“数”看期货：大模型解读近一周卖方策略一致观点-20250422

• The report discusses the overall performance of the four major stock index futures contracts, with the CSI 500 futures contract experiencing the largest decline of -3.05%, and the SSE 50 futures contract seeing the largest increase of 1.46% [3][12] - The main contracts of IF and IH saw a slight narrowing of the discount, while the main contracts of IC and IM saw a deepening of the discount [3][12] - The average trading volume of the four major stock index futures contracts decreased compared to the previous week, with IH experiencing the largest decline of -53.65% and IC the smallest decline of -36.59% [3][12] - The combined open interest of the four major stock index futures contracts decreased, with IC experiencing the smallest decline of -8.49% and IH the largest decline of -19.27% [3][12] - As of last Friday's close, the annualized basis rates for the current season contracts of IF, IC, IM, and IH were -10.38%, -17.76%, -19.99%, and -5.61%, respectively, with the discount deepening compared to the previous week's last trading day [3][12] - The cross-period spread rates for the current month contracts of IF, IC, IM, and IH were at the 92.50%, 92.80%, 77.70%, and 97.70% percentiles since 2019 [4][13] - The report estimates the dividend points for the main contracts of the CSI 300 Index, CSI 500 Index, SSE 50 Index, and CSI 1000 Index to be 27.16, 47.10, 17.36, and 40.50, respectively [4][13] - The basis changes are influenced by dividends and investor trading sentiment, with the domestic GDP growing by 5.4% year-on-year in the first quarter, indicating a mild economic recovery [5][14] - The report highlights the positive arbitrage opportunities for the IF main contract based on the closing prices [4][13] - The report summarizes the market and industry investment consensus and differences among nearly 20 sell-side strategy teams, with a focus on A-shares, technology, dividend assets, and domestic consumption sectors [6][37][38] - The report provides detailed calculations for stock index futures arbitrage, including formulas for positive and reverse arbitrage returns [43] - The report outlines the dividend estimation method, emphasizing the high correlation between listed company dividend plans and historical dividend plans [45][48] - The report includes the predicted dividend points for each contract period based on the dividend estimation method [49]