雪球
股票挂钩雪球结构化衍生品节点。
Facts
| key | value | as_of | conf | type | source |
|---|---|---|---|---|---|
| total_scale_reduction | 从约 3,274.6 亿峰值缩至约 1,150–1,650 亿 | high | trend | evidence ref | |
| outstanding_value | 250亿 | 2026-06-26 | high | metric | evidence ref |
| new_regulation_impact | 2024 年 4 月新规 | high | event | evidence ref | |
| cascading_knock_in_risk | Breaking 1750 and 1720 points in the STAR 50 index will trigger cascading knock-ins of two rounds of outstanding snowballs | high | risk | evidence ref | |
| delta_hedging_surge | 做市商对冲Delta升至约1.3–1.5×名义 | high | risk | evidence ref | |
| knock_in_negative_gamma | 科创50挂钩雪球在1516点敲入带下涉及负Gamma现货抛压 | high | risk | mailbox_thread:[source-id-redacted] | |
| knock_in_price_ratio | 敲入价为期初80% | high | risk | evidence ref | |
| knock_in_zone_level | 1516-1550 点 | high | forecast | mailbox_thread:[source-id-redacted] |
Logic chain
- drives → 科创板 — 科创50挂钩雪球在1516点敲入会触发负Gamma现货抛压
Chains
- 股票指数产业链 (core)
Cited by
- 科创50/中证1000 雪球敲入名义规模与做市商负 Gamma 对冲流量的量化
- 两融去杠杆与ETF赎回共振下科创50雪球密集期权敲入与做市商负Gamma抛压定量对冲路径审计
- 科创50指数跌破1750和1720点将触发两档存续雪球级联敲入（市商动态卖压12亿/60亿）并共振信用强平，使用科创50 ETF Put Bear Spread配合股指期货贴水套利，是构建40 bps内（净收益+31.3 bps）尾部防火墙的最优解。
- TMT与科创板在1600-1650点极限托底下的两融账户维持担保比例敏感性分布与券商风控应对
- [auto-handoff] 两融杠杆高位下科技权重股级联平仓线与雪球敲入路径测算
- [auto-handoff] 科创50雪球密集敲入区的流动性压力评估
Citations
[1] research notes [source-id-redacted] [2] research notes [source-id-redacted] [3] research notes [source-id-redacted] [4] research notes [source-id-redacted] [5] mailbox_thread [source-id-redacted] [6] mailbox_thread [source-id-redacted]