Financial derivatives strategy daily

Strategic perspective

On Wednesday, the Shanghai stock index rose strongly in the early trading, winning the 3300 mark at one fell swoop and breaking the half year line. It rose by more than 2% in the afternoon, but fell in the late trading. As profit taking poured out, China Securities Co.Ltd(601066) Sinolink Securities Co.Ltd(600109) Caida Securities Co.Ltd(600906) Caida Securities Co.Ltd(600906) . The growth enterprise market index rose by more than 3% at most in the afternoon, and the 2600 pass was lost again. The Contemporary Amperex Technology Co.Limited(300750) . As of the closing, the Shanghai Composite Index rose 0.50%, the Shenzhen Composite Index rose 0.95%, the growth enterprise market index rose 1.05%, the Shanghai and Shenzhen 300 rose 1.32%, the Shanghai Composite 50 rose 1.43%, and the China composite 500 fell 0.23%. The number of gainers in the two cities was 2097, lower than the average value of 2350 last week and higher than 2026 in the previous trading day. The number of limit traders was 65, lower than the average value of 81 last week and lower than 76 in the previous trading day. The number of decliners in the two markets was 2516, higher than the average value of 2307 last week and lower than 2570 in the previous trading day. The number of falling limit companies was 18, higher than the average value of 16 in the previous week and 9 in the previous trading day. The northbound capital was a net inflow of 13.359 billion yuan, with an average value of 7.366 billion yuan last week and a net inflow of 3.944 billion yuan the previous trading day. The turnover of the two cities was 1298808 billion yuan, with an average value of 1056229 billion yuan last week and 1099622 billion yuan the previous trading day. A shares rose and fell, accompanied by a huge amount of transactions, creating a new high since the rebound. In May, the economic recovery was obvious, especially in industrial production. The industrial added value was 0.7% year-on-year, 3.6% higher than the previous value. The rest, such as consumption, service industry and real estate sales, were still negative year-on-year growth, but the decline was narrowed. Overall, the economic data in May verified the characteristics of the end of April. From the market point of view, the major indexes are showing a good upward trend, and you can still choose the idea of bargain hunting layout.

Trading strategy of stock index futures

Viewpoint: futures index positions increase significantly, and the short-term index may be adjusted

(1) on June 15, the positions of if, IH and IC contracts were 231300, 126100 and 362400 respectively, with a month on month change of 6.67%, 8.39% and -2.69%;

(2) on June 15, the difference between the contract and spot price of if, IH and IC in the current month was -0.82, -3.39, -9.46, which was -7.71, -5.49 and -15.1 points higher than that of the previous trading day. Operation suggestion: if2206 mainly sells at high prices, with resistance level of 4330 points

Option trading strategy

Viewpoint: implied volatility rebounds sharply, and the index may turn

(1) on June 15, the PCR (positions) of 50ETF option, Huatai 300etf option, harvest 300etf option and 300 stock index option were 1.1, 1.32, 1.223 and 1.09 respectively, of which the PCR values of 50ETF and 300etf options rebounded slightly;

(2) on June 15, the implied volatility of 300etf option and 50ETF option were 21.8% and 21.7% respectively, and the implied volatility of 300etf option and 50ETF option remained low. Operation suggestion: aggressive strategy: sell 300etf to buy June 4400 option; Robust strategy: none; Hedging strategy: None

Risk warning

1. Rapid cooling back of market transactions; Short term panic continued to spread risk factors.

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