股指期货：变数仍多，延续整固

Group 1: Report Overview - Report title: "Stock Index Futures: Many Variables, Continued Consolidation" [2] - Report date: March 23, 2026 [1] - Analyst: Mao Lei [3] Group 2: Market Review and Outlook - Last week, the market continued to adjust. CSI 500 and CSI 1000 had the largest declines, while SSE 50 and SSE 300 had slightly narrower declines. The ChiNext Index hit a new high in the current rebound last Friday [3]. - Only the communication and banking sectors rose. The sectors with smaller declines were mainly large-cap stocks and some dividend varieties. Food and beverage, public utilities, and coal had the smallest declines, while non-ferrous metals, basic chemicals, and steel had the largest declines [3]. - Investors are increasingly worried that the conflict between the US, Israel, and Iran will turn into a long-lasting war, and re-inflation concerns continue. The euro interest rate swap market has priced in two 25-basis-point interest rate hikes by the European Central Bank in 2026 [3]. - The global financial market has adjusted significantly. US stocks have fallen for four consecutive weeks, the longest losing streak in a year. The European and American bond markets have been hit hard. Gold prices have recorded the largest single-week decline since 1983 due to factors such as liquidity demand [3]. - In the later stage, the core driver is still the situation in the Middle East. Although global risk assets have adjusted recently, funds are still in a wait-and-see state without panic. If the Strait of Hormuz remains blocked, oil transportation will be hindered, and the inflationary pressure caused by rising oil prices may further disrupt the market. Currently, the yields of 2-year and 5-year US Treasury bonds have risen by 30 basis points, a milder increase compared to the Russia-Ukraine conflict. On the other hand, if the situation develops in a direction conducive to lower oil prices, the market may rebound significantly. Due to the high dependence of the market on the situation, cautious trading is recommended [4]. - Factors to watch: the situation in the Middle East, the Fed's policy expectations, etc. [5] Group 3: Strategy Recommendations - Short-term strategy: The intraday trading frequency can refer to the 1-minute and 5-minute K-line charts. The stop-loss and take-profit levels for IF, IH, IC, and IM can be set at 93 points/70 points, 74 points/44 points, 205 points/246 points, and 246 points/205 points respectively [6]. - Trend strategy: Adopt an interval approach. It is expected that the core operating range of the IF2604 main contract is between 4427 and 4631 points; the IH2604 main contract is between 2809 and 2939 points; the IC2604 main contract is between 7389 and 7966 points; and the IM2604 main contract is between 7457 and 8037 points [6]. - Cross-variety strategy: Hold the strategy of going long on IF (or IH) and shorting IC (or IM) [6] Group 4: Spot Market Review - US stocks: Last week, the Dow Jones Industrial Average fell 2.11%, the S&P 500 Index fell 1.9%, and the Nasdaq Composite Index fell 2.07% [11]. - European stocks: The UK's FTSE 100 Index fell 3.34%, Germany's DAX Index fell 4.55%, and France's CAC 40 Index fell 3.11% [11]. - Asia-Pacific markets: Japan's Nikkei 225 Index fell 0.83%, and Hong Kong's Hang Seng Index fell 0.74% [11]. - Other markets: The Australian S&P/ASX 200 Index fell 2.19%, the Singapore Straits Times Index rose 2.20%, Russia's RTS Index remained unchanged, Brazil's BOVESPA Index fell 0.81%, and Taiwan's Weighted Index rose 0.43% [11]. Group 5: Stock Index Futures Market Review - Last week, the IC main contract of stock index futures had the largest decline and the largest amplitude [15]. - The trading volume of stock index futures decreased, while the open interest increased [15]. Group 6: Index Valuation Tracking - As of March 13, the price-to-earnings ratio (TTM) of the Shanghai Composite Index was 17.1 times, the S&P 300 Index was 14.23 times, the SSE 50 Index was 11.5 times, the CSI 500 Index was 37.53 times, and the CSI 1000 Index was 50.77 times [16][18] Group 7: Market Capital Flow Review - The margin trading balance of the two markets and the share of newly established equity funds are presented in the report [18]. - Last week, the capital interest rate remained flat, and the central bank had a net injection [19]