those who earn excess income by throwing high and sucking low.

In the last year, the CSI 5 index has been in a low valuation range with limited decline, so most snowballs are profitable. Many banks also buy snowball products instead of customers, and the scale of snowball products is getting bigger and bigger. The snowball structure is an off-market option. Brokers make money by throwing high and sucking low on the CSI 5 index and the basis regression between futures spots. The trading desk calculates the volatility of the CSI 5 index according to the model and gives a quotation of snowball structure. As long as the index volatility remains at a high level, it can obtain excess returns by throwing high and sucking low. Then pay the agreed interest to the customer. For example, knock-in and knock-out limits 8-13, if the index keeps fluctuating in it, the fluctuation range is actually 23% at most. If the volatility is at a high level, there are sufficient opportunities to sell high and attract low, gain income, and then the futures side hedges the risk. The brokerage firm will quote an affordable coupon according to the volatility. In essence, the customer sacrifices the sharply rising income, and the brokerage firm provides part of the bottom for the customer.

snowball, whose full name is asset management product or OTC option with snowball structure, is an option combination structure, which belongs to barrier option, and provides high fixed coupon income while improving downside protection (safety interval). That is to say, snowball is a kind of OTC option structure, which can hook many OTC targets. The essential logic of subscription is that the linked targets fluctuate or fluctuate upward within the range above the knock-in barrier price (such as 75% of the initial price) within the agreed period. As long as the price of the linked targets does not touch the knock-in barrier price or falls below the knock-in barrier price but does not rise above the knock-out barrier price, the agreed fixed income can be obtained. Generally, the agreed income is based on the traders of OTC options (mainly securities)

what is CSI 5 index

CSI 5 index, also known as CSI Small Cap 5 Index, is an index developed by CSI Index Co., Ltd.. The stocks in the sample space are composed of the top 5 stocks with total market value after excluding the constituent stocks of Shanghai and Shenzhen 3 Index and the top 3 stocks with total market value, which comprehensively reflects the stock price performance of a group of small and medium-sized companies in China A-share market.