金融期货方面：上行驱动未改，市场情绪积极，中证500指数IC2512多单持有。 兴业期货日度策略：2026.1.7 联系电话：021-80220262 金融期货方面：春季行情开启，市场情绪积极，中证500股指IC2603多单持有。 商品期货方面：有色金属屡创新高，化工品延续反弹。 重点策略推荐及操作建议： 操作上： 品种基本面分析及行情研判： | 品种 | 观点及操作建议 | 方向研判 | 分析师 | 联系人 | | --- | --- | --- | --- | --- | | | 春季行情继续强化 | | | | | | 周二A股市场延续强势，上证指数创逾10年新高，市场成交额 | | | | | | 继续上升至2.83（前值为2.57）万亿元。从行业来看，有色金属、 | | 投资咨询部 | 联系人：房紫薇 | | | 非银金融板块领涨，通信行业小幅收跌。股指期货进一步走强，各 | | 房紫薇 | 021-80220135 | | | 期指基差贴水继续修复，当月合约均转为升水状态。 | | 从业资格： | 从业资格： | | 股指 | 近期市场春季行情进一步强化，股市赚钱效应提升，各类资金 | 多头格局 ...

（文章来源：每日经济新闻） 每经AI快讯，1月6日，股指期货收盘，中证1000指数期货连续涨1.80%， 沪深300指数期货连续涨 1.71%， 中证500指数期货连续涨2.69%， 上证50指数期货连续涨1.96%。 ...

每经AI快讯，12月30日，股指期货早盘开盘， 中证1000指数期货连续跌0.15%， 沪深300指数期货连续 跌0.27%， 中证500指数期货连续跌0.28%， 上证50指数期货连续跌0.22%。 每经AI快讯，12月30日，股指期货早盘开盘， 中证1000指数期货连续跌0.15%， 沪深300指数期货连续 跌0.27%， 中证500指数期货连续跌0.28%， 上证50指数期货连续跌0.22%。 ...

Group 1: Index Trends - On November 25th, the Shanghai Composite Index rose by 0.87%, closing at 3870.02 points with a trading volume of 722.789 billion yuan; the Shenzhen Component Index rose by 1.53%, closing at 12777.31 points with a trading volume of 1089.359 billion yuan [1]. - The CSI 1000 Index rose by 1.31% with a trading volume of 404.174 billion yuan, opening at 7195.1, closing at 7249.95, with a daily high of 7311.73 and a low of 7194.77 [1]. - The CSI 500 Index rose by 1.25% with a trading volume of 289.205 billion yuan, opening at 6915.12, closing at 6954.6, with a daily high of 7018.47 and a low of 6912.32 [1]. - The SSE 300 Index rose by 0.95% with a trading volume of 411.524 billion yuan, opening at 4475.84, closing at 4490.4, with a daily high of 4510.77 and a low of 4467.35 [1]. - The SSE 50 Index rose by 0.6% with a trading volume of 98.032 billion yuan, opening at 2963.69, closing at 2968.2, with a daily high of 2974.77 and a low of 2952.35 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 93.54 points from the previous closing price, with sectors such as electronics, communication, and power equipment significantly pulling the index up [2]. - The CSI 500 rose 85.63 points from the previous closing price, with sectors such as electronics and non - ferrous metals significantly pulling the index up [2]. - The SSE 300 rose 42.35 points from the previous closing price, with sectors such as electronics, banking, and communication significantly pulling the index up [2]. - The SSE 50 rose 17.64 points from the previous closing price, with sectors such as banking, non - banking finance, and non - ferrous metals significantly pulling the index up [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - IM00 average daily basis was - 64.84, IM01 was - 133.46, IM02 was - 277.15, and IM03 was - 502.43 [13]. - IC00 average daily basis was - 41.17, IC01 was - 92.86, IC02 was - 201.32, and IC03 was - 404.45 [13]. - IF00 average daily basis was - 12.2, IF01 was - 26.04, IF02 was - 41.26, and IF03 was - 83.51 [13]. - IH00 average daily basis was - 5.88, IH01 was - 10.02, IH02 was - 10.28, and IH03 was - 17.55 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM, data on roll - over point differences and their annualized costs are presented in relevant graphs and tables [23][28]. - For IC, at 09:45, IC00 - 01 was - 68.64222, IC00 - 02 was - 225.568, etc., and data at different time points are also provided [24][25]. - For IF, at 09:45, IF00 - 01 was - 12.31678, IF00 - 02 was - 41.14122, etc., with data at various time points [25]. - For IH, at 09:45, IH00 - 01 was 0.707, IH00 - 02 was 1.4593333, etc., and data at different times are given [26][27].

Report Summary 1. Core View - The LPR quotes remained stable in October 2025. The 1 - year LPR was 3.0% and the 5 - year LPR was 3.5%, the same as last time [4]. - China's GDP in the first three quarters of 2025 was 101.5036 trillion yuan, with a year - on - year increase of 5.2% at constant prices. In the third quarter, GDP was 35.45 trillion yuan, with a year - on - year increase of 4.8% at constant prices. In September, the year - on - year growth rate of consumption weakened to 3%, and the cumulative year - on - year growth rate of fixed - asset investment dropped significantly to 1.1%, mainly dragged down by real estate investment, which had a cumulative year - on - year growth rate of - 13.9% from January to September [6]. - Due to the uncertainty of Sino - US economic and trade policies, the market risk appetite may fluctuate in the short term. After the adverse factors of trade frictions gradually ease, the stock index is expected to return to the upward channel. Before November 1 when the 100% US tariff takes effect, the stock index is expected to fluctuate as the situation may become clearer after the possible meeting between the top leaders of China and the US at the APEC meeting [6]. 2. Market Data Interest Rate Market | Variety | Closing Price | Change from Previous Value (bp) | | --- | --- | --- | | DR001 | 1.47 | 0.00 | | DR007 | 1.59 | 2.25 | | GC001 | 1.16 | - 6.00 | | GC007 | 1.45 | - 1.00 | | SHBOR 3M | 1.58 | 0.20 | | LPR 5 - year | 3.50 | 0.00 | | 1 - year Treasury Bond | 1.47 | 0.00 | | 5 - year Treasury Bond | 1.59 | 2.25 | | 10 - year Treasury Bond | 1.77 | 2.10 | | 10 - year US Treasury Bond | 4.02 | 1.80 | [3] - The central bank conducted 189 billion yuan of 7 - day reverse repurchase operations yesterday at an operating rate of 1.40%, with a bid volume, winning bid volume of 189 billion yuan. With 253.8 billion yuan of reverse repurchases maturing on the same day, the net withdrawal was 64.8 billion yuan [3]. - This week, 1.021 trillion yuan of reverse repurchases in the central bank's open market will mature, with 612 billion yuan and 409 billion yuan maturing on Thursday and Friday respectively [4]. Stock Index Market | Variety | Closing Price | Change from Previous Day (%) | | --- | --- | --- | | CSI 300 | 4538 | 0.53 | | IF Current Month | 4520 | 0.5 | | SSE 50 | 2975 | 0.24 | | IH Current Month | 2972 | 0.3 | | CSI 500 | 7070 | 0.76 | | IC Current Month | 6972 | 0.7 | | CSI 1000 | 7239 | 0.75 | | IM Current Month | 7138 | 0.5 | | IF Trading Volume | 112287 | - 33.7 | | IF Open Interest | 257451 | - 3.1 | | IH Trading Volume | 52619 | - 41.0 | | IH Open Interest | 89892 | - 8.2 | | IC Trading Volume | 134833 | - 21.8 | | IC Open Interest | 243216 | - 1.4 | | IM Trading Volume | 228283 | - 21.5 | | IM Open Interest | 354337 | - 2.7 | [5] - Yesterday, the CSI 300 rose 0.53% to 4538.2, the SSE 50 rose 0.24% to 2974.9, the CSI 500 rose 0.76% to 7069.6, and the CSI 1000 rose 0.75% to 7239.2. The trading volume of the two markets was 1.7376 trillion yuan, a decrease of 200.5 billion yuan from the previous trading day. Most industry sectors rose, with coal, gas, non - metallic materials, motors, airports, communication services, batteries, communication equipment, and consumer electronics leading the gains, while the precious metals sector tumbled [5]. Futures Premium and Discount | | Current Month Contract | Next Month Contract | Current Quarter Contract | Next Quarter Contract | | --- | --- | --- | --- | --- | | IF Premium/Discount | 4.63% | 4.21% | 2.99% | 3.03% | | IH Premium/Discount | 1.10% | 0.91% | 0.23% | 0.26% | | IC Premium/Discount | 15.75% | 13.81% | 11.02% | 10.72% | | IM Premium/Discount | 16.01% | 15.12% | 13.28% | 12.54% | [7] Note: The values in brackets are the annualized premium/discount rates (green indicates premium, red indicates discount).

1. Report Industry Investment Rating - Short - term: Oscillation - Medium - short - term: Bullish [1] 2. Core Viewpoints of the Report - After the National Day holiday, the overall situation of domestic news was stable, and the issue of the U.S. government shutdown continued to ferment overseas, but the actual impact on peripheral stock indices was limited. The contribution of foreign capital to the A - share index rally was not high, so the subsequent international influence was limited. With the expectation of narrowing Sino - U.S. interest rate differentials, macro - level risks were basically cleared, and the stock index entered a stage where it was more likely to rise than fall. In the short term, the pre - holiday market was in a high - level consolidation state, and the main contradiction between bulls and bears was the improvement of long - term fundamentals versus high short - term valuations. The time point for breaking the deadlock in October might be around the Fourth Plenary Session on the 20th. The small - cap cyclical style (including the previously undervalued optional consumer industry) was expected to be the direction of post - holiday capital speculation, but the rotation speed within the sector was expected to be relatively fast. Technology stocks remained the medium - term main line, but the short - term cost - performance was not high. Attention should be paid to the CSI 300 and CSI 500 indices [3]. 3. Summary by Relevant Catalogs 3.1 Macro Stock Market Information - From October 1st to 8th, the cumulative cross - regional personnel flow in the whole society was expected to exceed 2.432 billion person - times, a record high, with an average daily flow of 304 million person - times, a year - on - year increase of 6.2%. The Fed's September meeting minutes showed that Fed officials were willing to cut interest rates further this year, but many officials were cautious due to inflation concerns. Most participants believed that further easing of policies might be appropriate for the rest of the year [5]. 3.2 Stock Index Disk Review - **Market Tracking**: On the last trading day before the holiday, the A - share market oscillated at a high level. Among the four major indices, the SSE 50 rose 0.53%, the CSI 300 rose 0.45%, the CSI 500 rose 0.84%, and the CSI 1000 rose 1.03%. In terms of sectors, aerospace and military industry (+3.45%) and basic metals (+3.04%) led the gains, while communication equipment (-1.71%) and insurance (-1.38%) lagged behind. More than 2,600 stocks rose, and 63 stocks hit the daily limit, with a relatively poor profit - making effect [5]. - **Technical Tracking**: There were high - level divergences on the daily line. The CSI 300 and CSI 500 were stronger than the SSE 50 and CSI 1000. In the short term, attention should be paid to the support and pressure between the "20 - day moving average + September 4th low - previous high". The weekly and monthly lines maintained an upward trend, and the medium - term bullish signal continued [5]. - **Fund Flow**: The pre - holiday trading volume of A - shares narrowed to about 2.1 trillion yuan. The willingness of funds to enter the market before the long holiday decreased, but it was still at a relatively high level in history [5]. 3.3 Core Logic Summary - After the holiday, the stock index was expected to continue the oscillation pattern with enlarged overall fluctuations. Trend traders were not recommended to chase high on the first trading day after the holiday. They could consider gradually increasing positions when the index pulled back to the 20 - day moving average or the low point in early September. If the long positions had achieved profits before the October meeting, they could take profits and exit in a timely manner [3]. 3.4 Operation Suggestions - **Futures Operation**: Considering that the stock index failed to break through effectively before the holiday, trend traders were not recommended to chase high on the first trading day after the holiday. They could consider gradually increasing positions when the index pulled back to the 20 - day moving average or the low point in early September [4]. - **Options Operation**: The implied volatility declined before the holiday. The average IV of the CSI 300 for the current month fluctuated around 18%, which was at a medium - high level in history. Considering the limited news fluctuations during the holiday, the volatility was expected to decline slightly after the holiday, and the overall operation cost - performance was limited. It was recommended to wait for the volatility to rise before intervening in double - selling [4].

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]

Core Insights - The main contract of the CSI 500 Index futures closed at 2509 with an increase of 1.15% as of July 22, with a trading volume of 49,000 contracts and a net short position of 5,983 contracts among the top 20 positions [1][3]. Trading Volume and Positions - Total trading volume for all contracts of the CSI 500 Index futures reached 92,600 contracts, an increase of 7,532 contracts from the previous day [1][4]. - Among the top 20 positions, long positions totaled 167,700 contracts, up by 2,882 contracts, while short positions totaled 181,100 contracts, an increase of 2,271 contracts [1][4]. Major Players - The top three long positions were held by CITIC Futures with a total of 33,635 contracts, Guotai Junan with 32,511 contracts, and Haitong Futures with 15,698 contracts [1][4]. - The top three short positions were also held by CITIC Futures with 40,737 contracts, Guotai Junan with 26,367 contracts, and Haitong Futures with 15,435 contracts [1][4]. Changes in Positions - The top three increases in long positions were from Guotai Junan (+1,039 contracts), Haitong Futures (+667 contracts), and Dongzheng Futures (+387 contracts) [1][3]. - The top three decreases in long positions were from CITIC Futures (-912 contracts), Guotai Junan (-242 contracts), and GF Futures (-191 contracts) [1][3]. - The top three increases in short positions were from Haitong Futures (+615 contracts), Guoxin Futures (+304 contracts), and招商期货 (+266 contracts) [1][3]. - The top three decreases in short positions were from CITIC Futures (-706 contracts), Zhongjin Wealth (-119 contracts), and Huatai Futures (-75 contracts) [1][3].

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].