Industry Investment Rating - No relevant information Core View - Fed's July meeting minutes show increasing internal divergence and no hint of a September rate cut, while the unexpectedly high US manufacturing PMI in August may change market expectations for a September rate cut [2] - Domestic policy intensity has marginally converged recently, and the main driving forces for the index are the "93 consensus" and institutional clustering. A - shares are not affected by the continuous decline of Hong Kong and US stocks due to the support of mainland margin - trading funds. The margin balance has increased significantly, and the total A - share trading volume has soared. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] - The rise of the index this week has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased. There is a large profit space for cash - and - carry arbitrage in IH and IF September contracts, and the annualized hedging cost of near - month contracts of IC and IM is only about 2%, which may lead to an increase in the scale of neutral strategies [2] - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2] Summary by Related Contents Market Background - The Fed's internal divergence is increasing, and it is facing a trade - off between inflation and employment risks. The unexpectedly high US manufacturing PMI in August may affect the expected September rate cut [2] - Domestic policy intensity has marginally converged, and the main driving forces for the index are the "93 consensus" and institutional clustering. Geopolitical situation is calm, and A - shares are supported by mainland margin - trading funds [2] Market Performance - The margin balance has increased significantly, with a net purchase of over 80 billion this week. The total A - share trading volume is about 2.5 trillion per day. The Sci - tech Innovation 50 index was the strongest this week, with a gain of over 13%, and the Shanghai Composite Index rose above 3800 points [2] Basis and Spread - The rise of the index has further pushed up the basis of various varieties. The annualized discounts of IC and IM have converged to 5.5% and 6.7%, and the term structure near - end and inter - period spreads have increased [2] - The September contracts of IH and IF have an annualized premium of over 6% and 7% respectively, with a large profit space for cash - and - carry arbitrage. The annualized hedging cost of near - month contracts of IC and IM is only about 2% [2] Forecast - The model predicts that the basis of IH, IF, IC, and IM will strengthen, remain flat, weaken, and weaken respectively next week [2]
基差方向周度预测-20250822
Guo Tai Jun An Qi Huo·2025-08-22 14:48