申万期货品种策略日报——股指-20260317

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The U.S. three major indices rebounded, and the stock index bottomed out and rebounded in the previous trading day. The food and beverage sector led the gains, while the steel sector led the losses. The market turnover was 2.34 trillion yuan. Starting from March, 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 "selecting alpha" stage, with pure theme stocks and small - and medium - cap stocks without performance support likely to remain weak, while policy - beneficiary and performance - improving sectors may have sustainable opportunities. In the long run, the stock index trend will still return to China's domestic fundamentals and policies, and after the geopolitical risk eases, the stock index is expected to return to a volatile upward trend [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Market - IF Contracts: The closing prices of IF contracts on the previous day were 4662.80 (current month), 4644.60 (next month), 4589.00 (next quarter), and 4510.00 (next - next quarter). The price changes were 3.00, 3.40, 1.60, and - 2.60 respectively, and the trading volumes were 67565.00, 8100.00, 34844.00, and 13853.00. The changes in open interest were - 8940.00, 2576.00, 4231.00, and 4227.00 [1] - IH Contracts: The closing prices of IH contracts on the previous day were 2952.00 (current month), 2948.80 (next month), 2942.20 (next quarter), and 2906.00 (next - next quarter). The price changes were - 7.60, - 11.20, - 6.00, and - 3.20 respectively, and the trading volumes were 32801.00, 4685.00, 17689.00, and 5129.00. The changes in open interest were - 2343.00, 1027.00, 6466.00, and 955.00 [1] - IC Contracts: The closing prices of IC contracts on the previous day were 8178.40 (current month), 8136.80 (next month), 8003.40 (next quarter), and 7838.80 (next - next quarter). The price changes were - 51.40, - 45.80, - 45.00, and - 43.20 respectively, and the trading volumes were 81995.00, 13846.00, 55370.00, and 18568.00. The changes in open interest were - 5205.00, 5852.00, 6550.00, and 2365.00 [1] - IM Contracts: The closing prices of IM contracts on the previous day were 8187.00 (current month), 8121.00 (next month), 7952.80 (next quarter), and 7742.80 (next - next quarter). The price changes were - 17.00, - 16.20, - 14.00, and - 18.20 respectively, and the trading volumes were 112837.00, 17143.00, 66103.00, and 22696.00. The changes in open interest were - 11071.00, 3871.00, 9638.00, and 3016.00 [1] - Inter - month Spreads: The current inter - month spreads of IF (next month - current month), IH (next month - current month), IC (next month - current month), and IM (next month - current month) were - 18.20, - 3.20, - 41.60, and - 66.00 respectively, compared with the previous values of - 14.80, - 1.80, - 48.80, and - 69.40 [1] 3.2 Stock Index Spot Market - Major Indexes: The closing prices of the CSI 300, SSE 50, CSI 500, and CSI 1000 on the previous day were 4671.56, 2954.09, 8185.15, and 8211.35 respectively, with price changes of 0.05, - 0.09, - 0.66, and - 0.04 respectively. The trading volumes (in billions of lots) were 296.22, 59.60, 256.21, and 311.53, and the total trading amounts (in billions of yuan) were 5987.99, 1438.62, 4607.97, and 4891.25 [1] - Industry Indexes: Among different industries, the energy, raw materials, and industrial sectors had price declines of - 1.19%, - 3.26%, and - 0.24% respectively, while the optional consumption, major consumption, and pharmaceutical and healthcare sectors had price increases of 0.76%, 2.09%, and 0.36% respectively [1] 3.3 Futures - Spot Basis - IF Contracts: The basis of IF contracts (current month - CSI 300, next month - CSI 300, next quarter - CSI 300, next - next quarter - CSI 300) on the previous day were - 8.76, - 26.96, - 82.56, and - 161.56 respectively, compared with the previous two - day values of - 11.14, - 25.94, - 85.54, and - 160.74 [1] - IH Contracts: The basis of IH contracts (current month - SSE 50, next month - SSE 50, next quarter - SSE 50, next - next quarter - SSE 50) on the previous day were - 2.09, - 5.29, - 11.89, and - 48.09 respectively, compared with the previous two - day values of 0.15, - 1.65, - 11.05, and - 50.25 [1] - IC Contracts: The basis of IC contracts (current month - CSI 500, next month - CSI 500, next quarter - CSI 500, next - next quarter - CSI 500) on the previous day were - 6.75, - 48.35, - 181.75, and - 346.35 respectively, compared with the previous two - day values of - 26.00, - 74.80, - 209.00, and - 376.40 [1] - IM Contracts: The basis of IM contracts (current month - CSI 1000, next month - CSI 1000, next quarter - CSI 1000, next - next quarter - CSI 1000) on the previous day were - 24.35, - 90.35, - 258.55, and - 468.55 respectively, compared with the previous two - day values of - 27.29, - 96.69, - 263.09, and - 468.29 [1] 3.4 Other Domestic and Overseas Indexes - Domestic Indexes: The closing prices of the Shanghai Composite Index, Shenzhen Component Index, Small and Medium - sized Board Index, and ChiNext Index on the previous day were 4084.79, 14307.58, 8755.90, and 3357.02 respectively, with price changes of - 0.26%, 0.19%, 0.07%, and 1.41% respectively [1] - Overseas Indexes: The closing prices of the Hang Seng Index, Nikkei 225, S&P 500, and DAX Index on the previous day were 25834.02, 53751.15, 6699.38, and 23564.01 respectively, with price changes of 1.45%, - 0.13%, 1.01%, and 0.50% respectively [1] 3.5 Macroeconomic Information - Sino - U.S. Economic and Trade Consultation: China and the U.S. held economic and trade consultations in Paris, France. They had in - depth and constructive exchanges on issues such as tariff arrangements, promoting bilateral trade and investment, and maintaining existing consultation consensuses, reaching some new consensuses and agreeing to continue consultations. They also agreed to study the establishment of a cooperation mechanism to promote bilateral trade and investment. China will take necessary measures to safeguard its legitimate rights and interests [2] - China's Economic Data: In the first two months of 2026, China's national fixed - asset investment increased by 1.8% year - on - year, and after excluding real estate development investment, it increased by 5.2%, while real estate development investment decreased by 11.1%. The added value of industrial enterprises above the designated size increased by 6.3%, the service industry production index increased by 5.2%, and the total retail sales of consumer goods increased by 2.8% [2] - U.S. News: U.S. President Trump said that after the military strike on the main oil export hub of Iran, attacking the island's oil infrastructure was still an option. He hoped that European countries, Japan, and South Korea would assist in ensuring the safety of navigation in the Strait of Hormuz, but German Chancellor Merz refused. Trump also called on the Federal Reserve to hold a "special meeting" to cut interest rates and criticized Fed Chairman Powell, asking for an "immediate" rate cut. Meanwhile, the U.S. Department of Justice requested a federal judge to reconsider the decision to revoke the subpoena for Fed Chairman Powell [2] 3.6 Industry Information - Nvidia: At the GTC 2026 conference, Nvidia CEO Huang Renxun announced multiple major technological breakthroughs, including the DLSS 5 real - time neural rendering model, the Feynman next - generation AI chip architecture, the prediction of AI chip revenue, the introduction of AI computing into the orbital data center through the space computing platform, and the open - source NemoClaw AI agent platform. He emphasized that AI has become the "key infrastructure of the new industrial era" [2] - Real Estate: In February 2026, the month - on - month decline in housing prices in various cities continued to narrow. The number of cities with rising or flat new - home prices increased by 9 compared with January. In first - tier cities, new - home prices turned flat from a decline, with Beijing and Shanghai rising by 0.2%, Guangzhou remaining flat, and Shenzhen falling by 0.3%. The month - on - month decline in second - hand home prices in first - tier cities was 0.1%, with the decline narrowing by 0.4 percentage points, while second - and third - tier cities fell by 0.4% and 0.5% respectively. Shanghai adjusted the minimum down - payment ratio for commercial housing loans to 30% on March 16, and the second - hand housing online signing volume in Shanghai last week reached 7233 units, a new high since 2021 [2] - Hydrogen Energy: The Ministry of Industry and Information Technology and other three departments deployed hydrogen energy comprehensive application pilot projects, with city clusters as the pilot subjects. The goal is to reduce hydrogen energy costs through large - scale applications in multiple scenarios such as industry and transportation, and the reward limit for a single city - cluster pilot project is no more than 1.6 billion yuan [2]