股指期货升贴水

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各期指主力合约均贴水【股指分红监控】
量化藏经阁· 2025-06-10 17:18
Key Points - The article discusses the dividend progress of constituent stocks in major indices as of June 10, 2025, highlighting the stages of dividend announcements and distributions across various indices [1][4]. - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3]. - The article also presents the realized and remaining dividend yields for major indices, indicating the current financial performance and future expectations [6][7]. - It tracks the premium and discount of stock index futures, emphasizing the importance of considering dividend impacts on futures pricing [2][12]. Group 1: Dividend Progress of Constituent Stocks - As of June 10, 2025, the Shanghai Stock Exchange 50 Index has 14 companies in the proposal stage, 19 in the decision stage, 3 in the implementation stage, 9 that have paid dividends, and 4 that have not [1][4]. - The CSI 300 Index has 81 companies in the proposal stage, 92 in the decision stage, 34 in the implementation stage, 65 that have paid dividends, and 27 that have not [1][4]. - The CSI 500 Index has 68 companies in the proposal stage, 146 in the decision stage, 57 in the implementation stage, 139 that have paid dividends, and 90 that have not [1][4]. - The CSI 1000 Index has 81 companies in the proposal stage, 269 in the decision stage, 93 in the implementation stage, 338 that have paid dividends, and 219 that have not [1][4]. Group 2: Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3]. Group 3: Realized and Remaining Dividend Yields - As of June 10, 2025, the realized dividend yield for the Shanghai Stock Exchange 50 Index is 0.33%, with a remaining yield of 2.03% [7]. - The realized dividend yield for the CSI 300 Index is 0.39%, with a remaining yield of 1.60% [7]. - The realized dividend yield for the CSI 500 Index is 0.48%, with a remaining yield of 0.86% [7]. - The realized dividend yield for the CSI 1000 Index is 0.45%, with a remaining yield of 0.59% [7]. Group 4: Stock Index Futures Premium and Discount Tracking - As of June 10, 2025, the annualized discount for the IH main contract is 2.11%, for the IF main contract is 6.35%, for the IC main contract is 13.84%, and for the IM main contract is 22.25% [1][12]. - The article emphasizes the need to account for dividend impacts when calculating the premium and discount of stock index futures [2][12].
微盘风格持续领航,IH升水,IM深贴水【股指分红监控】
量化藏经阁· 2025-05-27 14:17
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 ...
市场情绪回暖,基差逐步收敛【股指分红监控】
量化藏经阁· 2025-05-20 17:44
一 、成分股分红进度 截至2025年5月20日: 上证50指数中,有33家公司处于预案阶段,6家公司处于决案阶段,2家公司进入 实施阶段,4家公司已分红,4家公司不分红; 沪深300指数中,有170家公司处于预案阶段,60家公司处于决案阶段,14家公司 进入实施阶段,28家公司已分红,27家公司不分红; 中证500指数中,有187家公司处于预案阶段,159家公司处于决案阶段,34家公 司进入实施阶段,29家公司已分红,91家公司不分红; 中证1000指数中,有290家公司处于预案阶段,326家公司处于决案阶段,77家公 司进入实施阶段,82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20日: 上证50指数已实现股息率为0.12%,剩余股息率2.22%; 沪深300指数已实现股息率为0.23%,剩余股息率1.76%; 中证500指数已实现股息率为0.08%,剩余股息率1.26%; 中证1000指数已实现股息率为0.13%,剩余股息率0.90%。 四、股指期货 ...
大越期货股指期货早报-20250519
Da Yue Qi Huo· 2025-05-19 07:52
Report Industry Investment Rating No information provided in the content. Core Viewpoints - The basis points of IF2506, IC2506, and IM2506 are at a discount, showing a bearish signal [3]. - The CSRC's revision of the restructuring rules may be short - term positive for small and micro - cap stocks, while the CPC Central Committee's revision of the "Regulations" may be short - term negative for the liquor sector. The weighted index of the market rose and then fell last week, with a neutral outlook [3]. - The margin trading balance is 1796.7 billion yuan, a decrease of 2.8 billion yuan, showing a neutral situation [3]. - The basis point of IH2506 is at a discount of 21.46 points, indicating a neutral state [3]. - In terms of the market, IM > IC > IF > IH (main contracts), and IM, IC, IF, and IH are above the 20 - day moving average, showing a bullish signal [3]. - Regarding the main positions, the long positions of IH main contracts decreased, those of IF main contracts increased, and those of IC main contracts decreased, showing a bullish signal [3]. - The weighted index is in an adjustment phase after rising and then falling. At the current position, a significant rise is an opportunity for intraday reduction, while a significant decline is a time to increase positions. The overall index is expected to oscillate with a slightly upward trend [3]. Summaries According to Related Catalogs Futures Market - **Index Futures Premium and Discount Table**: Provides detailed data on the contract prices, price changes, trading volumes, index prices, price - to - earnings ratios, price - to - book ratios, dividend yields, spreads, premium/discount ratios, annualized premiums/discounts, contract values, delivery dates, and remaining terms of various index futures such as Shanghai 50 (IH), CSI 300 (IF), CSI 500 (IC), and CSI 1000 (IM) [4]. - **Shanghai 50 Basis and Spread**: Displays the historical data of the Shanghai 50 basis and spread from 2021 to 2025 [7]. - **CSI 500 Basis and Spread**: Presents the historical data of the CSI 500 basis and spread from 2021 to 2025 [10]. Spot Market - **Important Index Daily Price Changes**: Shows the daily price changes of important indexes such as the Shanghai Composite Index, Shanghai 50, CSI 300, Wind All - A, CSI 500, Shenzhen Component Index, STAR 50, and ChiNext Index [13]. - **Style Index Daily Price Changes**: Illustrates the daily price changes of different style indexes, including cyclical, non - cyclical, low - P/E, large - cap, small - cap, value, high - P/E, medium - P/E, and growth indexes [16][19]. Market Structure - **AH Share Premium/Discount**: Displays the historical data of the Hang Seng AH Premium Index from August 2024 to May 2025 [22]. - **Price - to - Earnings Ratio (PE - TTM)**: Shows the historical PE (TTM) data of Shanghai 50, CSI 300, CSI 500, and ChiNext Index from 2004 to 2025 [25]. - **Price - to - Book Ratio (PB)**: Presents the historical PB data of Shanghai 50, CSI 300, CSI 500, and ChiNext Index from 2004 to 2025 [27]. Market Capital - **Stock Market Capital Inflow**: Displays the historical data of A - share capital net inflow and CSI 300 from May 2021 to April 2025 [29]. - **Margin Trading Balance**: Shows the historical data of margin trading balance and CSI 300 from May 2021 to April 2025 [31]. - **Northbound Stock Connect**: Presents the historical data of the net inflow of the Shanghai - Hong Kong Stock Connect and Shenzhen - Hong Kong Stock Connect from May 2021 to August 2024 [33]. - **Total Northbound Trading Volume (Quarterly Update)**: Displays the historical data of the cumulative net purchase volume of northbound trading from 2015 to 2024 [36]. - **Shanghai Stock Connect Net Purchase Volume (Quarterly Update)**: Shows the historical data of the cumulative net purchase volume of Shanghai Stock Connect from 2015 to 2024 [39]. - **Shenzhen Stock Connect Net Purchase Volume (Quarterly Update)**: Presents the historical data of the cumulative net purchase volume of Shenzhen Stock Connect from 2017 to 2024 [42]. - **Stock Unlock**: No specific content summary is provided as the relevant document only mentions the topic [44]. - **Capital Cost**: Displays the historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week from August 2024 to May 2025 [48]. Market Sentiment - **Trading Activity**: Shows the historical data of the turnover rates (based on free - floating market capitalization) of Shanghai 50, CSI 300, CSI 500, and ChiNext Index from 2022 to 2025 [51][54]. - **Public Mixed - Fund Positions**: No specific content summary is provided as the relevant document only mentions the topic [56]. - **Index Futures Dividend Yield and 10 - Year Treasury Yield**: Displays the historical data of the dividend yields of index futures and the 10 - year treasury yield from 2015 to 2025 [60]. Other Market Indicators - **Renminbi Exchange Rate**: Presents the historical data of the US dollar - RMB exchange rate from May 2021 to April 2025 [62]. - **New Account Openings and Shanghai Composite Index Tracking**: No specific content summary is provided as the relevant document only mentions the topic [63]. - **Newly Established Scale Changes of Stock Funds**: No specific content summary is provided as the relevant document only mentions the topic [65]. - **Newly Established Scale Changes of Mixed Funds**: No specific content summary is provided as the relevant document only mentions the topic [67]. - **Newly Established Scale Changes of Bond Funds**: No specific content summary is provided as the relevant document only mentions the topic [69].
市场企稳,IH合约升水、IC及IM合约深贴水【股指分红监控】
量化藏经阁· 2025-05-13 16:44
Key Points - The article discusses the dividend progress of constituent stocks in major indices as of May 13, 2025, highlighting the number of companies in different stages of dividend announcements and distributions [1][3][8] - It provides a comparison of dividend yields across various industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for different indices are presented, with the Shanghai 50 Index having a realized yield of 0.12% and a remaining yield of 2.22% [6] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 0.34%, while the IF, IC, and IM contracts show significant discounts [1][3][17] Group 1: Dividend Progress of Constituent Stocks - As of May 13, 2025, in the Shanghai 50 Index, 37 companies are in the proposal stage, 4 in the decision stage, 0 in the implementation stage, 4 have paid dividends, and 4 do not pay dividends [1] - In the CSI 300 Index, 206 companies are in the proposal stage, 36 in the decision stage, 7 in the implementation stage, 23 have paid dividends, and 27 do not pay dividends [1] - The CSI 500 Index has 281 companies in the proposal stage, 97 in the decision stage, 17 in the implementation stage, 14 have paid dividends, and 91 do not pay dividends [1][8] - The CSI 1000 Index shows 505 companies in the proposal stage, 188 in the decision stage, 39 in the implementation stage, 43 have paid dividends, and 224 do not pay dividends [1][8] Group 2: Dividend Yield Comparison - The article presents the median dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields as of May 13, 2025, are 0.12% for the Shanghai 50 Index, 0.18% for the CSI 300 Index, 0.05% for the CSI 500 Index, and 0.07% for the CSI 1000 Index [6] Group 3: Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures, with the IH main contract at a premium of 0.34%, while the IF, IC, and IM contracts show discounts of 4.15%, 13.18%, and 18.20% respectively [1][3][17] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures [2]
大越期货股指期货早报-20250507
Da Yue Qi Huo· 2025-05-07 02:02
1. Report Industry Investment Rating No relevant content found. 2. Core Viewpoints of the Report - IC2505 is at a discount of 34.73 points, and IM2505 is at a discount of 43.32 points, indicating a bearish signal [3]. - The Ministry of Commerce announced that high - level Sino - US economic and trade talks will be held. The two markets opened higher and closed higher yesterday, with small - cap and technology sectors leading the gains and more market hotspots emerging, which is a bullish factor [3]. - The margin trading balance is 1775.6 billion yuan, a decrease of 15.7 billion yuan, indicating a bearish signal [3]. - IH2505 is at a discount of 1.92 points, and IF2505 is at a discount of 10.94 points, showing a neutral situation [3]. - In terms of the market performance, IM>IC>IF>IH (main contracts), and IM, IC, IF, and IH are above the 20 - day moving average, which is a bullish signal [3]. - For the main positions, the long positions of IH main contracts decreased, those of IF main contracts increased, and those of IC main contracts decreased, overall showing a bullish signal [3]. - With the upcoming Sino - US economic and trade talks, the appreciation of the RMB exchange rate, the adjustment of the weighted index dragged down by banks before the holiday, and the strong performance of small - cap indexes, the overall index is expected to maintain a volatile upward trend [3]. 3. Summary According to Relevant Catalogs 3.1 Futures Market - **Index Futures Quotes**: The report provides detailed quotes of IH, IF, IC, and IM contracts, including contract prices, price changes, trading volumes, index prices, price - to - earnings ratios, price - to - book ratios, dividend yields, spreads, discount ratios, annualized discounts, contract values, delivery dates, and remaining terms [4]. - **Base and Spread Charts**: There are base and spread charts for the Shanghai Composite 50 and CSI 500 indexes, showing their historical base and spread data [7][10]. 3.2 Spot Market - **Important Index Daily Returns**: It shows the daily returns of important indexes such as the Shanghai Composite Index, Shanghai Composite 50, CSI 300, etc [13]. - **Style Index Daily Returns**: It presents the daily returns of style indexes, including cycle, non - cycle, low - P/E, large - cap, small - cap indexes, etc [16][19]. 3.3 Market Structure - **AH Share Premium**: It shows the historical data of the Hang Seng AH Premium Index [22]. - **Price - to - Earnings Ratio (PE)**: It presents the historical PE data of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index [25]. - **Price - to - Book Ratio (PB)**: It shows the historical PB data of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index [27]. 3.4 Market Fundamentals - **Stock Market Fund Inflow**: It shows the historical data of stock market fund inflows [29]. - **Margin Trading Balance**: It presents the historical data of margin trading balances [31]. - **Northbound Capital Inflow**: It shows the historical data of northbound capital inflows, including the net purchase of northbound capital in total, Shanghai Stock Connect, and Shenzhen Stock Connect [33][36][42]. - **Stock Unlock**: There is a chart related to stock unlock, but no specific data description is provided [44]. - **Funding Cost**: It shows the historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates [48]. 3.5 Market Sentiment - **Trading Activity**: It shows the historical turnover rates of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index [51][54][55]. - **Public Offering Hybrid Fund Positions**: There is a chart related to public offering hybrid fund positions, but no specific data description is provided [56]. - **Futures Index Dividend Yield and 10 - Year Treasury Yield**: It shows the historical data of futures index dividend yields and 10 - year treasury yields [60]. 3.6 Other - **RMB Exchange Rate**: It shows the historical data of the US dollar - RMB exchange rate [62]. - **New Account Openings and Shanghai Composite Index Tracking**: There is a chart related to new account openings and Shanghai Composite Index tracking, but no specific data description is provided [63]. - **Newly Established Fund Scale Changes**: It shows the changes in the newly established scales of stock - type, hybrid, and bond - type funds [65][67][69].
大越期货股指期货早报-20250430
Da Yue Qi Huo· 2025-04-30 02:18
交易咨询业务资格:证监许可【2012】1091号 股指期货早报- 2025年4月30日 大越期货投资咨询部 杜淑芳 从业资格证号:F0230469 投资咨询证号:Z0000690 联系方式:0575-85226759 重要提示:本报告非期货交易咨询业务项下服务,其中的观点和信息仅作参考之用,不构成对任何人的投资建议。 我司不会因为关注、 收到或阅读本报告内容而视相关人员为客户;市场有风险,投资需谨慎。 股指期货升贴水表 早评 期指 IF2505贴水17.28点,IC2505贴水31.11点,IM2505贴水35.38点,偏空 1、基本面:昨日两市缩量震荡,假期临近市场交投活跃度下降,业绩报告披露结束,小微盘股反弹 ;中性 2、资金:融资余额17926亿元,增加12亿元;中性 3、基差:IH2505贴水6.51点,中性 4、盘面:IH>IF>IC> IM(主力),IM、IC、IF、IH在20日均线上方,偏多 5、主力持仓: IH主力多减,IF 主力多增,IC 主力多减,偏多 6、预期:中央政治局会议持续稳定和活跃资本市场,中美关税谈判不确定性对于市场没有明显驱动 ,全球股市反弹,国内指数震荡偏强。 | 当前日期 ...
年报披露接近尾声,各期指主力合约均贴水【股指分红监控】
量化藏经阁· 2025-04-29 14:17
一 、成分股分红进度 截至2025年4月29日: 上证50指数中,有36家公司处于预案阶段,3家公司处于决案阶段,1家公司进入 实施阶段,2家公司已分红,4家公司不分红; 沪深300指数中,有216家公司处于预案阶段,29家公司处于决案阶段,9家公司 进入实施阶段,10家公司已分红,27家公司不分红; 中证500指数中,有332家公司处于预案阶段,57家公司处于决案阶段,6家公司 进入实施阶段,5家公司已分红,90家公司不分红; 中证1000指数中,有604家公司处于预案阶段,119家公司处于决案阶段,17家公 司进入实施阶段,16家公司已分红,227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4月29日: 上证50指数已实现股息率为0.09%,剩余股息率2.35%; 沪深300指数已实现股息率为0.13%,剩余股息率1.94%; 中证500指数已实现股息率为0.02%,剩余股息率1.37%; 中证1000指数已实现股息率为0.02%,剩余股息率1.03%。 四、股指期货升贴水情 ...
市场情绪修复,各期指贴水幅度大幅收窄【股指分红监控】
量化藏经阁· 2025-04-23 16:58
一 、成分股分红进度 截至2025年4月23日: 上证50指数中,有32家公司处于预案阶段,2家公司处于决案阶段,2家公司进入 实施阶段,1家公司已分红,4家公司不分红; 沪深300指数中,有161家公司处于预案阶段,23家公司处于决案阶段,7家公司 进入实施阶段,8家公司已分红,28家公司不分红; 中证500指数中,有188家公司处于预案阶段,46家公司处于决案阶段,2家公司 进入实施阶段,3家公司已分红,90家公司不分红; 中证1000指数中,有378家公司处于预案阶段,87家公司处于决案阶段,14家公 司进入实施阶段,7家公司已分红,217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4月16日: 上证50指数已实现股息率为0.06%,剩余股息率2.41%; 沪深300指数已实现股息率为0.11%,剩余股息率2.03%; 中证500指数已实现股息率为0.01%,剩余股息率1.42%; 中证1000指数已实现股息率为0.01%,剩余股息率1.10%。 四、股指期货升贴水情况跟踪 ...
年度分红预测开启,各期指主力合约均深度贴水【股指分红监控】
量化藏经阁· 2025-04-10 13:38
一 、成分股分红进度 截至2025年4月10日: 上证50指数中,有30家公司处于预案阶段,2家公司处于决案阶段,0家公司进入 实施阶段,0家公司已分红,4家公司不分红; 沪深300指数中,有139家公司处于预案阶段,8家公司处于决案阶段,3家公司进 入实施阶段,2家公司已分红,28家公司不分红; 中证500指数中,有138家公司处于预案阶段,5家公司处于决案阶段,0家公司进 入实施阶段,2家公司已分红,92家公司不分红; 中证1000指数中,有244家公司处于预案阶段,16家公司处于决案阶段,4家公司 进入实施阶段,0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4月10日: 上证50指数已实现股息率为0.00%,剩余股息率2.51%; 沪深300指数已实现股息率为0.01%,剩余股息率2.23%; 中证500指数已实现股息率为0.01%,剩余股息率1.46%; 中证1000指数已实现股息率为0.00%,剩余股息率1.16%。 四、股指期货升贴水情况跟踪 截至 ...