On September 22, the market experienced a rally that faded by the close, with all three major indices slipping in the final stretch after the ChiNext board had earlier surged over 2%. By the market's end, the Shanghai Composite Index edged up 0.06%, the Shenzhen Component Index dipped 0.05%, and the ChiNext Index finished essentially flat at 0.01%. Sector performance was selective, with AI applications and computing chip concepts showing strength, while pharmaceuticals, media, and on-device AI led the gains. On the downside, the shipping sector weakened. More than 3,000 stocks across the market closed lower. The combined trading volume for the Shanghai and Shenzhen markets reached 2.14 trillion yuan, representing an increase of 104 billion yuan from the previous trading day.

Since last Wednesday (September 16), over the five subsequent trading sessions, the A-share market has witnessed three instances of broad-based rallies where over 4,000 stocks advanced. As of this Monday, this upward move has actually slightly surpassed expectations. No one can definitively assert where the rebound's endpoint lies. Due to a general aversion to risk, some participants have been exiting early each day; however, these early sellers are then plagued by the worry of missing out on further gains if the market continues to climb. Consequently, the key to navigating this market with a "monitor and adapt" strategy lies in observing how well the market absorbs at points of divergence.

Take the Wind All-A Index as an example. After the initial broad rally on September 16, the market saw little change in volume and a slight dip on September 17, where the consensus for a "healthy correction" was easily reached. This paved the way for consecutive broad rallies on September 18 and 21, strengthening the wealth creation effect. Then came today, marking the second divergence point. Looking at the daily chart, the Wind All-A Index has rebounded to its "previous high" from late August, with the annual moving average looming just above. From a technical analysis perspective, the pressure on the upside today should be greater than at the previous divergence. Considering the "pre-holiday effect," some capital may currently be engaging in a "fight and retreat" strategy.

Some investors have jokingly noted that the A-share market often "anticipates your anticipation": September 29 is the last day to withdraw funds before the holiday, so those fearing a sell-off on that day would move to exit on the 28th -- this is the first layer. When someone anticipates this, they might advance their exit to the 24th (since the market is closed on the 25th and 27th), which is the second layer. If they further front-run by a day, to September 23 (Wednesday), they could choose to stay in the market to capture three days of repurchase interest or safely bow out before the long break -- this is the third layer. But since the decision is made to front-run on the 23rd, why not simply find a higher price during today's (22nd) intraday session to exit immediately? That represents the fourth layer of this game.

We also noted that a "T+0" ETF product, the Short-term Financing ETF (HV Fund) (511360), recorded an astonishing trading volume of 137.198 billion yuan today, surpassing the total volume of all equity ETFs across the entire market. Data indicates that this Short-term Financing ETF primarily serves as a liquidity management tool for institutions, with core participants including bank wealth management/asset management, public and private funds, insurers, securities proprietary desks, corporate cash, and some high-frequency trading capital. For short-term holding, it can yield slightly higher coupon income compared to letting cash sit idle in an account; after selling, the funds can be quickly deployed into stocks or other on-exchange products. Interpreting this purely from a market perspective: when this type of capital intends to stay dormant for a few days but still wants to earn a small return ("a mosquito leg"), and can tolerate minor drawdowns, it might buy this Short-term Financing ETF, substituting for some of the functions of demand deposits or money market funds.

Wind data shows that the previous instance of this product generating massive volume (around 88.5 billion yuan) occurred on April 29, right before the May Day holiday. An even more intriguing detail emerged: between 10:43 and 10:49, this product executed a staggering 25.377 billion yuan in trades at flat prices within a 7-minute window. During the same period, the Wind All-A Index (representing the whole market) was undergoing a short-term pullback, slipping 0.1% over those 7 minutes with a volume of 44.879 billion yuan. In the subsequent trading hours, the broader market experienced a sustained decline. Is this purely a coincidence? We cannot be certain. Yet, this kind of "gamesmanship" is part of the allure of trading: as long as the trend hasn't fundamentally deteriorated, there will always be those willing to wait and see a little longer.

Take April 15 of this year for instance, when the market similarly had a high opening followed by a decline during a continuous rebound phase, but this did not derail the subsequent uptrend. Before the May Day holiday (April 23 to 29), the market also experienced a temporary sideways consolidation without affecting the post-holiday rebound. A research report from Huafu Securities suggests that with the recovery in risk appetite, tech growth sectors that have seen their crowding release and hold an industry trend advantage may continue to lead the rebound. While funds might exhibit a pre-holiday wait-and-see sentiment ahead of the Mid-Autumn and National Day holidays, the "calendar effect" after the National Day holiday is generally positive, which could warrant early positioning.

Cover image source: AIGC.