股指对冲周报-20251010

Group 1: Report Overview - Report Title: Stock Index Hedging Weekly Report [1] - Report Date: October 10, 2025 [1] - Analysts: Yu Kan, Li Honglei [2] Group 2: Market Conditions - Policy: Before the National Day, the central bank's third - quarter regular meeting did not provide guidance on incremental relaxation measures. The focus was on supporting small and micro - enterprises and stabilizing foreign trade. The policy was prudent. In August, the profits of industrial enterprises above designated size increased by 20.4% year - on - year. In September, the Political Bureau meeting discussed the "15th Five - Year Plan," and the Fourth Plenary Session of the 20th Central Committee was to be held from October 20 - 23 [4]. - Overseas Events: During the National Day holiday, the depreciation of the yen and the rise of the US dollar index pushed up the price of gold. Domestic travel and consumption showed a mild recovery. A - share broad - based indexes were less responsive to overseas events [4]. - A - share Market: After the holiday, the Shanghai Composite Index broke through 3900 points, reaching a 10 - year high, but then had a sharp correction. The semiconductor sector had a large - scale adjustment. Leveraged funds were active, and the total A - share trading volume after the holiday rebounded to 2.5 trillion. Most broad - based indexes rose in the four trading days around the National Day. The CSI 500 rose by more than 2%, and the 50, 500, and 1000 indexes rose between 1 - 2%, while the ChiNext Index declined [4]. Group 3: Futures Basis - Basis Data: The basis of each futures variety fluctuated significantly in both directions recently. Compared with before the holiday, the basis of IH and IF changed little, while the discounts of IC and IM widened significantly. The annualized basis rates of IC and IM reached around 9% and 13% respectively. The term structure changed little. The 10 - month contract had a short remaining time, and position transfer could be carried out in advance [5]. - Specific Contract Basis: The report provided the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, for the IF2510 contract, last week's basis was - 6.29, this week's basis was - 3.03, the basis change was 3.26, and the index - enhanced annualized return was 4.3% [2]. - Basis after Considering Dividends: The report also presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, adjusted basis, expected total dividend points, and annualized premium/discount rates [6]. Group 4: Trading Volume and Open Interest - Trading Volume: This week, the average daily trading volume of IH was 66,712 lots, a 17.4% increase from the previous week; IF was 143,688 lots, a 5.3% increase; IC was 153,711 lots, a 4.0% increase; IM was 237,167 lots, an 8.2% decrease [5]. - Open Interest: This week, the open interest of IH was 105,743 lots, a 6.6% increase from the previous week; IF was 278,581 lots, a 6.3% increase; IC was 260,074 lots, a 5.4% increase; IM was 356,927 lots, a 1.5% increase [5]. Group 5: Hedging Profit and Loss - Hedging Profit and Loss Data: The report provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2510 contract, last week's hedging profit and loss was - 0.56, and this week's was - 3.26 [13].