期货研究报告 宝城期货股指期货早报（2026 年 1 月 23 日） ◼ 品种观点参考—金融期货股指板块 投资咨询业务资格：证监许可【2011】1778 号 时间周期说明：短期为一周以内、中期为两周至一月 品种：IF、IH、IC、IM 日内观点：偏弱 中期观点：震荡 参考观点：震荡整理 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2603 | 震荡 | 震荡 | 偏弱 | 震荡整理 | 乐观情绪有所降温，震荡整固需 求仍存 | 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。 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 3.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 核心逻辑：昨日各股指均窄幅震荡整理。股市全市场成交额 27164 亿元，较上日放量 928 亿元。目 前股市成交金额回落至 3 万亿元下方，表明市场情绪有 ...

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints - No clear core viewpoints are presented in the provided content. The document mainly shows data on global asset market performance, stock index futures trading, and bond futures trading 3. Summary by Relevant Catalogs Global Asset Market Performance - **10 - Year Treasury Bonds**: Yields of 10 - year treasury bonds in various major economies are presented. For example, the US is at 4.246, the UK at 4.473, and China at 1.830 [2] - **2 - Year Treasury Bonds**: Yields of 2 - year treasury bonds in different countries are given. The US 2 - year yield is 3.607, and China's 1 - year yield is 1.275 [2] - **Exchange Rates**: The latest exchange rates of the US dollar against major emerging - economy currencies are shown. For instance, the US dollar to Brazilian real is 5.288, and to South African rand is 16.133 [2] - **Stock Indices**: The latest values of major economy stock indices are provided. The S&P 500 is 6913.350, the Dow Jones Industrial Index is 49384.010, and the Shanghai Composite Index is 4122.576 [2] - **Credit Bond Indices**: The latest values of different credit - bond indices are presented. For example, the US investment - grade credit - bond index is 3554.310, and the euro - area high - yield credit - bond index is 412.940 [2] Stock Index Futures Trading Data - **Index Performance**: The closing prices and percentage changes of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are given. A - shares closed at 4122.58 with a 0.14% increase [3] - **Valuation**: PE (TTM) and their环比changes of CSI 300, SSE 50, CSI 500, S&P 500, and German DAX are presented. The PE (TTM) of CSI 300 is 14.17 with a - 0.01环比 change [3] - **Risk Premium**: 1/PE - 10 - year interest rates and their环比 changes of S&P 500 and German DAX are provided. The 1/PE - 10 - year interest rate of S&P 500 is - 0.63 with a - 0.03环比 change [3] - **Fund Flows**: The latest values and 5 - day average values of fund flows in A - shares, the main board, small - and - medium - sized enterprise board, ChiNext, and CSI 300 are shown. The latest fund flow in A - shares is - 682.69 [3] - **Transaction Amount**: The latest values and环比 changes of trading amounts in the Shanghai and Shenzhen stock markets, CSI 300, SSE 50, small - and - medium - sized board, and ChiNext are given. The latest trading amount in the Shanghai and Shenzhen stock markets is 26917.33 with a 911.34环比 change [4] - **Main Contract Basis and Spread**: The basis and spread of IF, IH, and IC are presented. The basis of IF is - 4.31 with a - 0.09% spread [4] Bond Futures Trading Data - **Closing Prices and Percentage Changes**: The closing prices and percentage changes of T2303, TF2303, T2306, and TF2306 are given. T2303 closed at 108.15 with a - 0.05% change [4] - **Funding Rates**: The R001 is 1.4822%, R007 is 1.5473%, and SHIBOR - 3M is 1.5980%, with daily changes of - 6.00 BP, 1.00 BP, and 0.00 BP respectively [4]

Group 1: Report Industry Investment Rating - Not provided Group 2: Core Views of the Report - The stock market focuses on the price - rising chain, and the bond market is in a long - short game. The stock index futures are desensitized to negative factors, the stock index options should appropriately supplement call options for defense, and the bond market in the treasury bond futures has a long - short game with a slight decline [1]. - For stock index futures, the equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7]. - For stock index options, the trading volume of each option variety mostly declined, while the open interest increased. Some investors may trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7]. - For treasury bond futures, the main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8]. Group 3: Summary According to Relevant Catalogs Stock Index Futures - **View**: Desensitized to negative factors [7] - **Logic**: The equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. The impact of the adjustment of implicit margin for margin trading is weakening. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, the influence of regulatory cooling will gradually weaken, and the market will be driven by funds. Institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7] - **Operation Suggestion**: Hold IC [7] - **Outlook**: Oscillate strongly [7] Stock Index Options - **View**: Supplement call options for defense in the short term [7] - **Logic**: The trading volume of each option variety mostly declined, while the open interest increased. Considering the weak option sentiment index and the strengthening of implied volatility, it is speculated that some investors trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7] - **Operation Suggestion**: Covered strategy [7] - **Outlook**: Oscillate [7] Treasury Bond Futures - **View**: Long - short game, slight decline in the bond market [8] - **Logic**: The main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. The improvement of the equity market sentiment, the tightening of the overnight capital due to the tax payment and the small net injection of reverse repurchase by the central bank, and the stable open interest of the main futures contracts and the support from the cash bond allocation disk led to a limited adjustment. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8] - **Operation Suggestion**: Trend strategy: oscillate; Hedging strategy: pay attention to short - hedging at the low basis; Basis strategy: pay attention to the positive arbitrage opportunity of TL; Curve strategy: the curve may flatten first and then steepen [8] - **Outlook**: Oscillate [8]

（文章来源：每日经济新闻） 每经AI快讯，周四（1月22日）纽约尾盘，标普500股指期货最终涨0.44%，道指期货涨0.51%，纳斯达 克100股指期货涨0.61%。罗素2000股指期货涨0.60%。 ...

每经AI快讯，股指期货早盘收盘， 中证1000指数期货连续涨0.19%， 沪深300指数期货连续跌0.58%， 中证500指数期货连续跌0.04%， 上证50指数期货连续跌0.72%。 每经AI快讯，股指期货早盘收盘， 中证1000指数期货连续涨0.19%， 沪深300指数期货连续跌0.58%， 中证500指数期货连续跌0.04%， 上证50指数期货连续跌0.72%。 ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The short - term view of the stock index futures is that they will be mainly in a range - bound consolidation phase, with the overall short - term trend of IH2603 being volatile, the medium - term being volatile, and the intraday being weak, with the view of volatile consolidation. The short - and medium - term views of IF, IH, IC, and IM are weak intraday and volatile in the medium - term, also with a view of volatile consolidation [1][5]. - Although the stock index needs to consolidate due to factors such as the lack of strong performance - end repair expectations and the cooling of optimistic sentiment, the long - term upward logic remains unchanged due to positive policy expectations and the continuous net inflow of incremental funds [5]. 3. Summary by Relevant Catalog 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector | Variety | Short - term | Medium - term | Intraday | Viewpoint Reference | Core Logic Summary | | --- | --- | --- | --- | --- | --- | | IH2603 | Volatile | Volatile | Weak | Volatile consolidation | Optimistic sentiment has cooled, and there is still a need for volatile consolidation [1] | 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - **Viewpoints**: The intraday view is weak, the medium - term view is volatile, and the reference view is volatile consolidation [5]. - **Core Logic**: The stock indexes slightly declined in a volatile manner yesterday. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2804.1 billion yuan, an increase of 72 billion yuan from the previous day. Since the stock market gains this year have mainly come from the increase in the valuation end under loose liquidity, and the performance - end repair expectations are not strong from the perspective of macro - economic indicators, the stock indexes need to consolidate. Coupled with the policy signals of de - leveraging and risk control released by the regulatory authorities, the optimistic sentiment in the stock market has cooled, the trading volume has declined, and the stock indexes have entered a volatile consolidation phase. However, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged, so the long - term upward logic of the stock indexes remains unchanged [5].

Group 1: Global Asset Market Performance - **10 - year Treasury Bonds**: The latest yields of 10 - year Treasury bonds in major economies are as follows: US 4.294, UK 4.457, France 3.526, Germany 2.858, Italy 3.501, Spain 3.254, Switzerland 0.248, Greece 3.492, Japan 2.351, Brazil 6.271, China 1.832, South Korea (not available), Australia 4.782, New Zealand 4.515 [1] - **2 - year Treasury Bonds**: The yields of 2 - year Treasury bonds are: US 3.598, UK 3.667, Germany 2.068, Japan 1.212, Italy 2.168, China (1Y yield) 1.270, South Korea (not available), Australia 4.102 [1] - **USD Exchange Rates against Major Emerging - Market Currencies**: The latest exchange rates are: South Africa zar 5.376, Russia 16.425, South Korean won 1477.550, Thai baht 31.075, Malaysian ringgit 4.055 [1] - **Renminbi**: The latest values are: on - shore RMB 6.961, off - shore RMB 6.956, mid - price 7.001, 12 - month NDF 6.834 [1] - **Stock Indices of Major Economies**: The latest indices are: Dow Jones 6796.860, S&P 500 48488.590, Industrial Index 22954.320, Nasdaq 67683.380, Mexican Index 10126.780, UK Index 8062.580, France CAC 24703.120, Germany DAX 17429.100, Spanish Index (not available), Russian Index (not available), Nikkei 52991.100, Hang Seng Index 26487.510, Shanghai Composite Index 4113.649, Taiwan Index 31759.990, South Korean Index 4885.750, Indian Index 9134.700, Thai Index 1296.370, Malaysian Index 1699.060, Australian Index 9138.573, Index 1480.630 [1] - **Credit Bond Indices**: The latest values are: US investment - grade credit bond index 3534.390, Eurozone investment - grade credit bond index 266.750, emerging - economy investment - grade credit bond index 289.830, US high - yield credit bond index 2925.390, Eurozone high - yield credit bond index 411.820, emerging - economy high - yield credit bond index 1823.969 [1] Group 2: Stock Index Futures Trading Data - **Index Performance**: The closing prices of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are 4113.65, 4718.88, 3070.65, 3277.98, and 8247.80 respectively. The percentage changes are - 0.01%, - 0.33%, - 0.17%, - 1.79%, and - 0.48% respectively [2] - **Valuation**: The PE (TTM) of CSI 300, SSE 50, CSI 500, S&P 500, and Germany DAX are 14.22, 11.74, 37.41, 27.14, and 19.17 respectively. The环比 changes are 0.00, 0.03, - 0.19, - 0.58, and - 0.20 respectively [2] - **Risk Premium**: The risk premium (1/PE - 10 - year interest rate) of S&P 500 and Germany DAX are - 0.61 and 2.36 respectively. The环比 changes are 0.01 and 0.03 respectively [2] - **Fund Flows**: The latest values of fund flows for A - shares, main board, SME board, ChiNext, and CSI 300 are - 1609.92, - 783.62, (not available), - 635.48, and - 346.24 respectively. The 5 - day average values are - 890.02, - 614.69, (not available), - 245.35, and - 396.73 respectively [2] Group 3: Other Trading Data - **Trading Volume**: The latest trading volume of Shanghai and Shenzhen stock markets, CSI 300, SSE 50, SME board, and ChiNext are 27776.57, 6719.61, 1757.36, 5667.08, and 7026.80 respectively. The环比 changes are 693.08, 168.12, 95.56, 190.51, and - 64.76 respectively [3] - **Main Contract Basis and Spread**: The basis of IF, IH, and IC are - 10.28, 4.75, and 1.00 respectively, with spreads of - 0.22%, 0.15%, and 0.01% respectively [3] - **Treasury Bond Futures**: The closing prices of T2303, TF2303, T2306, and TF2306 are 108.18, 105.88, 108.11, and 105.88 respectively. The percentage changes are 0.13%, 0.09%, 0.12%, and 0.06% respectively [3] - **Funding Rates**: The funding rates of R001, R007, and SHIBOR - 3M are 1.4212%, 1.5429%, and 1.6000% respectively. The daily changes are - 11.00 BP, 1.00 BP, and 0.00 BP respectively [3]

Group 1: Index Trends - On January 19th, the Shanghai Composite Index rose by 0.29% to close at 4114.0 points, with a trading volume of 1190.138 billion yuan; the Shenzhen Component Index rose by 0.09% to close at 14294.05 points, with a trading volume of 1518.211 billion yuan [1]. - The CSI 1000 Index rose by 0.4%, with a trading volume of 581.676 billion yuan, opening at 8204.63, closing at 8265.65, with a daily high of 8298.48 and a low of 8187.94 [1]. - The CSI 500 Index rose by 0.67%, with a trading volume of 560.926 billion yuan, opening at 8199.5, closing at 8287.95, with a daily high of 8318.37 and a low of 8195.09 [1]. - The SSE 300 Index rose by 0.05%, with a trading volume of 655.149 billion yuan, opening at 4720.19, closing at 4734.46, with a daily high of 4761.63 and a low of 4715.09 [1]. - The SSE 50 Index fell by 0.12%, with a trading volume of 166.18 billion yuan, opening at 3077.81, closing at 3075.94, with a daily high of 3094.97 and a low of 3065.94 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 32.92 points from the previous close. Sectors such as power equipment, basic chemicals, and machinery had a significant upward pull on the index, while media, communication, and computer sectors had a downward pull [2]. - The CSI 500 rose 55.28 points from the previous close. Power equipment, basic chemicals, and non - ferrous metals sectors had a significant upward pull on the index, while computer and electronics sectors had a downward pull [2]. - The SSE 300 rose 2.59 points from the previous close. Power equipment, national defense and military industry, and basic chemicals sectors had a significant upward pull on the index, while electronics, computer, and banking sectors had a downward pull [2]. - The SSE 50 fell 3.82 points from the previous close. Basic chemicals, commerce and retail, and national defense and military industry sectors had an upward pull on the index, while pharmaceutical biology, banking, and non - ferrous metals sectors had a downward pull [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 6.83, IM01 had - 42.72, IM02 had - 237.19, and IM03 had - 411.27 [13]. - For IC contracts, IC00 had an average daily basis of 9.91, IC01 had - 0.61, IC02 had - 132.47, and IC03 had - 262.6 [13]. - For IF contracts, IF00 had an average daily basis of 2.38, IF01 had - 1.53, IF02 had - 43.71, and IF03 had - 101.76 [13]. - For IH contracts, IH00 had an average daily basis of 3.41, IH01 had 5.84, IH02 had 2.15, and IH03 had - 27.93 [13].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The short - term view of the stock index is to oscillate and consolidate, with the intraday view being weak and the medium - term view being oscillatory. The main logic is that the optimistic sentiment in the stock market has cooled, the trading volume has declined, and there is a need for oscillatory consolidation after a sharp rebound. However, the long - term upward logic of the stock index remains unchanged due to positive policy expectations and continuous net inflow of incremental funds [1][5] 3. Summary by Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2603, the short - term view is oscillatory, the medium - term view is oscillatory, the intraday view is weak, and the overall view is oscillatory consolidation. The core logic is that the optimistic sentiment has cooled and there is still a need for oscillatory consolidation [1] 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include IF, IH, IC, and IM. The intraday view is weak, the medium - term view is oscillatory, and the reference view is oscillatory consolidation. The core logic is that the stock index oscillated and consolidated yesterday. The total stock market turnover was 2732.1 billion yuan, a decrease of 324.3 billion yuan from the previous day. The macro - economy has strong resilience, but there are still concerns on the demand side. After a sharp rebound, the stock index needs to oscillate and consolidate. Although the optimistic sentiment has cooled and the trading volume has declined, the long - term upward logic of the stock index remains unchanged [5]

研究所 基本面分析报告 金融衍生品日报 2025 年 01 月 19 日 研究员：孙锋 期货从业证号： F0211891 投资咨询从业证号： Z000567 ：021-65789277 ：sunfeng@chinastock.com.cn 研究员：沈忱 CFA ：shenchen_qh@chinastock.com.cn 期货从业证号： F3053225 投资咨询从业证号： Z0015885 金融衍生品日报 一、财经要闻 1. 国家统计局 1 月 19 日公布，国家统计局 1 月 19 日公布，中国 2025 年 12 月社会消费 品零售总额同比增长 0.9%，预期增长 1.5%，前值增长 1.3%。 2. 中国 2025年 12 月社会消费品零售总额同比增长 0.9%，预期增长 1.5%，前值增长 1.3%。 3. 2025 年 12 月份，70 个大中城市商品住宅销售价格环比总体下降、同比降幅扩大。 4. 中国 2025 年固定资产投资（不含农户）485186 亿元，同比下降 3.8%，1-11 月同比下 降 2.6%。其中，民间固定资产投资比上年下降 6.4%。从环比看，12 月份固定资产投资（不 含农 ...