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《金融》日报-20250611
Guang Fa Qi Huo· 2025-06-11 02:08
o eo 2025-05-09 2025-01-09 2025-03-09 2025-04-09 2025 - TS00-TS01 — TS00-TS02 — TS01-TS02 TL跨期价差 -0. AH 2025-04-09 2025-05-09 2025-01-09 2025-02-09 2025-03-09 | 股指期货价差日报 | | --- | | 投资咨询业务资格:证监许可【2011】1292号 Z0016628 叶倩宁 | | 价差 品种 最新值 较前一日变化 历史1年分位数 | | F期现价差 -24.47 -7.02 25.00% 17.40% | | 期现价差 IC期现价差 -39.79 -0.54 30.20% | | 26.20% | | 次月-当月 -36.80 -1.20 6.50% 8.80% | | 李月-崇月 -67.20 -1.80 12.70% 16.00% 元月-当月 -95.80 2.00 15.90% 19.70% | | IF跨期价差 李月-次月 -30.40 -0.60 14.30% 21.50% | | 元月-次月 -59.00 3.20 33.10% 26 ...
《金融》日报-20250603
Guang Fa Qi Huo· 2025-06-03 09:56
| 股指期货价差日报 | | | | | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | 叶倩宁 | Z0016628 | | 2025年6月3日 | | | | | 价差 品种 最新值 较前一日变化 | | 历史1年分位数 | 全历史分位数 | | F期现价差 -17.83 | 8.07 | 27.00% | 24.00% | | H期现价差 -11.50 期现价差 | 5.80 | 23.70% | 19.10% | | -43.27 IC期现价差 | 8.04 | 22.10% | 26.50% | | IM期现价差 -60.56 | -1.98 | 85.00% | 18.70% | | 次月-当月 -36.80 | -1.60 | 4.90% | 8.70% | | 李月-当月 -70.40 远月-当月 -107.20 | -4.80 -7.20 | 8.10% 11.00% | 14.20% 16.70% | | IF跨期价差 李月-次月 -33.60 | -3.20 | 7.30% | 19.70% | | 元月-次月 -70.40 ...
《金融》日报-20250527
Guang Fa Qi Huo· 2025-05-27 01:00
| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 叶倩宁 | Z0016628 | 2025年5月27日 | 品种 | 最新值 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | 价差 | 较前一日变化 | -28.91 | IF期现价差 | 7.17 | 16.30% | 13.20% | | | | | | | | | | | 13.90% | H期现价差 | -15.02 | 3.83 | 19.60% | 期现价差 | 16.38 | IC期现价差 | -74.86 | 10.60% | 7.60% | -103.79 | 8.40% | IM期现价去 | 13.89 | 90.00% | | 次月-当月 | -39.40 | -2.00 | 2.80% | 7.50% | 李月-崇月 | ...
股指期货日度策略报告-20250513
期货研究院 股指期货日度策略报告 Stock Index Futures Strategy Daily Report 金融衍生品研究中心 | 作者: | 李彦森 | | --- | --- | | 从业资格证号: | F3050205 | | 投资咨询证号: | Z0013871 | | 联系方式: | 010-68518392 | 投资咨询业务资格:京证监许可【2012】75号 成文时间:2025年05月13日星期二 更多精彩内容请关注方正中期官方微信 摘要 【行情复盘】 周一股指上行步伐有所加快,沪指收涨0.82%。期指主力合约也全 面走升。成交持仓方面,四个品种成交持仓均上升,市场情绪有所 好转。 【重要资讯】 行业来看,31个一级行业大多数上涨,行业涨跌差异上升,结合行 业在指数中所占权重看,非银金融对300和50带动最强,电力设备 带动300,国防军工、电子带动500和1000,医药生物是四大指数 主要拖累。资金方面,主要指数资金全面流入。消息面上看,央行 今日公开市场操作净投放流动性430亿元,短端资金成本小幅下降 。消息显示,中美关税谈判取得突破性进展,双方联合声明确认将 4月2日后增量关税降至 ...
“数”看期货:近一周卖方策略一致观点-20250512
SINOLINK SECURITIES· 2025-05-12 14:30
qqqqqqqqqqqqqqqqqqq 跨期价差方面,截至上周五收盘,IF、IC、IM和IH当月合约与下月合约的跨期价差率分别处在2019年以来的94.10%、 98.80%、99.20%和 88.20%分位数。四大期指当月合约与下月、当季、下季的价差率均处于历史分布常态位置。 正向和反向套利空间上,以年化收益 5%计算,剩余 5 个交易日,IF 正反套当月合约基差率需要分别达到 0.33%和- 0.48%。以年化收益 5%计算,剩余 29 个交易日,IF 正反套下月合约基差率需要分别达到 0.95%和-1.79%。按照收盘 价格看,目前 IF 当月合约存在反套机会。 分红预测方面,根据我们的估算,沪深 300 指数、中证 500、上证 50 指数和中证 1000 指数对主力合约的点位分别为 22.15、44.10、16.55 和 36.81。 市场预期方面,基差变化同时受到分红及投资者交易情绪的影响。当前上市公司业绩披露结束,主力资金可能根据 公司基本面进行调仓换股,如遇到主力资金大规模买卖操作,预期导致基差大幅波动。上周四大期指当月合约基差 波动幅度较小。当前各品种基差均处于历史低位,跨期价差为正,使用近 ...
广发期货《金融》日报-20250507
Guang Fa Qi Huo· 2025-05-07 06:21
| 股指期货价差日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | 叶倩宁 | 2025年5月7日 | | | | Z0016628 | | 最新值 | 价差 | 品种 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | 12.03 | | F期现价差 -42.34 | | 7.70% | 6.20% | | H期现价差 | 期现价差 | -18.12 | 5.84 | 13.90% | 9.90% | | -118.33 | | IC期现价差 | 16.49 | 3.60% | 1.80% | | IM期现价差 | | -149.72 | -1.01 | 75.00% | 4.00% | | 次月-当月 | | -31.40 | 4.40 | 4.90% | 11.10% | | 季月-当月 | | -89.00 | -0.20 | 1.60% | 8.80% | | 远月-当月 | | -115.80 | -1.60 | 1.20% | 14.10% | | ...
《金融》日报-20250430
Guang Fa Qi Huo· 2025-04-30 07:34
| 股指期货价差日报 | * | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 叶倩宁 | Z0016628 | 2025年4月30日 | | | | | | | | | | | | | | | 价 | 差 | 品 | 种 | 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | IF期现价差 | -50.28 | 0.74 | 6.10% | 4.80% | | | | | IH期现价差 | -24.31 | -1.09 | 8.60% | 4.80% | 期现价差 | IC期现价差 | -117.71 | 9.59 | 3.20% | 1.80% | IM期现价差 | -129.78 | 4.85 | 90.00% | 4.60% | | 次月-当月 | -33.00 | -1.40 | 1.60% | 10.10% | 季月-当月 | ...
广发期货《金融》日报-20250429
Guang Fa Qi Huo· 2025-04-29 03:55
| | 股指期货价差日报 | | | | | --- | --- | --- | --- | --- | | | 投资咨询业务资格:证监许可 【2011】1292号 | | | | | | 2025年4月29日 | | 叶倩宁 | Z0016628 | | 最新值 | 价差 品种 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | -51.02 | F期现价差 | -3.23 | 5.30% | 4.70% | | -23.23 | H期现价差 期现价差 | -2.42 | 9.40% | 5.40% | | -127.30 | IC期现价差 | 1.29 | 2.80% | 1.10% | | -148.06 | IM期现价差 | 4.85 | 85.00% | 4.00% | | -31.60 | 次月-当月 | 4.00 | 3.20% | 10.90% | | -90.00 | 李月-崇月 | 3.20 | 1.20% | 8.60% | | -114.80 | 元月-当月 | 1.60 | 1.20% | 14.40% | | -58.40 | F跨期价差 李月-次月 | -0.80 | ...
《金融》日报-20250414
Guang Fa Qi Huo· 2025-04-14 07:07
Report Industry Investment Rating - No relevant content provided Core Viewpoints - No clear core viewpoints are presented in the reports Summary by Relevant Catalogs 1. Stock Index Futures Spread Daily Report - **Futures-Spot Spread**: F期现价差为 -63.92,较前一日变化 -1.80;H期现价差为 -23.98,较前一日变化 6.44;IC期现价差为 -25.52,较前一日变化 0.25;IM期现价差为 -189.99,较前一日变化 16.40 [1] - **Inter - Delivery Spread**: Various inter - delivery spreads for IF, IH, IC, and IM are presented with their latest values, changes from the previous day, 1 - year historical quantiles, and all - time historical quantiles [1] - **Cross - Variety Ratio**: Ratios such as 中证500/沪深300, IC/IF, etc. are provided with their latest values, changes, and quantiles [1] 2. Bond Futures Spread Report - **Basis**: TS基差为 2.4320,较前一交易日变化 0.0513;TF基差为 2.2269,较前一交易日变化 -0.0773;T基差为 2.3683,较前一交易日变化 0.2342;TL基差为 2.0962,较前一交易日变化 0.0965 [3] - **Inter - Delivery Spread**: Inter - delivery spreads for TS, TF, T, and TL are given with their values, changes, and historical quantiles [3] - **Cross - Variety Spread**: Spreads like TS - TF, TS - T, etc. are reported with their values and changes [3] 3. Precious Metals Spot - Futures Daily Report - **Precious Metals Prices**: London gold was at $3238.07/ounce on April 11, up 1.99% from the previous day; London silver was at $32.28, up 3.43%. COMEX gold主力合约 was at $3254.90 on April 11, and COMEX silver主力合约 was at $32.20 [7][9] - **Price Differences**: Gold TD - 沪金主力 was 0.45, up 4.90 from the previous value; Silver TD - 沪银主力 was 14, up 49 from the previous value [7] - **Inventory and Position**: Data on inventories (e.g., 上期所黄金库存, COMEX黄金库存) and positions (e.g., SPRD黄金ETF持仓, SLV白银ETF持仓) are provided with their changes [5] 4. Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Shanghai - Europe future 6 - week freight rates for different carriers like MAERSK马士基, CMA达飞, etc. are presented with their changes [10] - **Container Shipping Index**: SCFIS (European route), SCFIS (US West route), and Shanghai export container freight rates are reported with their changes [10] - **Futures Prices and Basis**: Futures prices of EC2602, EC2504, etc. and the basis (主力) are given with their changes [10] - **Fundamental Data**: Data on 运力供给, 红海绕航情况, 外贸相关指标, 海外经济, and OECD综合领先指标 are provided with their changes [10] 5. Trading Calendar - **Overseas Data/Information**: Includes economic indicators and events in the US such as semiconductor tariffs information, USDA export inspection, etc. [11] - **Domestic Data/Information**: Covers various economic indicators and events in China, including electricity consumption, trade balance, and inventory data for different commodities [11]