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股指分红点位监控周报:分红接近尾声,IC及IM合约贴水快速收窄-20250821
Guoxin Securities· 2025-08-21 01:09
- The report discusses the methodology for calculating dividend points in stock indices, emphasizing the importance of estimating the dividend impact on price indices, which are used in A-share stock index futures contracts[12][40][46] - The calculation of dividend points involves the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price} \right) $$ This formula requires the dividend amount, total market value, component stock weight, and index closing price, with the condition that the ex-dividend date falls between the current date and the contract expiration date[40] - The methodology includes steps for estimating missing data: 1. If the dividend amount is not disclosed, it is estimated using the formula: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ Net profit is predicted based on historical profit distribution, while the dividend payout ratio is estimated using historical averages[49][53] 2. If the ex-dividend date is not disclosed, it is predicted using historical intervals and linear extrapolation[53][58] - The report highlights the accuracy of the dividend point estimation model, showing that the prediction error for the Shanghai 50 and CSI 300 indices is approximately 5 points, while the error for the CSI 500 index is around 10 points[59][63] - The report evaluates the historical basis points of stock index futures contracts, showing that the IH contract is at the 82nd percentile, IF at the 69th percentile, IC at the 32nd percentile, and IM at the 39th percentile, indicating varying levels of premium or discount relative to historical levels[28]
分红接近尾声,IC及IM合约贴水快速收窄【股指分红监控】
量化藏经阁· 2025-08-21 00:25
一 、成分股分红进度 截至2025年8月20日: 上证50指数中,有4家公司处于预案阶段,0家公司处于决案阶段,1家公司进入实 施阶段,42家公司已分红,3家公司不分红; 沪深300指数中,有20家公司处于预案阶段,3家公司处于决案阶段,10家公司进 入实施阶段,242家公司已分红,25家公司不分红; 中证500指数中,有21家公司处于预案阶段,2家公司处于决案阶段,6家公司进 入实施阶段,394家公司已分红,77家公司不分红; 中证1000指数中,有44家公司处于预案阶段,3家公司处于决案阶段,2家公司进 入实施阶段,742家公司已分红,209家公司不分红。 二、行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计,其中,煤炭、银行和钢铁行业的股 息率排名前三。 三、已实现及剩余股息率 截至2025年8月20日: 上证50指数已实现股息率为2.15%,剩余股息率0.12%; 沪深300指数已实现股息率为1.71%,剩余股息率0.16%; 中证500指数已实现股息率为1.14%,剩余股息率0.05%; 中证1000指数已实现股息率为0.86%,剩余股息率0.05%。 四、股指期货升贴水情况跟踪 ...
市场稳步上行,IC及IM主力合约贴水幅度收窄【股指分红监控】
量化藏经阁· 2025-08-14 00:08
Key Points - The article provides an overview of dividend progress among major stock indices as of August 13, 2025, highlighting the number of companies in different stages of dividend announcements and implementations [1][3][18] - It compares the dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [2][4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 2.13% and a remaining yield of 0.13% [8][7] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 3.05%, while the IC and IM contracts show significant discounts [4][12] Group 1: Dividend Progress - As of August 13, 2025, the Shanghai 50 Index has 41 companies that have paid dividends, while 3 companies have not [1][3] - The CSI 300 Index has 243 companies that have paid dividends, with 25 companies not paying [1][3] - The CSI 500 Index has 397 companies that have paid dividends, with 77 companies not paying [1][3] - The CSI 1000 Index has 762 companies that have paid dividends, with 210 companies not paying [1][3] Group 2: Dividend Yield Comparison - The article presents statistics on the dividend yields of companies that have disclosed dividend plans, with coal, banking, and steel industries ranking the highest [2][4] - The median dividend yield for these sectors is highlighted, indicating strong performance in terms of returns for investors [4] Group 3: Realized and Remaining Dividend Yields - The realized dividend yields for major indices as of August 13, 2025, are as follows: - Shanghai 50 Index: 2.13%, remaining yield: 0.13% [8][7] - CSI 300 Index: 1.70%, remaining yield: 0.17% [8][7] - CSI 500 Index: 1.14%, remaining yield: 0.06% [8][7] - CSI 1000 Index: 0.87%, remaining yield: 0.04% [8][7] Group 4: Stock Index Futures Premium and Discount - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 3.05% [4][12] - The IF main contract shows a slight discount of 0.09%, while the IC and IM contracts exhibit deeper discounts of 8.05% and 8.43%, respectively [4][12]
市场稳步上行,IC及IM主力合约贴水幅度收窄
Guoxin Securities· 2025-08-13 15:02
- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the premium or discount in stock index futures contracts. The model incorporates factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][44][46] - The model calculates the dividend points for a stock index during the period from the current date (t) to the futures contract expiration date (T) using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock n}}{\text{Total Market Cap of Stock n}} \times \text{Weight of Stock n} \times \text{Index Closing Price} \right) $$ This formula ensures that only stocks with ex-dividend dates between t and T are included[38][44] - Component stock weights are dynamically adjusted using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ Here, \( w_{n0} \) represents the weight of stock \( n \) at the last disclosed date, and \( r_{n} \) is the non-adjusted return of stock \( n \) between the last disclosed date and the current date[45] - The model estimates net profit for stocks without disclosed data by categorizing companies into stable and unstable profit distribution groups. Stable companies are predicted based on historical patterns, while unstable ones use the previous year's profit as a proxy[47][50] - Dividend payout ratios are estimated using historical averages. If a company paid dividends in the previous year, that ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[51][53] - Ex-dividend dates are predicted using a linear extrapolation method based on historical intervals between announcement and ex-dividend dates. Default dates are applied if historical data is insufficient or inconsistent[51][56] - The model's accuracy was validated by comparing predicted dividend points with actual values for the Shanghai 50, CSI 300, and CSI 500 indices in 2023 and 2024. The Shanghai 50 and CSI 300 predictions showed errors within 5 points, while the CSI 500 had slightly larger errors, around 10 points[57][61][66]
股指分红点位监控周报:小微盘风格持续领涨,IC及IM合约持续深贴水-20250807
Guoxin Securities· 2025-08-07 02:58
- The report introduces a dividend point estimation model for stock indices, which is crucial for accurately assessing the premium or discount levels of stock index futures contracts. The model incorporates key variables such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][43][39] - Component stock weights are dynamically adjusted using daily closing weight data provided by the China Securities Index Company to ensure accuracy. The formula for weight adjustment is: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight at the last disclosed date, and \(r_{n}\) is the non-reinvested return of the stock[44][45] - Dividend amounts are estimated using historical net profit distributions and dividend payout ratios. If a company has disclosed its annual dividend, the disclosed value is used; otherwise, the dividend is calculated as: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is predicted based on historical quarterly profit stability, while the dividend payout ratio is derived from historical averages[46][49][50] - Ex-dividend dates are forecasted using a linear extrapolation method based on historical intervals between dividend announcement dates and ex-dividend dates. If historical data is unavailable or unreliable, default dates are applied based on typical dividend timing patterns[50][55][54] - The model demonstrates high accuracy in predicting dividend points for major indices such as the SSE 50 and CSI 300, with annual prediction errors generally within 5 points. Predictions for the CSI 500 index show slightly larger deviations, typically around 10 points[56][60][64] - Backtesting results for stock index futures contracts reveal varying levels of annualized discount rates as of August 6, 2025: - IH futures: -0.93% - IF futures: -3.52% - IC futures: -18.10% - IM futures: -15.40%[4][13][12]
股指分红点位监控周报:微盘股稳健上涨,IC及IM主力合约持续深贴水-20250730
Guoxin Securities· 2025-07-30 15:03
- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately assessing the premium or discount levels of stock index futures contracts. The calculation involves the weighted sum of dividend amounts divided by total market capitalization, adjusted by index closing prices[39][40][42] - The methodology for estimating dividend points includes key steps such as obtaining constituent stock weights, estimating dividend amounts, predicting net profits using historical distributions, and forecasting dividend payout ratios based on historical averages. Additionally, the ex-dividend date is predicted using linear extrapolation of historical intervals[42][44][47] - The formula for constituent stock weight adjustment is provided as: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight at the last disclosed date, and \(r_{n}\) denotes the non-reinvested return of stock \(n\)[45][46] - The report evaluates the accuracy of the dividend point estimation model, showing that for indices like SSE 50 and CSI 300, the annual prediction error is within 5 points, while for CSI 500, the error is slightly larger at around 10 points[57][61] - Historical data analysis reveals that the prediction model performs well for stock index futures contracts, with minimal deviation between forecasted and actual dividend points for SSE 50 and CSI 300 futures. CSI 500 futures exhibit slightly higher deviation[61][65][66]
IH及IF主力合约升水,IC及IM主力合约贴水【股指分红监控】
量化藏经阁· 2025-07-22 14:53
Group 1 - As of July 22, 2025, the dividend progress of constituent stocks in major indices shows that 40 companies in the SSE 50 Index have distributed dividends, while 3 companies have not [1] - In the CSI 300 Index, 221 companies have distributed dividends, and 26 companies have not [1] - The CSI 500 Index has 370 companies that have distributed dividends, with 77 companies not distributing [1] - The CSI 1000 Index has 735 companies that have distributed dividends, while 210 companies have not [1] Group 2 - The current dividend yield statistics indicate that the coal, banking, and steel industries rank the highest in terms of dividend yield [4] - The realized dividend yields as of July 22, 2025, are 2.04% for the SSE 50 Index, 1.56% for the CSI 300 Index, 1.09% for the CSI 500 Index, and 0.86% for the CSI 1000 Index [6][49] - The remaining dividend yields are 0.17% for the SSE 50 Index, 0.27% for the CSI 300 Index, 0.15% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3 - The annualized premium for the IH main contract is 3.30%, while the IF main contract has a premium of 2.68%. The IC main contract shows a discount of 5.68%, and the IM main contract has a discount of 9.94% as of July 22, 2025 [1] - The tracking of index futures premium and discount levels is essential for understanding market sentiment and risk preferences among institutional investors [2] Group 4 - The methodology for estimating dividend points in index futures is crucial for accurately assessing the premium and discount levels of futures contracts [28] - The report emphasizes the importance of considering the impact of constituent stock dividends on index point levels when calculating futures premiums [2][28]
ETF期权合成标的在期指多头策略中的应用
Qi Huo Ri Bao Wang· 2025-07-21 00:53
Core Viewpoint - The article discusses the significant discount in the futures market compared to previous years and the higher implied volatility of put options compared to call options, suggesting a potential pessimistic outlook among investors. It proposes a quantitative timing strategy based on the synthetic underlying price of ETF options to address these issues [1]. Group 1: Concepts of Premium and Discount - The premium and discount of stock index futures is defined as the difference between futures prices and spot prices, with a positive value indicating a premium and a negative value indicating a discount. The annualized premium rate is often used for better comparison [2]. - The seasonal discount phenomenon in stock index futures is attributed to dividend payouts from constituent stocks, which can lead to a natural decline in the index and is particularly evident from May to September [2]. Group 2: Synthetic Underlying of ETF Options - The price of the synthetic underlying for ETF options can be expressed using the call option price, strike price, and put option price. The premium or discount rate is calculated as the difference between the synthetic price and the underlying ETF price [3]. - There is a strong positive correlation (over 0.97) between the annualized premium rate of the synthetic underlying of ETF options and the annualized premium rate of stock index futures after excluding dividends, indicating that the synthetic underlying may provide a more accurate reflection of market expectations [3]. Group 3: Quantitative Timing Strategy Backtest Results - The strategy suggests that when the valuation of put options is significantly higher than that of call options, it does not necessarily indicate a market downturn. Instead, it may present a buying opportunity [4]. - The strategy is based on the premise that when the ETF synthetic underlying futures premium is at a historical low, it indicates excessive pessimism, and a potential rebound may occur, prompting a buy signal for the next trading day [4]. Group 4: Historical Backtest Performance - The strategy has shown significant outperformance compared to the underlying ETFs since 2018, with an annualized return of 19.05% and a maximum drawdown of -17.83% when trading the Huatai-PineBridge 300 ETF [6]. - The cumulative return of the timing strategy reached 142.9%, significantly higher than the 51.8% return of the IC monthly contract and 2.52% of the 500 ETF [6]. Group 5: Summary - The article highlights the relationship between the synthetic underlying of ETF options and stock index futures, emphasizing the effectiveness of a quantitative timing strategy based on the synthetic premium. The results indicate that significant discounts in the futures market do not necessarily signal a sell-off but rather present opportunities for long positions [12].
大越期货股指期货早报-20250717
Da Yue Qi Huo· 2025-07-17 02:28
Report Information - Report Title: Stock Index Futures Morning Report - July 17, 2025 [1] - Author: Du Shufang from the Investment Consulting Department of Dayue Futures [1] - Contact Information: 0575 - 85226759 [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Report's Core View - IC2507 has a discount of 10.59 points, and IM2507 has a discount of 17.66 points indicating a bearish outlook; in the bond futures market, the previous day saw a divergence in the two markets, with the weighted index adjusting, the Hong Kong stock market rising and then falling back, and the small - cap index strengthening, and the trading volume decreased (neutral); the margin trading balance increased by 4.9 billion yuan to 1.8772 trillion yuan (bullish); IH2507 has a discount of 7.3 points, and IF2507 has a discount of 9.2 points (neutral); the main contracts show IM>IC>IF>IH, and IH, IF, IM, IC, IF are above the 20 - day moving average (bullish); the main positions of IH decreased, IF increased, and IC decreased (bullish); the financial sector led by banks continued to adjust, indicating obvious short - term upward pressure, the index is oscillating at a high level, it is not recommended to chase high intraday, and appropriate reduction of positions is advisable when there is a sharp rise [3] 3. Summary by Related Catalogs 3.1 Futures Market - **Index Futures Data**: For上证50, IH2507 had a contract price of 2,733.60 with a - 0.24% change, and a discount of 7.3 points; for沪深300, IF2507 had a contract price of 3,998.00 with a - 0.29% change, and a discount of 9.2 points; for中证500, IC2507 had a contract price of 6,006.60 with a 0.04% change, and a discount of 10.59 points; for中证1000, IM2507 had a contract price of 6,444.40 with a 0.41% change, and a discount of 17.66 points [4] - **Base and Spread Charts**: There are base and spread charts for上证50 and中证500, showing historical data trends [6][9] 3.2 Spot Market - **Important Index Daily Returns**: The daily returns of important indexes such as上证综指,上证50,沪深300, etc. are presented, with the上证50 having a - 0.23% return, the沪深300 having a - 0.30% return, etc [12] - **Style Index Daily Returns**: The daily returns of style indexes such as 300周期, 300非周期, low - P/E ratio index, etc. are shown, with the 300周期 having a - 0.16% return, the small - cap index having a 0.36% return, etc [15] 3.3 Market Structure - **AH Share Premium**: The historical data of the恒生AH溢价指数 is presented, showing the premium situation of A - shares over H - shares [22] - **P/E Ratio and P/B Ratio**: The historical P/E (TTM) and P/B ratios of上证50,沪深300,中证500, and创业板指 are presented [25][27] 3.4 Market Fundamentals - **Stock Market Fund Inflow**: The historical data of A - share fund net inflow and the沪深300 index are presented, showing the relationship between fund inflow and the index [29] - **Margin Trading Balance**: The historical data of margin trading balance and the沪深300 index are presented [31] - **Northbound Capital Inflow**: The historical data of northbound capital net inflow is presented [33] - **Fund Cost**: The historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates are presented [39] 3.5 Market Sentiment - **Trading Activity**: The historical data of turnover rates (free - floating market value) of上证50,沪深300,中证500, and创业板指 are presented [42][45] - **Mutual Fund Positions**: The historical data of the positions of public - offering hybrid funds is presented [47] 3.6 Other Indicators - **Dividend Yield and Bond Yield**: The historical data of the dividend yields of index futures and the 10 - year Treasury bond yield are presented [51] - **Exchange Rate**: The historical data of the US dollar - RMB exchange rate is presented [53] - **New Account Openings and Index Tracking**: The relationship between new account openings and the上证综指 is tracked [54] - **New Fund Establishment Scale**: The changes in the new establishment scales of stock - type, hybrid, and bond - type funds are presented [56][58][60]
股指分红点位监控周报:7月合约即将到期,IC及IM合约持续深贴水-20250715
Guoxin Securities· 2025-07-15 14:52
Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model 1: Index Dividend Point Estimation Model - **Model Name**: Index Dividend Point Estimation Model - **Model Construction Idea**: The model aims to estimate the dividend points of index components to accurately calculate the futures basis and premium/discount levels by considering the impact of dividends on index points[12][39] - **Model Construction Process**: 1. **Component Stock Weight**: Adjust the weight of component stocks from the last disclosed date to the current date using the formula: $$ W_{n,t} = \frac{w_{i0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{n})} $$ where \( w_{i0} \) is the weight on the last disclosed date, and \( r_{n} \) is the non-adjusted return of the stock[45] 2. **Net Profit Prediction**: Use historical net profit distribution to dynamically predict the annual net profit of the company. If the company has disclosed annual reports or performance forecasts, use the disclosed data; otherwise, estimate based on historical data[47][50] 3. **Dividend Payout Ratio Prediction**: Use historical dividend payout ratios to estimate the current year's payout ratio. If the company has not disclosed the dividend amount, estimate it using the predicted net profit and historical payout ratio[51] 4. **Ex-Dividend Date Prediction**: Predict the ex-dividend date based on historical intervals between announcement and ex-dividend dates using linear extrapolation[55] 5. **Dividend Points Calculation**: Calculate the dividend points using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \times \text{Index Closing Price} \right) $$ where the ex-dividend date should be greater than the current date and less than or equal to the futures contract expiration date[39] - **Model Evaluation**: The model shows high accuracy in predicting dividend points for major indices like the SSE 50 and CSI 300, with minor deviations for the CSI 500 index[57][61] Model Backtesting Results - **Index Dividend Point Estimation Model**: - **SSE 50 Index**: Prediction error within 5 points[61] - **CSI 300 Index**: Prediction error within 5 points[61] - **CSI 500 Index**: Prediction error within 10 points[61] Quantitative Factors and Construction Methods Factor 1: Realized Dividend Yield - **Factor Name**: Realized Dividend Yield - **Factor Construction Idea**: Calculate the realized dividend yield of index components to monitor the dividend progress and remaining yield for the year[3][17] - **Factor Construction Process**: 1. **Realized Dividend Yield Calculation**: $$ \text{Realized Dividend Yield} = \sum_{i=1}^{N_{1}} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \right) $$ where \( N_{1} \) is the number of companies that have paid dividends[17] 2. **Remaining Dividend Yield Calculation**: $$ \text{Remaining Dividend Yield} = \sum_{i=1}^{N_{2}} \left( \frac{\text{Dividend Amount}}{\text{Total Market Value}} \times \text{Component Weight} \right) $$ where \( N_{2} \) is the number of companies that have not yet paid dividends[17] - **Factor Evaluation**: The factor provides a clear view of the dividend progress and remaining potential dividends for the year, aiding in investment decisions[3][17] Factor Backtesting Results - **Realized Dividend Yield**: - **SSE 50 Index**: Realized yield 1.80%, remaining yield 0.46%[3] - **CSI 300 Index**: Realized yield 1.35%, remaining yield 0.53%[3] - **CSI 500 Index**: Realized yield 1.09%, remaining yield 0.20%[3] - **CSI 1000 Index**: Realized yield 0.83%, remaining yield 0.12%[3]