- The report discusses the dividend prediction model for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures, with predicted dividend points of 1.02, 1.66, 3.49, and 2.45 respectively[5][9] - The annualized hedging costs for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures, excluding dividends and calculated on a 365-day basis, are 5.90%, 8.26%, 17.00%, and 19.43% respectively[5][9] - The report suggests that investors should focus on the potential for basis repair in the SSE 50 index futures due to its significant discount, and consider long arbitrage opportunities while controlling position size and holding period[6][9] - For the CSI 300 index futures, the report recommends monitoring the pace of discount repair and considering long arbitrage strategies with spot or ETF combinations under controlled risk conditions[6][9] - The CSI 500 and CSI 1000 index futures are noted for their deep discount levels, with annualized hedging costs of 17.00% and 19.43% respectively, and the report advises investors to focus on the potential for phase repair while assessing the associated hedging costs and volatility risks[6][9] - The process for predicting dividends involves estimating the net profit of component stocks, calculating the pre-tax total dividends for each stock, determining the impact of dividends on the index, and predicting the impact of dividends on each contract[21][23][24] - The theoretical pricing model for stock index futures is based on the no-arbitrage pricing model, considering discrete and continuous dividend distributions, with the formula for discrete dividends being $ \mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi) $ and for continuous dividends being $ (r d)(T-t) t t F S e − = $[30][31] - The remaining impact of dividends on the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 index futures is 0.04%, 0.04%, 0.06%, and 0.04% respectively[12] Model Backtest Results - SSE 50 index futures (IH2508), annualized hedging cost (excluding dividends, 365 days): 5.90%[10] - CSI 300 index futures (IF2508), annualized hedging cost (excluding dividends, 365 days): 8.26%[10] - CSI 500 index futures (IC2508), annualized hedging cost (excluding dividends, 365 days): 17.00%[11] - CSI 1000 index futures (IM2508), annualized hedging cost (excluding dividends, 365 days): 19.43%[12]

金融工程 | 动态跟踪 IH 升水回落，IC 及 IM 深贴水，持续关注 中小盘贴水套利机会 分红对期指的影响 20250725 研究结论 | 上证50股指期货 | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2508 | 2795.60 | 2.43 | 0.09 | 2.52 | | IH2509 | 2796.80 | 3.57 | 1.29 | 4.86 | | IH2512 | 2798.00 | 3.57 | 2.49 | 6.06 | | IH2603 | 2801.00 | 3.57 | 5.49 | 9.06 | | 沪深300股指期货 | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | IF2508 | 4122.80 | 4.81 | -4.36 | 0.45 | | IF2509 | 4116.00 | 8.56 | -11.16 | -2.61 | | IF2512 | 4088.80 | 8.56 | -38.36 | -29.81 | | IF2603 | 4055.80 | 8.56 ...

金融工程 | 动态跟踪 报告发布日期 2025 年 07 月 20 日 | 刘静涵 | 021-63325888*3211 | | --- | --- | | | liujinghan@orientsec.com.cn | | | 执业证书编号：S0860520080003 | | | 香港证监会牌照：BSX840 | | 杨怡玲 | yangyiling@orientsec.com.cn | | | 执业证书编号：S0860523040002 | | 捕捉趋势的力量：基金动量刻画新范式： | 2025-06-12 | | --- | --- | | ——FOF 研究系列 | | | 多只信用债 ETF 纳入回购质押库申请获 | 2025-06-02 | | 批，多只北交所主题基金限购 | | | Neural ODE：时序动力系统重构下深度学 | 2025-05-27 | | 习因子挖掘模型：——因子选股系列之一 | | | 一六 | | | DFQ-diversify：解决分布外泛化问题的自 | 2025-05-07 | | 监督领域识别与对抗解耦模型：——因子 | | | 选股系列之一一五 | | | ...

金融工程 | 动态跟踪 IH 升水，IC 及 IM 贴水扩大，中小盘短期 偏多对待 分红对期指的影响 20250704 研究结论 | 上证50股指期货 | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2507 | 2723.00 | 22.58 | -17.44 | 5.14 | | IH2508 | 2717.20 | 25.93 | -23.24 | 2.68 | | IH2509 | 2717.20 | 26.99 | -23.24 | 3.75 | | IH2512 | 2715.00 | 26.99 | -25.44 | 1.55 | | 沪深300股指期货 | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | IF2507 | 3963.80 | 22.56 | -18.40 | 4.16 | | IF2508 | 3944.80 | 29.39 | -37.40 | -8.02 | | IF2509 | 3936.00 | 33.20 | -46.20 | -13.01 | | IF2512 | 389 ...

- The report introduces a dividend forecast model to predict the impact of dividends on index futures contracts, specifically for the July contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices [6][10][19] - The model's construction involves estimating component stocks' net profits, calculating pre-tax dividend totals, assessing the impact of dividends on indices, and predicting the influence on futures contracts based on historical dividend timelines and weights [19][20][22] - The formula for estimating stock weights in the index is provided as: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\(\1+R\)}}{\sum_{1}^{n}w_{i0}\times\mathrm{\(\1+R\)}}}}$$ where \(w_{i0}\) is the initial weight, and \(R\) is the price change ratio over the period [20] - The theoretical pricing model for futures under discrete dividend distribution is: $$F_t = (S_t - D)(1 + r)$$ where \(F_t\) is the futures price, \(S_t\) is the spot price, \(D\) is the present value of dividends, and \(r\) is the risk-free rate [25] - For continuous dividend distribution, the pricing model is: $$F_t = S_t e^{(r-d)(T-t)}$$ where \(d\) is the annualized dividend yield, and other variables are as defined above [26] - The model predicts dividend points for July contracts as follows: SSE 50 (28.77), CSI 300 (27.38), CSI 500 (13.98), and CSI 1000 (12.41) [6][10][13] - The annualized hedging costs (excluding dividends) for July contracts are: SSE 50 (-3.60%), CSI 300 (1.05%), CSI 500 (6.74%), and CSI 1000 (9.50%) [6][10][13] - The remaining impact of dividends on July contracts is estimated as: SSE 50 (1.06%), CSI 300 (0.70%), CSI 500 (0.24%), and CSI 1000 (0.20%) [13] - The report evaluates the model as a useful tool for identifying arbitrage opportunities and managing hedging costs, particularly in the context of dividend season [6][7][10]

分红对期指的影响 20250613 研究结论 | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2506 | 2665.20 | 3.70 | -11.23 | -7.53 | | IH2507 | 2626.00 | 46.89 | -50.43 | -3.55 | | IH2509 | 2620.20 | 51.59 | -56.23 | -4.64 | | IH2512 | 2616.20 | 51.59 | -60.23 | -8.64 | 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2506 | 3856.40 | 4.71 | -7.78 | -3.07 | | IF2507 | 3813.00 | 42.48 | -51.18 | -8.70 | | IF2509 | 3784.00 | 53.34 | -80.18 | -26.84 | | IF2512 | 3752.40 | 53.34 | ...

金融工程 | 动态跟踪 分红对期指的影响 20250523 研究结论 | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2506 | 2693.00 | 17.28 | -18.85 | -1.58 | | IH2507 | 2664.80 | 54.43 | -47.05 | 7.38 | | IH2509 | 2655.60 | 58.77 | -56.25 | 2.52 | | IH2512 | 2653.80 | 58.77 | -58.05 | 0.72 | 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2506 | 3846.20 | 20.75 | -36.07 | -15.32 | | IF2507 | 3808.80 | 55.62 | -73.47 | -17.86 | | IF2509 | 3777.80 | 66.11 | -104.47 | -38.37 | | IF2512 | 37 ...

金融工程 | 动态跟踪 分红对期指的影响 20250509 研究结论 | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2505 | 2683.60 | 0.27 | -0.41 | -0.14 | | IH2506 | 2666.20 | 17.96 | -17.81 | 0.16 | | IH2509 | 2632.00 | 59.91 | -52.01 | 7.91 | | IH2512 | 2627.00 | 59.91 | -57.01 | 2.91 | 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2505 | 3840.20 | 0.74 | -5.96 | -5.21 | | IF2506 | 3808.60 | 24.07 | -37.56 | -13.49 | | IF2509 | 3743.60 | 69.49 | -102.56 | -33.06 | | IF2512 | 3706.80 ...

金融工程 | 动态跟踪 分红对期指的影响 20250430 研究结论 | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IH2505 | 2627.20 | 0.00 | -5.96 | -5.96 | | IH2506 | 2609.20 | 17.72 | -23.96 | -6.24 | | IH2509 | 2578.00 | 61.21 | -55.16 | 6.05 | | IH2512 | 2575.80 | 61.21 | -57.36 | 3.85 | 沪深 300 股指期货: | | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | --- | --- | --- | --- | --- | | IF2505 | 3752.00 | 5.16 | -18.57 | -13.41 | | IF2506 | 3716.20 | 25.40 | -54.37 | -28.97 | | IF2509 | 3663.20 | 71.06 | -107.37 | -36.31 | | IF2512 | 3637 ...