Group 1 - U.S. stock index futures experienced a slight decline, with Nasdaq futures down by 0.7% and S&P 500 index futures down by 0.6% [1]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock index futures market showed a continuous downward trend, with pharmaceutical and biological and power equipment contributing to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributing to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index. The trading volume of each variety increased month - on - month, and the basis strengthened [4]. - For the bond futures market, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The net value of the multi - factor timing strategy for bond futures increased this week, and the strategy signals were mostly bullish. The net value of the cross - variety arbitrage strategy for bond futures increased, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. - In the commodity market, last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise, with the term structure factors performing the best, followed by the price - volume trend factors [75]. 3. Summary by Related Catalogs 3.1 Stock Index Futures 3.1.1 Market Review - The market showed a continuous downward trend, and the trading volume of each variety increased month - on - month, with the basis strengthening. Pharmaceutical and biological and power equipment contributed to the main decline of the CSI 300 Index, and pharmaceutical and biological and non - ferrous metals contributed to the main decline of the SSE 50 Index, CSI 500 Index, and CSI 1000 Index [4]. 3.1.2 Basis Strategy - The basis of stock index futures strengthened significantly. After the dividend adjustment of IC and IM, the discounts converged to 8.6% and 12.1% respectively. It is recommended to wait and see for the inter - period arbitrage strategy, and short - selling hedging is recommended to hold near - month contracts to avoid the risk of further basis convergence [4]. 3.1.3 Arbitrage Strategy Tracking - In the inter - period arbitrage strategy, the strategy net value declined significantly last week, with the annualized basis rate, positive arbitrage, and momentum factors losing 0.5%, 0.7%, and 0.5% respectively (6 - times leverage). The annualized basis rate factor gave reverse arbitrage signals for IH, IF, and IM, and a positive arbitrage signal for IC [5]. - The net value of the cross - variety arbitrage timing strategy lost 0.1% last week. The cross - variety momentum signals performed poorly, and all portfolios were currently empty [6]. 3.1.4 Timing Strategy Tracking - The daily timing strategy models were profitable last week, with the single - factor equal - weight, OLS, and XGB models earning 0.2%, 0%, and 1.2% respectively. The bearish signals of the timing models strengthened, with the XGB model bearish on all indices, and the OLS model bullish on the SSE 50 and CSI 300 and bearish on the CSI 500 and CSI 1000 [7]. 3.2 Bond Futures 3.2.1 This Week's Strategy Focus - In terms of basis and inter - period spreads, the basis of bond futures fluctuated narrowly this week, some contracts experienced CTD switching affected by new bonds, the IRR generally fluctuated at a high level, and the inter - period spread mainly declined. The uncertainty of the inter - period spread increased after a short - term rebound [55]. - For the futures timing strategy, the net value of the multi - factor timing strategy increased this week, and the strategy signals were mostly bullish, with the main bullish factors being the basis factor and high - frequency factor [55]. - In the futures cross - variety arbitrage strategy, the latest signal of the TS - T cross - variety arbitrage strategy was volatile, and the latest signal of the T - TL strategy was bearish [55]. - For the credit bond neutral strategy, the bond futures hedging pressure index based on far - month contracts continued to rebound, and the current credit bond duration rotation plus hedging strategy holds the 1 - 3 - year index with reduced duration and conducts bond futures hedging [55]. 3.3 Commodity CTA 3.3.1 Commodity Factor Performance - Last week, the domestic commodity market was affected by the conflict situation in the Middle East. Crude oil and related energy and chemical varieties mostly rose, and most commodity factors continued to rise. The term structure factors performed the best, with an average increase of over 1%, followed by the price - volume trend factors, with an average increase of over 0.5%. Only the warehouse receipt factors declined [75]. 3.3.2 Tracking Strategy Performance - Different tracking strategies had different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, maximum drawdown, recent weekly return, and year - to - date return. For example, the CWFT strategy had an annualized return of 10.1%, a Sharpe ratio of 1.70, and a maximum drawdown of - 8.81%, with a recent weekly return of 0.11% and a year - to - date return of 3.76% [76].

Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points and their influence on futures contracts[6][10][18] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, quick reports, earnings warnings, or analysts' profit forecasts to estimate net profits[21][22] 2. **Calculate Pre-Tax Dividend Total**: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $$ \text{Estimated Dividend Total} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio} $$ If no dividends were distributed in the previous year, assume no dividends this year[26] 3. **Calculate Dividend Impact on Index**: - Dividend Yield: $$ \text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}} $$ - Dividend Points: $$ \text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield} $$ - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R_1)}{\sum_{1}^{n} w_{i0} \times (1 + R_1)} $$ where \( w_{i0} \) is the initial weight, and \( R_1 \) is the stock's return[23] 4. **Predict Dividend Impact on Futures Contracts**: Aggregate all dividends before the contract's delivery date to calculate the total impact on futures contracts[28] - **Model Evaluation**: The model provides a systematic and logical approach to estimate dividend impacts, but its accuracy depends on the reliability of input assumptions and historical data[18][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for July Contracts**: - SSE 50: 40.84 - CSI 300: 38.26 - CSI 500: 19.23 - CSI 1000: 17.88[6][10] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14] --- Quantitative Factors and Construction Methods 1. Factor Name: Theoretical Pricing Model for Stock Index Futures - **Factor Construction Idea**: This factor calculates the theoretical price of stock index futures based on the no-arbitrage principle, considering dividends and risk-free rates[30][31] - **Factor Construction Process**: 1. **Discrete Dividend Distribution**: $$ D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)} $$ where \( D_i \) is the dividend amount at time \( t_i \), and \( r_i \) is the risk-free rate between \( t_i \) and \( t \)[30] The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ 2. **Continuous Dividend Distribution**: $$ F_t = S_t \cdot e^{(r-d)(T-t)} $$ where \( d \) is the annualized dividend yield, and \( r \) is the annualized risk-free rate[31] - **Factor Evaluation**: The model is robust under the no-arbitrage assumption but may deviate in real markets due to transaction costs and market frictions[30][31] --- Factor Backtesting Results 1. Theoretical Pricing Model for Stock Index Futures - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14]

埃及股指上涨0.8%，抹去早前跌幅。 ...

埃及股指下跌1.5%。以色列TA35股指开盘上涨0.9%。此前美国袭击伊朗核设施。 ...

VIX 下行情绪回暖，IM 季月基差两周上涨 100 点 [Table_ReportTime] 2025 年 6 月 21 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 [T金工ableReportType] 点评报告 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信 ...

Market Performance - The three major U.S. stock indices closed mixed, with the Dow Jones up 0.08% at 42,206.82 points, the S&P 500 down 0.22% at 5,967.84 points, and the Nasdaq down 0.51% at 19,447.41 points [1] - Major tech stocks mostly declined, with Google down nearly 4%, Meta, Intel, Amazon, and Nvidia down over 1%, while Microsoft saw a slight decrease; Apple rose over 2%, and Netflix and Tesla experienced slight gains [1] - Popular Chinese concept stocks showed mixed results, with Futu Holdings down over 6%, Kingsoft Cloud down over 4%, JD.com down over 3%, and Bilibili down over 2%; however, Fangdd rose over 3% and Douyu increased over 2% [1] European Market - European stock indices closed mixed, with Germany's DAX index up 1.27% at 23,350.55 points, France's CAC40 index up 0.48% at 7,589.66 points, and the UK's FTSE 100 index down 0.2% at 8,774.65 points [1] Commodity Prices - International oil prices showed divergence, with U.S. oil main contract up 0.22% at $74.04 per barrel, while Brent crude main contract fell 1.94% to $77.32 per barrel [1] - International precious metal futures generally declined, with COMEX gold futures down 0.09% at $3,384.40 per ounce and COMEX silver futures down 1.13% at $35.95 per ounce [1] - London base metals all rose, with LME tin up 2.13% at $32,690.00 per ton, LME aluminum up 1.59% at $2,561.50 per ton, LME copper up 0.47% at $9,660.50 per ton, LME zinc up 0.32% at $2,649.00 per ton, LME lead up 0.15% at $1,995.00 per ton, and LME nickel up 0.03% at $15,060.00 per ton [1] Bond Market - U.S. Treasury yields collectively declined, with the 2-year yield down 3.60 basis points at 3.899%, the 3-year yield down 3.36 basis points at 3.858%, the 5-year yield down 3.69 basis points at 3.956%, the 10-year yield down 1.59 basis points at 4.373%, and the 30-year yield down 0.41 basis points at 4.887% [1] - European bond yields mostly decreased, with the UK 10-year yield up 0.7 basis points at 4.536%, while France's 10-year yield fell 2.8 basis points to 3.242%, Germany's 10-year yield down 0.4 basis points to 2.515%, Italy's 10-year yield down 2.6 basis points to 3.493%, and Spain's 10-year yield down 2.3 basis points to 3.213% [1]

Group 1 - The S&P 500 futures declined by 0.12% while the Dow futures increased by 0.20% and the Nasdaq 100 futures fell by 0.30% [1] - The Russell 2000 futures rose by 0.10% [2]

Group 1 - The German DAX 30 index initially rose by 1.30%, reaching 23,356.12 points, with a cumulative decline of approximately 0.6% for the week [1] - The French stock index initially increased by 0.49% [1] - The Italian stock index initially rose by 0.86% [1] Group 2 - The UK stock index initially decreased by 0.10% [1]

作者：廖宏斌 期货从业资格号F30825507 期货投资咨询证号：Z0020723 联系电话：4008-8787-66 瑞达期货研究院 「2025.6.20」 股指期货周报 添加客服 关 注 我 们 获 取 更 多 资 讯 业务咨询 「摘要」 • 周度观点：A股主要指数本周集体收跌，多数指数跌超1%。四期指除IH外均录得下跌，大盘 蓝筹股强于中小盘股。周一，5月份国内经济数据公布，除社零外，增速均较前值下滑；周 四凌晨，美联储公布利率决议，维持政策利率不变，且在会后释放鹰派信号，推动美元兑离 岸人民币汇率走强，对A股市场情绪起到一定抑制。本周，市场成交活跃度较上周有所回落。 2 来源：瑞达期货研究院 目录 1、行情回顾 2、消息面概览 3、周度市场数据 4、行情展望与策略 1、行情回顾 2020.06.30 厦门 「行情回顾」 | 期货 | 合约名称 | 周涨跌幅% | 周五涨跌幅% | 收盘价 | | --- | --- | --- | --- | --- | | | IF2509 | -0.27 | 0.31 | 3773.6 | | | IH2509 | 0.58 | 0.70 | 2635.4 | | ...