大越期货股指期货早报-20250612

Report Overview - Report Title: "Stock Index Futures Morning Report - June 12, 2025" - Report Author: Dushufang from the Investment Consulting Department of Dayue Futures - Date of Report: June 12, 2025 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Report's Core View - The domestic index is in an oscillating upward trend, but the upward pressure has increased. It is recommended to reduce holdings on significant intraday rallies and add positions on significant declines, and avoid intraday chasing [4]. 3. Summary by Relevant Catalogs 3.1 Futures Market - Index Futures Basis and Spread: - For the Shanghai Composite 50 index futures, the IH2506 contract had a basis of -9.74 points, with an annualized basis of -14.73%. The basis and spread of other contracts showed different degrees of deviation [5]. - For the CSI 300 index futures, the IF2506 contract had a basis of -15.83 points, with an annualized basis of -16.55% [5]. - For the CSI 500 index futures, the IC2506 contract had a basis of -31.75 points, with an annualized basis of -22.35% [5]. - For the CSI 1000 index futures, the IM2506 contract had a basis of -42.51 points, with an annualized basis of -28.06% [5]. - Analysis of Index Futures Trends: - The IM, IC, and IF were above the 20 - day moving average, showing a bullish signal, while the IH was below the 20 - day moving average, showing a bearish signal [3]. - The basis of IH2506 and IF2506 was neutral, while the basis of IC2506 and IM2506 indicated a bearish bias [3]. - The long positions of the IH and IC main contracts decreased, while the long positions of the IF main contract increased, showing a bullish signal overall [4]. 3.2 Spot Market - Daily Returns of Major Indexes: Different major indexes such as the Shanghai Composite Index, Shanghai Composite 50, CSI 300, etc., showed varying degrees of daily returns, with the Shanghai Composite Index standing above the 3400 mark [3][14]. - Daily Returns of Style Indexes: Style indexes such as the 300 - Cycle, 300 - Non - Cycle, and Low - P/E Index also showed different daily returns [17][20]. 3.3 Market Structure - AH - Share Premium: The Hang Seng AH Premium Index showed a certain trend over time [23]. - Price - to - Earnings Ratio (PE) and Price - to - Book Ratio (PB): The historical trends of the PE and PB of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index were presented [26][28]. 3.4 Market Fundamentals - Stock Market Fund Inflows: The A - share market showed different levels of net fund inflows over time [30]. - Margin Trading Balance: The margin trading balance showed a certain trend in relation to the CSI 300 [32]. - Northbound Capital Flows: The net inflows of the Shanghai - Hong Kong Stock Connect and Shenzhen - Hong Kong Stock Connect showed fluctuations [34]. - Fund Costs: The SHIBOR overnight, one - week, and two - week rates showed changes over time [40]. 3.5 Market Sentiment - Trading Activity: The turnover rates of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index (based on free - floating market capitalization) showed different trends [43][46]. - Positions of Public - Offering Hybrid Funds: The positions of public - offering hybrid funds showed a certain trend [48]. 3.6 Other Indicators - Dividend Yield and Treasury Bond Yield: The dividend yields of index futures and the yield of the 10 - year treasury bond were presented [52]. - Exchange Rate: The exchange rate of the US dollar against the Chinese yuan showed a certain trend [54]. - New Account Openings and Index Tracking: The relationship between new account openings and the Shanghai Composite Index was tracked [55]. - New Fund Establishment Scale: The changes in the new establishment scales of stock - type, hybrid, and bond - type funds were presented [57][59][61].