股指期货周报：ICIM加速上行-20260126

Report Title - "Stock Index Futures Weekly Report: IC and IM Accelerate Upward" [1] Report Industry Investment Rating - Not provided Core Viewpoints of the Report - The market enthusiasm has risen again after a week of cooling of thematic hotspots, and the upward trend is expected to continue due to high trading volume and sufficient funds. The differentiation of stock indexes may further strengthen investors' expectations, leading funds to flow into non-300 component stocks. It is still optimistic about the CSI 500 and CSI 1000 indexes. In the futures market, the large premium of the near - month contracts of IC and IM indicates investors' optimism about the future market, but also increases the cost of going long in futures [5]. Summary by Relevant Catalogs Part 1: Weekly Core Points Analysis and Strategy Recommendations - Weekend News - US President Trump will visit China in April, and China's Foreign Ministry spokesperson said that stable Sino - US relations are in the common interests of the two peoples and the international community [4]. - The China Securities Regulatory Commission and the Asset Management Association of China issued relevant regulations on the performance comparison benchmarks of public - offering securities investment funds, focusing on four aspects: accurate portrayal, full - process supervision, linking with compensation, and information transparency [4]. - The news that the CSRC will tighten the listing threshold for mainland enterprises in Hong Kong is false, and the current overseas listing policy remains unchanged [4]. - As of the end of 2025, the existing scale of the banking wealth - management market was 33.29 trillion yuan, a year - on - year increase of 11.15%. In 2025, the overall income of wealth - management products was stable, with a cumulative income of 730.3 billion yuan for investors, a year - on - year increase of 2.87% [4]. - Comprehensive Analysis and Strategy Recommendations - Logic: After a week of cooling, thematic hotspots regained momentum in the second half of the week. The CSI 500 and CSI 1000 indexes continued to reach new highs, and the market trading volume remained high, with the trading volume exceeding 3 trillion yuan again on Friday [5]. - Outlook: During the concentrated disclosure period of annual report forecasts, the market treats performance growth positively. The differentiation of stock indexes may strengthen investors' expectations, and the rotation of various industry and theme ETFs will continue to drive the rotation of sectors. It is still optimistic about the CSI 500 and CSI 1000 indexes [5]. - Strategy: Unilateral strategy is to go long on IC and IM at low prices; arbitrage strategy is the spot - futures arbitrage of "IM long 2609 + short ETF"; option strategy is the bull spread [5][6]. Part 2: Weekly Data Tracking - A - share Index Performance - This week, the performance of stock indexes was differentiated. The large - cap indexes were under obvious pressure, while the small - and medium - cap indexes accelerated their rise. The CSI 300 fell 0.62%, the SSE 50 fell 1.54%, the CSI 500 rose 4.34%, and the CSI 1000 rose 2.89% [17]. - A - share Trading Volume - This week, the A - share market trading volume first declined and then rose, reaching 3 trillion yuan again on Friday. The total weekly trading volume was 13.86 trillion yuan, and the average daily trading volume decreased by 19% compared with last week. The trading volume ratios of the main indexes remained stable, with a slight increase in the trading volume ratios of the CSI 1000 and CSI 500 indexes [22]. - A - share Individual Stock Rise - Fall Situation - The market was in a good state, with more rising stocks than falling stocks. The proportion of rising stocks in the second half of the week was continuously higher than 50% and kept rising. The proportion of limit - down stocks continued to decline, reaching a recent low on Friday, while the proportion of limit - up stocks continued to rise, exceeding 2% again [29]. - A - share Margin Trading Situation - This week, the margin trading balance in the A - share market remained at a high level, exceeding 2.7 trillion yuan again on Thursday, accounting for 2.6% of the A - share floating market value. After two consecutive days of net selling at the beginning of the week, there was net buying again. The proportion of margin trading purchases in the A - share trading volume continued to fall below 10% [34]. - A - share Industry Performance - Industry Weekly Rise - Fall: The rise - fall ranges of different industries varied, with some industries rising significantly and some falling [37]. - Industry Heat: The total heat change rates and total heats of different industries showed different trends [39]. - Industry Capital Flow: The weekly net capital inflows and weekly net margin trading inflows of different industries also showed different situations [42]. - Stock Index Futures Data - Basis Change: The basis of different stock index futures contracts showed different changes [48]. - Trading Volume and Open Interest Change: The trading volumes and open interests of different stock index futures contracts showed different trends [51][52][53][54]. - Spot - Futures Trading Volume Comparison: The trading volumes of the main contracts and all contracts of different stock index futures were compared with the trading volumes of the corresponding spot indexes [57][58][59]. - Main Open Interest of Stock Index Futures: The net short - position ratios of the top five and top ten holders of different stock index futures showed different trends [62].