Strategic view
On Tuesday, the three major A-share indexes opened lower and went down further, followed by a wave of rebound. The gem index took the lead in turning red and rose by more than 1.5%, but soon the index weakened again, and the decline continued to expand in the afternoon. The Shanghai index fell nearly 5% and fell to 3100 points, the first time since July 2020; Gem refers to retreating to 2500 points. As of the closing, the Shanghai Composite Index fell 4.95%, the Shenzhen composite index fell 4.36%, the gem index fell 2.55%, the Shanghai and Shenzhen 300 fell 4.57%, the Shanghai 50 fell 5.23%, and the China Securities 500 fell 5.67%. The number of gainers in the two cities was 242, lower than the average value of 1780 last week and 2914 in the previous trading day. The limit was 35, lower than the average value of 65 last week and 50 the previous trading day. The number of decliners in the two cities was 4476, higher than the average of 2446 last week and 1651 in the previous trading day. The number of drop limits was 161, higher than the average value of 31 last week and 44 on the previous trading day. The net outflow of northbound funds was 16.025 billion yuan, the average value of last week was 7.264 billion yuan, and the net outflow on the previous trading day was 14.409 billion yuan. The turnover of the two cities was 1124586 billion yuan, with an average value of 1085651 billion yuan last week and 970464 billion yuan the previous trading day. A shares continue to fall in large quantities, and the market has entered an extreme state of panic. In our previous report, we proposed to "jigsaw" the market and think reversely to clarify the rhythm. At present, the continuous decline is caused by the liquidity problem of zhonggai shares, but returning to the basic market and valuation matching degree of the company is already an excellent allocation opportunity, and more time is lost here. On Tuesday night, the sharp rebound of Chinese concept stocks in US stocks is also verifying this view. At the same time, the sharp rebound of Chinese concept stocks will form a great supporting role for the risk appetite of A-share investors, and the oversold rebound under extreme panic may be staged on Wednesday.
Stock index futures trading strategy
View: the futures are heavily discounted, and the market sentiment may be too panic
(1) on March 15, the positions of if, IH and IC contracts were 238400, 121100 and 333200 respectively, with a change of 7.15%, 9.59% and 4.44% on a day-on-day basis;
(2) on March 15, the difference between the contract and spot price of if, IH and IC in the current month was -42.41 points, -24.25 points and -61.98 points, which changed by -30.05 points, -17.38 points and - 51 points compared with the previous trading day.
Operation suggestion: if2203 is dominated by bargain hunting, with support at 5860 points
Option trading strategy
Viewpoint: the implied volatility continues to rise, and the index may rebound
(1) on March 15, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.43, 0.59, 0.63 and 0.49 respectively, of which the PCR values of 50ETF and 300etf options continued to decline.
(2) on March 15, the implied volatility of 300etf option and 50ETF option were 31.9% and 31.6% respectively. The implied volatility of 300etf option and 50ETF option rebounded significantly.
Operation suggestion: radical strategy: sell 300etf and 3800 options in March; Robust strategy: none; Hedging strategy: None
Risk tips
1. Rapid cooling of market transactions; 2 short term panic continued to spread risk factors.
