- The report discusses the dividend prediction model for the August contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices, with respective dividend points of 1.42, 2.59, 4.93, and 3.19[5][9] - The annualized hedging costs for the August contracts, excluding dividends and calculated on a 365-day basis, are -1.22% for SSE 50, 6.13% for CSI 300, 17.91% for CSI 500, and 19.73% for CSI 1000[5][9] - The report suggests that investors should pay attention to the short-term positive arbitrage opportunities in the SSE 50 index futures, given its current slight premium state and relatively low hedging cost[6][9] - For the CSI 300 index futures, the report advises investors to closely monitor the potential for discount recovery and the changes in hedging costs due to increased volatility, as it has shifted from a neutral to a moderate discount state[6][9] - The CSI 500 and CSI 1000 index futures are currently in a deep discount state, with significantly expanded discount margins compared to the previous period. The report recommends that investors with arbitrage execution capabilities and risk management experience consider participating in the phase discount arbitrage opportunities for these small and mid-cap index futures[6][9] - The dividend prediction process involves estimating the net profit of constituent stocks, calculating the pre-tax total dividend for each stock, determining the impact of dividends on the index, and predicting the impact of dividends on each contract[7][19][22] - The formula used to estimate the weight of each stock in the index is: $$ \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}} $$ where \( w_{i0} \) is the accurate weight of stock \( i \) on day \( t0 \), and \( R \) is the rate of change in the stock price from \( t0 \) to \( t \)[22] - The theoretical pricing model for stock index futures under discrete dividend distribution is: $$ F (S D)(1 r) t t = − + $$ where \( F_t \) is the futures price at time \( t \), \( S_t \) is the spot price, \( D \) is the present value of the dividend stream during the period \( T-t \), and \( r \) is the risk-free rate during the period \( T-t \)[28] - The theoretical pricing model for stock index futures under continuous dividend distribution is: $$ (r d)(T-t) t t F S e − = $$ where \( F_t \) is the futures price at time \( t \), \( S_t \) is the spot price, \( d \) is the annualized dividend rate, and \( r \) is the annualized risk-free rate during the period \( T-t \)[29] Model Backtest Results - SSE 50 index futures (IH) August contract: actual spread -0.13, dividend-inclusive spread 1.29, annualized hedging cost -1.22%[1][10] - CSI 300 index futures (IF) August contract: actual spread -12.13, dividend-inclusive spread -9.53, annualized hedging cost 6.13%[1][11] - CSI 500 index futures (IC) August contract: actual spread -47.60, dividend-inclusive spread -42.67, annualized hedging cost 17.91%[1][12] - CSI 1000 index futures (IM) August contract: actual spread -53.67, dividend-inclusive spread -50.48, annualized hedging cost 19.73%[1][13]

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 | | | ...

Group 1 - The market is experiencing a significant decline, potentially due to sudden negative news or options contract arbitrage, with large funds profiting while retail investors struggle [1] - Large funds are actively buying broad-based ETFs, indicating protective actions, with noticeable volume increases in specific ETFs, suggesting that this is not a selling signal [3] - Key sectors such as liquor, real estate, securities, and coal have not significantly declined despite tariffs, indicating limited downside risk and potential for future upward movement [3] Group 2 - The upcoming week is critical for large funds to determine market direction, with limited downside potential but some possibility of decline [5] - The best opportunities currently lie in Hong Kong stocks rather than A-shares, with a focus on bottoming out in sectors like liquor, real estate, and securities, which are positioned below 3000 points [5] - The market is expected to experience a rotation in leading sectors, with a potential shift away from bank stocks to other weighty industries for upward momentum [7]