分红对期指的影响20250801：IF贴水初现，IC及IM贴水扩大，关注中小盘贴水套利窗口

• The report discusses the dividend prediction model for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices, with respective dividend points of 1.42, 2.59, 4.93, and 3.19[5][9] - The annualized hedging costs for the August contracts, excluding dividends and calculated on a 365-day basis, are -1.22% for SSE 50, 6.13% for CSI 300, 17.91% for CSI 500, and 19.73% for CSI 1000[5][9] - The report suggests that investors should pay attention to the short-term positive arbitrage opportunities in the SSE 50 index futures, given its current slight premium state and relatively low hedging cost[6][9] - For the CSI 300 index futures, the report advises investors to closely monitor the potential for discount recovery and the changes in hedging costs due to increased volatility, as it has shifted from a neutral to a moderate discount state[6][9] - The CSI 500 and CSI 1000 index futures are currently in a deep discount state, with significantly expanded discount margins compared to the previous period. The report recommends that investors with arbitrage execution capabilities and risk management experience consider participating in the phase discount arbitrage opportunities for these small and mid-cap index futures[6][9] - The dividend prediction process involves estimating the net profit of constituent stocks, calculating the pre-tax total dividend for each stock, determining the impact of dividends on the index, and predicting the impact of dividends on each contract[7][19][22] - The formula used to estimate the weight of each stock in the index is: $\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$ where $w_{i0}$ is the accurate weight of stock $i$ on day $t0$, and $R$ is the rate of change in the stock price from $t0$ to $t$[22] - The theoretical pricing model for stock index futures under discrete dividend distribution is: $F (S D)(1 r) t t = − +$ where $F_t$ is the futures price at time $t$, $S_t$ is the spot price, $D$ is the present value of the dividend stream during the period $T-t$, and $r$ is the risk-free rate during the period $T-t$[28] - The theoretical pricing model for stock index futures under continuous dividend distribution is: $(r d)(T-t) t t F S e − =$ where $F_t$ is the futures price at time $t$, $S_t$ is the spot price, $d$ is the annualized dividend rate, and $r$ is the annualized risk-free rate during the period $T-t$[29] Model Backtest Results - SSE 50 index futures (IH) August contract: actual spread -0.13, dividend-inclusive spread 1.29, annualized hedging cost -1.22%[1][10] - CSI 300 index futures (IF) August contract: actual spread -12.13, dividend-inclusive spread -9.53, annualized hedging cost 6.13%[1][11] - CSI 500 index futures (IC) August contract: actual spread -47.60, dividend-inclusive spread -42.67, annualized hedging cost 17.91%[1][12] - CSI 1000 index futures (IM) August contract: actual spread -53.67, dividend-inclusive spread -50.48, annualized hedging cost 19.73%[1][13]