股指分红点位监控周报：10月合约即将到期，IC及IM合约深度贴水-20251014

• The report introduces a method for calculating index dividend points, which is crucial for accurately estimating the premium or discount of stock index futures contracts. The calculation considers the dividend impact of index constituent stocks on the index level. The formula for dividend points is: $ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Component Stock Weight} \times \text{Index Closing Price} \right) $ Here, $N$ represents the number of constituent stocks, and the dividend date must fall between the current date $t$ and the futures contract expiration date $T$[42][43][45] - The report discusses the estimation of component stock weights, which are essential for calculating dividend points. The weights are adjusted dynamically based on the non-reinvested price changes of the stocks. The formula for estimating the weight of a stock $n$ at time $t$ is: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ Here, $w_{n0}$ is the weight of stock $n$ at the last disclosed date $t_0$, and $r_{n}$ is the non-reinvested price change of stock $n$ between $t_0$ and $t$[46] - The report explains the estimation of dividend amounts for constituent stocks. If the dividend amount is not disclosed, it is estimated using the formula: $ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $ Net profit is predicted based on historical profit distribution patterns, and the dividend payout ratio is estimated using historical averages or previous years' data[48][51][52] - The report provides a method for predicting the ex-dividend date of constituent stocks. If the ex-dividend date is not disclosed, it is estimated using historical intervals between dividend announcement dates and ex-dividend dates. If historical data is insufficient or unreliable, default dates are used based on typical dividend schedules[52][57] - The accuracy of the index dividend point estimation model is analyzed. For the Shanghai Stock Exchange 50 Index and CSI 300 Index, the annual prediction error is approximately 5 points, while for the CSI 500 Index, the error is around 10 points. The model demonstrates high accuracy for predicting dividend points of stock index futures contracts, with the Shanghai Stock Exchange 50 and CSI 300 showing the best results[58][62] - The report tracks the premium and discount levels of stock index futures contracts, considering the impact of dividends. It analyzes daily basis spreads, the trend of premium/discount for main contracts, the term structure of basis spreads, and the historical percentile levels of current basis spreads. For example, as of October 14, 2025, the IH main contract is at the 72% historical percentile, IF at 73%, IC at 27%, and IM at 36%[13][27][31] - The report provides detailed data on the annualized premium/discount rates for various stock index futures contracts as of October 14, 2025. For IH, the annualized premium ranges from 1.15% to 20.26%; for IF, it ranges from -1.93% to 11.39%; for IC, it ranges from -11.13% to -67.88%; and for IM, it ranges from -14.11% to -52.57%[14]