股指对冲周报：期现正套收益兑现-20250905

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The index trend is driven by sentiment this week, and the market expectation has cooled down. The long - term interest rate has declined, and the futures discount has reflected this in advance at the end of August. There is a value regression after structural overheating in each sector, and some previously hot - concept sectors have corrected. The leveraged funds have a continuous net outflow, and the broad - based index has continuously declined with shrinking volume. The probability of a September interest rate cut in the US has further increased [3]. - Since the end of August, the discount has continued to widen, and the risk sentiment from the futures perspective has turned in advance. This week, the basis of IH and IF has slightly weakened, while that of IC and IM has recovered, and the annualized discounts are around 8% and 9.5% respectively. The discount inversion of IC and IM has been lifted. As the basis of each contract has basically returned to the normal position, the profit of the spot - futures arbitrage strategy has been realized [4]. Summary Based on Relevant Catalogs 1. Futures Index Basis Situation - Basis Comparison: Compared with last week, this week, the basis of IH and IF has slightly weakened, while the basis of IC and IM has recovered. The annualized discounts of IC and IM are around 8% and 9.5% respectively, and the discount inversion of IC and IM has been lifted. The current term structure of each variety is higher at the near - end, and near - end hedging is the main approach [4]. - Specific Basis Data: The report provides the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhancement annualized returns. For example, for the IF2509 contract, last week's basis was 9.44, this week's basis was - 3.72, the basis change was - 13.17, and the index - enhancement annualized return was 3.5% [1]. - Basis after Considering Dividends: The report also shows the basis situation after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including the closing price, basis after considering dividends, expected total dividend points, and annualized premium/discount rate [5]. 2. Market Situation - Index Performance: The broad - based index has continuously declined with shrinking volume. The weekly decline of SSE 50 and CSI 300 is about 1%, the decline of CSI 1000 is 2.6%, and the decline of STAR 50 exceeds 5%. The large - cap index is relatively resistant to decline and outperforms the small - and medium - cap index [3]. - US Economic Situation: The US ISM manufacturing PMI has shrunk for six consecutive months, and the US manufacturing industry is in trouble. The employment index is at its weakest level since the pandemic, and the labor market cooling trend is confirmed. The probability of a September interest rate cut has further increased [3]. 3. Trading Volume and Open Interest - IH: The average daily trading volume this week is 77,702 lots, a 0.3% decrease compared with the previous week, and the open interest is 99,744 lots, a 7.7% decrease compared with the previous week [4]. - IF: The average daily trading volume this week is 182,186 lots, a 2.6% increase compared with the previous week, and the open interest is 278,339 lots, a 5.1% decrease compared with the previous week [4]. - IC: The average daily trading volume this week is 166,010 lots, a 3.5% increase compared with the previous week, and the open interest is 248,658 lots, a 0.1% increase compared with the previous week [4]. - IM: The average daily trading volume this week is 322,975 lots, a 0.9% increase compared with the previous week, and the open interest is 386,798 lots, a 0.3% decrease compared with the previous week [4]. 4. Hedging Profit and Loss - IF and IH: The report provides the hedging profit and loss data of IF and IH contracts for last week and this week. For example, for the IF2509 contract, the hedging profit and loss last week was 6.56, and this week it was 13.17 [11]. - IC and IM: Similar data are provided for IC and IM contracts. For example, for the IC2509 contract, the hedging profit and loss last week was 34.69, and this week it was - 31.79 [11].