Strategic view
Last Friday, the stock indexes of the two cities of A-Shares fluctuated and corrected. As of the close, the Shanghai stock index fell 0.69%, the Shenzhen Component Index fell 1.03%, the gem index fell 2.27%, the Shanghai and Shenzhen 300 fell 0.55%, the Shanghai Stock Exchange 50 rose 0.09% and the China Stock Exchange 500 fell 0.80%. The number of gainers in the two cities was 1024, lower than the average value of 2224 last week and lower than 1496 on the previous trading day. The limit was 58, lower than the average value of 95 last week and 76 the previous trading day. The turnover of the two cities was 1132.8 billion yuan, breaking trillion yuan for the 45th consecutive trading day. The broad adjustment of A-Shares is basically in line with our expectations. Last week, due to the continuous contraction of volume and energy, we believe that the market may bottom again, and the sharp decline in the market last Friday verified our judgment. At present, due to the rapid decline last Friday, there is still room for inertia to continue to explore. From the perspective of style, due to the full valuation expectation of growth stocks, in the state of low risk preference, the decline of growth stock valuation will become the norm, while undervalued and stable performance blue chips will be sought after by the market. The fourth quarter monetary policy regular meeting of the central bank this weekend has changed the expression of the internal and external environment faced by the current economic development compared with the third quarter regular meeting. The expression of the external environment adds "uncertainty" while "complex and severe", and the expression of China's economic development is "facing the triple pressure of demand contraction, supply shock and weakening expectation". In terms of policy response, from "doing a good job in cross cycle policy design" to "strengthening cross cycle adjustment, combined with counter cycle adjustment". In 2022, the new special debt limit will be issued 1.46 trillion yuan in advance, a new round of infrastructure investment will heat up, and new infrastructure construction will become the focus of next year, which is also worthy of investors' cross cycle layout.
Stock index futures trading strategy
Viewpoint: the premium of futures index expanded slightly, and the short-term index fluctuated strongly
(1) On December 24, the positions of if, IH and IC contracts were 194800, 107600 and 261200 respectively, with a day-on-day increase of - 2.99%, - 6.48% and 1.6%;
(2) On December 24, the difference between the contract and spot price of if, IH and IC in the current month was 16.26 points, 7.76 points and 30.64 points, 2.59 points, - 12.85 points and 25.03 points higher than the previous trading day.
Operation suggestion: ih2201 is mainly bargain hunting, with support at 3280 points
Option trading strategy
Viewpoint: the implied volatility is historically low, and the index volatility decreases
(1) On December 24, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.76, 0.96, 0.78 and 0.75 respectively. The PCR values of 50ETF and 300etf options rebounded slightly.
(2) On December 24, the implied volatility of 300etf option and 50ETF option were 13.9% and 13.5% respectively, and the implied volatility of 300etf option and 50ETF option decreased significantly.
Operation suggestion: radical strategy: none at present; Robust strategy: buy 50ETF to buy 3400 in January and sell 50ETF to buy 3500 in January. The maximum profit of a single portfolio strategy is 867 yuan and the maximum loss is 133 yuan; Hedging strategy: None
Risk statement
1. Rapid cooling of market transactions; 2 short term panic continued to spread risk factors.
