Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The central bank's third - quarter monetary policy report indicates a natural decline in financial aggregate growth, and mentions points such as diluting quantitative targets of monetary policy, maintaining a reasonable interest - rate ratio, and developing the "science and technology board" of the bond market. October's CPI and PPI both rebounded, with contributions from low - base effects and the effectiveness of policies. The US government's shutdown ended, but there may be another shutdown in two months. Market trading has shifted to the theme of interest - rate cuts, and the Fed's hawkish remarks have affected the market. The overall A - share trading volume remained stable, with the Shanghai Composite Index reaching a new high but then falling, and different indices showing various performances [4]. - The recent basis fluctuations are still small, with the annualized basis of all varieties decreasing compared to last week. IH has switched to a small - scale discount state, and the term structure has become steeper, with far - month contracts having greater advantages in hedging costs [5]. 3. Summary by Relevant Sections 3.1. Stock Index Futures Basis Situation - Basis Data: The report provides 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 IF2511 contract, last week's basis was - 5.79, this week's basis is - 14.14, the basis change is - 8.35, and the index - enhanced annualized return is 14.3% [2]. - Basis Fluctuation and State: The recent basis fluctuation range is small, and the annualized basis of each variety has decreased compared to last week. IH has switched to a small - scale discount state, and IF, IC, and IM have annualized discounts of around 3%, 11%, and 14% respectively [5]. - Trading Volume and Open Interest: This week, the average daily trading volume of IH increased by 2.9% week - on - week, and the open interest increased by 6.8%; the average daily trading volume of IF increased by 2.2% week - on - week, and the open interest increased by 2.9%; the average daily trading volume of IC decreased by 6.3% week - on - week, and the open interest increased by 1.9%; the average daily trading volume of IM decreased by 5.5% week - on - week, and the open interest increased by 0.2% [5]. - Basis after Considering Dividends: The report also presents the basis situation after considering dividends for different indices, including the closing price, basis after considering dividends, expected total dividend points, and annualized premium or discount rate [6]. 3.2. Hedging Profit and Loss - Hedging Profit and Loss Data: The report provides the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2511 contract, last week's hedging profit and loss was 6.13, and this week's is 8.35 [12]. - Visualization of Hedging Profit and Loss: There are charts showing the 60 - trading - day cumulative hedging profit and loss of IF, IH, IC, and IM contracts [11].
股指对冲周报-20251114
Guo Tai Jun An Qi Huo·2025-11-14 12:43