Core Viewpoint - The stock index futures showed slight increases in early trading, indicating a stable market sentiment [1] Group 1: Stock Index Futures Performance - The main contract for the CSI 300 index futures (IF) rose by 0.03% [1] - The main contract for the SSE 50 index futures (IH) increased by 0.26% [1] - The main contract for the CSI 500 index futures (IC) saw a marginal rise of 0.01% [1] - The main contract for the CSI 1000 index futures (IM) gained 0.22% [1]

Group 1: Report Summary - Report date: August 4, 2025 [1] - Report author: Mao Lei [8] - Report institution: Guotai Junan Futures [9] Group 2: Market Review and Outlook - Market performance last week: The overall market declined, reaching a phased high during the week and then oscillating downward. The top three sectors in terms of gains were medicine and biology, communication, and media, while the bottom three were coal, non - ferrous metals, and real estate [3] - Policy impact: The Politburo meeting announced the main economic work direction for the second half of the year. The policy on stabilizing growth weakened marginally due to the improved external environment and good economic data in the first half. In the anti - involution area, the policy on prices was diluted, causing a significant decline in related commodity futures prices and dragging down relevant stock market sectors [3] - Overseas factors: Tariff fluctuations increased. The deadline for the equal - tariff negotiation for non - Chinese countries was approaching on August 1st, and the market's interpretation of the China - related trade negotiation in Sweden was not optimistic, suppressing investors' risk appetite [3] - Market turning points: In a bull market driven by risk preference, market turning points are mainly driven by policy shifts and the fermentation of external risks. Last week's market performance basically conformed to this adjustment logic [4] - Future market outlook: After the policy meeting, the actual future direction is uncertain. There is also uncertainty regarding the Sino - US equal - tariff deadline in the middle of this month. The upward market space may be limited, and the downward space is also restricted as market sentiment remains positive [4] - Factors to watch: The release of China's economic data in July, the Fed's policy direction, and the progress of tariff negotiations [5] Group 3: Strategy Recommendations Short - term strategy - Intraday trading frequency can refer to 1 - minute and 5 - minute K - line charts. The stop - loss and take - profit levels for IF, IH, IC, and IM can be set at 76/95 points, 58/31 points, 66/121 points, and 84/142 points respectively [6] Trend strategy - Adopt a long - after - correction approach. The core operating ranges for the IF2508, IH2508, IC2508, and IM2508 contracts are 3909 - 4110 points, 2727 - 2853 points, 6030 - 6434 points, and 6375 - 6804 points respectively [6] Cross - variety strategy - Cautiously participate in the strategy of going long on IF (or IH) and shorting IC (or IM) [7] Group 4: Market Data Summary Spot market review - Global stock indices: Most global stock indices declined last week. The Taiwan Weighted Index rose by 0.30%, while others such as the Russian RTS, NASDAQ, and Brazil BOVESPA Index fell [11] - Major domestic indices: All major domestic indices declined last week. The Taiwan Weighted Index was an exception with a 0.30% increase. Since 2025, major domestic indices have shown varying degrees of increase [11][12][13] - Industry performance: In the CSI 300 index, the medicine sector rose by 2.17%, while sectors such as industry, materials, and optional consumption declined. In the CSI 500 index, the medicine and telecommunications sectors rose, while others such as finance and real estate declined [15] Futures market review - Futures contract performance: The IF futures contract had the largest decline and the largest amplitude last week. The trading volume and open interest of股指期货 declined [15] Index valuation - PE ratios: The PE (TTM) ratios of the Shanghai Composite Index, CSI 300 Index, SSE 50 Index, CSI 500 Index, and CSI 1000 Index are 15.57 times, 13.5 times, 11.39 times, 30.79 times, and 41.44 times respectively [18][19] Market funds - Newly - established funds and investors: The data on newly - established equity - biased fund shares and the number of new investors in the two markets are presented [22] - Fund rates and central bank operations: The fund rate declined last week, and the central bank's net investment situation is shown [22]

Report Summary 1. Report Industry Investment Rating No specific investment rating for the industry is provided in the report. 2. Report's Core View - The overall view for financial futures in the stock index sector is that the short - term trend of stock indices is expected to be range - bound, while the medium - term view is upward. For IH2509, the short - term is expected to be volatile, the medium - term is expected to rise, the intraday trend is expected to be slightly bullish, and the overall view is upward [1][5]. 3. Summary by Related Content 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2509, the short - term is "volatile", the medium - term is "rising", the intraday is "slightly bullish", and the overall view is "rising". The core logic is that the positive policy expectations provide strong support [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - **Market Performance**: Last Friday, all stock indices fluctuated and consolidated. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 161.99 billion yuan, a decrease of 342 billion yuan from the previous day [5]. - **Short - term Technical Factors**: Since late June, some stocks have achieved significant gains, so some profit - taking funds have a need to take profits, and the stock indices need short - term technical consolidation. The recent decline in trading volume in the stock market indicates a decline in investors' risk appetite [5]. - **Policy Factors**: The July Politburo meeting emphasized the implementation of existing policies, including more active fiscal policies and moderately loose monetary policies. The policy focus is on boosting consumption and supporting technological innovation. Incremental policy benefits may need to wait for the Fourth Plenary Session of the 24th Central Committee in October, so the driving force of policy benefits has weakened marginally in the short term [5]. - **Economic Data**: The manufacturing PMI weakened in July, indicating that the problem of insufficient internal effective demand still exists [5]. - **External Factors**: External uncertainties remain, and the final result of China - US economic and trade consultations has not been finalized. Therefore, the driving force of the market has weakened marginally in the short term, and it needs time to fluctuate and consolidate [5].

Core Insights - The article emphasizes the importance of understanding stock index futures as indicators of market trends, akin to meteorological signals in climate changes [1][6][7] Group 1: Stock Index Futures and Market Trends - The "cross-period price difference" in stock index futures reflects market expectations for future trends, with a positive spread indicating optimism and a negative spread signaling increased short-term risk [2] - In Q3 2023, the price difference for the CSI 300 stock index futures expanded from +5 points to +20 points, predicting a subsequent rise in the index driven by improved consumption data, resulting in a 15% excess return for traders who monitored these changes [2] - A volatility ratio between price difference and spot index often indicates an impending acceleration in trends, successfully capturing three major upward movements in tech stocks in 2024 [2] Group 2: Open Interest and Market Sentiment - Changes in open interest can reveal the true intentions of capital flows, with a continuous increase in total open interest and a long-short ratio exceeding 1.5 indicating accumulating trend strength [3] - In Q1 2024, a significant increase in institutional accounts in the long positions of the CSI 500 stock index futures from 30% to 45% led to an 8% rise in the index within a month [3] - A sudden drop in open interest alongside price declines can signal potential market bottoms, as seen in October 2023 when the open interest for the SSE 50 stock index futures decreased by 15% while price declines slowed [3] Group 3: Arbitrage Opportunities - The "risk-free zone" in futures trading indicates when stock index futures prices deviate significantly from spot indices, prompting arbitrage activities to restore balance [5] - In mid-2024, a quantitative team initiated arbitrage when the price difference reached 7%, achieving a 2.3% risk-free return within 14 trading days [5] - The flow of arbitrage funds can signal market conditions, with increased positive arbitrage indicating potential overvaluation of the spot index, while active negative arbitrage may suggest a market bottom [5] Group 4: Contract Rollovers and Capital Movements - The "migration pattern" during contract rollovers reveals the trajectory of major capital movements, with a high rollover transfer rate correlating with subsequent trend strength [6] - In Q2 2024, a rapid increase in the rollover transfer rate for the CSI 1000 stock index futures from 20% to 80% predicted a 12% rise in small-cap stocks [6] - An expansion of backwardation during rollovers may indicate pessimistic expectations for the long-term market, as evidenced by a warning of adjustment risks in Q3 2023 [6]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - A-share major indices declined collectively this week, and the four stock index futures also weakened. Large-cap blue-chip stocks were weaker than small and mid-cap stocks. The market trading activity declined slightly compared to last week, and the total trading volume of northbound funds has been above 900 billion yuan for four consecutive weeks. The domestic economic fundamentals showed a decline in the official manufacturing PMI in July, which has been in the contraction range for four consecutive months. Although the non-manufacturing PMI and the composite PMI remained above the boom-bust line, they also declined from the previous values. The decline in manufacturing sentiment had a negative impact on market sentiment. In terms of trade, China and the US reached a 90-day tariff truce extension as scheduled. In terms of policy, the Politburo meeting in July did not announce more incremental policies, which was weaker than market expectations. Overall, the third trade negotiation provided more flexibility for the market, but the decline of the three PMI indices in July indicated that the economic recovery still faced certain challenges. After the Politburo meeting, due to the full reaction of the market to the meeting expectations, in the absence of more-than-expected policies, the market bulls may take profit actions, and the stock index is expected to enter a wide-range shock. It is recommended to wait and see for the time being. [6][98] 3. Summary by Relevant Catalogs 3.1 Market Review - Futures: IF2509 had a weekly decline of 2.10%, IH2509 declined 1.52%, IC2509 dropped 1.80%, and IM2509 fell 0.95%. - Spot: The Shanghai and Shenzhen 300 Index declined 1.75%, the Shanghai 50 Index dropped 1.48%, the CSI 500 Index fell 1.37%, and the CSI 1000 Index declined 0.54%. [9] 3.2 News Overview - From January to June, the total profit of industrial enterprises above designated size was 3.4365 trillion yuan, a year-on-year decrease of 1.8%. The operating income was 66.78 trillion yuan, a year-on-year increase of 2.5%. In June, the profit of industrial enterprises above designated size decreased by 4.3% year-on-year. - From July 28th to 29th, China and the US held economic and trade talks in Stockholm, and the two sides agreed to extend the suspension of the 24% US reciprocal tariffs and China's countermeasures for 90 days. - The Politburo meeting pointed out that macro policies should continue to exert force and increase force in a timely manner, implement more proactive fiscal policies and moderately loose monetary policies, release domestic demand potential, expand high-level opening up, and resolve local government debt risks. - In July, the manufacturing PMI was 49.3%, a decrease of 0.4 percentage points from the previous month; the non-manufacturing business activity index and the composite PMI output index were 50.1% and 50.2% respectively, a decrease of 0.4 and 0.5 percentage points from the previous month. [12][13][14] 3.3 Weekly Market Data - Domestic Main Indices: The Shanghai Composite Index declined 0.94%, the Shenzhen Component Index dropped 1.58%, the STAR 50 Index declined 1.65%, the SME 100 Index dropped 1.95%, and the ChiNext Index declined 0.74%. - Overseas Main Indices: The S&P 500 declined 0.77%, the FTSE 100 rose 0.14%, the Hang Seng Index declined 3.47%, and the Nikkei 225 declined 1.58%. - Industry Sector Performance: Industry sectors generally declined, with coal and non-ferrous metals sectors weakening significantly, while pharmaceutical and biological, communication and other sectors rising against the trend. - Industry Sector Main Fund Flow: Industry main funds generally showed a net outflow, with large net outflows in the computer and non-ferrous metals sectors, and small net inflows in the banking and transportation sectors. - SHIBOR Short-term Interest Rate: The SHIBOR short-term interest rate declined, and the capital price was low. - Restricted Share Lifting and Northbound Capital: This week, major shareholders had a net reduction of 7.52 billion yuan in the secondary market, and the market value of restricted shares lifted was 88.748 billion yuan. Northbound funds had a total trading volume of 955.947 billion yuan. - Futures Basis: The basis of the IF, IH, and IC main contracts fluctuated weakly, while the basis of the IM main contract fluctuated. [17][18][22][26][30][33][41][44][50][54] 3.4 Market Outlook and Strategy - Outlook: The stock index is expected to enter a wide-range shock. - Strategy: It is recommended to wait and see for the time being. [98]

Report Overview - The report is the "Major Asset Morning Report" released by the macro team of the research center of Heyian Futures on August 1, 2025, presenting the performance of global asset markets [1]. Global Asset Market Performance Bond Yields - **10 - year Treasury Yields**: Yields of major economies showed different changes on July 31, 2025. For example, the US was at 4.376% with a latest change of 0.004%, a one - week change of - 0.022%, a one - month change of 0.028%, and a one - year change of 0.124%. Japan was at 3.958% with a latest change of 0.015%, a one - week change of 0.041%, a one - month change of 0.075%, and a one - year change of - 0.534% [2]. - **2 - year Treasury Yields**: The US 2 - year Treasury yield on July 31, 2025, was 3.860% with a latest change of - 0.050%, a one - week change of 0.030%, a one - month change of - 0.090%, and a one - year change of - 0.630%. Japan was at 0.817% with a latest change of - 0.006%, a one - week change of - 0.027%, a one - month change of 0.074%, and a one - year change of 0.471% [2]. Exchange Rates - **USD against Major Emerging Economies' Currencies**: On July 31, 2025, the exchange rate of USD against the Brazilian real was 5.600 with a latest change of 0.52%, a one - week change of 1.45%, a one - month change of 3.54%, and a one - year change of 0.26%. Against the South African rand, it was 18.218 with a latest change of 1.22%, a one - week change of 3.33%, a one - month change of 4.00%, and a one - year change of - 0.94% [2]. - **Renminbi**: The on - shore RMB was at 7.200 on July 31, 2025, with a latest change of 0.04%, a one - week change of 0.63%, a one - month change of 0.41%, and a one - year change of - 1.03%. The offshore RMB was at 7.209 with a latest change of - 0.03%, a one - week change of 0.78%, a one - month change of 0.54%, and a one - year change of - 1.10% [2]. Stock Indices - **Major Economies' Stock Indices**: On July 31, 2025, the S&P 500 was at 6339.390 with a latest change of - 0.37%, a one - week change of - 0.38%, a one - month change of 0.96%, and a one - year change of 14.11%. The German DAX was at 24065.470 with a latest change of - 0.81%, a one - week change of - 0.95%, a one - month change of 0.55%, and a one - year change of 29.68% [2]. - **Emerging Economies' Stock Indices**: The Malaysian stock index was at 1513.250 on July 31, 2025, with a latest change of - 0.74%, a one - week change of - 1.76%, a one - month change of - 2.31%, and a one - year change of - 7.14%. The Australian stock index was at 8999.022 with a latest change of - 0.18%, a one - week change of 0.22%, a one - month change of 1.87%, and a one - year change of 9.63% [2]. Credit Bond Indices - Credit bond indices of different regions and levels showed various changes. For example, the US investment - grade credit bond index had a latest change of 0.06%, a one - week change of 0.43%, a one - month change of 0.27%, and a one - year change of 5.64% [2][3]. Stock Index Futures Trading Data Index Performance - The closing price of A - shares was 3573.21 with a decline of 1.18%. The closing price of the CSI 300 was 4075.59 with a decline of 1.82% [4]. Valuation - The PE (TTM) of the CSI 300 was 13.19 with a环比 change of - 0.20. The PE (TTM) of the S&P 500 was 26.89 with a环比 change of - 0.10 [4]. Risk Premium - The risk premium of the S&P 500 (1/PE - 10 - year interest rate) was - 0.66 with a环比 change of 0.01. The risk premium of the German DAX was 2.16 with a环比 change of 0.05 [4]. Fund Flow - The latest value of the A - share fund flow was - 1635.89, and the 5 - day average was - 973.63 [4]. Trading Volume - The latest trading volume of the Shanghai and Shenzhen stock markets was 19360.35, with a环比 change of 917.56 [4]. Main Contract Premium/Discount - The basis of the IF contract was - 18.59, with a premium/discount rate of - 0.46% [4]. Treasury Futures Trading Data - The closing price of the T00 Treasury futures was 108.485 with a rise of 0.16%. The closing price of the TF00 was 105.725 with a rise of 0.08% [5]. - The R001 fund rate was 1.5634% with a daily change of - 5.00 BP. The R007 was 1.5806% with a daily change of - 3.00 BP [5].

Core Viewpoint - The article reports on the performance of various stock index futures, indicating a mixed market sentiment with declines in major contracts and a slight increase in one specific contract [1] Group 1: Stock Index Futures Performance - The main contract for the CSI 300 index futures (IF) decreased by 0.50% [1] - The main contract for the SSE 50 index futures (IH) fell by 0.63% [1] - The main contract for the CSI 500 index futures (IC) saw a minor decline of 0.13% [1] - The main contract for the CSI 1000 index futures (IM) experienced an increase of 0.24% [1]

股指期货日度数据跟踪 2025-08-01 | 计算机 国防军工 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 传媒 美容护理 | | | | | | | | 轻工制造 | | | | | | | | 石油石化 | | | | | | | | 建筑材料 建筑装饰 | | | | | | | | 煤炭 纺织服饰 | | | | | | | | 商贸零售 农林牧渔 | | | | | | | | 医药生物 | | | | | | | | 机械设备 食品饮料 | | | | | | | | 公用事业 | | | | | | | | 交通运输 | | | | | | | | 电力设备 | | | | | | | | 基础化工 | | | | | | | | 通信 综合 钢铁 银行 汽车 电子 环保 房地产 家用电器 社会服务 非银金融 有色金属 | -8 -10 | -6 | -4 | 0 -2 | 2 | 4 | 数据来源：Wind，光期研究所 图 4：中证 500 各板块对指数贡献的涨跌点数 -15 -10 -5 0 5 计算机 通信 纺织 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - In July, the domestic stock index futures market showed a continuous upward trend, with IC and IM performing stronger than IF and IH. In August, the stock index may maintain a structural market. One can focus on short - term oversold rebound opportunities catalyzed by policies, but be vigilant against fluctuations caused by economic data falling short of expectations. It is recommended to participate with a light position and closely follow the central bank's medium - term lending facility operations and real estate policy trends [5][26]. 3. Summary by Relevant Catalogs 3.1 Market Quotes Review - In July, the domestic stock index futures market continued to strengthen. The month - on - month increases of the main contracts of IF, IH, IC, and IM were 4.14%, 3.27%, 6.16%, and 6.33% respectively [5]. - Last month, 30 - year and 10 - year treasury bond futures rose, while 5 - year and 2 - year treasury bond futures fell [6]. 3.2 Fundamental Analysis - In July, the manufacturing PMI was 49.3%, down 0.4 percentage points from the previous month, indicating a decline in manufacturing prosperity. The non - manufacturing business activity index was 50.1%, down 0.4 percentage points from the previous month but still above the critical point. The comprehensive PMI output index was 50.2%, down 0.5 percentage points from the previous month, indicating that the overall production and business activities of Chinese enterprises remained in an expansion state [8][9][13]. 3.3 Valuation Analysis - As of July 31, the PE, percentile, and PB of the CSI 300 Index were 13.39 times, 72.8%, and 1.41 times respectively; those of the SSE 50 Index were 11.48 times, 85.13%, and 1.27 times respectively; those of the CSI 500 Index were 30.78 times, 73.39%, and 2.06 times respectively; and those of the CSI 1000 Index were 41.3 times, 66.34%, and 2.29 times respectively [14]. 3.4 Other Data - The "total market value/GDP" quantile in historical data was 77.08%. On July 30, 2025, the "total market value/GDP" quantiles in the recent 10 - year data were 81.07% and 76.31% [25]. 3.5 Comprehensive Analysis - In July, the stock index futures showed a volatile and slightly stronger pattern, but the upward foundation was still unstable. The market contradiction lies in the game between policy expectations and fundamental reality. In August, the stock index may maintain a structural market. One can focus on short - term opportunities but be cautious about risks [26].

投资咨询业务资格：证监许可【2011】1778 号 ◼ 品种观点参考—金融期货股指板块 宝城期货股指期货早报（2025 年 8 月 1 日） 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：IF、IH、IC、IM 日内观点：震荡偏强 中期观点：上涨 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2509 | 震荡 | 上涨 | 震荡偏强 | 上涨 | 政策端利好预期构成较强支撑 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 参考观点：上涨 核心逻辑：昨日各股指均震荡下跌。沪深 ...