瑞达期货股指期货全景日报-20251120

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - A - share major indices closed down collectively, with small - and medium - cap stocks weaker than large - cap blue - chips. The Shanghai Composite Index fell 0.4%, the Shenzhen Component Index fell 0.76%, and the ChiNext Index fell 1.12%. The trading volume of the Shanghai and Shenzhen stock markets declined slightly, and over 3800 stocks fell. The economic fundamentals in October showed a significant decline in domestic imports and exports, fixed investment, social retail, and industrial added value above designated size. The fixed investment declined for 7 consecutive months, and social retail declined for 5 consecutive months. The real estate market continued to decline rapidly. The M1 - M2 scissors gap ended its 5 - month upward trend. The 11 - month LPR remained unchanged for the 6th consecutive month, indicating a prudent monetary policy and a low possibility of significant reserve requirement ratio cuts and interest rate cuts this year. In the current macro - data, performance, and policy vacuum period, the market is expected to show a random walk, and stock index futures will remain volatile [2] 3. Summary by Relevant Catalogs 3.1 Futures Contract Price and Spread - IF main contract (2512) was at 4539.2, down 31.6; IF sub - main contract (2511) was at 4558.0, down 28.8. IH main contract (2512) was at 3002.6, down 14.8; IH sub - main contract (2511) was at 3008.6, down 14.8. IC main contract (2512) was at 7000.0, down 59.6; IC sub - main contract (2511) was at 7063.4, down 63.0. IM main contract (2512) was at 7263.6, down 35.2; IM sub - main contract (2511) was at 7347.6, down 41.6. The IF - IH current - month contract spread was 1549.4, down 16.0; the IC - IF current - month contract spread was 2505.4, down 27.8. The IM - IC current - month contract spread was 284.2, up 10.4; the IC - IH current - month contract spread was 4054.8, down 43.8. The IM - IF current - month contract spread was 2789.6, down 17.4; the IM - IH current - month contract spread was 4339.0, down 33.4 [2] 3.2 Futures Seasonal Spread - IF current - quarter minus current - month was - 51.8, down 0.6; IF next - quarter minus current - month was - 97, down 2.6. IH current - quarter minus current - month was - 13.0, down 1.4; IH next - quarter minus current - month was - 23.4, down 1.6. IC current - quarter minus current - month was - 242.0, down 0.8; IC next - quarter minus current - month was - 448.4, up 4.2. IM current - quarter minus current - month was - 312.4, up 9.2; IM next - quarter minus current - month was - 540.6, up 11.2 [2] 3.3 Futures Net Positions of Top 20 Holders - IF top 20 net positions were - 22,242.00, down 2488.0; IH top 20 net positions were - 13,615.00, down 598.0. IC top 20 net positions were - 24,823.00, up 1777.0; IM top 20 net positions were - 34,271.00, up 1773.0 [2] 3.4 Spot Price and Basis - The spot price of CSI 300 was 4564.95, down 23.3; the IF main contract basis was - 25.8, down 2.7. The spot price of SSE 50 was 3008.3, down 12.1; the IH main contract basis was - 5.7, up 3.7. The spot price of CSI 500 was 7062.0, down 60.8; the IC main contract basis was - 61.9, up 6.0. The spot price of CSI 1000 was 7340.4, down 46.8; the IM main contract basis was - 76.8, up 12.2 [2] 3.5 Market Sentiment Indicators - A - share trading volume was 17,226.35 billion yuan, down 200.31 billion yuan. Margin trading balance was 24,979.40 billion yuan, down 47.70 billion yuan. North - bound trading volume was 1912.86 billion yuan, down 268.87 billion yuan. Reverse repurchase had a maturity of - 1900.0 billion yuan and an operation volume of + 3000.0 billion yuan. Main funds were - 513.07 billion yuan, down 592.44 billion yuan. The proportion of rising stocks was 22.66%, up 0.69%. Shibor was 1.364%, down 0.056%. IO at - the - money call option closing price was 25.00, down 16.40; IO at - the - money call option implied volatility was 15.55%, up 1.19%. IO at - the - money put option closing price was 12.60, up 0.60; IO at - the - money put option implied volatility was 15.55%, up 1.06%. CSI 300 index 20 - day volatility was 14.42%, up 0.06%. Volume PCR was 60.45%, down 11.30. Position PCR was 78.46%, down 1.21. The Wind market strength of all A - shares was 3.40, up 0.10; the technical aspect was 2.70, up 0.60. The capital aspect was 4.20, down 0.30 [2] 3.6 Industry News - The Fed's October policy meeting minutes showed serious differences among policymakers when cutting interest rates last month. Many officials thought it "might be appropriate" to keep interest rates unchanged for the rest of 2025, while some officials said another rate cut in December "was likely appropriate" if the economy performed as expected. There was almost unanimous agreement to stop the quantitative tightening (QT) of balance - sheet reduction. Some were worried about the disorderly decline of the stock market. The People's Bank of China announced on November 20 that the 1 - year LPR was 3.0% (unchanged from the previous time), and the over - 5 - year LPR was 3.5% (unchanged from the previous time) [2] 3.7 Key Data to Focus On - At 21:30 on November 20, pay attention to the US September non - farm payroll data, unemployment rate, and labor participation rate [3]