Financial News Agency, January 22 (Reporter Yan Jun) The three major indexes fell by more than 2%, and the Shanghai Composite Index once again fell below 2,800 points. Multiple indexes adjusted to new lows, leaving A-shares, funds, Snowball, and "Jiang Shuyingxue" 9 terms including the rumor that the ball has exploded and come to brokers have made it to the A-share hot search list.
In the morning, the market was still discussing market protection funds and quantitative hedging. In the afternoon, rumors that "actress Jiang Shuying went to Shenwan Hongyuan headquarters because of Snowball's liquidation" quickly spread on social platforms. Female celebrities and Snowball's liquidation were the two major Traffic tags, relevant screenshots, and photos were quickly spread, and reporters from the Financial Associated Press also conducted relevant verifications immediately.
What reporters from the Financial Associated Press learned is that Jiang Shuying had indeed invested in snowball products in Shenwan Hongyuan before, but the news that he called the Wanhongyuan Group headquarters because of an "explosion" today is false news. The so-called scene The related pictures were also taken at a shooting location, not at Shenwan Hongyuan. Driven by the traffic of
female celebrities, the entry of Snowball products has once again attracted widespread attention. Previously, CSI quotation data showed that Snowball structural products have entered about 7%, and the points are relatively scattered, which has little impact on the market. With the decline of the CSI 1000 and CSI 500 indexes, according to the research reports and calculations of many securities companies such as CICC and Zhejiang Merchants, Snowball products have ushered in the second concentrated knock-in zone. Recently, futures discounts have deepened and fundamentals have deepened. The expansion of the difference also verifies this conclusion. How big is the scale of
’s entry this time? What impact will it have on the market? Will it trigger a chain reaction of "the more it falls, the more it sells, and the more it sells, the more it falls"?
In this regard, many interviewees pointed out that Snowball's relatively concentrated knock-in impacts the futures market, but if all are based on trading strategies such as the gentle release of risk exposure and futures arbitrage, the transmission from the futures market to the spot market will not be effective. Smooth, so the direct impact on A-shares is limited. But something unexpected about today is that as the snowball hits, the basis spread of futures expands. Quantitative institutions are worried about losing money. Products such as dma take the initiative to reduce leverage and sell small tickets, causing stocks to plummet in late trading.
The market is not all bad news. First, the protective funds are still acting. Today, the total transaction volume of the four CSI 300 ETFs throughout the day was 37.737 billion yuan, setting a recent transaction record; second, northbound funds bought against the trend in late trading today. Net buying totaled 1.047 billion yuan throughout the day, ending six consecutive days of net selling. Among them, the net purchase of Shanghai Stock Connect was 739 million yuan, and the net purchase of Shenzhen Stock Connect was 309 million yuan.
Xueqiu came to the second centralized entry area
Jiang Shuying bought Xueqiu products, which brought this derivative investment out of the circle. However, behind the popularization of this knowledge point was a miserable day for Xueqiu investors.
html On January 22, A-shares opened lower and moved lower. Funds to protect the market showed sincerity in the morning. The trading volume of the Shanghai and Shenzhen 300ETF increased, but it failed to withstand the downward trend of the overall market. During the session, the discussion on the Snowball product has begun. As of the close, the CSI 1000 Index and the CSI 500 Index, which are the tracking targets of the Snowball product, have fallen by 5.77% and 4.73% respectively, ranking among the top losers. The CSI 1000 Index closed at 5000.83 points, while the CSI 500 Index closed at 4780.97 points. At this point, how are the existing snowballs separated? Have you reached the second concentrated knocking area?
Let’s first look at the calculations of different brokers:
First of all, according to the Zheshang Metal Industry Research Report, for the CSI 500, the relatively large trading impact range is from 4400 points to 5200 points, and the current point is 4780 On the market, the estimated impact scale in this range is 5 billion, accounting for about 10% of the average daily trading volume of futures, and the proportion of the average daily trading volume of spot may be 3.5%. Assuming that it is calculated from the range of 4800 points to 4400 points, the scale of the impact is about 15 billion.
For the CSI 1000, the index is currently at 5,000 points, and the relatively large impact range is between 4,500 and 5,600 points. The maximum trading impact within a single range is between 4,800 and 4,900 points, which is approximately 5.38 billion yuan, accounting for 10% of the futures price. , and the proportions of the average daily spot trading volume are 12.7% and 3.0% respectively, which have not yet reached the maximum impact range.
According to CICC’s calculations, the entry line for 75% of the most concentrated structures in 500 snowballs is 4865 points, and the entry line for 75% of the most concentrated structures in 1000 snowballs is 4997 points. Regarding the second intensive knock-in area, CICC believes that the concentrated knock-in area of CSI 500 Snowball is between 4300 and 4600 points, accounting for 30%, about 50 billion yuan; the concentrated knock-in area of CSI 1000 Snowball The area is between 4900 points and 5200 points, accounting for 40%, about 50 billion yuan.According to this calculation, 1,000 snowballs have now entered the second concentrated knocking area.
In addition, data provided by a certain brokerage shows that it is estimated that as of the end of 2023, the total existing scale of CSI 500 Snowball and CSI 1000 Snowball will be 286.1 billion yuan, and about 256 billion yuan has not yet been tapped. According to the calculation of the second concentrated entry area, the CSI 500 snowball is near 4800 points, with a scale of about 80 billion yuan, and the CSI 1000 snowball is near 5200 points, with a scale of about 48 billion yuan.
In summary, it can be seen that each company's calculation of Snowball's knock-in point and scale is slightly different, but basically it shows that it has reached the second critical point of intensive knock-in of Snowball, or has already entered. Did the concentrated entry of
help the market fall? The transmission from futures to spot may be limited.
The market is worried about snowball knock-in. On the one hand, it may cause investment losses after investment knock-in, and on the other hand, it will have an impact on the market. Recently, the discount in the futures market has widened and the basis has enlarged. This is also affected by the entry of Snowball products. So, has this impact been transmitted from the futures market to the spot market? How are the two related?
As we all know, snowball knock-in will generate selling pressure on the futures market, because when snowball issuers use delta hedging strategies to avoid the risk of stock index declines, they will sell their CSI 500/1000 stock index futures near the knock-in line, passively reducing their hedging. position. The larger the snowball issuance scale, the more concentrated the knock-in lines will be, and the greater the impact on the futures market.
An industry insider introduced the brokerage’s operations in Snowball’s products to the Financial Associated Press reporter in detail. According to Snowball’s product design, brokerage firms will continue to buy stock index futures to hedge when the Snowball-linked index falls, until After the snowball strikes, brokers will sell a large number of stock index futures they hold. Will the brokers' large-scale lightening or selling operations have an impact on the market and lead to a greater decline in the index? This is the question that everyone is most concerned about. .
Will the large-scale sales of stock market futures by brokers in a short period of time be transmitted from stock index futures to spot prices, and then lead to a sharp drop in spot prices, leading to a chain reaction of "the more they fall, the more they sell, and the more they sell, the more they fall"?
In this regard, the above-mentioned people said that in fact, the chain from the futures market to the spot market is not smooth, which means that its impact on the market is relatively limited.
The reasons are as follows: First, when the market falls, Snowball products may trigger a knock-in event, and brokerages usually reduce risk exposure by selling stock index futures. However, if the brokerage adopts a gentle adjustment strategy to reduce risk exposure, violent market fluctuations can be avoided. This can be explained by the fact that there is knock-in, but if it is not concentrated, the impact on the market will be limited.
Second, the discount of stock index futures has widened recently. During the market decline, the deepening of the discount reflects the market's pessimistic expectations for future trends. However, the existence of discounts also provides opportunities for trading strategies such as cash arbitrage. Futures arbitrage involves simultaneously buying stock index futures and selling spot ETFs (or baskets of stocks) to obtain profits when discounts narrow. Although the snowball product knock-in incident may lead to an increase in stock index futures sales, due to the limited scale of futures arbitrage and ETF arbitrage strategies, the extent of this impact being transmitted to the spot market may be limited. Therefore, the spot market may be relatively independent of fluctuations in the stock index futures market.
As for today, the reason why the CSI 1000 Index fell more obviously, some insiders pointed out that today's market crash is more due to the recent excessive discount of stock index futures and the excessive hedging cost of quantitative neutral strategy, so the stock index futures were quantitatively closed. Long, thus further increasing the impact on the market, quantitative exposure to small and medium-cap strategies such as CSI 1000 is higher, so the impact on CSI 1000 is also greater.
"With the increase of market participants, each trading party will affect the market trend. In today's situation, as the snowball hits, the futures basis expands, quantitative institutions are worried about losing money, and dma and other products actively reduce leverage and sell Small tickets were issued, so micro-cap stocks fell the most severely." An asset manager from further explained to a reporter from the Financial Associated Press.
Agency: The sharp drop means that the market clearing is coming to an end. The battle to defend the
2800 point has really begun. So, when will the market bottom out?
In spite of the pessimism, many public offerings were reviewed today.A fund manager in South China said that rapid adjustments caused by funds and emotions are often the last drop in the market. The real change in the direction of the market is not to rely on the national team to protect the market, but to clear the market. Some people are forced to hand over bloody chips. This wave of snowballs has shown a state of "more kills, more", and cross- The fact that ETFs have been bought up is also a manifestation of investors voting with their feet.
Institutional funds increased their positions through ETFs at the end of today, providing a large amount of incremental funds to the market, while snowball knock-in (mainly linked to CSI 500 and CSI 1000) and equity pledge liquidation risks (risks in small caps More obvious) suppress the performance of small caps and make the market more resilient. The person pointed out that, combined with the recent rebound in new energy and other signs, the market style may be changing.
Cathay Fund stated that we believe that market risk appetite is still in the bottoming stage, and the positive expectations of capital and fundamentals still need to be further confirmed. It is expected that the economic data for the beginning of the year will be around the Spring Festival. After the economic forecast for the beginning of the year is confirmed, the market is expected to fluctuate in a range and gradually rise at the bottom.
Qianhai Kaiyuan Fund said that the accelerated decline of the short-term market may mean that the elimination of market risks has gradually come to an end, and the optimization of the transaction structure will help the market bottom out and rebound.
Snowballs knock in and panic selling occurs frequently, which is also a sign that the bottom is coming. Some institutions suggest that we pay close attention to the admission of support funds in the A-share market, the release of passive selling forces such as Snowball, and the emergence of external positive catalysts. Once the market comes out of panic, A-shares are expected to start an oversold rebound.
(Financial Associated Press reporter Yan Jun)
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