Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]