Group 1 - European stock index futures are mostly rising, with the Euro Stoxx 50 futures up by 1.17% [1] - German DAX futures increased by 1% [1] - French CAC 40 index futures rose by 1.14% [1] - UK FTSE 100 index futures gained 0.7% [1]

美国股指期货上涨；纳指期货现涨2%，标普500指数期货涨1.7%，道指期货涨1.4%。 ...

Group 1: Index Trends - On May 28th, the Shanghai Composite Index had a change of -0.02%, closing at 3339.93 points with a trading volume of 389.341 billion yuan; the Shenzhen Component Index had a change of -0.26%, closing at 10003.27 points with a trading volume of 620.609 billion yuan [1]. - The CSI 1000 Index had a change of -0.4%, with a trading volume of 191.733 billion yuan, an opening price of 6006.89, a closing price of 5984.46, a daily high of 6023.82, and a daily low of 5972.18 [1]. - The CSI 500 Index had a change of -0.26%, with a trading volume of 119.96 billion yuan, an opening price of 5651.88, a closing price of 5637.24, a daily high of 5660.47, and a daily low of 5628.42 [1]. - The SSE 300 Index had a change of -0.08%, with a trading volume of 162.496 billion yuan, an opening price of 3843.07, a closing price of 3836.24, a daily high of 3849.74, and a daily low of 3833.96 [1]. - The SSE 50 Index had a change of -0.08%, with a trading volume of 44.83 billion yuan, an opening price of 2686.73, a closing price of 2683.06, a daily high of 2691.48, and a daily low of 2681.86 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 Index decreased by 24.0 points compared to the previous closing price, with sectors such as Computer, Electronics, and Medicine & Biology significantly dragging down the index [3]. - The CSI 500 Index decreased by 14.91 points compared to the previous closing price, with the Food & Beverage sector significantly boosting the index, while sectors such as National Defense & Military Industry, Automobile, and Computer significantly dragging it down [3]. - The SSE 300 Index decreased by 3.16 points compared to the previous closing price, with sectors such as Transportation, Household Appliances, and Communication significantly boosting the index, while sectors such as Electronics, Power Equipment, and Automobile significantly dragging it down [3]. - The SSE 50 Index decreased by 2.22 points compared to the previous closing price, with sectors such as Petroleum & Petrochemical, Public Utilities, and Coal significantly boosting the index, while sectors such as Automobile, Electronics, and Banking significantly dragging it down [3]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, the average daily basis for IM00 was -96.74, IM01 was -188.82, IM02 was -344.92, and IM03 was -518.57 [14]. - For IC contracts, the average daily basis for IC00 was -78.15, IC01 was -152.25, IC02 was -265.01, and IC03 was -391.8 [14]. - For IF contracts, the average daily basis for IF00 was -32.25, IF01 was -71.05, IF02 was -102.95, and IF03 was -142.39 [14]. - For IH contracts, the average daily basis for IH00 was -18.32, IH01 was -49.61, IH02 was -55.82, and IH03 was -58.14 [14]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, various roll - over point differences and their corresponding annualized costs are presented, such as at 09:45, IM00 - 01 was -53.1193, IM00 - 02 was -158.791, etc. [25]. - For IC contracts, at 09:45, IC00 - 01 was -26.1467, IC00 - 02 was -90.0318, etc., along with their annualized costs [26]. - For IF contracts, at 09:45, IF00 - 01 was -5.99267, IF00 - 02 was -13.4098, etc., and their annualized costs are provided [26]. - For IH contracts, at 09:45, IH00 - 01 was -1.29644, IH00 - 02 was 1.559889, etc., with corresponding annualized costs [28].

广发期货研究所 电 话：020-88830760 E-Mail：zhaoliang@gf.com.cn 目录： 股指期货持仓日度跟踪 投资咨询业务资格： 股指期货： IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2506 | 总持仓下降 | 国君多空头各减仓超 1000 手 | | 上证 | 50 | IH2506 | 总持仓下降 | 前二十席位多空头均以减仓为主 | | 中证 | 500 | IC2506 | 总持仓下降 | 前二十席位多空头均以减仓为主 | | 中证 | 1000 | IM2506 | 总持仓明显下降 | 前二十席位多空头均以减仓为主 | 股指期货持仓日度变动简评 -10,523.0 -4,562.0 -5,278.0 -11,259.0 -9,159.0 -5,458.0 -5,580.0 -11,992.0 -14,000 -12,000 -10,000 -8,000 -6,000 -4,000 -2,000 0 IF IH IC IM 主力 ...

摘要 点击小程序查看报告原文 Abstract 近期股指期货贴水重回历史低位，引发市场讨论该现象或与DCN（Dynamic coupon notes）产品有关。我们系统性测试了DCN结构的对冲特点并估算其对 股指期货市场可能带来的影响。我们认为该类产品并不能造成贴水加深，相反可能减弱贴水。我们估计雪球类结构化产品总体约1000亿元，不到2024年初 规模的一半。但期指贴水较深可能导致类雪球结构化产品的收益率和规模短期上升，后期其对冲行为可能引发对股指期货市场的影响仍值得关注。 近期股指期货贴水率已达历史低点，或利好类雪球产品收益率和规模增长 我们观察到近期IC和IM的贴水率已经到达历史低点。我们在《 衍生品系列报告（3）：负基差与权益衍生品之路将通往何处？ 》这篇报告中提到：国内 股指期货长期负基差的形成主要由四种因素主导： 对冲因素，交易因素，分红周期，以及政策限制。 目前小盘股基差率可能主要受 对冲规模变化、分红 和贸易摩擦避险情绪 等多种因素影响。 其中量化对冲空头需求的增加，雪球等衍生品多头对冲需求的降低以及季节性调整均可能对股指期货的贴水产生正面影响，即加深贴水。这种影响会由于 期现收敛的现象给股指 ...

◆ 策略建议： 防守观望。 国债 ◆ 核心观点： 周二债券市场在没有显性利空消息的背景下，收益率全线上行 1bp 左右，长 端调整幅度相对中短更大。从机构净申购脱敏数据来看，周二纯债型基金似 乎经历了较大规模的赎回，而最近一次类似幅度的赎回要回溯到三月中旬银 行开始集中兑现浮盈期间，因此尾盘市场也有相关传言称 6 月末商业银行兑 现浮盈的动力更超此前。从近期市场微观走势来看，国债相对政金债表现偏 弱、同时债券-互换基差略有走阔，都可以看到市场在某个角落出现了局部的 供需"失衡"——当"短期下行空间有限"和"看多不做多"成为市场共识 的时候，短期内特定种类机构的交易行为对市场的影响被放大了。 ◆ 策略建议： 金融期货日报 股指 ◆ 核心观点： 美国 5 月消费者信心创四年来最大增幅。特朗普罕见赞赏欧盟：对加快贸易 谈判感到鼓舞。日本财政部罕见"摸底"债市，考虑削减超长债发行，日债 暴力反弹。国内轮动较快，市场主线驱动力较弱，量能不足，股指或震荡偏 弱运行。 短期看好。 研究咨询部 2025-05-28 公司资质 长江期货股份有限公司交易咨询业 务资格：鄂证监期货字{2014}1 号 金融期货团队 研究员： 彭博 ...

一 、成分股分红进度 截至2025年5月27日： 上证50指数中，有26家公司处于预案阶段，11家公司处于决案阶段，1家公司进入 实施阶段，7家公司已分红，4家公司不分红； 沪深300指数中，有127家公司处于预案阶段，91家公司处于决案阶段，12家公司 进入实施阶段，42家公司已分红，27家公司不分红； 中证500指数中，有104家公司处于预案阶段，192家公司处于决案阶段，52家公 司进入实施阶段，61家公司已分红，91家公司不分红； 中证1000指数中，有139家公司处于预案阶段，378家公司处于决案阶段，111家 公司进入实施阶段，147家公司已分红，224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5月27日： 上证50指数已实现股息率为0.17%，剩余股息率2.18%； 沪深300指数已实现股息率为0.28%，剩余股息率1.73%； 中证500指数已实现股息率为0.23%，剩余股息率1.14%； 中证1000指数已实现股息率为0.23%，剩余股息率0.82%。 四、股 ...

美股三大股指期货波动不大，白宫经济委员会主任Hassett表示，部分国家的关税可能降至10%或更低。 ...

Group 1 - The core viewpoint of the article indicates that U.S. stock index futures are maintaining a strong upward trend, with gains exceeding 1% since the last trading session on Friday [1] - Specifically, Dow futures have increased by 400 points, reflecting positive market sentiment in the early Asian trading session [1]

首先，咱们得知道啥是空头和多头。简单来说，多头就是那些觉得股票指数会涨，所以买入股指期货的人；而空头呢，就是那 些觉得指数会跌，所以卖出股指期货的人。 空头增仓，就是空头们觉得指数还得跌，于是他们增加了卖出的股指期货的数量。这样一来，市场上的空头头寸就变多了。 多头增仓呢，就是多头们觉得指数要涨，他们纷纷买入股指期货，市场上的多头头寸也就变多了。 怎么判断空头增仓？ 1.看持仓量变化： 如果某个股指期货的持仓量在持续增加，那有可能是空头在增仓。因为每增加一手空头持仓，就得有对应的一手多头持仓（虽 然不一定同时发生，但总持仓量是相等的）。但咱们要看的是趋势，如果持仓量一直往上涨，那空头增仓的可能性就大了。 2.观察价格走势： 如果指数在下跌，同时持仓量还在增加，那很可能就是空头在增仓。因为价格下跌时，多头可能不太愿意买入，而空头则会趁 机增加卖出量。 如果指数在上涨，同时持仓量也在增加，那很可能就是多头在增仓。因为价格上涨时，多头更愿意买入，推高价格。 3.看成交量： 成交量也是判断多头增仓的一个重要指标。如果成交量放大，同时价格也在上涨，那多头增仓的可能性就更大了。因为成交量 放大意味着有更多的交易在发生，而 ...