Strategic view
Last Friday, the Shanghai composite index was dominated by narrow consolidation in the morning, and the decline expanded in the afternoon. Gem refers to the one-sided decline throughout the day, breaking through the multi-channel moving average. As of the close, the Shanghai Composite Index fell 1.17%, the Shenzhen composite index fell 1.89%, the gem index fell 2.52%, the Shanghai and Shenzhen 300 fell 1.80%, the Shanghai 50 fell 1.63%, and the China Securities 500 fell 1.20%. The number of gainers in the two cities was 1747, lower than the average value of 2452 last week and higher than 947 in the previous trading day. The limit was 84, lower than the average of 92 last week and higher than 75 on the previous trading day. The number of decliners in the two cities was 2809, higher than the average value of 2221 last week and lower than 3714 in the previous trading day. The number of drop limits was 25, lower than the average value of 44 last week and higher than 19 in the previous trading day. The net outflow of northbound funds was 3.117 billion yuan, the average value of last week was 3.338 billion yuan, and the net outflow on the previous trading day was 128 million yuan. The turnover of the two cities was 918999 billion yuan, with an average value of 1111255 billion yuan last week and 920829 billion yuan the previous trading day. The adjustment range of A-Shares is enlarged, which seems to have a trend to make up for the gap below. Although the adjustment was enlarged last Friday, the trend angle has not been expanded. At present, it is still in a narrow range structure. The weekend news level is warmer. The State Council: complete the raising of the financial stability guarantee fund by the end of September; Cbcirc: avoid industrial loan withdrawal and loan interruption, and enrich the investment channels for venture capital to participate in the capital market; Insurance institutions will be guided to allocate more funds to equity assets. Secondly, from the perspective of the market, the A50 futures index also showed a trend of bottom recovery, which formed a supporting role for the A-share Monday index to a certain extent.
Stock index futures trading strategy
Viewpoint: the discount of futures has expanded slightly, and the short-term index is weak and volatile
(1) on March 25, the positions of if, IH and IC contracts were 216200, 96600 and 318100 respectively, with a change of 2.87%, 4.66% and 0.97% on a day-on-day basis;
(2) on March 25, the difference between the contract and spot price of if, IH and IC in the current month was -37.57 points, -12.23 points and -57.24 points, with changes of -5.07 points, 0.79 points and -12.92 points compared with the previous trading day.
Operation suggestion: if2204 mainly sells at every high, and the resistance level is 4200 points
Option trading strategy
Viewpoint: the implied volatility decreases slightly, and the index may remain weak
(1) on March 25, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.76, 0.89, 0.85 and 0.71 respectively, of which the PCR values of 50ETF and 300etf options decreased slightly;
(2) on March 25, the implied volatility of 300etf option and 50ETF option were 17% and 17.3% respectively, and the implied volatility of 300etf option and 50ETF option fell slightly. Operation suggestion: radical strategy: none at present; Steady strategy: buy a 300etf put April 4100 option and sell a 300etf put April 4000 option at the same time. The maximum return of a single portfolio is 694 yuan and the maximum loss is 306 yuan; Hedging strategy: None
Risk tips
1. Fast return to the market; 2 short term panic continued to spread risk factors.
