金融衍生品策略日报：股市转向逢高减仓思路

| 2022-12-02 3200 021-60812986 F3005640Z0012407 021-60812987 F3022617 12Z0013604 1 IFIH IC IM 10.230.793.903.57 2.87 -3.66-3.7611.08 2 IFIH IC IM -5.40-0.60-0.40 21.8 -2.00.20.4-4.6 3IFIHICIM112414341-13871782; 448.0589.59 A 3200 36%66 11 1 call A0.45%K 11295 50ETF 50ETFcall 1 1 TTFTS 119334 62076 47990 1-4878-3910-74415317394645 37137 1 -9404 197 -337 2 TTFTS - 1.015 0.605 0.335 1 -0.090 -0.040 -0.060 3TF*2-TTS*2-TFTS*4-T101.810 100.755 303.320 1 0.015 -0.030 -0.045 4 TTFTS 1.135 0.614 0.311 1 -0.0860.041-0.034 5100780 1 2 Wind 1 1 2.60/ 3.121 90% Wind Wind 2Shibor3 4 Wind 56PE WindWind 78IFIHICIM WindWind 9IF10-IF Wind Wind 15 11IC12-IC WindWind 13IH14-IH WindWind 15IM16-IM Wind Wind 7/ Wind 1819 4E+09 3.5E+09 3E+09 2.5E+09 2E+09 1.5E+09 1E+09 500000000 0 50ETF300ETF 300ETF300 1.2E+09 1E+09 800000000 600000000 400000000 200000000 0 1000500ETF ETF500ETF 2022-06-082022-08-032022-09-292022-12-01 2022-09-192022-11-21 Wind Wind 20PCR21PCR 1.6 50ETF300ETF 300ETF300 1.8 1000500ETF ETF500ETF 1.4 1.2 1 0.8 0.6 0.4 2022-06-082022-08-172022-11-03 1.6 1.4 1.2 1 0.8 0.6 0.4 2022-09-192022-10-242022-11-21 Wind Wind 2223 0.5 0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 50ETF300ETF 300ETF300 0.5 0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 1000500ETF ETF500ETF 2022-06-082022-08-172022-11-03 2022-09-192022-10-242022-11-21 Wind Wind 2425 50ETF300ETF 300ETF300 1000500ETF ETF500ETF 50ETF300ETF 300ETF300 1000500ETF ETF500ETF 80.10 70.10 60.10 50.10 40.10 30.10 20.10 10.10 0.10 9 15 60.0%90.0%97.5%102.5%110.0%130.0% 28.00 26.00 24.00 22.00 20.00 18.00 16.00 14.00 12.00 1236912 Wind Wind / 300PCR/PCR1000PCR/PCR 4700 4500 4300 4100 3900 3700 2.5 2 1.5 1 0.5 6900 6700 6500 6300 6100 5900 5700 3 2.5 2 1.5 1 0.5 3500055000 2022-06-082022-08-032022-09-292022-12-012022-09-192022-11-21 Wind Wind 28 1 5 10 T00-T01 1.015 -0.090 0.095 5 TF00-TF01 0.605 -0.040 0.015 2 TS00-TS01 0.335 -0.060 0.005 10Y-5Y TF01*2-T01 101.810 0.015 -0.310 5Y-2Y TS01*2-TF01 100.755 -0.030 0.160 10Y-2Y TS01*4-T01 303.320 -0.045 0.010 Wind 2910CTD3010 1.8 1.6 190015.IB2000003.IB2000004.IB200006.IB200016.IB210009.IB 3 210017.IB220003.IB220010.IB 220017.IB220021.IB220025.IB T2303CTD 1.42.5 1.2 1 0.8 2 1.5 0.6 0.4 0.2 0 2022/062022/072022/082022/092022/102022/11 1 0.5 0 2022/6/222022/8/222022/10/22 Wind Wind 10/ 15 1.2 1 0.8 0.6 0.4 0.2 0 315CTD325 TF2303CTD 2 1.8 1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0 2000002.IB200008.IB200017.IB210007.IB 220007.IB220016.IB 2022/062022/072022/082022/092022/102022/11 2022/6/222022/8/222022/10/22 WindWind 332CTD342 0.8 0.6 0.4 0.2 1.2 1 0.8 190013.IB200005.IB210012.IB TS2303CTD 220004.IB 220011.IB 00.6 -0.2 0.4 -0.4 0.2 -0.6 2022/062022/072022/082022/092022/102022/11 0 2022/6/222022/8/222022/10/22 Wind Wind T2303IRRCTD T2303 IRR 3510IRRCTD3610IRR 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 -2.0 -3.0 -4.0 CTD()IRRFR007.IR 160 140 120 100 80 60 40 20 0 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 220021.IB )IRR (, 700 600 500 400 300 200 100 0 Wind Wind 15 2020/06/152021/02/152021/10/152022/06/152022/10/202022/11/032022/11/17 11/ 375IRRCTD385IRR (, 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 -2.0 -3.0 CTD TF2303IRRCTD ()IRRFR007.IR 900 800 700 600 500 400 300 200 100 0 1.2 1.0 0.8 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 TF2303IRR220016.IB )IRR 180 160 140 120 100 80 60 40 20 0 2020/06/152021/02/152021/10/152022/06/15 2022/10/212022/11/042022/11/18 Wind Wind 39 2 IRR CTD 40 2 IRR (, 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 TS2303IRRCTD CTD()IRRFR007.IR 1000 900 800 700 600 500 400 300 200 100 0 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 TS2303 IRR 220020.IB )IRR 140 120 100 80 60 40 20 0 Wind Wind 41 42 2020/06/152021/02/152021/10/152022/06/152022/10/212022/11/042022/11/18 T2212TF2212TF*2-TTS*2-TFTS*4-TTS2212300() 103 102 101 100 99 98 97 96 2022/06/132022/08/132022/10/13 4700 4500 4300 4100 3900 3700 3500 102.5 102.0 101.5 101.0 100.5 100.0 2022/06/272022/08/272022/10/27 304.0 303.5 303.0 302.5 302.0 301.5 301.0 300.5 300.0 Wind Wind 43-44 1.2 1.0 0.8 1052 10-1Y 30-10Y 10-5Y 120 100 80 0.660 0.440 0.220 0.0 2022/06/272022/08/272022/10/27 0 2022/04/272022/06/272022/08/272022/10/27 Wind Wind 4546 bp 2022-12-01 2Y5Y10Y 3.5 3 2.5 2 1.5 1 2022-11-30 1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y30Y40Y50Y 1.5 1 0.5 0 -0.5 -1 -1.5 -2 -2.5 -3 3.6 3.2 2.8 2.4 2.0 1.6 1.2 2022/07/112022/09/112022/11/11 Wind Wind 2022-12-01 2022-11-30 1Y 3Y 5Y 7Y 10Y 3.5 4 0 3.5 -0.5 3.0 -1 3 2.5 -1.5 2.5 -2 2.0 2 -2.5 -3 1.5 1.5 -3.5 1 -4 1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y30Y50Y 1.0 2022/02/07 2022/05/07 2022/08/07 2022/11/07 4748 Wind Wind 49AAAbp50AAbp 140 120 100 80 60 40 20 1y3y5y7y 1y 3y 5y 250 230 210 190 170 150 130 110 90 70 50 2022/01/282022/04/282022/07/282022/10/282022/01/282022/04/282022/07/282022/10/28 Wind Wind / 8 518048 400-990-8826 (0755)83241191 131301-130514