Report Summary 1. Core View - This week, the on - site risk appetite was high but constrained by trade negotiations. The US sent tariff letters to multiple countries and postponed the tariff negotiation deadline to August 1st. There is still uncertainty in the global market for the remaining trading days in July. However, China and the US are still promoting negotiations based on the Geneva Agreement and London Conference, with relatively small impact on domestic assets [2]. - After the quantitative new rules were implemented on Monday, trading demand was briefly suppressed and then gradually released. The trading volume in the second half of the week increased rapidly, exceeding 1.7 trillion at the highest. The average daily trading volume of the entire A - share market this week was about 1.5 trillion, slightly higher than last week. The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - Most industry sectors closed up this week, but the banking sector tumbled on Friday. The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but the style reversed again. Small - and medium - cap stocks rose more this week, with the CSI 1000 rising over 2%, while large - cap stocks lagged with a gain of less than 1% [2]. - In terms of basis, as the index soared, the basis of each variety increased synchronously. The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end. With the July contracts approaching expiration, positions can be rolled over in advance. Except for the July contracts, the costs of other contracts are similar, and the term selection can be diversified between the near and far ends [2]. 2. Forecast for Next Week - The model predicts that the basis of IH, IF, and IC will weaken next week, while the basis of IM will strengthen [4]. 3. Market Performance This Week - Trading Volume: The average daily trading volume of the entire A - share market was about 1.5 trillion, slightly higher than last week [2]. - Margin Balance: The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - Index Performance: The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but small - and medium - cap stocks outperformed large - cap stocks [2]. - Basis Performance: The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end [2].
基差方向周度预测-20250711
Guo Tai Jun An Qi Huo·2025-07-11 13:32