Group 1: Stock Index Futures Market Overview - The four major index futures contracts experienced an overall increase, with the CSI 500 index futures showing the largest gain of 3.46%, while the SSE 50 index futures had the smallest gain of 2.63% [3][12] - Average trading volumes for the current, next, and seasonal contracts of IC, IF, and IH decreased, with IF showing the largest decline of 23.95% [3][12] - As of last Friday's close, the annualized basis rates for the current contracts of IF, IC, IM, and IH were -2.93%, -9.59%, -12.00%, and -0.18%, respectively, indicating a narrowing of the basis for IF, IC, and IH, while IM's basis deepened [3][12] Group 2: Cross-Period Price Differences - The cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at 62.10%, 49.10%, 63.90%, and 40.40% percentiles since 2019 [4][13] - Currently, there are no arbitrage opportunities for the IF main contract based on the closing prices [4][13] - The estimated impact of dividends on the index points for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices over the next year is projected to be 78.04, 84.14, 69.75, and 64.41, respectively [4][13][42] Group 3: Market Expectations - With the main dividend period concluded, the impact of dividends on the four major index futures contracts is minimal, and the basis changes are closely related to investor trading sentiment [5][14] - The valuation level of the SSE 50 index is in a historically high percentile range, suggesting that using long-term contracts may offer better value, although liquidity risks should be monitored [5][14] Group 4: Recent Sell-Side Strategy Insights - A consensus among 10 brokerages indicates that the A-share market is expected to continue its upward or slow bull trend, supported by policy expectations and deployments [6][40] - The technology growth, non-ferrous metals, power equipment, and consumer recovery sectors are viewed positively, benefiting from policy support, industrial upgrades, and improved supply-demand dynamics [6][40][43] - There are differing views on the sustainability of cyclical trends, with some brokerages expressing concerns over short-term inventory pressures that may weaken resilience [6][40][43]

- The report discusses the construction of forward and reverse arbitrage strategies in stock index futures markets. Forward arbitrage involves selling futures contracts and buying spot when the spot is undervalued and futures are overvalued, while reverse arbitrage involves buying futures contracts and selling spot when the spot is overvalued and futures are undervalued[45][46] - The formulas for calculating the arbitrage returns are provided. For forward arbitrage, the formula is: $$ P = \frac{(F_t - S_t) - (S_t + F_t M_t)(1 + r_t)^{\frac{T-t}{360}} - S_t C_s - F_t C_f}{S_t + F_t M_t} $$ For reverse arbitrage, the formula is: $$ P = \frac{(S_t - F_t) - (S_t M_l + F_t M_f)(1 + r_f)^{\frac{T-t}{360}} - S_t C_s - F_t C_f - S_t r^{\frac{T-t}{360}}}{S_t M_l + F_t M_f} $$[46] - The report evaluates the risks associated with the arbitrage process, including margin call risk, basis non-convergence risk, dividend risk, tracking error risk, and liquidity risk[46] - The report also discusses the method for predicting dividend points, which can affect the basis rate. The prediction is based on historical dividend patterns and uses the formula: $$ \text{Dividend Points} = \sum \left( \frac{\text{Per Share Dividend} \times \text{Index Closing Price} \times \text{Component Stock Weight}}{\text{Component Stock Closing Price}} \right) $$[47][50] - The report provides specific values for the annualized basis rates of the main contracts for IF, IC, IM, and IH, which are -4.66%, -12.51%, -14.77%, and -0.06% respectively[11] - The cross-period spread rates for the main contracts of IF, IC, IM, and IH are at the 78.30%, 73.30%, 84.20%, and 63.90% percentiles respectively since 2019[11] - The report includes a summary of market and industry investment consensus and differences from sell-side strategy teams, highlighting that 8 brokerages believe in enhanced policy easing expectations, 7 believe in active market liquidity, and 6 believe in a significant increase in market risk appetite[38][40]