国泰君安期货股指对冲周报-20250613

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The joint issuance of relevant opinions by the central authorities may promote the return of Hong Kong - listed technology leaders to the A - share market, triggering the rapid inclusion rules of several A - share broad - based indices and potentially driving the index market. The agreement reached in the Sino - US trade talks has little impact on the index. The market expects the Fed to cut interest rates twice this year. Funds continue to flow south, the A - share market is mainly in a volatile state, and the trading volume and margin trading balance have slightly recovered. Each broad - based index has a small decline, and the base spread of each futures variety is relatively stable. It is recommended to maintain near - end hedging [5] 3. Summary by Relevant Catalogs 3.1股指期货基差情况 - Base Spread and Index - Enhanced Annualized Returns: The base spreads of various futures contracts (IF, IH, IC, IM) have changed this week. For example, the base spread of IF2506 changed from - 18.58 last week to - 7.78 this week, with a change of 10.80 and an index - enhanced annualized return of 10.0%. The index - enhanced annualized returns are calculated with a 20% futures margin rate and a 2% cash wealth management yield [2] - Market Situation and Base Spread Analysis: The A - share market is mainly in a volatile state. The base spreads of each variety are relatively stable this week. IH has changed from a premium to a small discount state. The annualized discounts of IC and IM are maintained at around 10% and 15% respectively. The term structure has little change, and the annualized cost of near - month contracts is low, so it is advisable to maintain near - end hedging [5] - Trading Volume and Open Interest: The average daily trading volume and open interest of IH, IF, IC, and IM have increased compared with the previous week. For example, the average daily trading volume of IH this week is 50,533 lots, a 39.5% increase from the previous week, and the open interest is 88,097 lots, a 12.3% increase from the previous week [6] - Base Spread after Considering Dividends: The table shows the closing prices, base spreads after considering dividends, expected total dividend points, and annualized premium/discount rates of various contracts for different indices (CSI 300, SSE 50, CSI 500, CSI 1000) [7] 3.2 对冲盈亏 - Hedging Profit and Loss: The table shows the hedging profit and loss of various contracts (IF, IH, IC, IM) last week and this week. For example, the hedging profit and loss of IF2506 was 0.75 last week and - 10.80 this week [12]