Step 1: 对50ETF波指和300波指的分位数水平等权平均得到VIX分位数，取1-VIX分位数作为期权波动率指数代表的市场情绪； Step 2：对全A换手率、沪深两市成交额、北向周度净流入、VIX历史分位数做等权平均 1.申万情绪温度计模型：常用的市场情绪指标缺乏敏锐度，对反转的指示性不强 根据《13个市场风险指标看A股当前位置》、《市场情绪温度计提示当前温度回升——量化择时周报20230306》，我们曾经从资金流向、市场交易等多个角度选择5个市场风 险指标构成情绪温度计。这5个指标分别是全A换手率、沪深两市成交额，资金流向指标：北上资金，"恐慌指数"：沪深300股指期权波动率指数和上证50ETF期权波动率指数 （VIX）。其中，交易指标通过市场交易行为来判断市场情绪，通常在市场情绪低迷时，两市成交额和换手率倾向于在低位震荡。通过北上资金的累计5日净流入数据可以反映 外资信心。 情绪指标温度计的构成方法分为以下三步： Step 3：取5日平均进行平滑处理，得到情绪温度计指标 可以看到经过量化的市场情绪波动较为频繁，对于市场拐点的判断不够敏锐。由于涵盖指标数量较少，情绪数值的上行下跌受个别指标的影响较大。 ...

Macro Economic Overview - The report indicates that the next important time point may be in the late third quarter of 2025, with a suggested asset allocation order of stocks > commodities > bonds > currency [2][4] - In the first half of 2025, China's actual GDP grew by 5.3% year-on-year, laying a good foundation for achieving the annual target of 5.0% [2][4] - Economic data from July shows signs of growth pressure, including weakened external demand due to increased tariffs from the US and sluggish domestic consumption [2][4] Asset Performance - The A-share market saw an increase, with the CSI 300 index rising by 2.37% and the CSI 300 stock index futures up by 2.83% [11][12] - Commodity futures showed mixed results, with coking coal futures up by 0.33% and iron ore down by 1.65% [11][12] - The yield on ten-year government bonds rose by 6 basis points to 1.75%, while active ten-year government bond futures fell by 0.26% [11][12] Policy Insights - The report emphasizes the importance of expanding domestic demand in the second half of the year, suggesting that policies should be implemented to enhance efficiency and release domestic demand [2][4] - It is noted that the fiscal policy may have room for further adjustments within the year, particularly in light of external pressures easing due to potential interest rate cuts by the Federal Reserve [2][4] Sector Performance - The report highlights that the TMT sector has shown significant growth, with the ChiNext index leading with an 8.58% increase, followed by the Shenzhen Component Index at 4.55% [35][36] - The report also notes that the banking sector has faced declines, with a drop of 3.22% [35][36] Financial Data - In July, new social financing amounted to 1.13 trillion yuan, while new RMB loans decreased by 500 million yuan, indicating weak financing demand in the real economy [4][17] - The M2 money supply grew by 8.8% year-on-year, reflecting a relatively strong liquidity environment despite weak economic indicators [4][17]

证券研究报告|宏观研究报告 [Table_Date] 2025 年 08 月 18 日 [Table_Title] 从隐含波动率，看股市涨跌 [Table_Summary] 市场隐含波动率指标在美股市场早已广泛使用（即 VIX 指 数），但其在 A 股市场的研究中出镜率相对较低。在本篇报告 中，我们将探讨 A 股市场隐含波动率与行情走势之间的关 系，探索 A 股大势研判的新维度。 ►隐含波动率：市场对未来波动的"估值" 期权市场存在两种配置需求，一是买方主导的投机需求，二 是卖方主导的对冲需求。本文的研判框架主要聚焦于前者。 例如在大级别行情中，短线资金"追涨杀跌"的行为通常愈 演愈烈，推动隐含波动率迅速上升。而当投机资金相对谨慎 时，隐含波动率往往徘徊于低位。从这一角度看，隐含波动 率类似于短线资金对未来股指波动率的"估值"。 ►隐含波动率的大势研判方法：判断高估或低估 从历史经验来看，短线资金时常错估未来的波动率。与个股 估值判断类似，市场对波动率的"估值"也存经常存在偏 差。具体而言，在大涨或大跌推升波动预期后，短线资金时 常会过度估计潜在波动，为行情的回落或修复埋下伏笔；而 在低波预期下，如果利好或利 ...

Group 1 - The VIX index has dropped to its lowest intraday level since mid-February, indicating a decrease in Wall Street's expectations for volatility in the coming month [1][4] - The decline in the VIX suggests that some investors betting on a decline in the S&P 500 are closing their positions, particularly "volatility buyers" who profit from market downturns [4] - The realized volatility of the S&P 500 has fallen significantly, with a one-month realized volatility of only 6.9%, which is notably lower than the VIX [4] Group 2 - Despite the low VIX indicating complacency in the summer market, historical trends suggest that volatility may rise in August, often accompanied by a decline in the stock market [5] - Concerns over market liquidity during the vacation season in August could exacerbate volatility, as many seasoned traders take time off, leading to a potential liquidity vacuum [5] - The VIX's low levels may not last, with expectations from RBC Capital Markets indicating a potential rebound in the VIX next month [4]

Group 1 - Financial institutions, including Goldman Sachs and Castle Securities, are advising clients to purchase inexpensive hedging tools to protect against potential losses in the U.S. stock market [1][3] - The S&P 500 index has surged 28% since its low on April 8, and the "fear index" has reached its lowest level since February, making the cost of hedging against market declines very low [1][3] - Goldman Sachs noted that if clients feel anxious, the market is making hedging operations very easy to execute [1] Group 2 - The market faces several potential adverse events, including the Federal Reserve's upcoming interest rate decision and unresolved trade agreements with major partners like Mexico and Canada [3] - The non-farm payroll report for July is expected to significantly impact the Federal Reserve's policy in the coming months, alongside important earnings reports from major tech companies [3] - Bank of America suggested that it is time to buy volatility, as the VIX index typically reaches its lowest point in July [3] Group 3 - There is a belief that the current upward trend in the market will continue, supported by retail investors [5] - If the Federal Reserve finds that tariffs do not drive inflation or hinder economic growth, a rate cut in September could further boost the stock market [5] - Institutional investors' long positions are nearing highs, and they may soon slow down their buying pace [5] Group 4 - Investors are encouraged to engage in hedging operations set to expire in September to mitigate risks from significant events [5] - Historical data indicates that September is typically the worst-performing month for the U.S. stock market [5]

Core Viewpoint - The perception that the Federal Reserve operates independently of political pressure is described as a "false proposition," suggesting that market expectations of interest rate cuts may lead to a continued rise in the U.S. stock market [1] Group 1: Federal Reserve and Market Dynamics - As the term of Federal Reserve Chairman Jerome Powell approaches its end, investors are expected to focus on the policies of the next Fed chair [1] - Market volatility is anticipated to increase due to uncertainties related to tariffs, inflation, and the Federal Reserve [1] Group 2: Investment Strategies - Investors are advised to maintain long positions in the S&P 500 index and the VIX index, betting on increased allocations to high-risk assets such as cryptocurrencies and artificial intelligence [1]

Core Insights - The VIX index has risen to 21.85, marking the highest level since May 23 [1] Group 1 - The increase in the VIX index indicates heightened market volatility and investor uncertainty [1]

Group 1 - The core idea emphasizes the gap between knowledge and action in investing, highlighting that theoretical understanding alone is insufficient for success in investment [1] - The article references Warren Buffett's quote about the rarity of wealthy economists who profit from securities, indicating a disconnect between academic knowledge and practical investment success [1] - It discusses the high failure rate of startups founded by university professors, suggesting that theoretical knowledge does not guarantee practical success [1] Group 2 - The article outlines the fundamental logic of value investing, which is based on the principle of acting contrary to market emotions, focusing on intrinsic value rather than short-term market noise [3] - It describes "greed periods" as times when value is overestimated and "fear periods" as times of irrational selling, emphasizing the importance of thorough research and valuation to identify investment opportunities [3] Group 3 - Various emotional indicators are discussed, including the VIX index, which is considered a key measure of investor sentiment and market volatility [4] - The VIX index is defined as a measure of expected volatility over the next 30 days, often referred to as the "fear index" [4] - The article notes that a VIX below 15 indicates excessive optimism in the market, while a VIX above 40 suggests extreme pessimism, providing potential signals for investment decisions [5] Group 4 - Historical data shows that when the VIX exceeds 40, it often signals market bottoms, with a 92% probability of stock market gains in the following six months [5] - The article cites specific instances where the VIX spiked, such as during the 2008 financial crisis and the COVID-19 pandemic, leading to significant market recoveries [5][8] Group 5 - The importance of combining emotional indicators with valuation systems is emphasized to avoid false signals during market downturns [10] - The article suggests using both absolute and relative valuation methods to assess intrinsic value and avoid "value traps" [10] Group 6 - A systematic investment strategy is proposed, which involves tracking quality companies and ETFs, setting buy/sell targets based on market sentiment, and validating fundamentals before making investment decisions [11] - The strategy includes a phased approach to buying during high VIX and low valuation signals, and gradually selling during low VIX and high valuation signals [12] Group 7 - The article concludes that a deep understanding of market psychology and the use of tools like the VIX index, combined with solid valuation methods, can transform investment principles into tangible financial gains [12]

Core Viewpoint - The article suggests a strategy of shorting the VIX index as a more certain approach to capitalizing on market downturns, rather than directly buying into the S&P 500, especially when the latter's valuation has not fully bottomed out [2][4]. VIX Index Overview - The VIX index measures the expected volatility of the S&P 500 over the next 30 days and is often referred to as the "fear index," serving as a gauge of market sentiment [3]. - Historically, regardless of significant risk events, the VIX index tends to stabilize at an average level after spikes, indicating a potential strategy of shorting the VIX at high levels and buying back at lower levels [3][4]. Strategy Comparison - Shorting the VIX focuses on "shorting market sentiment," requiring only a return to normal market conditions for profit, which is less complex than predicting stock price movements when directly buying the index [4]. - Directly buying the index requires a low valuation entry point, but markets may not wait for a complete downturn before rebounding, leading to missed opportunities [5]. Backtesting Results - The article presents backtesting results for various shorting strategies based on VIX levels, indicating that shorting above 30 and covering below 12 yields significant returns, albeit with long holding periods that can reduce annualized returns [12][11]. - A more relaxed strategy of shorting above 30 and covering below 20 shows quicker recovery opportunities, with some trades yielding 30%-40% returns in a short time frame [13][14]. Risk and Considerations - The strategy's risks include the potential for infinite losses if the VIX spikes unexpectedly, as it is not tied to a tangible asset like stocks [22]. - Costs associated with shorting the VIX through derivatives can introduce discrepancies in expected outcomes, particularly during volatile market conditions [22]. Summary of Strategy Characteristics - The strategy is characterized by strong certainty, relying on the recovery of market sentiment over time, with the potential for significant short-term gains [23]. - It is advisable to prepare for short-term losses and to exit positions when the VIX stabilizes around 25, as holding beyond this point may not be cost-effective [23].

Core Viewpoint - The recent volatility in global financial markets, highlighted by the Cboe Volatility Index (VIX), has not exhibited the extreme pricing anomalies seen in previous market downturns, indicating a more stable market response to risk events like tariff announcements [1][2][3]. Group 1: Market Reactions and VIX Behavior - The VIX index spiked to 60 points but followed a similar trajectory to the S&P 500 index, contrasting with the extreme pricing seen in August [1][3]. - Following a tweet from Trump indicating a rational shift in tariff policy, global markets experienced a significant rebound, termed a "miracle day" for U.S. stocks [1]. - Investors managed risks during tariff-induced market turmoil by cashing out existing hedges rather than panic buying new protective positions, reflecting a more mature market behavior [2][8]. Group 2: Structural Market Dynamics - The widening bid-ask spreads in the market have increased to about 3-4 times the normal levels, indicating ongoing uncertainty despite the VIX's record drop following tariff news [2][13]. - The VIX remains approximately 20 points above its one-year average, suggesting that the market anticipates prolonged volatility and deeper risks related to global trade conflicts [2][10]. - The current market dynamics show that the VIX's pricing trend is healthy and not driven by extreme derivative positions, indicating a structural resilience in the market [7][8]. Group 3: Future Market Outlook - Analysts warn that the current volatility may become the new normal, with potential for further declines unless significant macroeconomic interventions occur [14]. - The market's response to recent tariff announcements suggests that traders are better prepared for volatility, which may lead to more stable pricing in the future [8][10].