1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The basis level and volatility of stock index futures show clear style stratification, with solid financial logic support for statistical laws. The volatility of the basis of small - and mid - cap stock index futures (IC, IM) is systematically higher than that of large - cap varieties (IF, IH). The basis presents a leptokurtic and thin - tailed feature, and there are differences in the distribution form. IH and IF basis distributions have significant seasonal characteristics, strengthening seasonally from May to July mainly due to the dividend effect [3][60][61]. - Investor expectations, market sentiment, and capital behavior are key forces driving short - term basis fluctuations, with significant varietal heterogeneity in the impact. When market sentiment warms up or the margin balance expands, the basis tends to narrow, and this effect is more sensitive and intense in small - and mid - cap varieties. The stock market volatility index is positively correlated with the basis. The large - scale inflow of north - bound funds usually supports the spot price and helps the basis expand, but the recent data has gaps. The significant decline in the shareholding ratio of long - term institutional funds such as insurance and social security may weaken the spot pricing anchor and increase the forward risk premium of the market, intensifying the futures discount [4][61]. - Index dividends are a definite fundamental factor causing regular seasonal fluctuations in the basis. There is a significant positive correlation between the dividend rate and the basis, and the higher the dividend concentration, the stronger the impact. During the dividend peak from May to July each year, the futures of Shanghai Stock Exchange 50 (IH) and CSI 300 (IF) stock index futures are usually in deep discount, which provides a clear layout window for calendar - effect - based arbitrage and hedging strategies [4][62]. 3. Summary according to the Directory 3.1 Chapter 1: Historical Distribution and Statistical Laws of Stock Index Futures Basis - **Core Statistical Features and Differences between Varieties**: Based on historical data from 2023 to 2026, the basis of the four major stock index futures shows significant varietal differentiation. The basis level presents a style gradient of IM > IC > IF/IH, and the basis volatility also shows a similar style differentiation. The statistical features of the IH variety are special, with a low basis mean and volatility, but extreme basis deviations may occur, indicating potential arbitrage opportunities [10][11]. - **Time - Series Features and Seasonal Laws**: The basis has obvious quarterly effects. The monthly average of the basis is significantly higher from May to July due to the dividend effect, and the futures are more likely to be in a premium state in the fourth quarter, which may be related to year - end market liquidity, institutional investors' portfolio adjustments, and expectations for the next year's corporate performance [12][14]. - **Distribution Form and Normal Distribution Test**: The basis distribution forms of different varieties vary. The basis distributions of IH, IF, and IC are more concentrated, while that of IM is flatter. All have leptokurtic and thin - tailed distribution features, which have dual implications for trading practice [23][25]. 3.2 Chapter 2: Influence Mechanism of Investor Expectations and Market Sentiment on Stock Index Futures Basis - **Linkage Mechanism between Market Sentiment and Basis and Varietal Heterogeneity**: Market sentiment is positively correlated with the basis, but the sensitivity of different style index futures varies. When the market sentiment index rises, the basis tends to narrow, and this effect is more obvious in small - and mid - cap stock index futures. The margin balance is also indirectly related to the basis, and the stock market volatility index is positively correlated with the basis [35][36][37]. - **Transmission Path and Influence of Policy Expectations on the Basis**: Monetary policy and stock index futures regulatory policies affect the basis. Monetary policy has a complex impact on the basis through changing the risk - free interest rate and liquidity environment. The stability of regulatory policies provides a institutional basis for the market - based formation of the basis [41][42]. 3.3 Chapter 3: Analysis of the Seasonal Influence of Index Dividends on Stock Index Futures Basis - **Core Facts of Dividend Season Distribution and Seasonal Performance of the Basis**: Index component stock dividends are concentrated in the second and third quarters, leading to significant seasonal characteristics of the basis. The impact of dividends on the basis of different varieties varies, with IH and IF being more significantly affected [44][45]. - **Practical Application and Strategy Considerations Based on Dividend Seasonality**: The predictable seasonal influence of dividends provides a strategy layout window. During the dividend season, there may be opportunities for reverse cash - and - carry arbitrage. Establishing a dividend monitoring system is crucial [48]. 3.4 Chapter 4: Influence Mechanism of Market Capital Behavior on Stock Index Futures Basis - **Analysis of the Influence Mechanism of Various Capital Behaviors on the Basis**: Margin trading funds affect the basis by changing the supply - demand balance in the spot market. The shrinkage of short - selling balance may lead to an increase in futures discount. North - bound funds affect the basis by influencing the spot pricing anchor, but data gaps exist. The reduction of long - term institutional funds' shareholding may lead to an increase in the basis [50][51][52]. - **Interpretation of the Current Market Structure and Future Observation**: In March 2026, the deep discount structure of the four major stock index futures may be the result of the combined action of various capital behaviors. Follow - up monitoring dimensions include the inflection point of short - selling balance, the authenticity verification and tracking of institutional holdings, and the linkage between capital cost and basis rate [53][54]. 3.5 Chapter 5: Analysis of the Current Stock Index Futures Basis Situation and Market Structure - **Current Basis Level and Term Structure Features**: As of March 25, 2026, all varieties of futures are in a discount state, and the far - month discount deepens. There are significant differences in basis rates between varieties, with IH having the lowest basis rate and IM having the highest [56]. - **Strategy Considerations and Risk Monitoring under the Current Basis Structure**: For cash - and - carry arbitrageurs, reverse arbitrage is theoretically the main direction, but practical execution is difficult. Key risk monitoring dimensions include sudden changes in capital interest rates, reversals of market sentiment, early reactions to dividend season expectations, and signs of style switching [58][59]. 3.6 Chapter 6: Summary The report systematically studies the basis performance of the four major stock index futures from January 1, 2023, to March 25, 2026, and finds relevant laws of basis changes, including style stratification of basis level and volatility, the influence of investor expectations, market sentiment, and capital behavior on short - term basis fluctuations, and the seasonal influence of index dividends on the basis [60].