Group 1: Stock Index Futures Market Overview - The four major index futures contracts experienced an overall increase last week, with the CSI 1000 index futures rising the most by 2.83%, while the SSE 50 index futures had the smallest increase of 1.09% [3][12] - The average trading volume of the current, next, and seasonal contracts for IF, IC, IH, and IM decreased compared to the previous week, with IF showing the largest decline of 31.55% [3][12] - The annualized basis rates for the current contracts of IF, IC, IM, and IH as of last Friday's close were -3.64%, -11.53%, -12.26%, and -0.34%, respectively, indicating a narrowing of the basis for IF and IM, while IC deepened its discount [3][12] Group 2: Cross-Period Price Differences - As of last Friday's close, the cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at the 68.20%, 83.60%, 73.60%, and 39.80% percentiles since 2019 [4][13] - For arbitrage opportunities, with an annualized return of 5%, the basis rates for the current and next month contracts of IF need to reach 0.33% and -0.48%, respectively, within the next 5 trading days [4][13] Group 3: Dividend Forecasts - After August, the strength of dividends is expected to weaken, but it will still impact the major index futures. The estimated impact of dividends on the main contracts for August is 1.42 for the CSI 300 index, 2.35 for the CSI 500 index, 1.01 for the SSE 50 index, and 0.75 for the CSI 1000 index [5][12][14] Group 4: Market Expectations - The correlation between basis changes and dividend impacts, as well as investor trading sentiment, is high under unchanged index futures trading rules. The return to a discount for the IH main contract indicates a normalization of market expectations for the SSE 50 [5][14] - The overall market sentiment is improving, as indicated by the narrowing basis for IF, IC, and IM contracts, while the macro data remains stable with the July CPI unchanged year-on-year [5][14] Group 5: Recent Sell-Side Strategy Insights - A consensus among 11 brokerages indicates an optimistic outlook for the A-share market, supported by multiple layers or a bull market trend. Additionally, 8 brokerages believe that micro liquidity easing or retail funds entering the market will support the market [6][41] - In terms of industry outlook, there is a consistent positive sentiment towards the financial, non-ferrous metals, and military sectors [6][41][42]

Group 1 - The basis for the CSI 300 IF2508 contract is at a discount of 4.62, while the SSE 50 IH2508 contract is at a premium of 3.23. The CSI 500 IC2508 contract is at a discount of 49.42, and the CSI 1000 IM2508 contract is at a discount of 55.38 [1] - The month difference for the CSI 300 IF2508-2509 price spread is 9.2, the SSE 50 IH2508-2509 price spread is 0.2, the CSI 500 IC2508-2509 price spread is 52.0, and the CSI 1000 IM2508-2509 price spread is 72.6 [1]

Group 1 - The core point of the article discusses the monitoring of stock index futures arbitrage as of June 6, highlighting the basis and monthly spread of various contracts [1] Group 2 - The basis for the CSI 300 IF2506 contract is at a discount of 18.58, the SSE 50 IH2506 contract at a discount of 15.25, the CSI 500 IC2506 contract at a discount of 36.68, and the CSI 1000 IM2506 contract at a discount of 52.64 [1] - The monthly spread for the CSI 300 IF2506-2507 is 37.4, for the SSE 50 IH2506-2507 is 30.8, for the CSI 500 IC2506-2507 is 70.4, and for the CSI 1000 IM2506-2507 is 94.0 [1]

Group 1 - The basis for the CSI 300 IF2506 contract is at a discount of 26.34, the SSE 50 IH2506 contract is at a discount of 17.22, the CSI 500 IC2506 contract is at a discount of 51.21, and the CSI 1000 IM2506 contract is at a discount of 69.17 [1] - The month difference for the CSI 300 IF2506-2507 is 39.2, for the SSE 50 IH2506-2507 is 30.2, for the CSI 500 IC2506-2507 is 68.8, and for the CSI 1000 IM2506-2507 is 91.2 [1]

Group 1 - The basis for the CSI 300 IF2505 contract is at a discount of 2.49, while the SSE 50 IH2505 contract is at a discount of 2.86. The CSI 500 IC2505 contract is at a premium of 7.75, and the CSI 1000 IM2505 contract is at a premium of 13.28 [1] - The month difference for the CSI 300 IF2505-2506 is 40.6, for the SSE 50 IH2505-2506 is 18.6, for the CSI 500 IC2505-2506 is 121.8, and for the CSI 1000 IM2505-2506 is 147.6 [1]

Group 1 - The basis for the CSI 300 IF2505 contract is at a discount of 0.21, while the SSE 50 IH2505 contract is at a premium of 2.22, the CSI 500 IC2505 contract is at a premium of 0.88, and the CSI 1000 IM2505 contract is at a discount of 3.77 [1] - The month difference for the CSI 300 IF2505-2506 is 35.6, for the SSE 50 IH2505-2506 is 18.4, for the CSI 500 IC2505-2506 is 102.2, and for the CSI 1000 IM2505-2506 is 113.6 [1]

qqqqqqqqqqqqqqqqqqq 跨期价差方面，截至上周五收盘，IF、IC、IM和IH当月合约与下月合约的跨期价差率分别处在2019年以来的94.10%、 98.80%、99.20%和 88.20%分位数。四大期指当月合约与下月、当季、下季的价差率均处于历史分布常态位置。 正向和反向套利空间上，以年化收益 5%计算，剩余 5 个交易日，IF 正反套当月合约基差率需要分别达到 0.33%和- 0.48%。以年化收益 5%计算，剩余 29 个交易日，IF 正反套下月合约基差率需要分别达到 0.95%和-1.79%。按照收盘 价格看，目前 IF 当月合约存在反套机会。 分红预测方面，根据我们的估算，沪深 300 指数、中证 500、上证 50 指数和中证 1000 指数对主力合约的点位分别为 22.15、44.10、16.55 和 36.81。 市场预期方面，基差变化同时受到分红及投资者交易情绪的影响。当前上市公司业绩披露结束，主力资金可能根据 公司基本面进行调仓换股，如遇到主力资金大规模买卖操作，预期导致基差大幅波动。上周四大期指当月合约基差 波动幅度较小。当前各品种基差均处于历史低位，跨期价差为正，使用近 ...