Strategic view
Last Friday, the Shanghai composite index was mainly managed in a narrow range throughout the day. The Bulls launched a counterattack in the afternoon, and the index fell again after turning red several times. Gem index and Contemporary Amperex Technology Co.Limited(300750) all hit the bottom and rebounded, Shenzhen Mindray Bio-Medical Electronics Co.Ltd(300760) , Yihai Kerry Arawana Holdings Co.Ltd(300999) , Hangzhou Tigermed Consulting Co.Ltd(300347) strengthened. As of the close, the Shanghai stock index fell 0.45%, the Shenzhen Component Index fell 0.56%, the gem index fell 0.24%, the Shanghai and Shenzhen 300 fell 0.07%, the Shanghai Stock Exchange 50 rose 0.07%, and the China Stock Exchange 500 fell 0.91%. The number of gainers in the two cities was 1015, lower than the average value of 1802 last week and 3186 in the previous trading day. The limit was 46, lower than the average value of 78 last week and 84 the previous trading day. The number of decliners in the two cities was 3678, higher than the average of 2868 last week and 1385 in the previous trading day. The number of drop limits was 67, higher than the average value of 25 last week and 23 on the previous trading day. Northbound funds are closed today. The turnover of the two cities was 911.38 billion yuan, with an average value of 938679 billion yuan last week and 870248 billion yuan the previous trading day. The RRR was lowered as scheduled. The total amount of long-term funds released by this RRR was about 530 billion yuan, which was in line with the previous expectations of the market. The RRR reduction is to guide financial institutions to actively use the RRR reduction funds to support industries and small, medium and micro enterprises seriously affected by the epidemic. Through this RRR reduction, the capital cost of financial institutions will be reduced by about 6.5 billion yuan per year, and the transmission through financial institutions can promote the reduction of social comprehensive financing cost. For a shares, based on historical experience, it can be found that the RRR reduction is not the core factor to determine the market trend, but it can boost the short-term market. By back testing the performance of the next day after the previous RRR reduction since 2015, the probability of rise is 65% and the average increase is 0.76%. The interest rate cut does not lie in the range. At present, the narrow sense of liquidity is relatively abundant, and the excess liquidity is meaningless. The signal significance of RRR reduction is stronger, the independence of foreign monetary policy and the gradual implementation of internal wide credit are good for the essence of the market.
Stock index futures trading strategy
Viewpoint: long and short funds leave the market, and the index remains volatile
(1) on April 15, the positions of if, IH and IC contracts were 198800, 97200 and 331800 respectively, with changes of - 7.01%, - 3.24% and - 3.07% on a daily basis;
(2) on April 15, the difference between the contract and spot price of if, IH and IC in the current month was 5.65 points, 4.42 points and 17.45 points, which was 11.02 points, 3.02 points and 29.14 points higher than that of the previous trading day. Operation suggestion: if2204 mainly throws high and absorbs low, with support level of 4150 points and resistance level of 4220 points
Option trading strategy
Viewpoint: strong willingness to maintain policy stability, and the downward space of the index may be limited
(1) on April 15, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 0.87, 0.97, 1.07 and 0.86 respectively, of which the PCR values of 50ETF and 300etf options remained relatively high;
(2) on April 15, the implied volatility of 300etf option and 50ETF option were 19.0% and 19.2% respectively. The implied volatility of 300etf option and 50ETF option was relatively stable.
Operation suggestion: radical strategy: sell 300etf and sell 4100 options in April; Robust strategy: none; Hedging strategy: None
Risk tips
1. Rapid cooling of market transactions; 2 short term panic continued to spread risk factors.
