Strategic view
On Friday, the stock indexes of A-Shares rose in shock. As of the close, the Shanghai index rose 0.94%, the Shenzhen Component Index fell 0.86%, the gem index fell 0.34%, the Shanghai and Shenzhen 300 rose 0.92%, the Shanghai 50 rose 0.96%, and the China Securities 500 rose 0.99%. The number of gainers in the two cities was 2634, higher than the average value of 2116 last week and 1094 the previous trading day. The limit was 77, lower than the average value of 81 last week and 79 the previous trading day. The net purchase of northbound funds was 9.221 billion yuan, the average value of last week was 1.142 billion yuan, and the net purchase of the previous trading day was 3.021 billion yuan. The turnover of the two cities was 1136.4 billion yuan, breaking trillion yuan for the 31st consecutive trading day. A-share volume breakthrough laid the foundation for the next market. At the same time, facing the downward pressure on the economy in the first quarter of next year, Premier Li Keqiang mentioned "timely RRR reduction" when meeting with georgiyeva, President of the International Monetary Fund, and the RRR reduction is expected to start again at the end of the year. According to our previous analysis in liquidity driven market, "the market is expected to gradually move from tight credit to stable credit + structural wide credit". In this expected RRR reduction, we believe that we may replace part of MLF through comprehensive RRR reduction, mainly to hedge the maturity of MLF and stabilize inter-bank liquidity. Based on the above analysis, we believe that the basic conditions for liquidity driven market have been met. Superimposed on the economic expectation of maintaining stability in the first quarter of next year and the return of PMI above the boom and bust line in November, the market in December should enter the stage of trend establishment. Therefore, the market should break through one after another at the beginning of this week to consolidate the upward trend, but in case of entanglement, rising and falling, etc, Then the market probability will fall again.
Stock index futures trading strategy
Viewpoint: IH futures maintain premium, and the index may fluctuate strongly
(1) On December 3, the positions of if, IH and IC contracts were 180100, 97900 and 271200 respectively, with a month on month increase of - 0.76%, - 2.14% and - 1.82%;
(2) On December 3, the difference between the contract and spot price of if, IH and IC in the current month was 5.18 points, 2.38 points and -13.92 points, which was 2.75 points, - 2.75 points and 0.87 points higher than that of the previous trading day. Operation suggestions: ih2112 mainly sells high and absorbs low, with support level of 3190 points and resistance level of 3250 points
Option trading strategy
Viewpoint: the implied volatility continues to decline, and the short-term rebound trend is difficult to change
(1) On December 3, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.76, 1.1, 1.02 and 0.86 respectively. The PCR values of 50ETF and 300etf options rebounded slightly.
(2) On December 3, the implied volatility of 300etf option and 50ETF option were 12.8% and 14.3% respectively, and the implied volatility of 300etf option and 50ETF option decreased slightly.
Operation suggestion: radical strategy: none at present; Steady strategy: investors can buy 50 ETF to buy 3300 in December and sell 50 ETF to buy 3400 in December at the same time. The maximum profit of a single portfolio strategy is 887 yuan and the maximum loss is 113 yuan; Hedging strategy: None
Risk statement
1. Rapid cooling of market transactions; 2 short term panic continued to spread risk factors.
