基差方向周度预测-20250815

Group 1: Report Core View - This week, domestic financial data declined due to seasonal factors, but the market didn't focus on it. The personal consumer loan interest - subsidy policy had limited impact. The main market drivers were news - related, like the shutdown of CATL's important lithium mine boosting the ChiNext and Sino - US chip competition strengthening domestic substitution expectations and driving up the STAR Market. The Shanghai - Shenzhen Composite Index and STAR Market Index led the gains among core indices [2]. - Overseas, the Stockholm economic and trade talks between China and the US postponed reciprocal tariffs and counter - measures for 90 days, having a small impact on the market. The US July CPI was lower than expected, while the PPI exceeded expectations, causing repeated expectations of a September interest rate cut in the US, large fluctuations in the US dollar index, and increased disturbances to global assets [2]. - Leveraged funds continued to flow in this week, with the margin trading balance exceeding 2 trillion on Monday and then having a net inflow of over 40 billion. The market trading volume increased rapidly, with the total A - share trading volume exceeding 2 trillion for three consecutive days. The market divergence widened, and the excess returns of heavy - weight stocks relative to the index were significant. The performance of individual stocks was far inferior to the prosperity shown by the index. The Shanghai Composite Index repeatedly touched the key level of 3,700 points and then fell back, losing the 3,700 - point level again at the end - of - day call auction on Friday [2]. - Large - cap sectors were still dragged down by sectors such as banks and coal. The Shanghai 50 and CSI 300 had small gains, while small - and medium - cap stocks performed better. The CSI 500 and CSI 1000 rose nearly 4%, and micro - cap stocks fell continuously, significantly underperforming small - and medium - cap stocks [2]. - In terms of basis, the annualized basis of each variety strengthened significantly. IF returned to a premium state, and the annualized discounts of IC and IM converged from 10% to around 7%, moving out of the historical bottom range. As the basis strengthened, the near - month contracts in the term structure rose significantly. After the August contracts expired, the September contracts had obvious hedging cost advantages. The September contracts of IH and IF had large premiums, providing large profit margins for cash - and - carry arbitrage. Meanwhile, the inter - term spread increased significantly this week, and the inter - term reverse arbitrage had realized considerable returns, with the strategy's cost - effectiveness further declining [2]. Group 2: Weekly Forecast Conclusion - The model's judgment on the movement directions of the bases of IH, IF, IC, and IM next week is: strengthening, weakening, strengthening, and weakening respectively [3] Group 3: Recent Forecast Conclusion - There are historical data on the real basis changes and predicted basis changes of IH, IF, IC, and IM, but no specific conclusions are clearly summarized from the data presented [4]