasury bond futures declined across the board. The central bank continued large - scale net injections, but the bond market sentiment was weak [2][10]. - **Logic**: The market is pricing in potential risks from the Sino - US economic and trade negotiations and the Politburo meeting in advance. The stock market and commodity market sentiment has improved, putting pressure on the bond market [2][10]. - **Operation Suggestion**: For trend trading, be cautious; for hedging, pay attention to short - hedging at low basis levels; for basis trading, pay attention to the basis convergence of the TL main contract; for curve trading, it is more profitable to steepen the yield curve in the medium - term [10]. 3.2 Economic Calendar - The economic calendar includes data such as the US July ADP employment figures, the US Federal Reserve interest rate decision, China's July official manufacturing PMI, and the US July Michigan Consumer Sentiment Index final value [12]. 3.3 Important Information and News Tracking - From January to June 2025, the number of newly established foreign - invested enterprises in China increased by 11.7% year - on - year, but the actual use of foreign capital decreased by 15.2% year - on - year. The manufacturing and service industries used 1090.6 billion yuan and 3058.7 billion yuan of foreign capital respectively [12]. - From January to June, the total operating income of state - owned enterprises decreased by 0.2% year - on - year, and the total profit decreased by 3.1% year - on - year. The asset - liability ratio at the end of June increased by 0.3 percentage points year - on - year [13]. - The China Photovoltaic Industry Association clarified that some self - media reports on the anti - involution work in the photovoltaic industry, especially in the polysilicon sector, are inconsistent with the facts [13]. - Due to heavy rainfall in Beijing, a national level - four disaster relief emergency response was launched. The National Development and Reform Commission arranged 200 million yuan of central budget - inner investment for post - disaster recovery [13]. 3.4 Derivatives Market Monitoring - The report mentions the monitoring data of stock index futures, stock index options, and treasury bond futures, including contract basis, spreads, trading volume, and open interest, but specific data details are not fully presented in the summary [7][8][10].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - As of the end of Q2 2025, the total position of public funds in stock index futures reached a new high since 2015, mainly due to long - position increases, indicating that public funds are optimistic about the future market [2][6][40]. - The increase in long positions is mainly concentrated in IF, IC, and IH contracts, mainly due to the increase in passive index - type products, while the increase in short positions is mainly in the IM contract of partial - stock hybrid products [2][40]. - In terms of contract months, public funds believe that using the current - month contract is better for hedging, while using the quarterly - month contract is better for going long, which is related to the large historical basis of the futures index market [2][16][40]. Summary by Relevant Catalogs Market Overall Situation - Significant Increase in Long Positions of Stock Index Futures - As of the end of Q2 2025, public funds held 30,097 lots of stock index futures, a significant increase of 37.4% quarter - on - quarter, with the total position reaching a new high since 2015. Long positions were 25,167 lots, a 39.13% increase, and short positions were 4,930 lots, a 29.36% increase [6]. - The market value of public funds' stock index futures holdings was 33.88 billion yuan, a 37.05% increase. The long - position market value was 28.042 billion yuan, a 38.34% increase, and the short - position market value was 5.838 billion yuan, a 31.21% increase [6]. - The net long position was 20,237 lots, an increase of 5,960 lots from the previous quarter, and the net long - position market value was 22.204 billion yuan, an increase of 6.38 billion yuan [6]. - There were 66 public fund companies participating in stock index futures, 1 less than the previous quarter, and 418 participating products, 24 more than the previous quarter [7][10]. Position Variety and Month Analysis 2.1 Position Variety Shows Public Funds are Optimistic about the Future Market - This quarter, public funds increased positions in various varieties. Long - position increases were mainly concentrated in IF, IC, and IH contracts, with increased market values of 2.94 billion yuan, 2.3 billion yuan, and 1.608 billion yuan, and quarter - on - quarter increases of 30.33%, 48.2%, and 84.5% respectively. Short - position increases were mainly in the IM contract, with an increased market value of 1.26 billion yuan, an 81.5% increase [11]. - For different contracts, the total positions of IF, IH, IC, and IM contracts were 12,580 lots, 4,615 lots, 6,767 lots, and 6,135 lots respectively, with varying degrees of long - and short - position increases [13][15]. 2.2 The Proportion of Long Positions in Quarterly - Month Contracts Increased Significantly - This quarter, the proportion of public funds' long positions in quarterly - month contracts increased significantly, while the proportion in current - month contracts decreased significantly. The proportion of short positions in current - month contracts increased slightly [16]. - Specifically, the proportions of long positions in current - month, next - month, current - quarter, and next - quarter contracts were 27.08%, 1.52%, 60.4%, and 10.99% respectively, with quarter - on - quarter changes of - 13.4, 1.33, 3.68, and 8.36 percentage points. The proportions of short positions were 44.57%, 0.23%, 52.48%, and 2.72% respectively, with quarter - on - quarter changes of 2.44, - 0.75, - 1.67, and - 0.01 percentage points [16]. Position Situation of Various Fund Products 3.1 The Number of Index - Enhanced Products Increased Significantly - The total number of public fund products participating in stock index futures continued to increase, reaching 418, a 22 - lot increase. The number of index - enhanced and partial - stock hybrid products increased the most, from 109 and 42 to 120 and 49 respectively, while the number of partial - debt hybrid products decreased from 16 to 12 [19]. - Passive index - type products were still the main participants in the long positions of public funds' stock index futures, with a significant increase in long positions. Partial - stock hybrid products had a more obvious increase in short positions. The hedging ratio of neutral products decreased slightly from 91.44% to 89.07% [20]. 3.2 Passive Index - Type Products Significantly Increased Long Positions in the Four Major Futures Indexes - Passive index - type products, the main force in public funds' long positions, significantly increased long positions in the four major futures indexes this quarter. The long positions of IH and IF increased from 1.893 billion yuan and 8.96 billion yuan to 3.501 billion yuan and 11.63 billion yuan respectively, and the long positions of IC and IM increased from 3.79 billion yuan and 2.656 billion yuan to 5.57 billion yuan and 3.572 billion yuan respectively [31]. - In terms of short - position types, in addition to traditional neutral products still holding a large proportion of positions in IF, partial - stock hybrid products significantly increased short positions in IM, from 350 million yuan to 1.404 billion yuan. Flexible - allocation products still held about 700 million yuan in IM short positions [31]. The Top Ten Managers Significantly Increased Long Positions - This quarter, the total position of the top ten managers reached 25,412 lots, and the total position market value reached 28.42 billion yuan, a significant increase of 39.7% and 38.2% quarter - on - quarter respectively. Most managers increased positions to varying degrees, with China Asset Management and Southern Asset Management having the most obvious increases, with long - position increases of 4,269 lots and 1,729 lots, and quarter - on - quarter increases of 97.07% and 51.52% respectively [33]. - The long positions of the top ten managers were 21,737 lots, and the long - position market value was 24.023 billion yuan, an increase of 37.94% and 35.79% quarter - on - quarter respectively. The short positions were 3,675 lots, and the short - position market value was 4.396 billion yuan, an increase of 51.2% and 56.16% quarter - on - quarter respectively [33]. Summary - Overall, this quarter, the total position of public funds in stock index futures reached a new high since 2015, mainly due to long - position increases. Long positions were 25,167 lots, a 39.13% increase, and short positions were 4,930 lots, a 29.36% increase [40]. - The net long position was 20,237 lots, an increase of 5,960 lots from the previous quarter, and the net long - position market value was 22.204 billion yuan, an increase of 6.38 billion yuan [40]. - The increase in long positions was mainly concentrated in IF, IC, and IH contracts, mainly due to the increase in passive index - type products, while the increase in short positions was mainly in the IM contract of partial - stock hybrid products [40]. - In terms of contract months, the proportion of long positions in quarterly - month contracts increased significantly, while the proportion in current - month contracts decreased significantly. The proportion of short positions in current - month contracts increased slightly [40]. - The total number of participating products increased to 418, with the number of index - enhanced and partial - stock hybrid products increasing the most, and the number of partial - debt hybrid products decreasing. Passive index - type products had a significant increase in long positions, and partial - stock hybrid products had a more obvious increase in short positions. The hedging ratio of neutral products decreased slightly [41]. - There were 66 public fund companies participating, 1 less than the previous quarter. The total position of the top ten managers increased significantly, with China Asset Management and Southern Asset Management having the most obvious long - position increases [41].

1. Report Industry Investment Rating - The investment rating for the stock index is "Oscillation" [1] 2. Core Viewpoints of the Report - In the short - term, market sentiment remains strong. Although there is hesitation during the market upswing, the willingness of funds to support the market is strong, and the retracement of the stock index is less than expected. Some funds are rushing ahead due to short - term pricing of medium - term factors. However, investors have significant differences at the current level, and a market consensus has not been formed. Considering the strong technical resistance at the March high and the expected weakening of China's economic data in the second half of the year, the timing for a new full - scale bull market has not arrived. Overall, the short - term baseline prediction is the preparation period for a bull market. Given the early entry of some funds, it is recommended to be cautious when going long this week (either wait and see or conduct intraday short - term long positions). If there is a sharp decline later, it can be regarded as a good opportunity to re - enter the market with long positions. In terms of style, a light - position left - hand layout for IH - IM can be started this week [3] 3. Summary by Relevant Catalogs 3.1 Macro Stock Market Information - From 1998 to the end of the second quarter of 2025, Chinese public funds created a profit of 5.94 trillion yuan for holders. At the end of the second quarter, the market scale of public funds reached a new high of 33.73 trillion yuan. China's LPR in July remained unchanged for the second consecutive month, with the 1 - year variety at 3.0% and the over - 5 - year variety at 3.5%. Monetary policy has entered an observation period, and the unchanged LPR quote is in line with market expectations [4] 3.2 Stock Index Disk Review 3.2.1 Disk Tracking - In the previous trading day, the A - share market oscillated upwards. Among the four major indices, the Shanghai Composite 50 Index rose 0.28%, the CSI 300 Index rose 0.67%, the CSI 500 Index rose 1.01%, and the CSI 1000 Index rose 0.92%. In terms of sectors, building materials (+5.45%) and construction machinery (+4.00%) led the gains, while education (-0.79%) and banking (-0.77%) lagged. More than 4,000 stocks rose, and 130 stocks hit the daily limit, indicating a good profit - making effect [4] 3.2.2 Technical Tracking - The stock indices generally approached the March high. The daily and weekly lines have turned into a bullish trend, indicating short - term market strength, while the monthly line remains in an oscillating market [4] 3.2.3 Fund Flow - The trading volume of the A - share market yesterday increased to around 1.7 trillion yuan, and investor sentiment was moderately bullish [4] 3.3 Core Logic Summary - Short - term market sentiment is strong, but there are differences among investors. The start of a new full - scale bull market is not yet due to technical resistance and economic data expectations. It is recommended to be cautious when going long in the short - term, and a sharp decline can be an opportunity to re - enter the market. A light - position left - hand layout for IH - IM can be started this week [3] 3.4 Operation Suggestions 3.4.1 Futures Operation - In the short - term, the market is in a strong oscillation. Pay attention to the resistance at the March high. It is recommended that investors wait and see or conduct intraday short - term long positions. The styles of large - and small - cap stocks alternate, and a left - hand layout for IH - IM can be started this week [3] 3.4.2 Options Operation - The implied volatility of stock index options has slightly declined, with the at - the - money IV of the CSI 300 for the current month fluctuating between 13 - 14%. During the oscillation period, it is recommended to wait for the volatility to rise before intervening in short - term double - selling [3]

Group 1 - The semiconductor and domestic computing power sectors are benefiting from favorable conditions for IM and IC contracts, indicating a strong short-term trading opportunity [1][4] - The stock index has shown strong performance, with the Shanghai Composite Index reaching a high of 3555.22 points, supported by multiple factors, including the recent approval of the "Stablecoin Regulation" in Hong Kong [1][2] - The "anti-involution" sector is becoming active, with the central government's emphasis on promoting product quality and orderly competition, positively impacting various industries [2] Group 2 - The approval of the H20 chip sales to China by the U.S. is expected to alleviate previous supply restrictions, potentially leading to a recovery in the AI sector as demand increases [4] - The long-term outlook for the stock index remains optimistic, despite uncertainties surrounding U.S.-China tariffs, with expectations of improved market sentiment and potential fiscal policy support in the fall [3][4] - The stablecoin market is anticipated to grow, with the U.S. pushing for legislation that could enhance the dominance of the U.S. dollar, while the development of the RMB stablecoin is seen as inevitable, starting with trials in Hong Kong [2]

1. Report Industry Investment Rating - The investment rating for the stock index is "Oscillation" [1] 2. Core Viewpoints of the Report - Last week, the stock index market declined due to the escalation of geopolitical conflicts, which increased global risk - aversion sentiment. European and American stock indices mostly fell, and A - share sentiment cooled down. This week, the stock index is still at a relatively over - valued position within the oscillation range and is expected to continue to bottom out. The impact of short - term foreign capital sentiment fluctuations on A - shares is limited, and there are no clear domestic trading events in the short term. The market will continue the decline trend under the characteristics of shrinking volume and low volatility, and it is recommended that investors mainly wait and see. The next breakthrough window may appear in early July, with attention paid to the new round of tariff disturbances caused by the expiration of Trump's 90 - day exemption policy and possible hedging policies from the domestic Politburo meeting. In the medium - to - long - term, the current discounts of IC and IM have reached the highest level in the past two years. The annualized discount rate of the current - quarter IC contract is 11 - 12%, and that of the IM contract is 15 - 16%. These two types of contracts can bring more substantial excess returns in the allocation level compared to index products such as ETFs, and it is still valuable and potential for long - term index investment investors to hold long positions [3] 3. Summary by Relevant Catalogs 3.1 Macro Stock Market Information - The 2025 Lujiazui Forum will be held from June 18th to 19th, with the theme of "Financial Opening - up, Cooperation and High - quality Development in the Changing Global Economic Landscape". Central financial management department leaders will give speeches and release major financial policies. US President Trump's pressure on Iran makes the market speculate that the US may directly participate in Israel's attack on Iran [5] 3.2 Stock Index Disk Review - **Disk Tracking**: In the previous trading day, A - shares fluctuated narrowly. Among the four major indices, the Shanghai 50 Index fell 0.04%, the CSI 300 Index fell 0.09%, the CSI 500 Index fell 0.29%, and the CSI 1000 Index fell 0.10%. The shipping (+2.44%) and energy equipment (+2.01%) sectors led the gains, while the office supplies (-3.45%) and soft drink (-2.80%) sectors lagged. More than 2,200 stocks rose, and 61 stocks hit the daily limit, with a poor profit - making effect [5] - **Technical Tracking**: After the previous oversold rebound, the stock indices generally approached the upper edge of the gap, with stronger pressure at the daily and weekly levels, and the monthly - line trend is still oscillating [5] - **Fund Flow**: Recently, the trading volume of A - shares has been hovering at a low level, staying at the 1.2 - trillion - yuan level yesterday. The short - term market has a strong wait - and - see sentiment and insufficient upward momentum [5] 3.3 Core Logic Summary - The decline in the stock index market last week was due to geopolitical conflicts. This week, the stock index is over - valued and may continue to decline. The impact of foreign capital is limited, and there are no clear trading events. The market will decline with shrinking volume and low volatility. The next breakthrough may be in early July. In the long - term, IC and IM contracts have high allocation value [3] 3.4 Operation Suggestions - **Futures Operation**: In the short term, it is recommended to mainly wait and see, with the lower support level seen at the position on April 9th. For monthly operations, maintain the idea of band trading [4] - **Option Operation**: The implied volatility of stock index options continues to flatten, with the weekly IV of the current - month at - the - money CSI 300 option remaining at 12 - 13%. Given the low - level oscillation of volatility, the cost of buying options during the waiting - for - breakthrough stage is expected to be high, and the premium recovered from selling options is limited. It is recommended to wait for the second wave of rising volatility before engaging in double - selling operations [4]

Group 1: Interest Rates and Central Bank Operations - DRO01 closed at 1.45 with a -6.33bp change, DR007 at 1.62 with a -3.59bp change, GC001 at 1.77 with a 15.00bp change, and GC007 at 1.76 with a 4.00bp change [4] - SHBOR 3M closed at 1.64 with a 0.10bp change, LPR 5 - year at 3.60 with a 0.00bp change [4] - 1 - year, 5 - year, and 10 - year Chinese treasury bonds closed at 1.46, 1.54, and 1.72 respectively, with changes of 0.76bp, 1.12bp, and 0.51bp; 10 - year US treasury bonds closed at 4.51 with a -3.00bp change [4] - The central bank conducted 4480 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40%, and a net investment of 910 billion yuan after 3570 billion yuan of reverse repurchases matured [4] - There will be 9460 billion yuan of reverse repurchases maturing in the central bank's open market this week, with 1570 billion, 1545 billion, and 1425 billion yuan maturing from Wednesday to Friday [5] - On May 20, the 1 - year LPR was 3.0% (down from 3.1%), and the 5 - year LPR was 3.5% (down from 3.6%); state - owned and some joint - stock banks cut deposit rates [5] Group 2: Stock Indexes and Market Conditions - The CSI 300, SSE 50, CSI 500, and CSI 1000 closed at 3839, 2685, 5652, and 6008 respectively, with changes of -0.54%, -0.52%, -0.31%, and -0.34% [6] - IF, IH, IC, and IM of the current - month contracts closed at 3809, 2669, 5578, and an unspecified value respectively, with changes of -0.6%, -0.6%, -0.3%, and -0.2% [6] - IF, IH, IC, and IM trading volumes were 75774, 39115, 74989, and 195063 respectively, with changes of -12.6%, -15.2%, -10.3%, and 5.2%; their positions were 240995, 81979, 209867, and 329034 respectively, with changes of 2.3%, 2.0%, 0.4%, and 3.2% [6] - The trading volume of the Shanghai and Shenzhen stock markets was 9989 billion yuan, a decrease of 110 billion yuan; the pesticide and veterinary medicine sector rose significantly, while consumer sectors led the gains, and precious metals, semiconductors and other sectors led the losses [6] - The market volume shrank again, and the stock indexes oscillated weakly; the US postponed the implementation of a 50% tariff on EU imports to July 9 [7] - Stock indexes may continue to oscillate weakly; the probability of incremental policies and strong capital intervention in the short - term is low, and the market may enter a policy vacuum period [7] - Macro - level core indicators showed a decline in April, indicating that the effectiveness of previous growth - stabilizing policies was not obvious; it is advisable to observe stock indexes cautiously and pay attention to macro - incremental signals [7] Group 3: Futures Premium and Discount - The premium and discount rates of IF for the current - month, next - month, current - quarter, and next - quarter contracts were 11.96%, 12.43%, 0.02%, and 6.10% respectively [8] - The premium and discount rates of IH for the current - month, next - month, current - quarter, and next - quarter contracts were 9.45%, 12.20%, 6.30%, and 3.70% respectively [8] - The premium and discount rates of IC for the current - month, next - month, current - quarter, and next - quarter contracts were 19.95%, 18.47%, 14.81%, and 12.26% respectively [8] - The premium and discount rates of IM for the current - month, next - month, current - quarter, and next - quarter contracts were 23.66%, 21.62%, 18.05%, and 15.38% respectively [8]