Group 1 - The S&P 500 futures declined by 0.05% at the end of trading on Friday, September 12 [1] - The Dow futures fell by 0.59% [1] - The Nasdaq 100 futures increased by 0.42% [1] - The Russell 2000 futures dropped by 1.09% [1]

股指期货日报 2025年9月12日 王映(投资咨询证号：Z0016367) 投资咨询业务资格:证监许可【2011】1290号 关注国内外宏观信息变量，预计股市振幅扩大 市场回顾 今日股指小幅缩量，大小盘涨跌不一，小盘指数偏强，以沪深300指数为例，收盘下跌0.57%。从资金面来 看，两市成交额回升832.07亿元。期指方面，IF、IH缩量下跌，IC放量上涨，IM缩量上涨。 重要资讯 1、财政部部长蓝佛安表示，财政与货币政策协同，形成政策合力。今年专门发行5000亿元特别国债，为大 型商业银行注入资本金，预计可撬动信贷投放约6万亿元。 核心观点 今日股指先涨后跌，盘中多空博弈剧烈，收盘大盘指数回落，小盘指数上涨。盘前信息，昨日晚间公布美国 CPI数据基本符合预期，但截至9月6日当周，初请失业金人数大幅高于市场预期，叠加PPI低于预期影响以及 甲骨文热度仍在，美股大涨，今日开盘A股也受提振，以沪深300为代表突破前高，同时行业层面有色金属与 科技领涨。不过一方面前高附近预计A股存在一定的抛压，另一方面昨日上行幅度较大，盘间市场进一步上行 势能弱化。下周股市将围绕国内8月金融数据、经济运行数据以及美联储FOMC议息 ...

每经AI快讯，周四（9月11日）纽约尾盘，标普500股指期货最终涨0.81%，道指期货涨1.35%，纳斯达 克100股指期货涨0.54%。罗素2000股指期货涨1.65%。 （文章来源：每日经济新闻） ...

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The stock index still has long - term upward potential, but is expected to remain volatile before policies are implemented. It is recommended to wait and see in the short - term [2] 3. Summary by Relevant Catalogs 3.1 Futures Disk - IF main contract (2509) latest price is 4562.0, up 117.4; IF sub - main contract (2512) latest price is 4530.2, up 115.0. Similar data are provided for IH, IC, and IM contracts. There are also details about contract spreads and differences between different quarters and the current month [2] 3.2 Futures Position - IF top 20 net position is - 29,045.00, up 409.0; IH top 20 net position is - 16,241.00, up 208.0. Similar data are provided for IC and IM [2] 3.3 Spot Price - The Shanghai and Shenzhen 300 index is 4548.03, up 102.7; the Shanghai Stock Exchange 50 index is 2983.08, up 43.5. Similar data are provided for the CSI 500 and CSI 1000. There are also details about the basis of each main contract [2] 3.4 Market Sentiment - A - share trading volume is 24,645.93 billion yuan, up 4606.40 billion yuan; margin trading balance is 23,255.93 billion yuan, up 58.75 billion yuan. Other indicators such as north - bound trading volume, reverse repurchase, etc. are also provided [2] 3.5 Wind Market Strength and Weakness Analysis - All A - shares score 7.80, up 2.50; technical aspect scores 7.80, up 3.30; capital aspect scores 7.90, up 1.70 [2] 3.6 Industry News - In August, China's CPI was flat month - on - month and slightly down year - on - year, while core CPI continued to rise; PPI changed from decline to flat month - on - month and the year - on - year decline continued to narrow. In the US, private non - farm employment decreased in multiple sectors from March 2025 to March 2026. A - share major indexes closed generally higher, with small and medium - cap stocks stronger than large - cap blue - chip stocks [2] 3.7 Key Data to Focus On - Include China's August financial data, European Central Bank interest rate decision, US August CPI and core CPI, and China's August social consumer goods retail sales, etc. [3]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core View of the Report - Short - term, the index futures are expected to be mainly in wide - range oscillations, while in the medium - term, they are expected to rise. The overall reference view is wide - range oscillations [1][5] Group 3: Summary by Related Catalogs 1. Variety View Reference - Financial Futures Index Sector - For IH2509, the short - term view is oscillation, the medium - term view is upward, the intraday view is weakly oscillating, and the overall view is wide - range oscillation. The core logic is that the medium - and long - term upward logic remains, but the short - term profit - taking intention of funds rises [1] 2. Main Variety Price Market Driving Logic - Financial Futures Index Sector - The intraday view for IF, IH, IC, and IM is weakly oscillating, the medium - term view is upward, and the reference view is wide - range oscillation. The core logic is that the stock market trading volume shrank, indicating market sentiment divergence and the need for market consolidation. Some stocks had large previous gains, leading to increased profit - taking demand and short - term technical adjustments. The latest inflation data is stable month - on - month but weak year - on - year, so there are still expectations of policy support. The margin trading balance keeps growing, and the trend of capital inflow into the stock market remains unchanged, which will continue to drive the index valuation repair [5]

每经AI快讯，周三（9月10日）纽约尾盘，标普500股指期货最终涨0.27%，道指期货跌0.49%，纳斯达 克100股指期货跌0.04%。罗素2000股指期货跌0.35%。 （文章来源：每日经济新闻） ...

Group 1: Stock Index Futures Market Overview - The four major index futures contracts all experienced declines last week, with the CSI 1000 index futures showing the largest drop of -1.74%, while the CSI 300 index futures had the smallest decline at -1.02% [3][12] - The average trading volume for the current, next, and seasonal contracts of IF, IC, and IM increased compared to the previous week, with IC seeing the largest increase of 3.52% and IM the smallest at 0.87%. Conversely, IH's average trading volume decreased by -0.34% [3][12] - As of last Friday's close, the annualized basis rates for the current contracts of IF, IC, IM, and IH were -2.16%, -9.28%, -10.37%, and -0.23%, respectively, indicating a deepening of the IF discount and a narrowing of the IC and IM discounts [3][12] Group 2: Cross-Period Price Differences - The cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at 39.80%, 56.30%, 36.10%, and 47.10% percentiles since 2019, indicating that these rates are within historical distribution norms [4][13] - For arbitrage opportunities, with a 5% annualized return and 15 trading days remaining, the basis rates for the current IF contracts need to reach 0.54% and -0.91% for long and short arbitrage, respectively. Currently, there are no arbitrage opportunities for the IF main contract [4][13] Group 3: Market Expectations - The overall market sentiment appears cautious, as indicated by the full decline of the four major index futures contracts last week, with all contracts remaining in a discount state. This reflects a cautious market sentiment [5][14] - The impact of dividend factors on the main contracts is minimal, and it is expected that they will not cause significant disturbances in the market [5][14] Group 4: Recent Sell-Side Strategy Insights - A consensus among 12 brokerages indicates that the A-share market remains in a bull or slow bull phase, with an upward trend unchanged. Additionally, 9 brokerages believe that expectations of U.S. Federal Reserve rate cuts and foreign capital inflows will improve liquidity [6][54] - There is a consistent positive outlook on sectors such as the AI industry chain, non-ferrous metals, coal, and chemicals among the sell-side strategy teams [6][54]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The current stock index is in a wide - range volatile adjustment phase, and the market is digesting the chip pressure through fluctuations, which may take a monthly - level time. Despite the intensified short - term fluctuations, based on the optimistic expectation of the medium - and long - term trend, the stock index is unlikely to have a large - scale downward space. Actively using derivative tools for risk hedging is a reasonable strategy choice during this period [2] Summary by Related Catalogs Market Analysis - Non - farm data was significantly revised. In China, the State Council Information Office held a series of theme press conferences on high - quality completion of the "14th Five - Year Plan", and the Ministry of Industry and Information Technology released the development achievements of the industrial and communication industries in the past five years. Overseas, the US government announced preliminary benchmark revision data, with the US non - farm employment number revised down by 911,000 from March this year, equivalent to an average monthly decrease of nearly 76,000, the largest downward revision since 2000 [1] - In the spot market, the three major A - share indexes adjusted. The Shanghai Composite Index fell 0.51% to close at 3807.29 points, and the ChiNext Index fell 2.23%. Most sector indexes declined, with real estate, banking, and non - ferrous metals leading the gains, and electronics, computer, communication, and pharmaceutical and biological industries leading the losses. The trading volume of the Shanghai and Shenzhen stock markets dropped to 2.1 trillion yuan. Overseas, the three major US stock indexes closed slightly higher, all hitting new closing highs, with the Dow Jones Industrial Average rising 0.43% to 45711.34 points [1] - In the futures market, the basis of stock index futures rebounded on that day. In terms of trading volume and open interest, the trading volumes of IH and IM increased, and only the open interest of IM rose [1] Strategy - During the current stock index adjustment phase, actively using derivative tools for risk hedging is a reasonable strategy [2] Macro - economic Charts - The charts include the relationship between the US dollar index and A - share trends, the relationship between US Treasury yields and A - share trends, the relationship between the RMB exchange rate and A - share trends, and the relationship between US Treasury yields and A - share style trends [5][9][8] Spot Market Tracking Charts - The daily performance of major domestic stock indexes on September 9, 2025, shows that the Shanghai Composite Index fell 0.51%, the Shenzhen Component Index fell 1.23%, the ChiNext Index fell 2.23%, the CSI 300 Index fell 0.70%, the SSE 50 Index fell 0.08%, the CSI 500 Index fell 0.90%, and the CSI 1000 Index fell 1.16% [11] - The charts also include the trading volume of the Shanghai and Shenzhen stock markets and the margin trading balance [5][12] Futures Market Tracking Charts - The trading volume and open interest data of IF, IH, IC, and IM contracts show that the trading volume of IH and IM increased, and only the open interest of IM rose [13] - The basis data of stock index futures show the basis and its changes of different contracts of IF, IH, IC, and IM [37] - The inter - period spread data of stock index futures show the spreads and their changes between different periods of IF, IH, IC, and IM [44][45]

Group 1 - The S&P 500 futures declined by 0.33% at the end of trading on Friday, September 5 [1] - The Dow futures fell by 0.46% [1] - The Nasdaq 100 futures increased slightly by 0.02% [1] - The Russell 2000 futures rose by 0.38% [1]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - A-share major indices generally declined this week, with only the ChiNext Index recording an increase. The four stock index futures also declined collectively, and large-cap blue-chip stocks were relatively resilient. The market trading activity remained high, with daily trading volume at the level of two trillion. Overseas, the US August ADP data fell short of expectations, increasing the expectation of a Fed rate cut in September, and the external environment for A-shares showed signs of loosening. Domestically, the manufacturing PMI has been in the contraction range for 5 consecutive months, and the net profit growth rates of individual stocks in different indices showed different trends. The northbound funds were actively traded, and the margin trading balance continued to rise. Overall, the market will enter a performance and policy vacuum period, and there is a need for market correction. It is recommended to wait and see in the short term [7][100] Group 3: Summary by Relevant Catalogs 1. Market Review - **Futures Contracts**: IF2509 had a weekly decline of -1.10%, IH2509 fell -1.32%, IC2509 dropped -1.40%, and IM2509 decreased -1.91%. On Friday, they had gains of 2.82%, 1.64%, 4.41%, and 3.61% respectively [10] - **Spot Indices**: The CSI 300 declined -0.81%, the SSE 50 fell -1.15%, the CSI 500 dropped -1.85%, and the CSI 1000 decreased -2.59%. On Friday, they had gains of 2.18%, 1.09%, 3.22%, and 2.90% respectively [10] 2. News Overview - China's official manufacturing PMI, non-manufacturing PMI, and composite PMI in August were 49.4%, 50.3%, and 50.5% respectively, with month-on-month increases of 0.1, 0.2, and 0.3 percentage points, which was bearish [13] - Nearly 60% of A-share listed companies achieved year-on-year revenue growth, and over 75% achieved profitability in the first half of 2025, which was bullish [14] - The US August ADP employment increase was far lower than expected, and the market bet that the probability of a Fed rate cut in September was close to 100%, which was bullish [15] 3. Weekly Market Data - **Domestic Main Indices**: The Shanghai Composite Index declined -1.18%, the Shenzhen Component Index fell -0.83%, the STAR 50 dropped -5.42%, the SME 100 decreased -2.29%, and the ChiNext Index rose 2.35%. On Friday, they had gains of 1.24%, 3.89%, 3.39%, 3.33%, and 6.55% respectively [18] - **Overseas Main Indices (as of Thursday)**: The S&P 500 rose 0.65%, the UK FTSE 100 rose 0.32%, the Hang Seng Index rose 1.36%, and the Nikkei 225 rose 0.70%. On Thursday, they had gains of 0.83%, 0.42%, 1.43%, and 1.03% respectively [19] - **Industry Sector Performance**: Most industry sectors declined. National defense and military, and computer sectors weakened significantly, while power equipment and comprehensive sectors led the gains [23] - **Industry Sector Main Fund Flows**: Industry main funds generally showed net outflows, with significant net outflows in computer and electronics sectors [27] - **SHIBOR Short-term Interest Rates**: SHIBOR short-term interest rates ran smoothly, and the capital price was low [31] - **Other Data**: This week, major shareholders had a net reduction of 5.792 billion yuan in the secondary market, the restricted share lifting market value was 21.82 billion yuan, and the northbound funds had a total trading volume of 1.428832 trillion [34] - **Futures Basis and Spread**: IF and IH main contract bases fluctuated, while IC and IM main contract bases converged [42][51] 4. Market Outlook and Strategy - A-share major indices generally declined this week, and the four stock index futures also declined collectively. The market trading activity remained high. Overseas, the Fed rate cut expectation increased, and domestically, the manufacturing PMI was still in the contraction range. The market will enter a performance and policy vacuum period, and there is a need for market correction. It is recommended to wait and see in the short term [100]