股指期货策略月报-20250804

Report Industry Investment Rating - Not provided in the content Core Views - Since late June, the A-share market has been rising, primarily driven by loose liquidity. International capital inflows into non - US dollar assets due to the "weak dollar" trend, and domestic enterprise deposit - loan data has improved, making the stock market more attractive. However, fundamental data remains at a low level, and there are pressures for the index to continue rising. In this context, the index is expected to fluctuate in the short term, and different investment strategies can be adopted [3]. Summary by Relevant Catalogs 1. Market Performance in July - 1.1: Liquidity - driven Index Rise - In July, the liquidity - driven market led to an index increase. Wind All - A rose by 4.75%, reaching a new high for the year, with significantly higher average daily trading volume. The large - cap growth style was strong, and the barbell strategy that performed well in the first half of the year underperformed the average. Specific index gains include: CSI 1000 up 4.8%, CSI 500 up 5.25%, SSE 50 up 2.36%, and SSE 300 up 3.54% [6]. - 1.2: Index Valuation at 1 - standard - deviation Level - The index valuation is at the 1 - standard - deviation level, but no further detailed analysis is provided in the text [7]. - 1.3: Volatility and Margin Trading - The implied volatility of index options rebounded. The 1000IV closed at 22.87%, and the 300IV at 19.11%. Margin trading balance increased significantly, rising by 132.4 billion yuan in July to 1.96 trillion yuan [14]. - 1.4: Sector - driven Index Rise - In July, the pharmaceutical, electronics, and non - bank financial sectors drove the index up, as shown by their positive contributions to various major indices such as CSI 1000, CSI 500, SSE 300, and SSE 50 [15]. 2. Market Influencing Factors - 2.1: Sino - US Capital Market Linkage - There are multiple ways of linkage between Sino - US capital markets, including economic - related (SSE 300 moves in tandem with US stocks), capital - related (CSI 1000 moves in tandem with US stocks), negative - related (due to the rise of the US AI industry), risk re - balancing (international funds increase positions in China), and non - related (due to different domestic pressures in the two countries) [23]. - 2.3: Foreign Capital Inflow Preference - Foreign capital inflows tend to favor the large - cap growth style [26]. - 2.4: Increase in Corporate Deposits and Loans in June - In June, both corporate deposits and loans increased, but no specific data is provided in the text [28]. - 2.5: Domestic Capital Inflow into the Stock Market - Due to the relatively high equity risk premium, domestic capital is more inclined to flow into the stock market [32]. - 2.6: Capital Flow to Low - Valued Non - Core Themes - Capital in the capital market tends to flow to low - valued non - core themes that were undervalued in the early stage [33]. 3. Index and Option Performance - 3.1: CSI 1000 Index - The CSI 1000 index rose by 4.8% in July, and the annualized convergence of the basis discount was observed [41]. - 3.2: CSI 500 Index - The CSI 500 index rose by 5.26% in July, with a relatively high annualized convergence of the basis discount [45]. - 3.3: SSE 300 Index - The SSE 300 index rose by 3.54% in July, and the annualized convergence of the basis discount was observed [47]. - 3.4: SSE 50 Index - The SSE 50 index rose by 2.36% in July, and the annualized convergence of the basis discount was observed [51]. - 3.5: CSI 1000 Option Indicators - Various indicators of CSI 1000 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [55]. - 3.6: SSE 300 Option Indicators - Various indicators of SSE 300 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [64]. - 3.7: SSE 50 Option Indicators - Various indicators of SSE 50 options, such as historical volatility, volatility cone, and PCR, are presented, but no detailed analysis is provided [73]. 4. Trading Slippage - 4.1: IM Trading Slippage - The trading slippage of IM contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [81]. - 4.2: IC Trading Slippage - The trading slippage of IC contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [84]. - 4.3: IF Trading Slippage - The trading slippage of IF contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [86]. - 4.4: IH Trading Slippage - The trading slippage of IH contracts, including long - and short - position slippage, is presented, but no detailed analysis is provided [89].