走势评级： 短期-震荡 期货研究报告 宏观金融研究 [Table_ReportType] 股指日报 中短期-看涨 宋婧琪 从业资格证号：F03100886 投资咨询证号：Z0021165 联系电话：0571-28132632 邮箱：songjingqi@cindasc.com 信达期货有限公司 CINDAFUTURESCO.LTD 杭州市萧山区钱江世纪城天人大厦19-20楼 邮编：311200 政策预期继续发酵，建议逢低做多，谨慎追高 报告内容摘要: [Table_ReportDate] 报告日期： 2025 年 10 月 09 日 [Table_Summary] 宏观股市信息： 股指盘面回顾： 本次国庆假期期间，国内消息面整体运行平稳，海外方面美国政府停摆问题 持续发酵，但从外围股指的实际反应来看，波动暂时有限。另一方面，在本 轮 A 股股指上涨行情中，外资的贡献比例本就不高，这意味着后续来自国际 层面的影响有限。未来，中美利差收敛的预期下，宏观层面风险可认为已基 本出清，股指大趋势进入易涨难跌阶段。短期来看，节前市场处于高位整固 状态，长期基本面改善 vs 短期估值高位是多空的主要矛盾点，10 月向上或 ...

Group 1: Market Data and Central Bank Operations - DROO1 closed at 1.47 with a 2.26 bp increase, DR007 at 1.55 with a 3.08 bp increase, GC001 at 1.70 with a 46.50 bp increase, and GC007 at 1.60 with a 10.50 bp increase. SHBOR 3M was at 1.55 with a 0.10 bp increase, LPR 5 - year at 3.50 with no change. 1 - year, 5 - year, and 10 - year Chinese treasury bonds were at 1.39 (0.44 bp increase), 1.63 (-0.56 bp decrease), and 1.77 (-1.82 bp decrease) respectively, while 10 - year US treasury bonds were at 4.34 with a 1.00 bp increase [4] - The central bank conducted 580.3 billion yuan of 7 - day reverse repurchase operations, with 114.6 billion yuan of reverse repurchases maturing, resulting in a net injection of 465.7 billion yuan [4] - The central bank released its Q2 2025 monetary policy report. Overseas, US tariff policies increase global economic recovery uncertainty and some economies have sticky inflation. Domestically, with measures to regulate low - price competition and boost consumption, the central bank believes there are more positive factors for a moderate recovery in price levels and expects an improvement. Monetary policy continues the tone of the Politburo meeting at the end of July, emphasizing the implementation of a moderately loose monetary policy [4] Group 2: Stock Index Performance - The CSI 300, SSE 50, CSI 500, and CSI 1000 closed at 4223 (-0.38%), 2812 (-0.93%), 6655.3 (-0.19%), and 7242.8 (0.07%) respectively. The trading volume of the Shanghai and Shenzhen stock markets was 2.5884 trillion yuan, a decrease of 175.8 billion yuan from the previous day. Industry sectors showed more gains than losses, with sectors like automobile services, brewing, real - estate services leading the gains, and insurance, electronic chemicals, shipbuilding, and securities leading the losses [5] - Yesterday, stock indices rose first and then fell. Currently, the valuation still provides support. Taking the CSI 300 as an example, although the current P/E ratio has risen to 15.9 (at the 83% historical percentile), the equity risk premium (ERP) remains at a relatively high historical level (about the 68% percentile). This means that from the perspective of the relative cost - effectiveness of stock - bond investment, stocks can still provide higher potential return compensation compared to risk - free assets. With the liquidity support from Huijin, valuation factors are expected to continue to play a supporting role. At the macro level, attention should be paid to the Fed's September interest - rate cut expectation and its potential impact on domestic interest - rate cut space [6] Group 3: Futures Contract Data - For IF, the current - month, next - month, current - quarter, and next - quarter contracts had an annualized premium rate of 2.00%, 1.75%, 1.75%, and 1.84% respectively; for IH, -1.25%, -0.70%, -0.66%, and -0.52% respectively; for IC, 9.79%, 9.18%, 8.65%, and 8.12% respectively; for IM, 10.64%, 9.93%, 9.39%, and 9.26% respectively [7] - The trading volume and open interest of IF, IH, IC, and IM contracts all decreased. IF trading volume decreased by 27.3 to 109,269, and open interest decreased by 5.6 to 258,257; IH trading volume decreased by 15.8 to 62,436, and open interest decreased by 3.3 to 103,724; IC trading volume decreased by 22.3 to 102,352, and open interest decreased by 2.3 to 220,750; IM trading volume decreased by 19.4 to 236,188, and open interest decreased by 4.0 to 376,950 [5]

主力合约前20席位中，多头增仓前三名分别是：国泰君安、持仓12697、增仓1039，海通期货、持仓8720、增仓667，东证期货、 持仓6368、增仓387；多头减仓前三名分别是：中信期货、持仓16427、减仓-912，国投期货、持仓2118、减仓-242，广发期货、 持仓2066、减仓-191； 主力合约前20席位中，空头增仓前三名分别是：海通期货、持仓5772、增仓615，国信期货、持仓3370、增仓304，招商期货、持 仓2817、增仓266；空头减仓前三名分别是：中信期货、持仓20240、减仓-706，中金财富、持仓2224、减仓-119，华泰期货、持 仓4783、减仓-75。 文章来源:新浪期货 | | | | | 2025年7月22日中证500指数期货主力合约2509持仓数据 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 名次 会员名称 成交量(双边) | | 增减 | 会员 | 持买車 | 增减 | 会员 | 持卖单 | 增减 | | ਹ | 中信期货 | 18,268 | 2,648 ...

Core Viewpoint - The article discusses the significant discount in the futures market compared to previous years and the higher implied volatility of put options compared to call options, suggesting a potential pessimistic outlook among investors. It proposes a quantitative timing strategy based on the synthetic underlying price of ETF options to address these issues [1]. Group 1: Concepts of Premium and Discount - The premium and discount of stock index futures is defined as the difference between futures prices and spot prices, with a positive value indicating a premium and a negative value indicating a discount. The annualized premium rate is often used for better comparison [2]. - The seasonal discount phenomenon in stock index futures is attributed to dividend payouts from constituent stocks, which can lead to a natural decline in the index and is particularly evident from May to September [2]. Group 2: Synthetic Underlying of ETF Options - The price of the synthetic underlying for ETF options can be expressed using the call option price, strike price, and put option price. The premium or discount rate is calculated as the difference between the synthetic price and the underlying ETF price [3]. - There is a strong positive correlation (over 0.97) between the annualized premium rate of the synthetic underlying of ETF options and the annualized premium rate of stock index futures after excluding dividends, indicating that the synthetic underlying may provide a more accurate reflection of market expectations [3]. Group 3: Quantitative Timing Strategy Backtest Results - The strategy suggests that when the valuation of put options is significantly higher than that of call options, it does not necessarily indicate a market downturn. Instead, it may present a buying opportunity [4]. - The strategy is based on the premise that when the ETF synthetic underlying futures premium is at a historical low, it indicates excessive pessimism, and a potential rebound may occur, prompting a buy signal for the next trading day [4]. Group 4: Historical Backtest Performance - The strategy has shown significant outperformance compared to the underlying ETFs since 2018, with an annualized return of 19.05% and a maximum drawdown of -17.83% when trading the Huatai-PineBridge 300 ETF [6]. - The cumulative return of the timing strategy reached 142.9%, significantly higher than the 51.8% return of the IC monthly contract and 2.52% of the 500 ETF [6]. Group 5: Summary - The article highlights the relationship between the synthetic underlying of ETF options and stock index futures, emphasizing the effectiveness of a quantitative timing strategy based on the synthetic premium. The results indicate that significant discounts in the futures market do not necessarily signal a sell-off but rather present opportunities for long positions [12].

Summary of Key Points Core Viewpoint - The trading data for the CSI 500 index futures as of July 9 shows a slight decline in the main contract, with a closing price of 2509 and a decrease of 0.42%. The total trading volume for all contracts was 70,800 lots, down by 2,220 lots from the previous day [1]. Group 1: Trading Volume and Positions - The total trading volume for the main contract was 26,500 lots, with a net short position among the top 20 participants amounting to 6,218 lots [1]. - The top 20 participants held a total of 172,900 long positions, which decreased by 8,773 lots, while the short positions decreased by 1,000 lots to 184,400 [1]. - The top three long positions were held by CITIC Futures (34,966 lots), Guotai Junan (30,466 lots), and Haitong Futures (18,689 lots) [1]. Group 2: Changes in Long and Short Positions - The top three participants with increased long positions were Zhongxin Jian Investment (3,016 lots, +332), Guoxin Futures (1,415 lots, +183), and Galaxy Futures (3,322 lots, +103) [1]. - The top three participants with decreased long positions were Guotai Junan (9,555 lots, -1,870), CITIC Futures (14,475 lots, -1,040), and Haitong Futures (8,268 lots, -888) [1]. - The top three participants with increased short positions were Shenyin Wanguo (1,396 lots, +179), CITIC Jian Investment (1,665 lots, +96), and招商期货 (2,390 lots, +35) [1]. Group 3: Overall Market Sentiment - The overall market sentiment appears to be bearish, as indicated by the net short positions among the top participants and the decrease in both long and short positions [1][4]. - The total positions across all contracts showed a significant decrease, with long positions down by 8,969 lots and short positions down by 9,164 lots [4].

Core Insights - The main contract of the CSI 500 Index futures closed at 2509 with a slight increase of 0.35% as of July 3, with a trading volume of 26,600 contracts and a net short position of 6,070 contracts among the top 20 positions [1][2] Trading Volume and Positions - Total trading volume for all contracts was 65,000 contracts, a decrease of 523 contracts from the previous day [1] - Among the top 20 positions, long positions totaled 167,600 contracts, an increase of 1,123 contracts, while short positions totaled 178,300 contracts, an increase of 1,216 contracts [1] Major Players - The top three long positions were held by CITIC Futures with a total holding of 33,786 contracts, Guotai Junan with 30,576 contracts, and Haitong Futures with 18,303 contracts [1] - The top three short positions were also held by CITIC Futures with 39,153 contracts, Guotai Junan with 26,505 contracts, and Haitong Futures with 15,419 contracts [1] Changes in Long Positions - The top three increases in long positions were from Haitong Futures (7,850 contracts, +286), Galaxy Futures (3,205 contracts, +207), and Zhongtai Futures (2,810 contracts, +206) [1] - The top three decreases in long positions were from Huatai Futures (3,428 contracts, -845), Guotai Junan (11,418 contracts, -257), and Zhejiang Futures (1,142 contracts, -87) [1] Changes in Short Positions - The top three increases in short positions were from Guotai Junan (12,626 contracts, +418), CITIC Futures (15,360 contracts, +261), and Zhongtai Futures (1,234 contracts, +142) [1] - The top three decreases in short positions were from Shenyin Wanguo (1,301 contracts, -238), Dongzheng Futures (3,184 contracts, -219), and Everbright Futures (1,407 contracts, -192) [1]

Report Summary 1. Report Information - Report Title: "大类资产早报" - Release Date: June 17, 2025 - Author: Research Center Macro Team [2] 2. Global Asset Market Performance 2.1 Major Economies' 10 - Year Treasury Yields - On June 16, 2025, yields varied across countries, e.g., the US was 4.448%, the UK was 4.532%, and China was 1.644%. - Changes in yields differed in the latest, one - week, one - month, and one - year periods. For example, the US had a latest change of 0.047%, a one - week change of - 0.028%, a one - month change of - 0.032%, and a one - year change of 0.172%. [3] 2.2 Major Economies' 2 - Year Treasury Yields - As of June 16, 2025, the US was 3.900%, the UK was 3.901%, and Germany was 1.838%. - Yield changes also varied over different time frames. For instance, the US had a latest change of - 0.040%, a one - week change of - 0.020%, a one - month change of - 0.060%, and a one - year change of - 0.920%. [3] 2.3 Dollar Exchange Rates against Major Emerging Economies' Currencies - On June 16, 2025, exchange rates and their changes were presented. For example, the dollar - to - Brazilian real rate was 5.493 with a latest change of - 0.92%. - Changes over one - week, one - month, and one - year periods were also provided. The dollar - to - Brazilian real had a one - week change of - 1.19%, a one - month change of - 3.05%, and a one - year change of 3.66%. [3] 2.4 Stock Indexes and Credit Bond Indexes - Stock indexes of major economies and emerging economies showed different performances. For example, the S&P 500 had a one - week change of 0.04%, a one - month change of - 3.29%, and a one - year change not given. - Credit bond indexes also had their respective changes. For example, the US investment - grade credit bond index had a latest change of - 0.15%, a one - week change of 0.31%, a one - month change of 0.86%, and a one - year change of 4.61%. [3] 3. Stock Index Futures Trading Data 3.1 Index Performance - A - shares closed at 3388.73 with a 0.35% increase, the CSI 300 closed at 3873.80 with a 0.25% increase, etc. [4] 3.2 Valuation - PE (TTM) values were provided for different indexes, such as 12.78 for the CSI 300, 10.91 for the SSE 50, etc., along with their环比 changes. [4] 3.3 Risk Premium - Risk premium data and their环比 changes were presented for some indexes, e.g., the S&P 500 had a risk premium of - 0.55 with a环比 change of - 0.09. [4] 3.4 Fund Flows - Latest values and 5 - day average values of fund flows were given for different markets, such as 122.23 for A - shares and - 595.70 for the 5 - day average. [4] 3.5 Trading Volume - Latest trading volumes and their环比 changes were provided for different markets, e.g., 12150.76 for the Shanghai and Shenzhen stock markets with a环比 change of - 2521.21. [4] 3.6 Basis and Spread - Basis and spread data were given for stock index futures, such as - 4.00 for the IF basis with a - 0.10% spread. [4] 4. Treasury Bond Futures Trading Data - Closing prices and price changes of treasury bond futures (T00, TF00, T01, TF01) were presented, all with 0.00% changes on the given day. - Money market fund rates (R001, R007, SHIBOR - 3M) and their daily changes were also provided, e.g., R001 was 1.4450% with a - 13.00 BP change. [5]

Group 1 - The core point of the article is the trading data of the CSI 500 index futures as of June 17, showing a slight decline in the main contract and a net short position among the top 20 positions [1][2][3]. - The main contract closed at 2509, with a change of -0.14%, and a total trading volume of 86,300 contracts, which is a decrease of 110 contracts from the previous day [1][3]. - The top 20 positions show a total long position of 173,200 contracts, an increase of 2,083 contracts, while the total short position is 182,600 contracts, an increase of 2,411 contracts [1][4]. Group 2 - The top three long positions are held by CITIC Futures with 37,758 contracts, Guotai Junan with 29,825 contracts, and Haitong Futures with 15,430 contracts [1][4]. - The top three short positions are also held by CITIC Futures with 38,040 contracts, Guotai Junan with 25,318 contracts, and Haitong Futures with 17,834 contracts [1][4]. - The article provides detailed changes in positions for both long and short positions among the top 20 members, indicating significant movements in the market [1][3][4].

Core Insights - The main contract of the CSI 500 Index futures closed at 2506 with a slight increase of 0.21% as of June 12, with a trading volume of 40,500 contracts, indicating a net short position among the top 20 holders with a difference of 946 contracts [1][2] Trading Volume and Positions - Total trading volume for all contracts of the CSI 500 Index futures reached 67,700 contracts, a decrease of 12,800 contracts from the previous day [1][4] - Among the top 20 holders, long positions totaled 170,700 contracts, down by 793 contracts, while short positions totaled 178,000 contracts, down by 2,122 contracts [1][4] Major Players - The top three long positions were held by: - CITIC Futures with a total holding of 35,438 contracts - Guotai Junan with a total holding of 28,594 contracts - Haitong Futures with a total holding of 14,040 contracts [1][4] - The top three short positions were held by: - CITIC Futures with a total holding of 35,911 contracts - Guotai Junan with a total holding of 24,009 contracts - Haitong Futures with a total holding of 17,930 contracts [1][4] Changes in Positions - The top three increases in long positions were: - CITIC Jiantou with an increase of 245 contracts to a total of 2,266 contracts - Dongzheng Futures with an increase of 226 contracts to a total of 4,594 contracts - Zhongjin Wealth with an increase of 72 contracts to a total of 1,204 contracts [1][4] - The top three decreases in long positions were: - Zhongtai Futures with a decrease of 786 contracts to a total of 3,101 contracts - Guotai Junan with a decrease of 749 contracts to a total of 9,804 contracts - Haitong Futures with a decrease of 510 contracts to a total of 2,844 contracts [1][4] Summary of Changes - The top three increases in short positions were: - Zhongjin Futures with an increase of 134 contracts to a total of 2,667 contracts - Dongzheng Futures with an increase of 116 contracts to a total of 6,033 contracts - Xingzheng Futures with an increase of 107 contracts to a total of 1,105 contracts [1][4] - The top three decreases in short positions were: - Guotai Junan with a decrease of 1,468 contracts to a total of 8,637 contracts - CITIC Futures with a decrease of 1,229 contracts to a total of 11,555 contracts - Zhongtai Futures with a decrease of 433 contracts to a total of 1,504 contracts [1][4]

Core Viewpoint - The article discusses the trading data and positions of the CSI 500 index futures as of May 29, 2025, highlighting the increase in both long and short positions among major market participants [1][2]. Group 1: Trading Data Summary - As of May 29, 2025, the main contract for the CSI 500 index futures closed at 2506, with a change of +1.89% and a trading volume of 68,800 contracts [1]. - The total trading volume for all contracts reached 106,300 contracts, an increase of 44,100 contracts compared to the previous day [1]. - The top 20 positions showed a net short position with a difference of 4,600 contracts [1]. Group 2: Positioning Analysis - Among the top 20 positions, long positions totaled 163,700 contracts, an increase of 12,700 contracts from the previous day, while short positions totaled 174,400 contracts, an increase of 15,100 contracts [1]. - The top three long positions were held by CITIC Futures (33,779 contracts), Guotai Junan (32,370 contracts), and Guotai Futures (11,310 contracts) [1]. - The top three short positions were also led by CITIC Futures (34,547 contracts), Guotai Junan (27,079 contracts), and Haitong Futures (18,126 contracts) [1]. Group 3: Changes in Positions - The top three increases in long positions among the main contract were Guotai Junan (+1,509 contracts), Dongzheng Futures (+1,050 contracts), and Zhongtai Futures (+875 contracts) [1]. - The top three decreases in long positions were JPMorgan (-362 contracts), Guoxin Futures (-250 contracts), and Yong'an Futures (-121 contracts) [1]. - For short positions, the top three increases were Haitong Futures (+1,631 contracts), Dongzheng Futures (+1,530 contracts), and Guotai Junan (+1,142 contracts) [1].