期限反套已兑现部分收益

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - With the index rising this week, the basis of various futures varieties increased, and the historical quantiles rose significantly. The annualized discount of the current quarter of IC and IM narrowed to around 7% and 10% respectively. The term structure remained higher in the near - term. The term reversal strategy realized some profits, but its cost - effectiveness decreased as the index market adjusted. Long - term long - only index enhancement and near - month hedging with a longer holding period recorded some floating profits and the positions could be maintained [5]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Basis Situation - Basis Data: The table shows the basis of IF, IH, IC, and IM contracts last week, this week, the basis change, and the index - enhancement annualized return. For example, for the IF2507 contract, the basis last week was - 42.24, this week it was - 29.76, the basis change was 12.49, and the index - enhancement annualized return was 13.5% [2]. - Market News Impact: This week, six ministries and commissions jointly issued a guidance on financial support for boosting and expanding consumption. The National New Office announced the plan for the September Victory in the Anti - Japanese War Commemoration and military parade. Guotai Junan International was approved to provide virtual asset trading services. The Middle East situation eased, and the expectation of the US interest - rate cut increased. The market trading volume increased, with an average daily trading volume of about 1.5 trillion. The margin trading balance increased by more than 20 billion. The Shanghai Composite Index rose nearly 2% this week, while the gains of the Shanghai 50 and CSI 300 narrowed to less than 2%, and the CSI 500 and CSI 1000 rose about 4% [4]. - Basis and Volume - Position Changes: The basis of each variety increased with the index rise. The far - near inter - term spread also increased significantly. The term reversal strategy realized some profits. Some trading volume and position data changed: the average daily trading volume of IH this week was 55,801 lots, a 8.0% month - on - month increase, and the position was 94,435 lots, a 30.3% month - on - month increase; for IF, the average daily trading volume was 104,497 lots (1.6% increase), and the position was 254,148 lots (19.1% increase); for IC, the average daily trading volume was 88,117 lots (4.9% decrease), and the position was 229,139 lots (10.1% increase); for IM, the average daily trading volume was 205,919 lots (4.9% increase), and the position was 336,810 lots (9.5% increase) [5]. - Basis after Considering Dividends: The table shows the closing price, basis after considering dividends, expected total dividend points, and annualized premium/discount rate of contracts of the CSI 300, Shanghai 50, CSI 500, and CSI 1000. For example, for the IF2507 contract of the CSI 300, the closing price was 3,892.00, the basis after considering dividends was - 1.27, the expected total dividend points were 28.48, and the annualized premium/discount rate was - 0.56% [6]. 3.2 Hedging Profit and Loss - Hedging Profit and Loss Data: The table shows the hedging profit and loss of IF, IH, IC, and IM contracts last week and this week. For example, for the IF2507 contract, the hedging profit and loss last week was - 8.94, and this week it was - 12.49 [12].