基差方向周度预测-20250620

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core Viewpoints - The consumer market is gradually regaining vitality due to the effective "trade - in" policy and positive May retail sales data [2]. - Policy content from the Lujiazui Forum fell short of market expectations, and broad - based indices showed no obvious upward or downward trends [2]. - The Fed kept interest rates unchanged, and it is still expected that there will be two interest rate cuts this year, but the timing is postponed [2]. - The full - A trading volume remained at about 1.2 trillion yuan per day this week, with a significant contraction on Friday, and broad - based indices were still in a narrow - range oscillation [2]. - The basis of each variety has recovered to some extent near the end of June, and it is still within the time window for long - side enhancement [2]. - The term structure of contracts other than the June contract has shifted upward at the near - end, and the hedging cost is still advantageous, so near - end hedging can be maintained [2]. - The term reverse arbitrage strategy generated certain returns this week [2]. 3) Summary by Related Content This Week's Review - At the beginning of the week, May macro data was released, with retail sales data being eye - catching. In the middle of the week, the Lujiazui Forum was held, but the policy content did not meet market expectations. The Fed kept interest rates unchanged and is still expected to cut rates twice this year with a postponed timing [2]. - The full - A trading volume was about 1.2 trillion yuan per day on average, with a significant contraction on Friday. The broad - based indices were in a narrow - range oscillation. The Shanghai Composite 50 and CSI 300 declined slightly on the weekly line, while the CSI 500 and 1000 declined by 1.7%, and the CSI 2000 declined by more than 2% [2]. - The basis of each variety recovered near the end of June. The annualized premium of IH exceeded 1%, and the discounts of IC and IM converged to around 9% and 12.5% respectively. The term structure of non - June contracts shifted upward at the near - end, and the term reverse arbitrage strategy generated returns [2]. Next Week's Forecast - The model predicts that the basis of IH, IF, IC, and IM will strengthen next week [4].