申万期货品种策略日报——股指-20260304

Report Summary 1. Report Industry Investment Rating - No industry investment rating is provided in the report [1][2] 2. Core View of the Report - Affected by geopolitical factors, US stocks continued to decline significantly, and A - shares fell again in the previous trading day. The defense and military industry sector led the decline, while the petroleum and petrochemical sector led the rise, with a market turnover of 3.16 trillion yuan. From March onwards, as listed companies gradually disclose their annual and first - quarter reports, industry leaders with strong performance certainty will attract funds, driving the market from "expectation - driven" to "profit - driven". The market will enter the "alpha selection" stage, with pure concept stocks and small - cap stocks without performance support likely to remain weak, while policy - beneficiary and performance - improving sectors may have sustainable opportunities. In the short term, due to geopolitical disturbances, the risk - aversion sentiment has increased, and the risk preference has declined. In the long run, the stock index trend will return to the domestic fundamentals, focusing on the resonance effect of policy implementation and industry catalysis, and funds are likely to continue to focus on high - growth sectors to consolidate the market's structural trend [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Market - IF Contracts: The previous day's closing prices of IF contracts (current month, next month, next quarter, and far - quarter) were 4651.40, 4639.40, 4606.60, and 4541.20 respectively, with declines of 60.60, 64.40, 59.40, and 61.20, and decline rates of 1.29%, 1.37%, 1.27%, and 1.33% respectively. The trading volumes were 107068.00, 7207.00, 37297.00, and 15057.00, and the open interests were 145903.00, 7122.00, 94886.00, and 40016.00, with changes of - 4542.00, 1534.00, 2246.00, and 1146.00 respectively [1] - IH Contracts: The previous day's closing prices of IH contracts (current month, next month, next quarter, and far - quarter) were 3019.00, 3016.40, 3010.20, and 2972.80 respectively, with declines of 25.20, 28.40, 27.80, and 30.60, and decline rates of 0.83%, 0.93%, 0.92%, and 1.02% respectively. The trading volumes were 52257.00, 3366.00, 16224.00, and 7126.00, and the open interests were 62121.00, 4171.00, 31817.00, and 16433.00, with changes of 580.00, 525.00, - 121.00, and 694.00 respectively [1] - IC Contracts: The previous day's closing prices of IC contracts (current month, next month, next quarter, and far - quarter) were 8266.20, 8214.80, 8136.20, and 7993.20 respectively, with declines of 366.40, 393.60, 374.20, and 368.20, and decline rates of 4.24%, 4.57%, 4.40%, and 4.40% respectively. The trading volumes were 150232.00, 11368.00, 72049.00, and 27683.00, and the open interests were 148457.00, 11245.00, 116607.00, and 55794.00, with changes of 5416.00, 2770.00, 7095.00, and 5201.00 respectively [1] - IM Contracts: The previous day's closing prices of IM contracts (current month, next month, next quarter, and far - quarter) were 8129.40, 8089.00, 7949.40, and 7766.80 respectively, with declines of 300.60, 297.20, 286.80, and 271.40, and decline rates of 3.57%, 3.54%, 3.48%, and 3.38% respectively. The trading volumes were 179978.00, 15339.00, 68726.00, and 29646.00, and the open interests were 185852.00, 16170.00, 125408.00, and 74477.00, with changes of 4833.00, 5535.00, 4766.00, and 3778.00 respectively [1] - Inter - month Spreads: The current values of inter - month spreads for IF, IH, IC, and IM contracts were - 12.00, - 2.60, - 51.40, and - 40.40 respectively, compared with the previous values of - 8.60, - 2.00, - 24.00, and - 43.60 [1] 3.2 Stock Index Spot Market - CSI 300 Index: The previous day's index value was 4655.90, with a trading volume of 370.62 billion lots and a total trading value of 8016.59 billion yuan, a decline of 1.54% compared to the previous two - day value [1] - SSE 50 Index: The previous day's index value was 3014.27, with a trading volume of 104.83 billion lots and a total trading value of 2217.06 billion yuan, a decline of 1.06% compared to the previous two - day value [1] - CSI 500 Index: The previous day's index value was 8281.61, with a trading volume of 346.15 billion lots and a total trading value of 6346.60 billion yuan, a decline of 4.35% compared to the previous two - day value [1] - CSI 1000 Index: The previous day's index value was 8142.45, with a trading volume of 390.19 billion lots and a total trading value of 6648.64 billion yuan, a decline of 3.95% compared to the previous two - day value [1] - CSI 300 Industry Index: The decline rates of major consumer, pharmaceutical and healthcare, real estate and finance, and information technology sectors were - 0.47%, - 1.45%, 0.42%, and - 4.30% respectively. The decline rates of telecommunications services and public utilities sectors were - 1.88% and 1.03% respectively [1] 3.3 Futures - Spot Basis - CSI 300: The previous day's values of the basis for IF contracts (current month, next month, next quarter, and far - quarter) were - 4.50, - 16.50, - 49.30, and - 114.70 respectively [1] - SSE 50: The previous day's values of the basis for IH contracts (current month, next month, next quarter, and far - quarter) were 4.73, 2.13, - 4.07, etc. [1] - CSI 500: The previous day's values of the basis for IC contracts (current month, next month, next quarter, and far - quarter) were - 15.41, - 66.81, - 145.41, etc. [1] - CSI 1000: The previous day's values of the basis for IM contracts (current month, next month, next quarter, and far - quarter) were - 13.05, - 53.45, - 193.05, - 375.65 respectively [1] 3.4 Other Domestic and Overseas Major Indices - Domestic Indices: The decline rates of the Shanghai Composite Index, Shenzhen Component Index, Small and Medium - Sized Board Index, and ChiNext Index were - 1.43%, - 3.07%, - 3.16%, and - 2.57% respectively [1] - Overseas Indices: The decline rates of the Hang Seng Index, Nikkei 225, S&P Index, and DAX Index were - 1.12%, - 3.06%, - 0.94%, and - 3.57% respectively [1] 3.5 Macro Information - The 2026 National Two Sessions are about to start. The Fourth Session of the 14th National Committee of the Chinese People's Political Consultative Conference will be held from March 4th to 11th, and the Fourth Session of the 14th National People's Congress will open on March 5th [2] - The spokesperson of the National Committee of the Chinese People's Political Consultative Conference said that China's economy has a stable foundation, many advantages, strong resilience, and great potential, and the long - term positive support conditions and basic trends remain unchanged [2] - China's foreign ministry and foreign minister expressed their positions on the Middle East issue, urging all parties to stop military actions and maintain energy security [2] - US President Trump made a series of tough statements during his meeting with the German Chancellor, including on the Iran situation, European ally relations, and oil prices [2] 3.6 Industry Information - Six departments including the Ministry of Industry and Information Technology jointly issued a guidance on promoting the comprehensive utilization of photovoltaic modules [2] - The National Energy Administration emphasized ensuring power supply in the "15th Five - Year Plan", promoting energy transformation, and building a unified power market [2] - In 2025, China's primary energy production exceeded 500 million tons of standard coal, and non - fossil energy became the main source of new power generation [2] - Due to the tense situation in the Middle East, the traffic volume in the Strait of Hormuz has dropped sharply, and logistics in the region has come to a standstill [2]