股指对冲周报-20251017

Report Information - Report Title: Stock Index Hedging Weekly Report - Report Date: October 17, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Market risk appetite continued to decline this week, with broad - based indexes falling on shrinking volume, and the market style tilted towards large - cap value. The Shanghai Composite 50 index fell only 0.24% this week, while the CSI 500 and CSI 1000 tumbled nearly 5%, and the Sci - tech Innovation and ChiNext sectors continued to decline, with a weekly decline of nearly 6% [4]. - The basis continued its high - volatility pattern this week. As of Friday, the basis of each variety decreased compared with last week. 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 the same as last week [4]. Summary by Directory 1. Stock Index Futures Basis Situation - Futures Basis Data: 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, in the IF2510 contract, the basis changed from - 3.03 last week to 25.37 this week, with a change of 28.40 [2]. - Market Conditions and Basis Analysis: After the external relations fluctuated last weekend, the A - share market showed a complex trend. The overall market risk appetite declined, and the basis was highly volatile. The term structure of the remaining contracts was flat after the October contracts expired, and the hedging costs were similar [4]. - Trading Volume and Open Interest: This week, the average daily trading volume of IH was 78,080 contracts, a 17.0% increase from the previous week, and the open interest was 97,922 contracts, a 7.4% decrease. Similar data were provided for IF, IC, and IM [5]. - Basis after Considering Dividends: Presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - Hedging Profit and Loss Data: Provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, the hedging profit and loss of the IF2510 contract changed from - 3.26 last week to - 28.40 this week [11]. - Hedging Profit and Loss Charts: Presented the 60 - trading - day cumulative hedging profit and loss charts of IF, IH, IC, and IM [10].