“数”看期货：近一周卖方策略一致观点-20250630

Group 1: Stock Index Futures Market Overview - The four major stock index futures contracts all increased last week, with the CSI 1000 index futures showing the largest gain of 5.49%, while the SSE 50 index futures had the smallest increase of 1.27% [3][11] - The average trading volume of the four major index futures contracts varied, with the IH contract seeing the largest increase of 7.98%, while the IC contract experienced the largest decrease of 4.93% [3][11] - The annualized basis rates for the current contracts of IF, IC, IM, and IH were -4.84%, -8.50%, -11.12%, and -4.28%, respectively, indicating a narrowing of the basis compared to the previous week [3][11] Group 2: Arbitrage Opportunities and Dividend Predictions - For the IF contract, the required basis rates for both long and short arbitrage strategies over the next 15 trading days are 0.59% and -1.02%, respectively, indicating a potential for reverse arbitrage [4][12] - The predicted dividend points for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices are estimated at 33.23, 18.52, 28.86, and 13.05, respectively [4][12] - The narrowing of the basis for IH, IF, and IC contracts reflects a re-pricing of tail risks in the market, while the small-cap IM contract still shows deep basis discounts [4][12] Group 3: Sell-Side Strategy Insights - Eight brokerage firms have turned optimistic about market sentiment, while seven firms noted increased liquidity or capital inflows [5][39] - There is a consensus among brokerage firms regarding the positive outlook for the military, non-ferrous metals, and technology growth sectors [5][39] - The report utilized a language model to summarize the market and industry perspectives from over 20 sell-side strategy teams, providing a comprehensive overview of investment consensus and divergences [5][39]