| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Z0016628 | 叶倩宁 | 2025年9月15日 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | | 品种 | 最新值 | 较前一日变化 | 价去 | 66.30% | F期现价差 | 1.20 | -12.76 | 74.50% | | | | | | | | | H期视价差 | 0.06 | -7.06 | 53.60% | 57.30% | 朗现价差 | IC期现价差 | -9.64 | -7.75 | 85.20% | 72.40% | IM期现价差 | -30.08 | -18.00 | 70.00% | 48.50% | | 次月-当月 | -6.20 | 1.40 | 44.60% | 44.40% | 李月-当月 | - ...

Core Insights - The U.S. Consumer Price Index (CPI) for August increased by 2.9% year-over-year, matching expectations and up from a previous value of 2.7% [1] - The month-over-month CPI rose by 0.4%, exceeding the anticipated 0.3% and higher than the prior value of 0.2% [1] - The core CPI, which excludes food and energy, also saw a year-over-year increase of 3.1%, consistent with forecasts and unchanged from the previous value [1] - Month-over-month core CPI growth was 0.3%, aligning with expectations and the previous figure [1] Market Reactions - Following the CPI data release, short-term interest rate futures rose, indicating increased confidence among traders regarding potential interest rate cuts by the Federal Reserve [1] - Market pricing suggests that the Federal Reserve may implement at least two rate cuts by the end of 2025, with expectations of four consecutive 25 basis point cuts by January of next year [1] - The yield on the 10-year U.S. Treasury bond fell below 4% for the first time since April [1]

DLSM外汇据悉，隔夜指数互换（OIS）和联邦基金利率期货的最新交易情况显示，市场已将美联储9月 降息25个基点的可能性定价至100%。这意味着，在投资者眼中，这一决定几乎已成定局。纽约时间周 三下午，8月和10月的联邦基金利率期货交易异常活跃，SOFR期货2025年9月合约也出现大单成交，直 接推动与9月FOMC会议挂钩的OIS利率跌至4.08%附近。相比周二收盘时的预期水平，市场对全年总降 息幅度的押注从59个基点增加到62个基点，这释放了一个信号——市场不仅确信9月会降息，而且部分 投资者已经提前布局更多的宽松可能性。 从投资策略角度看，短期利率产品、债券市场以及利率敏感型股票板块，可能会最直接受益于降息预期 的升温。尤其是在9月会议前，交易员或许会利用利率期货和OIS合约进行更多对冲与投机操作，以锁 定潜在的价格波动空间。不过，过度依赖降息作为行情驱动因素也存在风险——如果经济数据意外强劲 或通胀反弹，美联储收紧信号的出现可能迅速逆转当前的市场情绪。 市场目前几乎"笃定"美联储9月降息，但这种一致预期本身就可能成为未来波动的催化剂。接下来，投 资者需要密切关注的是美联储官员的讲话措辞、核心通胀走势以及 ...

Core Viewpoint - Wall Street is experiencing unprecedented turmoil driven by unexpected economic data and political maneuvers, particularly from the Trump administration, which is influencing market expectations for a potential interest rate cut by the Federal Reserve in September [3][7]. Economic Data Impact - The July non-farm payroll report showed a surprising drop, with only 73,000 jobs added, significantly below the market expectation of 104,000, triggering a global market reaction [3]. - Following the report, the Dow Jones Industrial Average fell by 1.23%, the Nasdaq Composite dropped by 2.24%, Brent crude oil prices plummeted by 3%, and the dollar index experienced a flash crash of 1.3% before closing down by 0.83% [3]. Political Reactions - President Trump reacted strongly to the disappointing employment data, accusing the Bureau of Labor Statistics of data manipulation and subsequently firing its director, which sparked widespread criticism from both Democrats and some conservatives [3][4]. - The political intervention raised concerns about the integrity of economic data, with professional organizations warning that it could undermine public trust [3]. Federal Reserve Dynamics - The resignation of Federal Reserve Governor, nominated by President Biden, has shifted the balance of power within the Fed, potentially favoring a dovish stance as Trump seeks to appoint allies to fill the vacancy [4]. - The current composition of the Federal Reserve Board may lead to a solidified dovish voting bloc, increasing the likelihood of a rate cut [4]. Market Expectations - Following the weak employment data, the probability of a rate cut in September surged to 90% in the futures market, indicating strong market sentiment towards easing monetary policy [7]. - Investors are closely monitoring upcoming economic reports, including the August non-farm payroll and inflation data, which will influence the Fed's decision-making process [9]. Investor Sentiment - A recent Wall Street Journal poll indicated that 79% of investors believe that the Federal Reserve's independence is being compromised by political factors, reflecting growing concerns about the influence of the Trump administration on monetary policy [9].

Group 1 - The core viewpoint of the articles highlights the resilience of the U.S. labor market, with June non-farm payrolls exceeding expectations for the fourth consecutive month, leading to a decrease in the unemployment rate [2] - The U.S. added 147,000 non-farm jobs in June, surpassing the expected 106,000, with upward revisions of 16,000 jobs for April and May combined [2] - The unemployment rate fell to 4.1%, better than the expected 4.3% and previous value of 4.2%, indicating a slight downward trend in the unemployment rate over the first half of the year [2] Group 2 - The market anticipates that the Federal Reserve will likely cut interest rates by at least 25 basis points in the September meeting, while maintaining the current rates in July [2] - Treasury Secretary Mnuchin has questioned the Federal Reserve's judgment on interest rates, suggesting that the current overnight rates are too high based on the two-year Treasury yield [3] - The Federal Reserve's target range for the federal funds rate is currently between 4.25% and 4.5%, while the two-year Treasury yield stands at approximately 3.76% [3] Group 3 - Trump has called for an investigation into Fed Chair Powell, accusing him of significant violations related to the Fed's headquarters renovation project and suggesting that he should resign [4][5] - Powell has indicated that while there are many potential paths for monetary policy, the current economic data does not necessitate an immediate rate cut, emphasizing the strength of the economy [5] - The ongoing trade war and technological advancements are influencing the U.S. economy, with increased labor productivity potentially leading to low inflation and high growth [6]

Core Viewpoint - Futures traders expect the Federal Reserve to cut interest rates twice this year, in September and December [1] Group 1 - The anticipated rate cuts are seen as a response to economic conditions [1] - Market expectations are influencing trading strategies and investment decisions [1]

Group 1 - The core CPI data released by the U.S. Bureau of Labor Statistics significantly impacts the foreign exchange market, causing dramatic fluctuations in the dollar index [1][3] - In June 2023, the core CPI increased by 4.8% year-on-year, exceeding expectations, which led to a 1.2% rise in the dollar index within 90 seconds [1][3] - The market quickly recalibrates interest rate expectations using the "Taylor Rule," where a 0.1% increase in core CPI raises the implied probability of rate hikes by an average of 8 percentage points [3] Group 2 - Algorithmic trading systems rapidly reassess the positions of Federal Reserve officials based on CPI data, leading to significant market movements, such as a 15 basis point rise in two-year Treasury yields within 20 minutes following a CPI release [3] - The "interest rate differential arbitrage unwinding spiral" is triggered by CPI data, which strengthens rate hike expectations and increases the actual yield on dollar assets, prompting institutional investors to shift from negative-yielding eurozone bonds [3][4] - On the day of CPI announcements, there is a positive correlation of 0.7 between the deviation of the data and the inflow of funds into dollar money market funds [3] Group 3 - High-frequency trading algorithms initiate preset strategies immediately after CPI data is released, resulting in a trading volume for dollar futures that is 18 times the daily average within the first 50 milliseconds [4] - The liquidity supply from market makers shows significant asymmetry, with the bid-ask spread for euro-dollar widening 2.3 times more when data exceeds expectations compared to when it falls short [4] Group 4 - Doo Financial recommends investors to develop a three-dimensional analytical framework that includes inflation expectation disaggregation, interest rate sensitivity testing, and volatility transmission monitoring [5] - Historical data indicates that adjusting dollar exposure to a delta-neutral position 20 minutes before CPI announcements can reduce net value drawdowns by 42% during extreme volatility [5] - The macro event analysis model has identified a 73% certainty in the mid-term trend of the dollar index when core goods inflation diverges from housing inflation, validated across six CPI events from 2022 to June 2023 [5]

最新利率期货显示，交易员已下调年内降息预期，从四次调整为三次、每次25个基点。这反映出市场正 在重新评估美联储政策独立性，尽管面临总统压力，但美联储仍可能保持既定节奏。目前联邦基金利率 维持在4.25%-4.50%区间，鲍威尔团队在特朗普重返白宫后的两次议息会议上均选择按兵不动。 利率期货显示，美联储5月份降息的概率低于5%，而特朗普讲话后，市场对美联储6月份的降息概率由 前一天的78%下降至67%。 分析师指出，真正决定美元走势的仍是美联储的利率政策。若鲍威尔顶住压力，美元或维持相对强势反 弹走势；若降息提前到来，美元可能延续下行周期。投资者需密切关注美联储5月议息会议措辞变化及 后续经济数据。 在昨日大涨后，今天（4月23日）黄金期货迎来大跌，目前最新沪金主力暂报787.28元/克，跌幅 4.18%，今日开盘价为820.58元/克，截至目前最高上探828.74元/克，最低触及785.02元/克。 打开APP，查看更多高清行情>> 【宏观消息】 美联储理事库格勒（Adriana Kugler）周二表示，由于美国进口关税明显大于预期，并可能对物价造成 上行压力，美联储应维持短期借贷成本不变，直至通胀风险消退。 ...