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建信期货股指日评-20250826
Jian Xin Qi Huo· 2025-08-26 01:40
报告类型 股指日评 日期 2025 年 8 月 26 日 研究员:聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号:F03124070 研究员:何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号:F3008762 研究员:黄雯昕(宏观国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号:F3051589 宏观金融团队 请阅读正文后的声明 #summary# 每日报告 一、行情回顾与后市展望 1.1 行情回顾: 8 月 25 日,万得全 A 跳空高开后震荡上行,午间有所回落,随后再度走高, 收涨 1.80%,超 6 成个股上涨;指数现货方面,沪深 300、上证 50、中证 500、中 证 1000 收盘分别上涨 2.08%、2.09%、1.89%、1.56%,中小盘股表现更优。指数 期货表现弱于现货,IF、IH、IC、IM 主力合约分别收涨 1.83%、1.79%、1.46%、 0.87%(按前一交易日收盘价为基准计算 ...
宏观金融数据日报-20250805
Guo Mao Qi Huo· 2025-08-05 09:32
Group 1: Market Data and Repo Operations - The closing price of DROO1 is 1.31, up 0.07 bp; DR007 is 1.45, up 2.76 bp; GC001 is 1.31, up 1.50 bp; GC007 is 1.46, down 0.50 bp; SHBOR 3M is 1.56, down 0.40 bp; LPR 5 - year is 3.50, unchanged; 1 - year treasury bond is 1.37, down 0.40 bp; 5 - year treasury bond is 1.58, up 0.81 bp; 10 - year treasury bond is 1.71, up 0.42 bp; 10 - year US treasury bond is 4.23, down 14.00 bp [4] - The central bank conducted 544.8 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, with 105.8 billion yuan of reverse repurchase maturing on the same day and 495.8 billion yuan maturing in total. The net investment on the day was 49 billion yuan [4] - This week, 1,663.2 billion yuan of reverse repurchases in the central bank's open market will mature, with 495.8 billion, 449.2 billion, 309 billion, 283.2 billion, and 126 billion yuan maturing from Monday to Friday respectively [4] Group 2: Stock Index Market - The CSI 300 rose 0.39% to 4070.7; SSE 50 rose 0.55% to 2769.4; CSI 500 rose 0.78% to 6261.7; CSI 1000 rose 1.04% to 6739.7. The trading volume of the two stock markets in Shanghai and Shenzhen was 1,498.6 billion yuan, a decrease of 99.8 billion yuan from last Friday [4] - Most industry sectors closed higher, with aerospace, precious metals, motors, instrumentation, general equipment, jewelry, shipbuilding, auto parts, and plastic products leading the gains, while commercial department stores and insurance sectors leading the losses [4] - After a short - term "profit - taking" trading, the stock index regained its strong trend. The current stock index valuation is still supported. Taking the CSI 300 as an example, although its P/E ratio has returned to the median, the ERP is still at a historical high (74.25% quantile). With Huijin supporting liquidity, valuation factors are expected to continue to play a role. The strategy is to go long on the stock index this week [5] Group 3: Futures Market - Ascending and Descending Water Conditions - IF ascending and descending water conditions: the current - month contract is 4.49%, the next - month contract is 0.00%, the current - quarter contract is 0.01%, and the next - quarter contract is 3.06% [6] - IH ascending and descending water conditions: the current - month contract is - 0.97%, the next - month contract is - 0.29% (11.75% annualized), the current - quarter contract is - 0.27% (10.52% annualized), and the next - quarter contract is - 0.23% (9.63% annualized) [6] - IC ascending and descending water conditions: the current - month contract is 16.50%, the current - quarter contract is 11.29%, and the next - quarter contract is 10.92% [6] - IM ascending and descending water conditions: the current - month contract is 13.73%, and the next - month contract is 11.43% [6]
申银万国期货早间策略-20250716
1. Report Industry Investment Rating - No relevant information provided in the report. 2. Core Viewpoints of the Report - A-share investment has a high cost - performance ratio in the medium - to - long term. The CSI 500 and CSI 1000, supported by more science and innovation policies, may bring higher returns due to their high growth potential. The SSE 50 and CSI 300 have more defensive value in the current macro - environment [2]. - It is expected that the proportion of medium - and long - term funds in the capital market will gradually increase, which is beneficial to reducing stock market volatility [2]. 3. Summary by Related Catalogs 3.1. Stock Index Futures Market - **IF Contracts**: The closing prices of IF contracts decreased, with the IF current - month contract down 4.80, the next - month contract down 7.40, the next - quarter contract down 9.60, and the alternate - quarter contract down 9.80. The trading volume of the current - month contract was 39,238.00, and the positions of the current - month contract decreased by 4,132.00 [1]. - **IH Contracts**: The closing prices of IH contracts dropped, with the current - month contract down 16.00, the next - month contract down 18.20, the next - quarter contract down 17.60, and the alternate - quarter contract down 18.20. The trading volume of the current - month contract was 19,124.00, and the positions of the current - month contract decreased by 1,830.00 [1]. - **IC Contracts**: The closing prices of IC contracts declined, with the current - month contract down 7.40, the next - month contract down 12.60, the next - quarter contract down 15.20, and the alternate - quarter contract down 13.00. The trading volume of the current - month contract was 39,182.00, and the positions of the current - month contract decreased by 5,099.00 [1]. - **IM Contracts**: The closing prices of IM contracts decreased, with the current - month contract down 28.60, the next - month contract down 29.20, the next - quarter contract down 34.60, and the alternate - quarter contract down 31.60. The trading volume of the current - month contract was 49,078.00, and the positions of the current - month contract decreased by 4,311.00 [1]. 3.2. Stock Index Spot Market - **CSI 300 Index**: The index rose 0.03%, with a previous value of 4,019.06, a trading volume of 19.104 billion lots, and a total trading value of 353.525 billion yuan [1]. - **SSE 50 Index**: The index dropped 0.38%, with a previous value of 2,747.23, a trading volume of 4.117 billion lots, and a total trading value of 79.806 billion yuan [1]. - **CSI 500 Index**: The index fell 0.10%, with a previous value of 6,020.86, a trading volume of 18.928 billion lots, and a total trading value of 226.291 billion yuan [1]. - **CSI 1000 Index**: The index decreased 0.30%, with a previous value of 6,442.83, a trading volume of 26.987 billion lots, and a total trading value of 347.378 billion yuan [1]. - **Industry Indexes**: The energy sector dropped 0.55%, the raw materials sector decreased 0.89%, the industrial sector fell 0.47%, the optional consumption sector rose 0.93%, the main consumption sector dropped 0.94%, the medical and health sector decreased 0.05%, the real - estate and finance sector fell 0.79%, the information technology sector rose 1.40%, the telecommunications business sector rose 6.09%, and the public utilities sector decreased 0.69% [1]. 3.3. Futures - Spot Basis - **IF Contracts and CSI 300**: The basis of the IF current - month contract to the CSI 300 was - 9.46, the next - month contract was - 25.86, the next - quarter contract was - 38.46, and the alternate - quarter contract was - 70.46 [1]. - **IH Contracts and SSE 50**: The basis of the IH current - month contract to the SSE 50 was - 7.03, the next - month contract was - 12.23, the next - quarter contract was - 13.03, and the alternate - quarter contract was - 12.03 [1]. - **IC Contracts and CSI 500**: The basis of the IC current - month contract to the CSI 500 was - 10.56, the next - month contract was - 69.76, the next - quarter contract was - 125.36, and the alternate - quarter contract was - 248.36 [1]. - **IM Contracts and CSI 1000**: The basis of the IM current - month contract to the CSI 1000 was - 20.83, the next - month contract was - 90.03, the next - quarter contract was - 165.43, and the alternate - quarter contract was - 343.83 [1]. 3.4. Other Domestic Main Indexes and Overseas Indexes - **Domestic Indexes**: The Shanghai Composite Index dropped 0.42%, the Shenzhen Component Index rose 0.56%, the Small and Medium - Cap Index rose 0.67%, and the ChiNext Index rose 1.73% [1]. - **Overseas Indexes**: The Hang Seng Index rose 1.60%, the Nikkei 225 rose 0.55%, the S&P 500 dropped 0.40%, and the DAX Index dropped 0.42% [1]. 3.5. Macroeconomic Information - China's GDP in the first half of the year was 66.05 trillion yuan, a year - on - year increase of 5.3%. The first - quarter GDP increased by 5.4% year - on - year, and the second - quarter GDP increased by 5.2%. Fixed - asset investment increased by 2.8%, and real - estate development investment decreased by 11.2%. In June, the added value of large - scale industries increased by 6.8% year - on - year, and social consumer goods retail sales increased by 4.8% [2]. - The Central Urban Work Conference was held in Beijing from July 14th to 15th. China's urbanization is shifting from a rapid growth stage to a stable development stage, and urban development is shifting from large - scale incremental expansion to stock quality improvement and efficiency enhancement [2]. - The housing prices in 70 large and medium - sized cities decreased month - on - month, and the year - on - year decline continued to narrow overall. There were 14 cities with a month - on - month increase in new - home prices, and only Xining had a month - on - month increase in second - hand home prices [2]. - China adjusted the catalog of technologies prohibited or restricted from export, deleting 3 technology items, adding 1, and modifying 1. The restricted export of battery cathode material preparation technology was newly added [2]. 3.6. Industry Information - The financial regulatory authority strengthened the supervision of local asset management companies, clarifying prohibited business behaviors [2]. - The Ministry of Industry and Information Technology plans to formulate mandatory national standards for mobile power sources to set stricter technical standards [2]. - The State Administration for Market Regulation launched a special campaign to rectify prominent problems in live - streaming e - commerce [2]. - The 11th batch of national drug centralized procurement has been launched, with 55 varieties included in the procurement volume reporting scope, and new drugs are not included [2].
行情余温反复,短期预计阴跌为主
Xin Da Qi Huo· 2025-06-18 13:27
1. Report Industry Investment Rating - The investment rating for the stock index is "Oscillation" [1] 2. Core Viewpoints of the Report - Last week, the stock index market declined due to the escalation of geopolitical conflicts, which increased global risk - aversion sentiment. European and American stock indices mostly fell, and A - share sentiment cooled down. This week, the stock index is still at a relatively over - valued position within the oscillation range and is expected to continue to bottom out. The impact of short - term foreign capital sentiment fluctuations on A - shares is limited, and there are no clear domestic trading events in the short term. The market will continue the decline trend under the characteristics of shrinking volume and low volatility, and it is recommended that investors mainly wait and see. The next breakthrough window may appear in early July, with attention paid to the new round of tariff disturbances caused by the expiration of Trump's 90 - day exemption policy and possible hedging policies from the domestic Politburo meeting. In the medium - to - long - term, the current discounts of IC and IM have reached the highest level in the past two years. The annualized discount rate of the current - quarter IC contract is 11 - 12%, and that of the IM contract is 15 - 16%. These two types of contracts can bring more substantial excess returns in the allocation level compared to index products such as ETFs, and it is still valuable and potential for long - term index investment investors to hold long positions [3] 3. Summary by Relevant Catalogs 3.1 Macro Stock Market Information - The 2025 Lujiazui Forum will be held from June 18th to 19th, with the theme of "Financial Opening - up, Cooperation and High - quality Development in the Changing Global Economic Landscape". Central financial management department leaders will give speeches and release major financial policies. US President Trump's pressure on Iran makes the market speculate that the US may directly participate in Israel's attack on Iran [5] 3.2 Stock Index Disk Review - **Disk Tracking**: In the previous trading day, A - shares fluctuated narrowly. Among the four major indices, the Shanghai 50 Index fell 0.04%, the CSI 300 Index fell 0.09%, the CSI 500 Index fell 0.29%, and the CSI 1000 Index fell 0.10%. The shipping (+2.44%) and energy equipment (+2.01%) sectors led the gains, while the office supplies (-3.45%) and soft drink (-2.80%) sectors lagged. More than 2,200 stocks rose, and 61 stocks hit the daily limit, with a poor profit - making effect [5] - **Technical Tracking**: After the previous oversold rebound, the stock indices generally approached the upper edge of the gap, with stronger pressure at the daily and weekly levels, and the monthly - line trend is still oscillating [5] - **Fund Flow**: Recently, the trading volume of A - shares has been hovering at a low level, staying at the 1.2 - trillion - yuan level yesterday. The short - term market has a strong wait - and - see sentiment and insufficient upward momentum [5] 3.3 Core Logic Summary - The decline in the stock index market last week was due to geopolitical conflicts. This week, the stock index is over - valued and may continue to decline. The impact of foreign capital is limited, and there are no clear trading events. The market will decline with shrinking volume and low volatility. The next breakthrough may be in early July. In the long - term, IC and IM contracts have high allocation value [3] 3.4 Operation Suggestions - **Futures Operation**: In the short term, it is recommended to mainly wait and see, with the lower support level seen at the position on April 9th. For monthly operations, maintain the idea of band trading [4] - **Option Operation**: The implied volatility of stock index options continues to flatten, with the weekly IV of the current - month at - the - money CSI 300 option remaining at 12 - 13%. Given the low - level oscillation of volatility, the cost of buying options during the waiting - for - breakthrough stage is expected to be high, and the premium recovered from selling options is limited. It is recommended to wait for the second wave of rising volatility before engaging in double - selling operations [4]
宝城期货股指期货早报-20250612
Bao Cheng Qi Huo· 2025-06-12 01:27
1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The short - term view of the stock index is range - bound, the medium - term view is upward, and the intraday view is slightly bullish. Although there are some factors restricting the upward movement of the stock index, the bottom - support from policies is strong, and the downward risk in the short term is low[1][4] 3. Summary According to Relevant Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2506, the short - term trend is oscillatory, the medium - term trend is upward, the intraday trend is slightly bullish, with an overall view of range - bound. The core logic is that the positive policy expectations provide strong support[1] 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is slightly bullish, the medium - term view is upward, and the reference view is range - bound. Yesterday, each stock index rebounded slightly. The total stock market turnover was 1286.6 billion yuan, a reduction of 164.6 billion yuan compared to the previous day. The result of Sino - US economic and trade consultations is highly uncertain, and the market sentiment is mainly one of waiting and watching. Overseas uncertainties and weak domestic demand suppress the upward momentum of the stock index. However, the weakening of macro - economic indicators increases the expectation of policy support, and the bottom - support of the market is sufficient. The marginal effect of the negative impact of the tariff war is weak, and the short - term downward risk of the market is low[4]
宏观金融数据日报-20250508
Guo Mao Qi Huo· 2025-05-08 05:06
Report Summary 1. Core Views - A series of policies were unexpectedly introduced, including a 50bp reserve requirement ratio cut, a 10bp reduction in policy interest rates, a 25bp cut in personal housing provident fund mortgage rates, a 25bp reduction in structural monetary policy tool rates, an increase of 300 billion yuan in technological innovation re - loan quota, the establishment of a 500 billion yuan pension re - loan quota, and an increase of 300 billion yuan in agricultural and small - business re - loan quota. However, the stock index performance was lower than expected, with market trading volume only reaching 1.4 trillion. After a one - month rebound, the stock index has gradually recovered to the level before the China - US tariff policy was implemented on April 2. For non - participating investors, the cost - effectiveness of entering the long position in the short term is not high, and it is recommended to wait and see cautiously. Existing long positions can be held [6]. 2. Market Data 2.1 Interest Rate and Bond Market | Instrument | Closing Price | Change from Previous Day (bp) | | --- | --- | --- | | DRO01 | 1.66 | - 4.82 | | DR007 | 1.68 | - 4.70 | | GC001 | 1.58 | - 13.00 | | GC007 | 1.68 | - 6.00 | | SHBOR 3M | 1.74 | - 1.10 | | LPR 5 - year | 3.60 | 0.00 | | 1 - year Treasury Bond | 1.45 | - 1.65 | | 5 - year Treasury Bond | 1.50 | 0.30 | | 10 - year Treasury Bond | 1.64 | 1.65 | | 10 - year US Treasury Bond | 4.30 | - 6.00 | The central bank conducted 195.5 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.50% yesterday. With 530.8 billion yuan of reverse repurchases maturing on the same day, the net withdrawal of funds was 335.3 billion yuan [3]. 2.2 Stock Index and Futures Market | Index/Futures | Closing Price | Change from Previous Day (%) | Volume Change (%) | Open Interest Change (%) | | --- | --- | --- | --- | --- | | CSI 300 | 3832 | 0.61 | - | - | | IF Current Month | 3817 | 0.5 | 14.0 | 2.2 | | SSE 50 | 2671 | 0.87 | - | - | | IH Current Month | 2665 | 0.7 | 22.9 | 6.6 | | CSI 500 | 5750 | 0.17 | - | - | | IC Current Month | 5718 | 0.2 | 22.9 | 3.8 | | CSI 1000 | 6111 | 0.14 | - | - | | IM Current Month | 6072 | 0.1 | 41.3 | 8.9 | Yesterday, the CSI 300 rose 0.61% to 3831.6, the SSE 50 rose 0.87% to 2670.7, the CSI 500 rose 0.17% to 5750.3, and the CSI 1000 rose 0.14% to 6111.5. The trading volume of the Shanghai and Shenzhen stock markets was 1.4683 trillion yuan, an increase of 132.1 billion yuan from the previous day. Most industry sectors closed higher, with the aerospace sector surging, and sectors such as shipbuilding, fertilizer, agriculture, chemical raw materials, rubber products, and mining leading the gains, while the gaming sector led the losses [5]. 2.3 Index Futures Basis | Futures | Current Month | Next Month | Current Quarter | Next Quarter | | --- | --- | --- | --- | --- | | IF Basis | 15.27% | 10.09% | 7.47% | 5.76% | | IH Basis | 8.96% | 7.55% | 5.74% | 3.61% | | IC Basis | 22.63% | 18.77% | 12.59% | 10.23% | | IM Basis | 30.72% | 21.21% | 14.93% | 12.46% | [7]