| 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6月19日 | | | | 叶倩宁 | Z0016628 | | 价差 | 品种 | 服新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | F期现价差 | -2.77 | -0.99 | 59.8096 | 53.20% | | 期现价差 | H期现价差 | -2.52 | 0.63 | 42.20% | 45.60% | | | IC期现价差 | -7.87 | -5.36 | 81.90% | 72.30% | | | IM期现价差 | -11.19 | 0.28 | 90.00% | 63.40% | | | 次月-当月 | -41.00 | 0.00 | 1.20% | 6.70% | | | 季月-崇月 | -70.60 | -1.20 | 10.6096 | 14.30% | | | 远月-当月 | -99.20 | 2.00 | 17.20% | 19.00% ...

Report Industry Investment Rating No relevant content provided. Core View of the Report No overall core view is presented in the reports. The documents mainly offer data on various futures, including stock index futures, treasury bond futures, precious metals futures, and container shipping futures, along with some economic indicators and market information. Summary by Related Catalogs Stock Index Futures - **IF期现价差**: Latest value -4.00, changed by 50.0096 compared to the previous day, with historical 1 - year and full - history percentiles of 3.79 and 55.30% respectively [1]. - **IH期现价差**: Latest value -6.61, changed by 4.62, with historical 1 - year and full - history percentiles of 31.10% and 31.90% respectively [1]. - **IC期现价差**: Latest value -11.61, changed by -0.37, with historical 1 - year and full - history percentiles of 75.00% and 66.30% respectively [1]. - **IM期现价差**: Latest value 1.75, with historical 1 - year and full - history percentiles of 90.00% and 50.20% respectively [1]. - **跨品种比值**: For example, 中证500/沪深300 is 1.4889, changed by 0.0034, with historical 1 - year and full - history percentiles of 64.70% and 42.30% respectively [1]. Treasury Bond Futures - **基差**: TS基差 is 1.7699, changed by -0.0486, with a 33.80% percentile since listing; TF基差 is 1.6670, changed by 0.0449, with a 45.40% percentile since listing; T基差 is 1.7095, changed by 0.0064, with a 58.60% percentile since listing; TL基差 is 1.7864, changed by 0.3188, with a 63.80% percentile since listing [2]. - **跨期价差**: Different contracts have various values and changes, such as TS当季 - 下季 is -0.1180, changed by 0.0200, with an 8.00% percentile [2]. - **跨品种价差**: TS - TF is -3.6790, changed by 0.0320, with a 3.20% percentile; TS - T is -6.5490, changed by 0.0070, with a 1.40% percentile; TF - T is -2.8700, changed by -0.0250, with a 1.00% percentile [2]. Precious Metals Futures - **国内期货收盘价**: AU2508合约 is 792.30 yuan/gram, down 2.06 yuan (-0.26%) from June 13; AG2508合约 is 8858 yuan/kilogram, up 67 yuan (0.76%) [5]. - **外盘期货收盘价**: COMEX黄金主力合约 is 3404.30 dollars/ounce, down 48.30 dollars (-1.40%); COMEX白银主力合约 is 36.37 dollars, unchanged [5]. - **现货价格**: London gold is 3383.62 dollars/ounce, down 49.73 dollars (-1.45%); London silver is 36.29 dollars, unchanged [5]. - **基差**: 黄金TD - 沪金主力 is -4.37, down 0.87, with a 5.20% historical 1 - year percentile; 白银TD - 沪银主力 is -23, down 25, with a 46.10% historical 1 - year percentile [5]. - **比价**: COMEX金/银 is 93.60, down 1.33 (-1.40%); 上期所金/银 is 89.44, down 0.92 (-1.01%) [5]. Container Shipping Futures - **现货报价**: MAERSK马士基's Shanghai - Europe future 6 - week freight rate is 2796 dollars/FEU, down 28 dollars (-2.03%); CMA达飞 is 3857 dollars/FEU, up 71 dollars (1.88%) [8]. - **集运指数**: SCFIS (European route) settlement price index is 1697.63, up 74.8 (4.61%); SCFIS (US West route) is 2908.68, up 723.6 (33.12%) [8]. - **期货价格及基差**: EC2602 is 1453.6, down 19.2 (-1.30%); EC2508 (主力) is 2030.0, down 38.0 (-1.84%); 基差 (主力) is -236.7, up 78.4 (-24.89%) [8]. - **基本面数据**: Global container shipping capacity supply is 3248.57 FILEU, unchanged; Shanghai port on - time rate is 42.50, up 13.48 (46.45%) compared to April [8]. Data and Information - **海外数据/资讯**: Eurozone's June ZEW economic sentiment index, US May import price index monthly rate, US May industrial production monthly rate, etc. are to be released [10]. - **国内数据/资讯**: There is 1820 billion yuan of 1 - year medium - term lending facility (MLF) due today; various inventory and production data of different commodities are to be updated [10].

Report Summary 1. Core View - Treasury bond futures maintained a narrow - range oscillation last week with a slight upward movement throughout the week. The overall implementation of broad credit still needs time, while the trend of broad money remains unchanged. Although treasury bond futures have been oscillating higher recently, the overall trend in the future is still expected to be oscillatory. Attention should be paid to arbitrage strategies, as well as allocation and hedging needs [2]. 2. Section Summaries 2.1. Weekly Focus and Market Tracking - Treasury bond futures contracts oscillated upward this week. The TL contract had a relatively large increase due to fluctuations in the overall market's risk appetite, and the yield curve flattened again. In terms of basis characteristics, the basis trend was stable, and the IRR of the main contract was basically between 1.8 - 1.9, still higher than the funding rate but with reduced cost - effectiveness. Regarding the inter - delivery spread, the 09 - 12 combination rebounded slightly, reflecting a decline in market sentiment. Currently, market liquidity is limited and not suitable for operation. In terms of the curve structure, opportunities for the curve to steepen should be noted [3][5]. 2.2. Liquidity Monitoring and Curve Tracking - No specific summarized content provided in the report. 2.3. Seat Analysis - In terms of the daily change in net long positions by institutional type: private funds increased by 2.15%; foreign capital increased by 2.86%, and wealth management subsidiaries increased by 2.67%. In terms of weekly changes: private funds increased by 1.4%; foreign capital decreased by 3.33%, and wealth management subsidiaries decreased by 3.86% [9].

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 ...

| 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 ...

1. Report Industry Investment Rating - No information provided in the reports. 2. Report Core Views - The reports present comprehensive data on various futures, including stock index futures, Treasury bond futures, precious metal futures, and container shipping index futures, covering price differences, basis, and related economic indicators. 3. Summary by Relevant Catalogs Stock Index Futures - **IF期现价差**: The latest value is 7.17, with a change of -28.91 from the previous day, at the 16.30% percentile in the past year and 13.20% percentile all - time [1]. - **IH期现价差**: The latest value is -15.02, with a change of 3.83, at the 19.60% percentile in the past year [1]. - **IC期现价差**: The latest value is -74.86, with a change of -103.79, at the 10.60% percentile in the past year and 7.60% percentile all - time [1]. - **IM期现价差**: The latest value is 13.89, at the 90.00% percentile in the past year [1]. Treasury Bond Futures - **TS基差**: The latest value is 1.9655, with a change of -0.1195, at the 50.60% percentile since listing [2]. - **TF基差**: The latest value is 1.8632, with a change of -0.0497, at the 52.60% percentile since listing [2]. - **T基差**: The latest value is 1.8783, with a change of 0.2230, at the 64.50% percentile since listing [2]. - **TL基差**: The latest value is 1.8294, with a change of 0.3786, at the 63.40% percentile since listing [2]. Precious Metal Futures - **Domestic Futures**: The AU2508 contract closed at 777.30 yuan/gram on May 26, down 0.36% from May 23; the AG2508 contract closed at 8280 yuan/kilogram, up 0.21% [5]. - **Foreign Futures**: The COMEX gold主力 contract closed at 3357.70 dollars/ounce on May 26, up 1.90% from May 23; the COMEX silver主力 contract closed at 33.64 dollars, up 1.39% [5]. - **Spot Prices**: London gold was at 3342.21 dollars/ounce on May 26, down 0.46% from May 23; London silver was at 33.48 dollars, unchanged [5]. Container Shipping Index Futures - **Spot Quotes**: MAERSK's Shanghai - Europe 6 - week future freight rate was 2252 dollars/FEU on May 27, up 1.03% from May 26 [8]. - **Container Shipping Indexes**: The SCFIS (European route) settlement price index was 1247.05 points on May 26, down 1.44% from May 19; the SCFIS (US West route) was 1719.79 points, up 18.90% [8]. - **Futures Prices and Basis**: The EC2602 contract closed at 1405.0 on May 26, down 3.31% from May 23; the basis of the EC2508 (main contract) was -594.5, down 1.49% [8]. Overseas and Domestic Data/Information - **Overseas**: The euro - zone's May industrial and economic sentiment indexes will be released at 17:00; the US May Conference Board consumer confidence index will be released at 22:00 [9]. - **Domestic**: Data on manganese ore inventory and throughput in Qinzhou Port, iron ore port inventory, etc., will be updated [10].

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 ...

Group 1: Stock Index Futures Market Overview - The four major index futures contracts all increased last week, with the CSI 300 index futures rising the most by 2.27%, while the CSI 500 index futures saw the largest decline of 1.68% [3][11] - The average trading volume of the four major index futures contracts increased compared to the previous week, with the IF contract seeing the largest increase of 35.46% [3][11] - The annualized basis rates for the current contracts of IF, IC, IM, and IH were -7.15%, -12.46%, -14.21%, and -5.19% respectively, indicating a narrowing of the basis for IF and IH while deepening for IC and IM [3][11] Group 2: Cross-Period Price Differences - As of last Friday, the cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at the 94.10%, 98.80%, 99.20%, and 88.20% percentiles since 2019 [4][12] - There are arbitrage opportunities for the IF current contract, with a required basis rate of 0.33% for a positive arbitrage and -0.48% for a negative arbitrage over the next 5 trading days [4][12] - The estimated dividend points for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices are 22.15, 44.10, 16.55, and 36.81 respectively [4][12] Group 3: Market Expectations - The basis changes are influenced by dividends and investor trading sentiment, with expectations of significant fluctuations in basis due to large-scale buying and selling by major funds [4][13] - Recent financial policies, including a 0.5 percentage point reduction in the reserve requirement ratio, are expected to provide approximately 1 trillion yuan in long-term liquidity to the market [4][13] - Current basis levels are at historical lows, and the positive cross-period price difference indicates a high cost-performance ratio for using near-month contracts for hedging [4][13] Group 4: Recent Sell-Side Strategy Insights - Eight brokerages believe that ongoing policies will support the capital market, boosting market confidence and reducing risk premiums [5][49] - Five brokerages expect that the technology growth trend is likely to continue in the short term, with small-cap growth stocks performing prominently [5][49] - There is a consensus among brokerages regarding the positive outlook for sectors such as technology, new consumption, military industry, and banking [5][49]

| 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% | | ...

| 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 | ...