- The report discusses the overall performance of the four major stock index futures, with the CSI 500 futures showing the largest increase of 3.83% and the SSE 50 futures showing the smallest increase of 1.00%[3] - The average trading volume of the four major index futures contracts decreased compared to the previous week, with the IH futures showing the largest decrease of -24.59% and the IC futures showing the smallest decrease of -5.41%[3] - The basis levels for the IF, IC, IM, and IH contracts are provided, with the IF and IM discounts deepening, the IC discount narrowing, and the IH discount turning into a premium[3] - The cross-period spread rates for the IF, IC, IM, and IH contracts are given, with the IF, IC, IM, and IH contracts' cross-period spread rates being at the 45.80%, 49.70%, 60.20%, and 40.00% percentiles since 2019, respectively[3] - The report mentions that there are no opportunities for positive or negative arbitrage in the IF main contract based on the closing prices[4] - The dividend forecast indicates that the dividends for the main contracts of the four major index futures have minimal impact on the September main contracts' points[4] - The market sentiment has improved, with the IH basis turning from a discount to a premium and the total open interest of the four major index futures increasing, with the IC showing the most significant increase[4][13] - The report includes a detailed explanation of the calculation methods for index futures arbitrage, including the formulas for positive and negative arbitrage returns[46] - The dividend estimation method is explained, which involves predicting the dividend points based on historical dividend patterns and the current EPS and payout ratio[47][48]

你或许没有交易过股指期货，但一定在市场上听过它的"传说"，甚至早就在借它来观察预判股市走向：老股民每天盘前浏览最新市场资讯时必看的昨 夜"A50"走势，这就是一个股指期货产品，全称是"富时中国A50股指期货"。 对专业投资机构而言，股指期货是一个用来对冲风险、增厚收益的基本工具——仓位重的时候，就会配置股指期货空头来对冲风险。在极端市场环境之下， 对冲基金甚至能借助做空股指期货来获利——从1987年"黑色星期一"到2008年美国次债危机引发的市场崩盘中，都不乏对冲基金做空股指期货逆市狂赚一战 成名的案例。 可以清楚地看到，美国标普500指数价格与其股指期货的持仓量有着极高的负相关性，每当市场大幅下跌，股指期货的持仓数就会迅速上升（为方便对比， 图中标普500收盘价取的是倒数——蓝线峰值越高，代表标普500跌得越惨），股指期货持仓数在一定程度上甚至能用于精准研判大盘走势！ 大多数人都并不适合通过股指期货去押注小概率事件谋求"一夜暴富"。但这并不妨碍我们去掌握这个进阶工具的特性与优势，实现对冲风险、增厚回报的目 标。 股指期货相对于传统股票市场而言，具备三大优势： 利用股指期货的上述优势，普通投资者不仅可以将其作 ...

- The report discusses the construction of forward and reverse arbitrage strategies in stock index futures markets. Forward arbitrage involves selling futures contracts and buying spot when the spot is undervalued and futures are overvalued, while reverse arbitrage involves buying futures contracts and selling spot when the spot is overvalued and futures are undervalued[45][46] - The formulas for calculating the arbitrage returns are provided. For forward arbitrage, the formula is: $$ P = \frac{(F_t - S_t) - (S_t + F_t M_t)(1 + r_t)^{\frac{T-t}{360}} - S_t C_s - F_t C_f}{S_t + F_t M_t} $$ For reverse arbitrage, the formula is: $$ P = \frac{(S_t - F_t) - (S_t M_l + F_t M_f)(1 + r_f)^{\frac{T-t}{360}} - S_t C_s - F_t C_f - S_t r^{\frac{T-t}{360}}}{S_t M_l + F_t M_f} $$[46] - The report evaluates the risks associated with the arbitrage process, including margin call risk, basis non-convergence risk, dividend risk, tracking error risk, and liquidity risk[46] - The report also discusses the method for predicting dividend points, which can affect the basis rate. The prediction is based on historical dividend patterns and uses the formula: $$ \text{Dividend Points} = \sum \left( \frac{\text{Per Share Dividend} \times \text{Index Closing Price} \times \text{Component Stock Weight}}{\text{Component Stock Closing Price}} \right) $$[47][50] - The report provides specific values for the annualized basis rates of the main contracts for IF, IC, IM, and IH, which are -4.66%, -12.51%, -14.77%, and -0.06% respectively[11] - The cross-period spread rates for the main contracts of IF, IC, IM, and IH are at the 78.30%, 73.30%, 84.20%, and 63.90% percentiles respectively since 2019[11] - The report includes a summary of market and industry investment consensus and differences from sell-side strategy teams, highlighting that 8 brokerages believe in enhanced policy easing expectations, 7 believe in active market liquidity, and 6 believe in a significant increase in market risk appetite[38][40]

Group 1: Stock Index Futures Market Overview - The four major index futures contracts experienced an overall increase last week, with the CSI 1000 index futures rising the most by 2.83%, while the SSE 50 index futures had the smallest increase of 1.09% [3][12] - The average trading volume of the current, next, and seasonal contracts for IF, IC, IH, and IM decreased compared to the previous week, with IF showing the largest decline of 31.55% [3][12] - The annualized basis rates for the current contracts of IF, IC, IM, and IH as of last Friday's close were -3.64%, -11.53%, -12.26%, and -0.34%, respectively, indicating a narrowing of the basis for IF and IM, while IC deepened its discount [3][12] Group 2: Cross-Period Price Differences - As of last Friday's close, the cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at the 68.20%, 83.60%, 73.60%, and 39.80% percentiles since 2019 [4][13] - For arbitrage opportunities, with an annualized return of 5%, the basis rates for the current and next month contracts of IF need to reach 0.33% and -0.48%, respectively, within the next 5 trading days [4][13] Group 3: Dividend Forecasts - After August, the strength of dividends is expected to weaken, but it will still impact the major index futures. The estimated impact of dividends on the main contracts for August is 1.42 for the CSI 300 index, 2.35 for the CSI 500 index, 1.01 for the SSE 50 index, and 0.75 for the CSI 1000 index [5][12][14] Group 4: Market Expectations - The correlation between basis changes and dividend impacts, as well as investor trading sentiment, is high under unchanged index futures trading rules. The return to a discount for the IH main contract indicates a normalization of market expectations for the SSE 50 [5][14] - The overall market sentiment is improving, as indicated by the narrowing basis for IF, IC, and IM contracts, while the macro data remains stable with the July CPI unchanged year-on-year [5][14] Group 5: Recent Sell-Side Strategy Insights - A consensus among 11 brokerages indicates an optimistic outlook for the A-share market, supported by multiple layers or a bull market trend. Additionally, 8 brokerages believe that micro liquidity easing or retail funds entering the market will support the market [6][41] - In terms of industry outlook, there is a consistent positive sentiment towards the financial, non-ferrous metals, and military sectors [6][41][42]

Core Insights - The report provides an overview of the basis and monthly spread for various stock index futures contracts as of August 1st, indicating the current market conditions for these financial instruments [1]. Group 1: Basis - The basis for the CSI 300 IF2508 contract is at a discount of 11.73 points [1] - The basis for the SSE 50 IH2508 contract is at a discount of 0.13 points [1] - The basis for the CSI 500 IC2508 contract is at a discount of 47.4 points [1] - The basis for the CSI 1000 IM2508 contract is at a discount of 53.67 points [1] Group 2: Monthly Spread - The price spread between the CSI 300 IF2508 and IF2509 contracts is 12.6 points [1] - The price spread between the SSE 50 IH2508 and IH2509 contracts is -0.4 points [1] - The price spread between the CSI 500 IC2508 and IC2509 contracts is 61.8 points [1] - The price spread between the CSI 1000 IM2508 and IM2509 contracts is 74.4 points [1]

Group 1 - The basis for the CSI 300 IF2508 contract is at a discount of 5.19, while the SSE 50 IH2508 contract is at a premium of 0.61. The CSI 500 IC2508 contract is at a discount of 39.74, and the CSI 1000 IM2508 contract is at a discount of 48.19 [1] - The month difference for the CSI 300 IF2508-2509 is 12.2, while the SSE 50 IH2508-2509 shows a difference of -0.4. The CSI 500 IC2508-2509 has a difference of 61.8, and the CSI 1000 IM2508-2509 has a difference of 75.0 [1]

Group 1 - The basis for the CSI 300 IF2508 contract is at a discount of 0.62, while the SSE 50 IH2508 contract is at a premium of 4.01. The CSI 500 IC2508 contract is at a discount of 37.13, and the CSI 1000 IM2508 contract is at a discount of 42.88 [1] - The month difference for the CSI 300 IF2508-2509 price spread is 9.2, while the SSE 50 IH2508-2509 price spread is -1.2. The CSI 500 IC2508-2509 price spread is 56.0, and the CSI 1000 IM2508-2509 price spread is 68.8 [1]

Group 1 - The basis for the CSI 300 IF2508 contract is at a discount of 4.62, while the SSE 50 IH2508 contract is at a premium of 3.23. The CSI 500 IC2508 contract is at a discount of 49.42, and the CSI 1000 IM2508 contract is at a discount of 55.38 [1] - The month difference for the CSI 300 IF2508-2509 price spread is 9.2, the SSE 50 IH2508-2509 price spread is 0.2, the CSI 500 IC2508-2509 price spread is 52.0, and the CSI 1000 IM2508-2509 price spread is 72.6 [1]

Group 1 - The core point of the article discusses the monitoring of stock index futures arbitrage as of June 6, highlighting the basis and monthly spread of various contracts [1] Group 2 - The basis for the CSI 300 IF2506 contract is at a discount of 18.58, the SSE 50 IH2506 contract at a discount of 15.25, the CSI 500 IC2506 contract at a discount of 36.68, and the CSI 1000 IM2506 contract at a discount of 52.64 [1] - The monthly spread for the CSI 300 IF2506-2507 is 37.4, for the SSE 50 IH2506-2507 is 30.8, for the CSI 500 IC2506-2507 is 70.4, and for the CSI 1000 IM2506-2507 is 94.0 [1]

Group 1 - The basis for the CSI 300 IF2506 contract is at a discount of 26.34, the SSE 50 IH2506 contract is at a discount of 17.22, the CSI 500 IC2506 contract is at a discount of 51.21, and the CSI 1000 IM2506 contract is at a discount of 69.17 [1] - The month difference for the CSI 300 IF2506-2507 is 39.2, for the SSE 50 IH2506-2507 is 30.2, for the CSI 500 IC2506-2507 is 68.8, and for the CSI 1000 IM2506-2507 is 91.2 [1]