股指对冲周报：期现正套性价比下降-20250829

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - This week, the decline in the profits of industrial enterprises above designated size in July has narrowed for two consecutive months, with the profits of high - tech manufacturing showing significant year - on - year growth. The real estate market has policies to stimulate growth, and the "AI + Action Opinion" has been issued. Overseas, the US Q2 GDP has been revised upwards. The market volume has reached a high level, and leveraged funds are still flowing in. The mid - cap stocks are stronger than large - cap stocks, which are stronger than small and micro - cap stocks [3]. - During the gap - up rise on Monday this week, the basis quickly declined, indicating weak sentiment on the futures side. IH and IF are still in a state of slight premium, while the annualized discounts of IC and IM have returned to around 8% and 11%, respectively. The term structure has sunk at the near end, and the hedging cost - effectiveness of far - month contracts has increased. The cost - effectiveness of spot - futures arbitrage for near - month contracts has significantly decreased [4]. Summary According to Relevant Catalogs 1. Stock Index Futures Basis Situation - Basis Changes: For IF contracts, the basis of IF2509 decreased from 16.00 to 9.44, a change of - 6.56; for IH contracts, IH2509's basis decreased from 13.39 to 3.53, a change of - 9.86; for IC contracts, IC2509's basis decreased from - 12.45 to - 47.14, a change of - 34.69; for IM contracts, IM2509's basis decreased from - 14.34 to - 72.08, a change of - 57.74 [1]. - Index - enhancing Annualized Returns: The index - enhancing annualized returns of IC and IM contracts are relatively high, such as 12.1% for IC2509 and 16.7% for IM2509 [1]. - Volume and Open Interest Changes: This week, the average daily trading volume of IH was 77,971 lots, a 17.1% increase from the previous week, and the open interest was 108,028 lots, a 4.8% decrease. The average daily trading volume of IF was 177,610 lots, a 36.3% increase, and the open interest was 293,331 lots, a 5.9% increase. The average daily trading volume of IC was 160,370 lots, a 32.9% increase, and the open interest was 248,432 lots, a 6.3% increase. The average daily trading volume of IM was 320,181 lots, a 14.6% increase, and the open interest was 388,014 lots, a 0.8% decrease [4]. - Basis after Considering Dividends: For example, for the IF2509 contract, the basis after considering dividends is 11.57, with an expected total dividend of 2.13 points and an annualized premium - discount rate of 4.47% [5]. 2. Hedging Profits and Losses - IF Contracts: The hedging profit of IF2509 this week was 6.56, compared with - 8.96 last week; for IF2512, it was 4.96 this week compared with - 10.76 last week [11]. - IH Contracts: The hedging profit of IH2509 this week was 9.86, compared with 0.14 last week; for IH2512, it was 12.06 this week compared with 0.34 last week [11]. - IC Contracts: The hedging profit of IC2509 this week was 34.69, compared with - 25.12 last week; for IC2512, it was 68.09 this week compared with - 40.12 last week [11]. - IM Contracts: The hedging profit of IM2509 this week was 57.74, compared with - 16.96 last week; for IM2512, it was 91.34 this week compared with - 24.56 last week [11].