基差方向周度预测-20251017

1. Report's Investment Rating for the Industry - There is no information about the industry investment rating in the provided content. 2. Core Viewpoints of the Report - Last weekend, external relations fluctuated, with two - way sanctions escalating and then warming up. The A - share market opened sharply lower and then rebounded on Monday, followed by intensified two - way fluctuations. The trading volume of the entire A - share market shrank below 2 trillion for the first time since August. The margin balance remained firm with daily small net inflows, but over - heated sentiment could lead to a run - on style correction. Overseas banking risks resurfaced, causing a decline in risk appetite and impacts on the domestic market. Powell's dovish speech strengthened the market's expectation of a rate cut in October. Overall, the market risk preference continued to decline, broad - based indexes fell with shrinking volume, and the market style tilted towards large - cap value. [2] - This week, the basis continued to be highly volatile. As of Friday, the basis of each variety declined compared to last week. The premium of IH narrowed to about 0.6%, and the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, while the discount of IM was basically the same as last week. The October contract expired, and the term structure of the remaining contracts was flat with similar hedging costs. [2] - The model predicts that the basis of IH, IF, and IC will strengthen next week, while the basis of IM will weaken. [4] 3. Summary by Relevant Catalogs 3.1 Market Situation This Week - A - share market: Opened sharply lower and rebounded on Monday, with intensified two - way fluctuations later. The trading volume shrank below 2 trillion for the first time since August. The margin balance had daily small net inflows, and over - heated sentiment might cause a correction. [2] - Overseas market: Banking risks resurfaced, leading to a decline in risk appetite, a rise in gold prices above $4300, an increase in US Treasury yields, and a surge in VIX, which also affected the domestic market. [2] - Market style: Tilted towards large - cap value. The weekly decline of the Shanghai Composite 50 was only 0.24%, while the CSI 500 and CSI 1000 fell nearly 5%, and the ChiNext and STAR Market continued to decline by nearly 6%. [2] - Basis situation: Highly volatile. The premium of IH narrowed to about 0.6%, the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, and the discount of IM was basically unchanged. The October contract expired, and the term structure of the remaining contracts was flat with similar hedging costs. [2] 3.2 Basis Movement Prediction for Next Week - The model predicts that the basis of IH, IF, and IC will strengthen, while the basis of IM will weaken. [4]