金 融 期 货 研 究 2025 年 9 月 30 日 | | | 毛磊 | | | 投资咨询从业资格号：Z0011222 | | maolei@gtht.com | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 【期指期现数据跟踪】 | | | | | | | | | 期指数据 | | | | | | | | | | | 收盘价 | 涨跌幅% | 基 差 | 成交额-亿 | 成交量 | 变 动 | 持仓量 | 变 动 | | 沪深300 | 4620.05 | ↑1.54 | | 6934 | | | | | | IF2510 | 4623.6 | ↑1.49 | 3.55 | 656.5 | 47651 | ↑12556 | 61954 | ↑5672 | | IF2511 | 4609.6 | ↑1.49 | -10.45 | 7 2 | 5231 | ↑1977 | 5660 | ↑1285 | | IF2512 | 4604.6 | ↑1.53 | -15.45 | 1334.7 | 97301 | ↑25853 | 16 ...

金 融 期 货 研 究 2025 年 9 月 25 日 | | | | | 期指：大涨后的震荡 | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | 毛磊 | | | 投资咨询从业资格号：Z0011222 | | maolei@gtht.com | | | | 【期指期现数据跟踪】 | | | | | | | | | 期指数据 | | | | | | | | | | | 收盘价 | 涨跌幅% | 基 差 | 成交额-亿 | 成交量 | 变 动 | 持仓量 | 变 动 | | 沪深300 | 4566.07 | ↑1.02 | | 6291.6 | | | | | | IF2510 | 4556.2 | ↑1.66 | -9.87 | 580.2 | 42736 | ↓9025 | 58963 | ↓5638 | | IF2511 | 4541.4 | ↑1.54 | -24.67 | 6 2 | 4583 | ↑714 | 4474 | ↑1608 | | IF2512 | 4530 | ↑1.69 | -36.07 | ...

金 融 期 货 研 究 2025 年 9 月 24 日 | | | 毛磊 | | | 投资咨询从业资格号：Z0011222 | | maolei@gtht.com | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 【期指期现数据跟踪】 | | | | | | | | | | 期指数据 | | | | | | | | | | | 收盘价 | 涨跌幅% | 基 差 | 成交额-亿 | 成交量 | 变 动 | 持仓量 | 变 动 | | 沪深300 | 4519.78 | ↓0.06 | | 6805.1 | | | | | | IF2510 | 4510.2 | ↑0.28 | -9.58 | 696.3 | 51761 | ↑18056 | 64601 | ↑7486 | | IF2511 | 4495.4 | ↑0.30 | -24.38 | 51.8 | 3869 | ↑1824 | 2866 | ↑948 | | IF2512 | 4483.8 | ↑0.25 | -35.98 | 1355.5 | 101402 | ↑35468 ...

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View On September 17, all four major stock index futures contracts for the current month rose, with IF up 0.8%, IH up 0.2%, IC up 1.26%, and IM up 1.25%. The total trading volume of stock index futures rebounded, indicating increased trading enthusiasm among investors. The trends of different contracts in terms of trading volume, open interest, basis, and positions of the top 20 member institutions vary. The trend intensities of IF and IH are 1, while those of IC and IM are 1.68850. Important drivers include diplomatic news, Fed's interest - rate cut, and the performance of the A - share market [1][2][7]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Data - **Trading Volume and Open Interest**: The total trading volume of IF increased by 8,988 lots, IH by 5,233 lots, IC by 2,247 lots, and IM by 23,931 lots. The total open interest of IF decreased by 2,680 lots, IH increased by 4,021 lots, IC decreased by 10,820 lots, and IM decreased by 579 lots [2]. - **Closing Price and Basis**: For example, the closing price of IF2509 was 4,553.2 with a basis of - 2.18 points; the closing price of IH2509 was 2,956.2 with a basis of 3.42 points; the closing price of IC2509 was 7,252.4 with a basis of - 7.64 points; the closing price of IM2509 was 7,547 with a basis of - 7.81 points [1]. - **Positions of the Top 20 Member Institutions**: The changes in long and short positions of different contracts vary. For instance, in IF2509, long positions decreased by 12,990 and short positions decreased by 13,237 [6]. 3.2 Trend Intensity - The trend intensities of IF and IH are 1, and those of IC and IM are 1.68850. The trend intensity ranges from - 2 (most bearish) to 2 (most bullish) [7]. 3.3 Important Drivers - Diplomatic news: Regarding Sino - US high - level interactions and the TikTok ban, relevant departments have provided information [7]. - Fed's Interest - Rate Cut: The Fed cut interest rates by 25 basis points, emphasizing employment downside risks and expecting two more cuts this year [7]. - A - Share Market Performance: The Shanghai Composite Index rose 0.37% to 3,876.34 points, the Shenzhen Component Index rose 1.16%, and the ChiNext Index rose 1.95%. The A - share market had a total trading volume of 2.4 trillion yuan, up from 2.37 trillion yuan the previous day [7].

Report Investment Rating - The report does not provide an investment rating for the industry. Core View - The stock index futures are expected to fluctuate with a slight upward trend, and investors are advised not to chase the market excessively [1]. Summary by Relevant Catalogs 1. Stock Index Futures Data Tracking - On September 11, all the current-month contracts of the four major stock index futures rose. IF rose 2.64%, IH rose 1.56%, IC rose 3.44%, and IM rose 2.94% [1]. - On the trading day, the total trading volume of stock index futures rebounded, indicating an increase in investors' trading enthusiasm. Specifically, the total trading volume of IF increased by 38,933 lots, IH by 17,746 lots, IC by 61,198 lots, and IM by 43,013 lots. In terms of positions, the total positions of IF increased by 6,664 lots, IH by 8,511 lots, IC by 18,948 lots, and IM by 4,629 lots [2]. 2. Basis and Position Changes of Futures Contracts - The report provides the basis data of IF, IH, IC, and IM futures contracts, as well as the position changes of the top 20 member futures companies [1][5]. 3. Trend Intensity and Key Drivers - The trend intensity of IF and IH is 1, and that of IC and IM is also 1. The range of trend intensity is an integer within the [-2, 2] interval, with -2 indicating the most bearish and 2 indicating the most bullish [6]. - The State Council has approved a two - year comprehensive reform pilot of factor market allocation in 10 regions, including the Beijing Sub - center and the Guangdong - Hong Kong - Macao Greater Bay Area. The National Development and Reform Commission stated that this is a key step in building a unified national market, and the pilot is expected to be completed by 2027 [6][7]. 4. Market Performance - The three major US stock indexes reached new highs due to the moderate US CPI and a surge in jobless claims. Chinese concept stocks rebounded strongly. In the A - share market, the Shanghai Composite Index rose 1.65% to 3,875.31 points, the Shenzhen Component Index rose 3.36%, and the ChiNext Index rose 5.15%. The trading volume of A - shares reached 2.46 trillion yuan, up from 2 trillion yuan the previous day [7].

Report Summary 1. Investment Rating - The report does not mention the industry investment rating. 2. Core View - The futures index still has support [3]. 3. Key Points from Related Catalogs 3.1 Futures Index Data - On September 3, all four major futures index contracts for the current month declined. IF dropped 0.96%, IH dropped 1.29%, IC dropped 1.3%, and IM dropped 1.22% [1]. - The total trading volume of futures indices rebounded on this trading day, indicating an increase in investors' trading enthusiasm. Specifically, the total trading volume of IF increased by 876 lots, IH increased by 5491 lots, IC decreased by 6690 lots, and IM increased by 551 lots. In terms of positions, the total positions of IF decreased by 11,866 lots, IH decreased by 7211 lots, IC decreased by 9914 lots, and IM decreased by 2021 lots [1][2]. 3.2 Basis of Futures Indices - The basis data of IF, IH, IC, and IM are presented in the report, showing the differences between the spot and futures prices [1]. 3.3 Positions of the Top 20 Members in Futures - The changes in long and short positions of the top 20 members in various futures contracts (IF, IH, IC, IM) are provided, including the increase or decrease in long and short positions and the net changes [5]. 3.4 Trend Intensity and Important Drivers - The trend intensity of IF and IH is 1, and that of IC and IM is also 1. The trend intensity ranges from -2 to 2, with -2 indicating the most bearish and 2 indicating the most bullish [6]. - The joint working group of the Ministry of Finance and the central bank held its second meeting to discuss issues such as financial market operations, government bond issuance management, central bank bond trading operations, and the improvement of the offshore RMB government bond issuance mechanism. The Shanghai Composite Index fell 1.16% to 3813.56 points, the Shenzhen Component Index fell 0.65%, and the ChiNext Index rose 0.95%. The A - share trading volume was 2.4 trillion yuan, down from 2.91 trillion yuan the previous day [6].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View of the Report On September 2, the closing prices of the four major stock index futures contracts showed mixed trends, with IF down 0.72%, IH up 0.35%, IC down 1.8%, and IM down 1.85%. The total trading volume of stock index futures rebounded, indicating an increase in investors' trading enthusiasm. The total positions of all contracts also increased. The trend strength of IF and IH is 1, and that of IC and IM is also 1 [1][2][6]. 3. Summary by Relevant Catalogs 3.1. Stock Index Futures Data Tracking - **Closing Prices and Fluctuations**: On September 2, the closing price of CSI 300 was 4490.45, down 0.74%; IF2509 was 4481.2, down 0.72%. The closing price of SSE 50 was 2992.88, up 0.39%; IH2509 was 2992.8, up 0.35%. The closing price of CSI 500 was 6961.69, down 2.09%; IC2509 was 6896.2, down 1.80%. The closing price of CSI 1000 was 7313.88, down 2.50%; IM2509 was 7251.4, down 1.85% [1]. - **Trading Volume and Position Changes**: On the trading day, the total trading volume of IF increased by 51,069 lots, IH by 26,017 lots, IC by 46,175 lots, and IM by 85,941 lots. The total positions of IF increased by 21,717 lots, IH by 12,783 lots, IC by 18,794 lots, and IM by 26,043 lots [2]. - **Basis**: The basis of IF2509 was -9.25, IH2509 was -0.08, IC2509 was -65.49, and IM2509 was -62.48 [1]. - **Top 20 Member Position Changes**: The top 20 members' long - position and short - position changes varied among different contracts. For example, in IF2509, the long - position increased by 8,797 lots and the short - position by 7,564 lots [5]. 3.2. Trend Strength The trend strength of IF and IH is 1, and that of IC and IM is also 1. The trend strength ranges from -2 to 2, with -2 being the most bearish and 2 being the most bullish [6]. 3.3. Important Drivers - **Overseas Market**: The Nasdaq fell 1.7%, with chip stocks leading the decline. The yields of long - term bonds soared, and the price of gold broke through the $3,500 mark. The three major US stock indexes opened lower, with the Dow down 0.9%, the S&P 500 down 1.25%, and the Nasdaq down 1.7%. The US ISM manufacturing PMI in August continued to contract for the sixth consecutive month, but new orders improved and the price index declined again [6]. - **Domestic Market**: In August, the central bank's MLF had a net investment of 300 billion yuan, PSL had a net withdrawal of 160.8 billion yuan, and the outright reverse repurchase in the open market had a net investment of 300 billion yuan. The Shanghai Composite Index fell 0.45% to 3,858.13 points, the Shenzhen Component Index fell 2.14%, and the ChiNext Index fell 2.85%. The A - share trading volume was 2.91 trillion yuan, up from 2.78 trillion yuan the previous day. Most sectors performed poorly, with only a few sectors such as banks, reducers, and gold showing strength [7].

Report Industry Investment Rating - Not provided Core Viewpoints - Index futures may oscillate and rebound [1] Summary by Relevant Catalogs 1. Index Futures Data Tracking - **Market Indexes**: On August 31, the CSI 300 closed at 4496.76, up 0.74%; the SSE 50 at 2976.47, up 0.53%; the CSI 500 at 7043.94, up 0.47%; and the CSI 1000 at 7438.68, down 0.11% [1] - **Futures Contracts**: The four major index futures contracts showed mixed performance. IF rose 1.57%, IH rose 1.19%, IC rose 1.1%, and IM rose 0.6%. The trading volume and open interest of each contract also changed, with some increasing and some decreasing [1] 2. Trading Volume and Open Interest Analysis - **Trading Volume**: On the trading day, the total trading volume of index futures declined, indicating a cooling of investors' trading enthusiasm. Specifically, the total trading volume of IF increased by 2170 lots, IH increased by 258 lots, IC decreased by 24970 lots, and IM decreased by 54464 lots [2] - **Open Interest**: The total open interest of IF increased by 3011 lots, IH decreased by 474 lots, IC decreased by 591 lots, and IM decreased by 20646 lots [2] 3. Basis Analysis - **Basis Charts**: The basis of IF, IH, IC, and IM futures contracts were presented in charts, showing the changes in basis over time [4] 4. Top 20 Member Position Changes - **Long and Short Positions**: The long and short position changes of the top 20 members in each futures contract were provided, with some increasing and some decreasing [5] 5. Trend Intensity and Important Drivers - **Trend Intensity**: The trend intensity of IF and IH was 1, and that of IC and IM was also 1 [6] - **Important Drivers**: There were several important events, including an executive meeting of the State Council, a symposium by the CSRC, and Sino - US trade talks. The Shanghai Composite Index rose 0.37%, the Shenzhen Component Index rose 0.99%, and the ChiNext Index rose 2.23%. The A - share market had a turnover of 2.83 trillion yuan. The Shanghai Composite Index rose 7.97% in August [6]

Report Industry Investment Rating - Not provided Core Viewpoints - On August 13, all the current-month contracts of the four major stock index futures rose. IF increased by 0.97%, IH by 0.33%, IC by 1.57%, and IM by 1.63% [1] - On the trading day, the total trading volume of stock index futures rebounded, indicating an increase in investors' trading enthusiasm. Specifically, the total trading volume of IF increased by 23,189 lots, IH by 9,330 lots, IC by 27,828 lots, and IM by 55,257 lots. In terms of positions, the total positions of IF increased by 10,150 lots, IH by 6,610 lots, IC by 11,324 lots, and IM by 32,273 lots [2] Summary by Related Catalogs 1. Stock Index Futures Data Tracking - **Closing Prices and Fluctuations**: On August 13, the closing prices of various stock index futures and their underlying indexes showed different increases. For example, the CSI 300 index closed at 4,176.58, up 0.79%; IF2508 closed at 4,181.2, up 0.97% [1] - **Basis**: Different contracts of IF, IH, IC, and IM had different basis values. For example, the basis of IF2508 was 4.62, and that of IF2509 was -5.78 [1] - **Trading Volume and Turnover**: The trading volume and turnover of each contract also varied. For example, the turnover of IF2509 was 929.2 billion yuan, and the trading volume was 74,450 lots [1] - **Position Changes**: The positions of each contract changed. For example, the position of IF2508 decreased by 5,986 lots, while that of IF2509 increased by 11,069 lots [1] 2. Trend Intensity - The trend intensity of IF and IH is 1, and that of IC and IM is also 1. The trend intensity ranges from -2 to 2, with -2 being the most bearish and 2 being the most bullish [6] 3. Important Drivers - The central bank announced that at the end of July, China's broad - money (M2) balance was 329.94 trillion yuan, a year - on - year increase of 8.8%; narrow - money (M1) balance was 111.06 trillion yuan, an increase of 5.6%; currency in circulation (M0) balance was 13.28 trillion yuan, an increase of 11.8%. In the first seven months, the net cash injection was 465.1 billion yuan. In the first seven months, RMB loans increased by 12.87 trillion yuan, and RMB deposits increased by 18.44 trillion yuan. The cumulative increase in social financing scale in the first seven months was 23.99 trillion yuan, 5.12 trillion yuan more than the same period last year [6] - The Shanghai Composite Index rose 0.48%, the Shenzhen Component Index rose 1.76%, and the ChiNext Index rose 3.62%. The A - share trading volume throughout the day was 2.18 trillion yuan, reaching the second - highest level this year. The market volume exceeded 2 trillion yuan, and the Shanghai Composite Index had an eight - day consecutive increase [6] 4. Positions of the Top 20 Members in Futures - The positions of the top 20 members in different contracts of IF, IH, IC, and IM changed. For example, in IF2508, the long positions decreased by 4,663 lots, and the short positions decreased by 4,513 lots [5]

Report Industry Investment Rating - Not provided Core View of the Report - On August 12, the current-month contracts of the four major index futures all rose. The overall trading volume of index futures declined, indicating a decrease in investors' trading enthusiasm. The overall open interest of all four major index futures decreased [1][2]. - The trend strength of IF and IH is 1, and that of IC and IM is also 1. The market is in a situation of global resonance, oscillating with a slight upward bias [6]. Summary by Relevant Catalogs 1. Index Futures Data Tracking - **IF Series**: The closing price of the underlying CSI 300 was 4143.83, up 0.52%. Among the futures contracts, IF2508 closed at 4144.4, up 0.52%, with a basis of 0.57; IF2509 closed at 4131.2, up 0.51%, with a basis of -12.63; IF2512 closed at 4102, up 0.51%, with a basis of -41.83; IF2603 closed at 4069.6, up 0.51%, with a basis of -74.23. The total trading volume decreased by 1165 lots, and the total open interest decreased by 8595 lots [1][2]. - **IH Series**: The closing price of the underlying SSE 50 was 2807.01, up 0.61%. Among the futures contracts, IH2508 closed at 2809.8, up 0.62%, with a basis of 2.79; IH2509 closed at 2809.6, up 0.61%, with a basis of 2.59; IH2512 closed at 2811.4, up 0.64%, with a basis of 4.39; IH2603 closed at 2811, up 0.64%, with a basis of 3.99. The total trading volume increased by 8277 lots, and the total open interest decreased by 1720 lots [1][2]. - **IC Series**: The closing price of the underlying CSI 500 was 6418.16, up 0.41%. Among the futures contracts, IC2508 closed at 6409.2, up 0.52%, with a basis of -8.96; IC2509 closed at 6342.6, up 0.52%, with a basis of -75.56; IC2512 closed at 6190, up 0.58%, with a basis of -228.16; IC2603 closed at 6051.6, up 0.54%, with a basis of -366.56. The total trading volume decreased by 14462 lots, and the total open interest decreased by 9999 lots [1][2]. - **IM Series**: The closing price of the underlying CSI 1000 was 6963.61, up 0.28%. Among the futures contracts, IM2508 closed at 6954.2, up 0.31%, with a basis of -9.41; IM2509 closed at 6883.6, up 0.31%, with a basis of -80.01; IM2512 closed at 6694.2, up 0.30%, with a basis of -269.41; IM2603 closed at 6512, up 0.30%, with a basis of -451.61. The total trading volume decreased by 38939 lots, and the total open interest decreased by 20490 lots [1][2]. 2. Top 20 Member Open Interest Changes - **IF Contracts**: For IF2508, long positions decreased by 5297 lots, with a net change of -8242 lots; short positions decreased by 5061 lots, with a net change of -7997 lots. For IF2509, long positions decreased by 2979 lots, and short positions decreased by 2507 lots. For IF2512, long positions increased by 344 lots, and short positions decreased by 254 lots. For IF2603, long positions decreased by 310 lots, and short positions decreased by 175 lots [5]. - **IH Contracts**: For IH2508, long positions decreased by 1110 lots, with a net change of -1400 lots; short positions decreased by 1003 lots, with a net change of -1056 lots. For IH2509, long positions increased by 76 lots, and short positions increased by 416 lots. For IH2512, long positions decreased by 366 lots, and short positions decreased by 469 lots. The data for IH2603 was not announced [5]. - **IC Contracts**: For IC2508, long positions decreased by 4194 lots, with a net change of -9005 lots; short positions decreased by 4730 lots, with a net change of -8928 lots. For IC2509, long positions decreased by 2972 lots, and short positions decreased by 2715 lots. For IC2512, long positions decreased by 1306 lots, and short positions decreased by 1069 lots. For IC2603, long positions decreased by 533 lots, and short positions decreased by 414 lots [5]. - **IM Contracts**: For IM2508, long positions decreased by 8911 lots, with a net change of -16351 lots; short positions decreased by 9453 lots, with a net change of -17297 lots. For IM2509, long positions decreased by 5810 lots, and short positions decreased by 6384 lots. For IM2512, long positions decreased by 1630 lots, and short positions decreased by 1460 lots. The data for IM2603 was not announced [5]. 3. Important Drivers - **Policy News**: China and the US issued the Joint Statement of the China-US Stockholm Economic and Trade Talks. Both sides will continue to suspend the implementation of 24% reciprocal tariffs for 90 days. The three departments jointly issued the Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans, and eligible personal consumption loans can enjoy the interest subsidy policy [6]. - **Global Market Conditions**: Inflation data strengthened the expectation of interest rate cuts. The Nasdaq and S&P reached new highs, Ethereum rose 9%, and the Russell small-cap index soared 3%. The 2-year US Treasury yield fell nearly 3 basis points, the US dollar fell 0.47%, gold fluctuated widely around $3350, and crude oil closed lower [6]. - **A-share Market**: The A-share market continued its slow-bull pattern. The STAR 50 led the rise, and the ChiNext Index broke through its previous high. More than 3100 stocks closed lower, and market divergence intensified before reaching new highs [6].