Strategic view
On Monday, the Shanghai stock index rebounded from the bottom in early trading, focusing on narrow consolidation in the afternoon, and the net purchase of funds from the North helped the index close red Contemporary Amperex Technology Co.Limited(300750) , Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) both fell, and the gem index was depressed all day. As of the close, the Shanghai stock index rose 0.07%, the Shenzhen Component Index fell 1.02%, the gem index fell 1.66%, the Shanghai and Shenzhen 300 fell 0.63%, the Shanghai Stock Exchange 50 fell 0.11%, and the China Stock Exchange 500 rose 0.24%. The number of gainers in the two cities was 1795, lower than the average value of 2034 last week and higher than 1747 in the previous trading day. The number of daily limit was 71, lower than the average value of 95 last week and 84 the previous trading day. The number of decliners in the two cities was 2796, higher than the average value of 2549 last week and lower than 2809 in the previous trading day. The number of drop limits was 38, higher than the average value of 15 last week and 25 the previous trading day. The net inflow of northbound funds was 5.030 billion yuan, with an average net outflow of 2.556 billion yuan last week and a net outflow of 3.117 billion yuan on the previous trading day. The turnover of the two cities was 870796 billion yuan, with an average value of 952649 billion yuan last week, compared with 918999 billion yuan the previous trading day. The successive adjustments of A-Shares are in line with our expectations. At present, the three major indexes have completed the replenishment of the gap. On the same day, the northbound funds made a significant net purchase of more than 5 billion, the short-term time-sharing level has been oversold, and the possibility of continuous adjustment of the index is small.
Stock index futures trading strategy
Viewpoint: the discount of futures has narrowed significantly, and the market sentiment has obviously warmed up
(1) on March 28, the positions of if, IH and IC contracts were 223500, 98200 and 324800 respectively, with a change of 3.37%, 1.6% and 2.12% on a daily basis;
(2) on March 28, the difference between the contract and spot price of if, IH and IC in the current month was -20.27 points, -3.38 points and -24.48 points, which was 17.31 points, 8.85 points and 32.76 points higher than that of the previous trading day. Operation suggestion: if2204 is mainly bargain hunting, with support at 4100 points
Option trading strategy
Viewpoint: the implied volatility rebounds significantly, and the index may rebound
(1) on March 28, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.76, 0.89, 0.84 and 0.69 respectively, of which the PCR values of 50ETF and 300etf options were relatively stable;
(2) on March 28, the implied volatility of 300etf option and 50ETF option were 21% and 19.4% respectively, and the implied volatility of 300etf option and 50ETF option rebounded significantly.
Operation suggestion: radical strategy: none at present; Steady strategy: buy a 300etf to buy 4200 options in April and sell a 300etf to buy 4300 options in April 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. Rapid cooling of market transactions; 2 short term panic continued to spread risk factors.
