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 | ...

| | 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 | ...

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]