Report Industry Investment Rating - Not provided Core View of the Report - A-share major indices closed generally higher, with small and mid-cap stocks outperforming large-cap blue-chip stocks. The market is in a performance and policy vacuum period, entering the macro data verification stage. The drag from trade data may be limited, and the Fed's rate cut will provide room for domestic policy easing. Therefore, stock indices still have long-term upward potential but are expected to remain volatile before policy implementation. It is recommended to wait and see in the short term [2] Summary by Relevant Catalogs Futures Disk - IF main contract (2509) was at 4432.4, up 11.6; IF next main contract (2512) was at 4400.6, up 7.4. IH main contract (2509) was at 2937.8, up 15.8; IH next main contract (2512) was at 2936.8, up 15.0. IC main contract (2509) was at 6863.4, down 3.4; IC next main contract (2512) was at 6682.8, down 9.2. IM main contract (2509) was at 7151.0, down 2.4; IM next main contract (2512) was at 6938.2, down 10.6 [2] - IF-IH current month contract spread was 1494.6, down 6.2; IC-IF current month contract spread was 2431.0, down 15.6. IM-IC current month contract spread was 287.6, down 5.4; IC-IH current month contract spread was 3925.6, down 21.8. IM-IF current month contract spread was 2718.6, down 21.0; IM-IH current month contract spread was 4213.2, down 27.2 [2] - IF current quarter - current month was -31.8, down 5.2; IF next quarter - current month was -54.2, down 7.2. IH current quarter - current month was -1.0, down 0.4; IH next quarter - current month was 2, up 0.8. IC current quarter - current month was -180.6, down 4.2; IC next quarter - current month was -332.2, down 9.4. IM current quarter - current month was -212.8, down 3.4; IM next quarter - current month was -401, down 12.0 [2] Futures Position - IF top 20 net position was -29,172.00, down 1344.0; IC top 20 net position was -18,960.00, up 716.0. IH top 20 net position was -13,395.00, down 497.0; IM top 20 net position was -47,080.00, down 2382.0 [2] Spot Price - The Shanghai and Shenzhen 300 was at 4445.36, up 9.1; IF main contract basis was -13.0, down 2.9. The Shanghai Stock Exchange 50 was at 2939.59, up 11.0; IH main contract basis was -1.8, up 1.4. The China Securities 500 was at 6932.11, up 3.1; IC main contract basis was -68.7, down 12.5. The China Securities 1000 was at 7230.17, up 4.1; IM main contract basis was -79.2, down 18.9 [2] Market Sentiment - A-share trading volume (daily, billion yuan) was 20,039.52, down 1481.28; margin trading balance (previous trading day, billion yuan) was 23,197.18, up 61.56. Northbound trading volume (previous trading day, billion yuan) was 2817.52, down 472.92; reverse repurchase (maturity volume, operation volume, billion yuan) was -2291.0, up 3040.0 [2] - Main funds (yesterday, today, billion yuan) was -808.17, down 105.08. The proportion of rising stocks (daily, %) was 44.98, up 21.05; Shibor (daily, %) was 1.425, up 0.006 [2] - IO at-the-money call option closing price (2509) was 33.40, down 7.60; IO at-the-money call option implied volatility (%) was 13.40, down 2.67. IO at-the-money put option closing price (2509) was 48.00, down 15.80; IO at-the-money put option implied volatility (%) was 13.40, down 2.67 [2] - Shanghai and Shenzhen 300 index 20-day volatility (%) was 18.46, down 0.07; trading volume PCR (%) was 60.67, up 1.86. Position PCR (%) was 81.25, up 1.38 [2] Wind Market Strength and Weakness Analysis - All A-shares were at 5.30, up 2.10; technical aspect was at 4.50, up 2.10. Capital aspect was at 6.20, up 2.10 [2] Industry News - In August, China's CPI was flat month-on-month and slightly down year-on-year, with core CPI continuing to rebound; PPI turned from decline to flat month-on-month, and the year-on-year decline continued to narrow. The overall price level is steadily recovering, reflecting the effectiveness of policies such as "anti-involution" and expanding domestic demand [2] - As of March 2025, the US non-farm payrolls were revised down by 911,000, the largest downward revision since 2000. Coupled with the significantly lower-than-expected non-farm data in August, the market has fully priced in the Fed's rate cut in September, and the external environment constraints faced by A-shares are loosening [2] Key Points to Focus On - To be determined: China's August financial data; 9/10 20:30: US August PPI and core PPI; 9/11 20:15: ECB interest rate decision; 9/11 20:30: US August CPI and core CPI [3]
瑞达期货股指期货全景日报-20250910