股指对冲周报-2025-04-03

Industry Investment Rating - No relevant content found. Core Viewpoints - The biggest disturbance this week came from overseas. Influenced by Trump's so - called "Liberation Day" tariff plan, market concerns about further deterioration of trade frictions intensified, suppressing risk appetite. After the "reciprocal tariffs" were announced, the intensity exceeded expectations. A - shares showed resilience in short - term trading. Against the background of an active policy attitude this year, the market has confidence in policies. The SASAC plans to strategically restructure central vehicle enterprises, which may lead to longer - term consumption demand. The possible suspension of consumer loans with an interest rate below 3% will relieve the pressure on banks' net interest margins. The Ministry of Finance will issue special treasury bonds to support large - state - owned commercial banks in replenishing core tier - one capital, which helps enhance banks' credit - lending ability. Currently, funds are mainly for hedging. Gold rose 3% this week, the daily trading volume of the entire A - share market dropped below one trillion for the first time in three months, and the margin trading balance has been shrinking since late March. The index still lacks upward momentum and remains in a volatile range. The Shanghai Composite 50 index had a relatively small decline this week, while the CSI 500 and 1000 have declined for three consecutive weeks. In terms of basis, contrary to the index trend, the premium of IH slightly converged, and the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract [5]. Summary by Directory 1. Futures Index Basis Situation - Basis and Index - enhancing Annualized Returns: The report provides the basis, basis changes, and index - enhancing annualized returns of IF, IH, IC, and IM futures contracts. For example, in the IF2504 contract, the basis changed from - 6.37 last week to 0.10 this week, with a change of 6.46 and an index - enhancing annualized return of 1.5%. Note that in the calculation of index - enhancing annualized returns, the futures margin ratio is calculated at 20%, and the cash wealth - management yield is calculated at 2%. [2] - Basis and Market Conditions: This week, the biggest disturbance came from overseas. Affected by trade - friction concerns, the market's risk appetite was suppressed. A - shares showed resilience in short - term trading. The basis of IH slightly converged, while the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract. [5] - Trading Volume and Open Interest: This week, the average daily trading volume of IH was 51,325 contracts, a 2.8% increase from the previous week, and the open interest was 108,754 contracts, a 10.2% increase. The average daily trading volume of IF was 99,526 contracts, a 1.0% decrease, and the open interest was 301,082 contracts, a 6.4% increase. The average daily trading volume of IC was 93,566 contracts, a 1.7% decrease, and the open interest was 228,310 contracts, a 6.7% increase. The average daily trading volume of IM was 241,314 contracts, a 2.8% decrease, and the open interest was 367,496 contracts, a 10.9% increase. [6] - Basis after Considering Dividends: The report lists the closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates of different contracts of IF, IH, IC, and IM. For example, for the IF2504 contract, the closing price was 3,861.60, the basis after considering dividends was 0.24, the expected total dividend points were 0.14, and the annualized premium rate was 0.15%. [7] 2. Hedging Profit and Loss - Hedging Profit and Loss Data: The report provides the hedging profit and loss data of IF, IH, IC, and IM futures contracts for last week and this week. For example, the IF2504 contract had a hedging loss of - 2.33 last week and - 6.46 this week. [13]