2025年4月28日 [Table_Title] 美国持续释放关税缓和信号，股指整体反弹 ——股指期货周报 [table_main] 投资要点： 行情走势：上周沪深 300 指数收于 3786.99 点，较前值上升 0.39%；累计成交 10914 亿元，日均成交 2183 亿元，较前值下降 147 亿元。两市融资融券余额 为 17916 亿元。表现较好的前五名行业分别是综合金融(6.07%)、汽车(4.94%)、 通信(3.16%)、电力设备及新能源(3.07%)、综合(2.77%)；表现较差的前五名行 业分别是交通运输(-0.88%)、煤炭(-1.21%)、农林牧渔(-1.38%)、食品饮料(- 2.40%)、消费者服务(-3.70%)。 期现基差行情：IF、IH、IC、IM 当月合约基差分别为-12.19 点、-3.81 点、 -44.98 点、-54.50 点。前一周同期值分别为-6.82 点、-3.10 点、-5.81 点、 6.24 点。 投资咨询业务资格： 证监许可[2011]1771号 宏 观 金 融 周 报 跨期价差行情：IF 合约次月-当月、当季-次季、次季-当季价差分别为-35.60 点 ...

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 | | --- | --- | --- | --- | --- | --- | | IH2506 | 震荡 | 震荡 | 震荡偏强 | 区间震荡 | 政策面利好预期与外部不确定性 风险并存 | 备注： ◼ 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 投资咨询业务资格：证监许可【2011】1778 号 宝城期货股指期货早报（2025 年 4 月 28 日） ◼ 品种观点参考—金融期货股指板块 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。 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。 日内观点：震荡偏强 中期观点：震荡 参考观点：区间震荡 核心逻辑：上周五今日各股指均冲高回落，全天震荡整理。股市成交金额为 11370 亿元，较上日缩量 19 亿元。近期股市的成交量能保持相对稳定，一方 ...

Core Viewpoint - The deep discount of stock index futures has raised concerns in the market, impacting market-neutral strategy products and leading to net value declines, although quant hedge funds have managed to maintain overall excess returns this year [1][2]. Group 1: Market Conditions - Since April, the discount rates for IC (CSI 500 index futures) and IM (CSI 1000 index futures) have deepened, with IC reaching an annualized discount rate of 19.23% and IM at 22.36% as of April 16 [2]. - The significant drop in the CSI 500 and CSI 1000 indices on April 7, attributed to tariff shocks, resulted in extreme declines in stock index futures, causing a sharp increase in hedging costs for neutral products [2]. - The overall excess returns for quant strategies have improved compared to last year, despite increased market volatility and deepening discounts [2][4]. Group 2: Performance of Market-Neutral Strategies - As of April 18, the average return for 738 market-neutral strategy products since 2025 was 3.06%, but the average return over the past month dropped to 0.03%, with a slight recovery to 0.34% in the last week [3]. - Market-neutral products have maintained relatively stable operations since April, although new investors may face risks related to basis convergence [3][4]. - The overall return rate for market-neutral strategies this year is reported at 4%, with a yield of 0.47% since April [4]. Group 3: Risk Management and Strategy Optimization - Companies have implemented various methods for basis management and volatility response, including optimizing strategy models to enhance return stability [1][4]. - A multi-dimensional risk control system has been established, utilizing mixed hedging and automated dynamic management of basis [5]. - Recent upgrades to strategy frameworks have improved the ability to capture excess returns by integrating multi-frequency price and volume characteristics with AI models [5].

Quantitative Models and Factor Analysis Dividend Impact Prediction Model - **Model Name**: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures contracts by estimating the dividend points and their influence on futures pricing. It incorporates historical dividend patterns, company financial reports, and market assumptions to calculate the theoretical impact of dividends on futures contracts[9][22][25] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, financial forecasts, and analysts' predictions to estimate the net profit of index component stocks[25][26] 2. **Calculate Pre-Tax Dividend Total**: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount using the formula: $$ \text{Estimated Dividend Total} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ If no dividends were issued in the previous year, assume no dividends for the current year[29] 3. **Calculate Dividend Impact on Index**: - **Dividend Yield**: $$ \text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}} $$ - **Dividend Points**: $$ \text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield} $$ Stock weights are adjusted using the formula: $$ \mathrm{w_{it}={\frac{w_{i0}\times\ (\ 1+R\ )}{\sum_{1}^{n}w_{i0}\times\ (\ 1+R\ )}}} $$ where \( R \) is the stock's price change over time[27] 4. **Predict Impact on Futures Contracts**: Aggregate the dividend points for all component stocks before the contract's settlement date to estimate the total dividend impact on the futures contract[31] - **Model Evaluation**: The model is robust in incorporating historical data and market assumptions, but its accuracy depends on the reliability of financial forecasts and the stability of dividend payout ratios[9][25][31] --- Backtesting Results of the Model Dividend Impact on Futures Contracts (May 2025 Contracts) - **Shanghai 50 Index Futures (IH)**: - Dividend Points: 0.43 - Remaining Impact: 0.02% - Annualized Hedging Cost (365 days): 2.22% - Annualized Hedging Cost (243 days): 2.58%[10][14] - **CSI 300 Index Futures (IF)**: - Dividend Points: 5.76 - Remaining Impact: 0.15% - Annualized Hedging Cost (365 days): 2.95% - Annualized Hedging Cost (243 days): 3.44%[10][11] - **CSI 500 Index Futures (IC)**: - Dividend Points: 3.49 - Remaining Impact: 0.06% - Annualized Hedging Cost (365 days): 12.82% - Annualized Hedging Cost (243 days): 14.93%[10][12] - **CSI 1000 Index Futures (IM)**: - Dividend Points: 5.93 - Remaining Impact: 0.10% - Annualized Hedging Cost (365 days): 14.22% - Annualized Hedging Cost (243 days): 16.56%[10][13] --- Theoretical Pricing Model for Futures Discrete Dividend Distribution Model - **Model Construction Process**: - Assumes discrete dividend payments at specific time points during the contract period - Formula: $$ \mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi) $$ where \( \phi \) is the risk-free rate between two dividend payment dates - Futures Pricing Formula: $$ F_t = (S_t - D)(1 + r) $$ where \( S_t \) is the spot price, \( D \) is the present value of dividends, and \( r \) is the risk-free rate[34] Continuous Dividend Distribution Model - **Model Construction Process**: - Assumes dividends are distributed continuously over the contract period - Formula: $$ F_t = S_t e^{(r-d)(T-t)} $$ where \( d \) is the annualized dividend yield, \( r \) is the risk-free rate, and \( T-t \) is the time to maturity[35]

沪深300股指期货（IF）主力合约跌0.07%，上证50股指期货（IH）主力合约涨0.25%，中证500股指期 货（IC）主力合约跌0.80%，中证1000股指期货（IM）主力合约跌1.39%。 股指期货早盘收盘 ...

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 ...

智通财经4月23日电，美股三大股指期货涨幅扩大，其中纳指期货涨1.78%，标普500指数期货涨1.6%。 ...

二 〇 二 五 年 度 2025 年 04 月 22 日 国 泰 君 安 期 货 研 究 所 李浩 投资咨询从业资格号：Z0020121 lihao8@gtht.com 宋子钰（联系人） 从业资格证号：F03136034 songziyu@gtht.com 报告导读： 在传统的策略中，量价因子（如动量、波动率、成交量等）占据主导地位，而宏观流动性和资金面因 子的在择时中的有效性往往被低估。然而，市场短期走势不仅受技术面影响，更与资金松紧、机构行为和 市场情绪密切相关。1 天期的国债逆回购利率作为反映短期资金供需的核心指标，其高频波动蕴含了丰富 的市场信息——它不仅是流动性的"温度计"，更是机构投资者行为的"显微镜"。 本报告从 1 天期的国债逆回购利率的日内特征出发，探索其在股指期货择时中的应用价值。不同于传 统宏观因子的低频特性，1 天期的国债逆回购利率的分钟级数据能够捕捉市场资金的实时变化，尤其是在 尾盘阶段，其波动往往隐含某些关键性的次日市场预期。通过构建一系列基于 1 天期的国债逆回购利率时 间序列、量价关系及市场微观结构的因子，我们验证了资金面信息对股指期货短期走势的预测能力，并进 一步在股指期货标 ...

Report Industry Investment Rating - The report maintains a cautiously optimistic view [6] Core View - The current bullish and bearish factors are domestic policy expectations and external tariff disturbances respectively. Positive policy expectations support the index under the guidance of domestic policies. The US tariff negotiations are not optimistic, with some countries taking a tough stance, while Trump shows an intention to ease tariffs on China. With overall positive news, the stock index rose generally today. Under the domestic and foreign loose expectations, the small and medium - cap stock indexes performed better and showed a unilateral upward trend. However, there are still significant external uncertainties, market sentiment is cautious, and the historical percentile of the volume - weighted average basis of stock index futures, except for IH, is at a low level below 5% [6] Market Review - Today, except for the Shanghai Stock Exchange 50 Index which closed slightly lower, the rest of the stock indexes closed higher. In terms of capital, the trading volume of the two markets rebounded by 12.6749 billion yuan. In the futures index, IH declined with increasing volume, while the other varieties rose with increasing volume [4] Important Information - The LPR quotation in April remained stable: the 1 - year LPR was reported at 3.10%, the same as last time; the over - 5 - year variety was reported at 3.60%, also the same as last time. - Ishiba Shigeru stated that Japan is not ready to make major concessions to the US and is not in a hurry to reach an agreement with the US [5] Strategy Recommendation - Futures Index Market Observation | | IF | IH | IC | IM | | --- | --- | --- | --- | --- | | Main contract intraday change | 0.66% | - 0.08% | 1.85% | 2.27% | | Volume | 7.751 | 4.2261 | 8.7317 | 22.2169 | | Volume change compared to previous period | - 1.855 | - 0.712 | - 1.0559 | - 2.5927 | | Open interest | 247448 | 81204 | 204265 | 317103 | | Open interest change compared to previous period | 532 | 1637 | 1584 | 819 | [7] Strategy Recommendation - Spot Market Observation | | Name | Value | | --- | --- | --- | | | Shanghai Composite Index change (%) | 0.45 | | | Shenzhen Component Index change (%) | 1.27 | | | Ratio of rising to falling stocks | 4.99 | | | Trading volume of the two markets (billion yuan) | 104.1405 | | | Trading volume change compared to previous period (billion yuan) | 12.6749 | [8]

以下文章来源于力的期权工作室 ，作者余力 Felix 力的期权工作室 . 对个人更通俗，对机构更专业，努力做最具品质的衍生品公众号~ 欢迎加入交易理想国知识星球 文 | 余力 Felix 来源 | 力的期权工作室 编辑 | 杨兰 审核 | 浦电路交易员 今天！连续第十个交易日，上证综指继续创出4.8反弹以来的新高，各大指数也继续修复4.7那一天的跳空大缺口…… 随着最近"护盘"资金的不断加仓，有一个现象也值得一提，那就是中证1000指数与远月股指期货的贴水率已经几乎拉到了去年9.24以 来的尾部区。 从下面这张图先粗略有个概念（下图中的黑色曲线表示中证1000指数，粉红色曲线表示中证1000最远月股指期货），对于4.7以来的这 一波下跌，中证1000指数本身已经在逐步修复4.7那一天的大缺口，从4.8算到今天，已经累计上涨了8.30%，然而，最远月中证1000股 指期货的价格却只上涨了大约3%，明显跟不上1000指数本身，这导致两者之间的负基差（即股指期货价格减去指数本身的价格）已经 处在近期高位。 图：去年9.24至今，中证1000指数与中证1000隔季月期指合约价格对比走势图 数据来源：Wind 对于还不 ...