Group 1 - The Shanghai Composite Index (沪指) achieved a trading volume exceeding 2 trillion yuan, marking an eight-day consecutive rise to a new high [1] - The net value of the popular small-cap ETF 1000ETF Enhanced (159680) reached 1.4196, setting a new historical peak, with a year-to-date scale growth of nearly 160% [1] - Market analysts attribute the significant outperformance of small-cap stocks over large-cap stocks to four main factors: ongoing global liquidity easing expectations, a weak dollar environment leading to increased foreign investment in A-shares, clear policies in the technology sector attracting capital, and a general market rally driving up valuation levels [1] Group 2 - The narrowing of the basis between stock index futures reflects an ongoing improvement in market risk appetite [1] - Analysts caution about the potential divergence risk between fundamental performance and market behavior [1]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - In the short term, with few domestic and foreign positive factors, market sentiment and liquidity are acceptable. Stock indices may show a relatively strong oscillating pattern. The premium advantage of stock index futures has shrunk in the past two days, so caution is advised when chasing up [6]. Summary Based on Related Catalogs Money Market - DR001 closed at 1.32 with a 0.24bp change; DR007 closed at 1.48 with a 1.32bp change; GC001 closed at 1.43 with a -6.50bp change; GC007 closed at 1.51 with a -1.00bp change; SHBOR 3M closed at 1.56 with a -0.80bp change; LPR 5 - year remained at 3.50 with a 0.00bp change; the 1 - year treasury bond closed at 1.36 with a 0.50bp change; the 5 - year treasury bond closed at 1.48 with a 0.30bp change; the 10 - year treasury bond closed at 1.64 with a 0.00bp change; the 10 - year US treasury bond closed at 4.42 with a 2.00bp change [4]. - The central bank conducted 755 billion yuan of 7 - day reverse repurchase operations yesterday at an operating rate of 1.40%. With 985 billion yuan of reverse repurchases maturing, the net withdrawal for the day was 230 billion yuan. This week, 6522 billion yuan of reverse repurchases are due in the central bank's open market, with 572 billion yuan and 340 billion yuan due on Thursday and Friday respectively. Recently, the inter - bank market liquidity has become more relaxed, and major repurchase rates have declined. The weighted average rate of overnight pledged - style repurchase by depository institutions dropped 4.47bp to 1.315%, reaching a new low since December 2024 [4]. Stock Index Market - The closing prices and changes of major stock indices and their corresponding futures contracts: The CSI 300 closed at 3991, down 0.18%; the SSE 50 closed at 2740, down 0.26%; the CSI 500 closed at an unspecified value, down 0.41%; the CSI 1000 closed at 6390, down 0.27%. The IF current - month contract closed at 3977, down 0.1%; the IH current - month contract closed at 2730, down 0.1%; the IC current - month contract closed at 5930, down 0.5%; the IM current - month contract closed at 6359, down 0.3% [5]. - The trading volume and open interest changes of stock index futures: IF trading volume was 82089, down 13.5; IF open interest was 246185, down 4.2; IH trading volume was 42379, down 8.9; IH open interest was 85854, down 2.5; IC trading volume was 70784, down 23.9; IC open interest was 222178, down 5.1; IM trading volume was 162388, down 25.4; IM open interest was 321744, down 7.4 [5]. - In June 2025, the year - on - year increase of CPI turned from a 0.1% decline last month to a 0.1% increase, with a cumulative year - on - year decline of 0.1% in the first half of the year. The year - on - year decline of PPI was 3.6%, with the decline widening from 3.3% last month, and the cumulative decline in the first half of the year was 2.8%. The turn of CPI from negative to positive was mainly driven by high - temperature and rainy weather leading to a reverse increase in vegetable prices and a significant narrowing of the year - on - year decline, as well as the increase in international oil prices driving the year - on - year recovery of domestic energy prices to positive growth. The year - on - year decline of PPI widened due to weak domestic demand, sufficient supply causing accelerated price declines of industrial products such as coal and steel, and tariff policy adjustments and weak external demand increasing the downward price pressure on some export - oriented industries [5]. - The升贴水 (premium/discount) rates of stock index futures contracts: IF current - month contract was 14.63%, next - month contract was 7.32%, current - quarter contract was 4.90%, next - quarter contract was 4.01%; IH current - month contract was 14.98%, next - month contract was 5.80%, current - quarter contract was 2.95%, next - quarter contract was 1.20%; IC current - month contract was 16.00%, next - month contract was 12.74%, current - quarter contract was 11.08%, next - quarter contract was 9.53%; IM current - month contract was 20.10%, next - month contract was 15.66%, current - quarter contract was 14.00%, next - quarter contract was 12.72% [7]. - Yesterday's closing situation: The CSI 300 rose 0.84% to 3998.5; the SSE 50 rose 0.57% to 2747.2; the CSI 500 rose 1.31% to 5977.7; the CSI 1000 rose 1.27% to 6407.7. The trading volume of the Shanghai and Shenzhen stock markets was 15052 billion yuan, an increase of 512 billion yuan from the previous day. Most industry sectors declined, with the diversified finance, engineering consulting services, cultural media, medical services, and banking sectors leading the gains, and the insurance, small metals, precious metals, shipbuilding, and wind power equipment sectors leading the losses [10].

导读 2024年以来，股指期货的基差管理成为量化的一大难题。自去年1月小盘股流动性崩盘叠加场 外期权集中敲入导致基差贴水出现历史新低情形，股指期货经常走出历史罕见走势，并且逐渐 有从小盘向大盘蔓延的趋势，说明机构交易者做空股指力量较为顽强。截至5月23日，沪深 300、中证500、中证1000的主力股指期货的年化贴水率分别来到11.08%、19.08%和23.43%。 那么这一现象对私募投资者有哪些利用价值呢？ 剔除分红后大盘贴水情况大幅缓解 对于不经常关注股指期货的投资者而言，近期股指期货全面深贴水的情况确实可能引发一定程 度的担忧，但是需要说明的是上证50、沪深300股指期货的大幅贴水主要由季节性分红引发。 众所周知，A股上市公司的年报和一季报的发布截止日为每年的4月30日，而6-7月是上市公司 密集发布分红的时期。投资者在金融咨询平台上看到的贴水率往往没有剔除分红，对于像上证 50、沪深300等央企红利属性较强的指数而言，不剔除分红的年化升贴水率经常在5月开始的 50个交易日内呈现季节性扩大表现。根据部分券商对上市公司预测的分红价差来看，上证 50、沪深300指数当季股指期货（IH2509、IF2509 ...

Core Viewpoint - The recent low level of stock index futures basis is linked to the dynamics of Dynamic Coupon Notes (DCN) products, which are believed to potentially reduce the basis rather than deepen it [1][4][31]. Group 1: Stock Index Futures Basis - The recent basis rates for IC and IM have reached historical lows, influenced by factors such as hedging, trading, dividend cycles, and policy restrictions [2][6]. - The basis rates are expected to exhibit cyclical fluctuations, with the current deep basis potentially benefiting the yield and scale of structured products like DCN and snowball products [2][7]. - The basis rates for IC and IM, after adjusting for dividends, remain at historical lows, indicating persistent pressure on the stock index futures market [8][9]. Group 2: Dynamic Coupon Notes (DCN) - DCN is characterized as a type of snowball product without an observation for knock-in, providing fixed income features combined with derivatives [3][25]. - The structure of DCN allows for monthly interest payments if the index price meets certain thresholds, with a risk of loss if the index falls below a specified level at maturity [25][30]. - The hedging mechanism of DCN is smoother compared to traditional snowball products, as it lacks a knock-in feature, resulting in a more stable impact on the stock index futures market [4][31]. Group 3: Market Dynamics and Product Scale - The total scale of snowball-like structured products is estimated to be around 100 billion yuan, which is less than half of the scale at the beginning of 2024 [4][31][38]. - The recent deep basis in stock index futures is expected to lead to a rapid increase in the yield and scale of DCN and similar structured products [4][45]. - The issuance of DCN products is seen as attractive in a low-interest environment, potentially leading to increased demand and market activity [4][31].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and treasury bond futures are all "neutral" or "wait - and - see", indicating a cautious stance [6][7][9] 2. Core View of the Report - The market for stocks and bonds should be approached with caution. Stock index futures are in a state of shrinking volume and awaiting a trend change, stock index options show an increase in hedging transactions, and treasury bond futures are expected to continue oscillating [1][2] 3. Summary by Related Catalogs 3.1 Market Outlook Stock Index Futures - Yesterday, the market had shrinking volume and consolidation, with the All - A index dropping 0.3%. The impact of tariff disturbances has weakened, and the market is more sensitive to industry events. There is a possibility of a trend change, and currently, it's in an oscillating pattern with a downside tail - risk. It's recommended to wait and see [6] Stock Index Options - In a low - volatility environment of the underlying asset, the trading volume of the options market decreased slightly. The trading data of Shanghai 500ETF options shows an increase in hedging power. Volatility trend strategies should avoid varieties with extremely low volatility quantiles. The operation suggestion is to continue with the covered - call strategy, appropriately allocate short - term bullish spread portfolios, and lightly position in long - volatility strategies [7] Treasury Bond Futures - Yesterday, treasury bond futures closed down across the board. The market is in an oscillating pattern, and it's difficult to break out of this pattern. Attention should be paid to upcoming PMI data and the central bank's May outright reverse repurchase. The short - end bullish sentiment may stabilize, while the long - end needs to be cautious [9] 3.2 Economic Calendar - The economic calendar includes the US initial jobless claims for the week ending May 24, 2025, the US April core PCE price index annual rate, and the US May University of Michigan consumer confidence index final value [11] 3.3 Important Information and News Tracking - As of the end of April 2025, there are 163 domestic public - fund management institutions in China, with a total net asset value of public funds under management of 33.12 trillion yuan. From January to May 2025, the number and area of second - hand housing transactions in Guangzhou increased significantly year - on - year. The Hong Kong Exchange plans to launch same - day - expiration options contracts as early as the first half of 2026. Japan lost its status as the world's largest creditor nation for the first time in 34 years [11][12]

Core Viewpoint - The deep discount of stock index futures has raised concerns in the market, impacting market-neutral strategy products and leading to net value declines, although quant hedge funds have managed to maintain overall excess returns this year [1][2]. Group 1: Market Conditions - Since April, the discount rates for IC (CSI 500 index futures) and IM (CSI 1000 index futures) have deepened, with IC reaching an annualized discount rate of 19.23% and IM at 22.36% as of April 16 [2]. - The significant drop in the CSI 500 and CSI 1000 indices on April 7, attributed to tariff shocks, resulted in extreme declines in stock index futures, causing a sharp increase in hedging costs for neutral products [2]. - The overall excess returns for quant strategies have improved compared to last year, despite increased market volatility and deepening discounts [2][4]. Group 2: Performance of Market-Neutral Strategies - As of April 18, the average return for 738 market-neutral strategy products since 2025 was 3.06%, but the average return over the past month dropped to 0.03%, with a slight recovery to 0.34% in the last week [3]. - Market-neutral products have maintained relatively stable operations since April, although new investors may face risks related to basis convergence [3][4]. - The overall return rate for market-neutral strategies this year is reported at 4%, with a yield of 0.47% since April [4]. Group 3: Risk Management and Strategy Optimization - Companies have implemented various methods for basis management and volatility response, including optimizing strategy models to enhance return stability [1][4]. - A multi-dimensional risk control system has been established, utilizing mixed hedging and automated dynamic management of basis [5]. - Recent upgrades to strategy frameworks have improved the ability to capture excess returns by integrating multi-frequency price and volume characteristics with AI models [5].

以下文章来源于力的期权工作室 ，作者余力 Felix 力的期权工作室 . 对个人更通俗，对机构更专业，努力做最具品质的衍生品公众号~ 欢迎加入交易理想国知识星球 文 | 余力 Felix 来源 | 力的期权工作室 编辑 | 杨兰 审核 | 浦电路交易员 今天！连续第十个交易日，上证综指继续创出4.8反弹以来的新高，各大指数也继续修复4.7那一天的跳空大缺口…… 随着最近"护盘"资金的不断加仓，有一个现象也值得一提，那就是中证1000指数与远月股指期货的贴水率已经几乎拉到了去年9.24以 来的尾部区。 从下面这张图先粗略有个概念（下图中的黑色曲线表示中证1000指数，粉红色曲线表示中证1000最远月股指期货），对于4.7以来的这 一波下跌，中证1000指数本身已经在逐步修复4.7那一天的大缺口，从4.8算到今天，已经累计上涨了8.30%，然而，最远月中证1000股 指期货的价格却只上涨了大约3%，明显跟不上1000指数本身，这导致两者之间的负基差（即股指期货价格减去指数本身的价格）已经 处在近期高位。 图：去年9.24至今，中证1000指数与中证1000隔季月期指合约价格对比走势图 数据来源：Wind 对于还不 ...

Core Viewpoint - The article discusses the recent performance of the stock market, particularly the Shanghai Composite Index and the ChiNext Index, highlighting the significant rebound and the implications of the current market conditions on investment strategies [1]. Group 1: Market Performance - The Shanghai Composite Index has reached new highs for the tenth consecutive trading day, reflecting a recovery from the significant drop on April 7 [1]. - The CSI 1000 Index has increased by 8.30% since April 8, while the far-month stock index futures have only risen by about 3%, leading to a notable negative basis [1][3]. Group 2: Futures Market Dynamics - The article explains the concept of "contango" and "backwardation" in futures trading, indicating that the current negative basis is likely due to significant hedging activities in the futures market [3]. - The low dividend yield of the CSI 1000 Index compared to the CSI 300 Index suggests that the futures prices are less influenced by dividend factors, which may contribute to the current market dynamics [3]. Group 3: Trading Volume and Market Sentiment - Trading volume is highlighted as a critical variable for market momentum, with a historical benchmark of 1.3%-1.4% turnover rate indicating a healthy market environment [4]. - A sustained trading volume above 1.4 trillion yuan is necessary for the emergence of a structural market trend, while volumes below this threshold may indicate a retreat of trading capital [5]. Group 4: Seasonal Trends and Calendar Effects - The article discusses the historical performance of the Shanghai Composite Index and the CSI 300 Index during the latter half of April, noting a low win rate and negative average returns in this period [6]. - The analysis suggests that the end of April is a critical time for earnings announcements, which may lead to increased volatility and the need for cautious investment strategies [6]. Group 5: Investment Strategy Recommendations - The article emphasizes the importance of monitoring the relationship between the A-share indices and the Hang Seng Technology Index, as well as the net inflow of margin trading, to gauge market sentiment [8]. - Investors are advised to remain patient and strategic, especially as the market approaches key resistance levels and while waiting for a return of trading volume [8].

场，很多资金都在避险回撤。 当然贴水扩大不一定100%下跌，否则照着贴水买涨跌不早就发财了，贴水波动反应的是市场情绪，我如实描述，尤其是这些情绪现在一般都被媒体忽 视。我最近逛国内财经网站的时候，总觉得内容报道时的倾向性越来越明显。 昨晚的文章简单提到了1985年的广场协议，为了方便读者理解我做了简化描述，其实当时参与协议的除了日本美国外，还有英法和西德，加起来一共5个 国家。 这5个国家里日本和西德是主要的顺差国，美国是主要逆差国，英国是给美国站场子的，法国是来浑水摸鱼的。最后协议的主要内容是让日元和德国马克 升值，以此来缓解美国的贸易逆差。 日本在日元升值后，多次降息对冲，放大国内金融杠杆，最终在90年代崩盘衰退。不过1985年日元升值以后，日本资本大量投资海外，在海外没少挣钱， 实际上没有"消失的30年"那么惨。 德国在广场协议后马克对美元也升值了70%，但是德国是一个对金融杠杆始终很谨慎的国家，即便出口受阻也不愿意过度刺激，坚持3%以上的利率以及 财政紧缩，控制了风险。另外就是90年代东西德合并，以及东欧剧变、苏联崩溃，这些为德国经济的再次启动提供了市场土壤。 大致就是这样，1985年的日本和2025 ...

今天a股成交1.45万亿，成交量小缩，几个大盘股指都是红的，但是市场中位数却跌了1.8%，这是因为今天又发 生了严重的风格倾斜。我截个自选指数的图你们看，从头到脚正好是降序排列，强弱差明显。 | 筛选 | 代码 | 名称 | 涨幅％ | 现价 | | --- | --- | --- | --- | --- | | 1 | 1B0016 | 上证50 | +0.67% | 2693.33 | | 2 | 399300 | 沪深 300 | +0.51% | 3934.85 | | ന | 1B0688 | 科创 20 | +0.29% | 1045.94 | | ব | 399006 | 创业板指 | +0.01% | 2152.55 | | 5 | 399905 | 中证 500 | -0.05% | 5969.08 | | 6 | 1B0852 | 中证 1000 | -0.71% | 6360.34 | | 7 | 932000 | 中证2000 | -1.90% | 2598.37 | | 8 | 883418 | 微盘股 | -4.51% | 1316.50 | 另外有个现象也持续了有一段时间了，就是 ...