“数”看期货：近一周卖方策略一致观点-2025-04-01

Group 1: Stock Index Futures Market Overview - The overall performance of the four major index futures was mixed, with the CSI 1000 index futures experiencing the largest decline of -1.51%, while the CSI 50 index futures saw the largest increase of 0.25% [3][11] - The average trading volume of the four major index futures contracts varied, with the IM contract increasing by 1.84% and the IF contract decreasing by -29.84% compared to the previous week [3][11] - As of last Friday's close, the annualized basis rates for the current contracts of IF, IC, IM, and IH were -3.65%, -11.56%, -13.88%, and -0.37% respectively, indicating a deepening of the discount for IF and IC while the discount for IM and IH narrowed [3][11] Group 2: Cross-Period Spread and Dividend Forecast - The cross-period spread rates for the new monthly contracts of IF, IC, IM, and IH were at the 45.10%, 64.70%, 27.80%, and 78.60% percentiles since 2019, indicating a return to normal distribution [4][12] - The estimated impact of dividends on the index points for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices over the next year is projected to be 82.21, 82.79, 64.78, and 61.57 respectively [4][12][50] Group 3: Market Expectations and Seller Strategy Insights - Market expectations indicate a high correlation between basis changes and investor trading sentiment, with limited impact from recent U.S. tariff policies [4][13] - A summary of over 20 sell-side strategy reports from March 24 to March 31 revealed that 7 brokerages believe ongoing policy implementation and capital market reforms will enhance the attractiveness of Chinese assets, while 6 brokerages see structural valuation opportunities in sectors such as non-ferrous metals, high-dividend stocks, and innovative pharmaceuticals [5][49]