Report on Stock Index Futures Price Difference Core Information - On October 27, 2025, the report presented data on stock index futures price differences, including price differences between futures and spot, across different periods, and among different varieties [1]. - For price differences between futures and spot, the IF was -0.34, the IH was 2.78, the IC was -98.73, and the IM was -121.24 [1]. - Regarding cross - period price differences, there were various values for different combinations such as “next month - current month”, “far month - current month” etc. For example, the “next month - current month” of F was -13.60 [1]. - In terms of cross - variety ratios, IC/IF was 1.5448, IC/IH was 2.3486, etc. [1]. Report on Bond Futures Basis and Price Difference Core Information - On October 24, 2025, the report provided data on bond futures basis, cross - period price differences, and cross - variety price differences [2]. - For basis, the TS was 1.2902, the TF was 1.5400, the T was 1.6139, and the TL was 1.7674 [2]. - Regarding cross - period price differences, different combinations like “current quarter - next quarter” had specific values. For example, the “current quarter - next quarter” of TS was 0.0780 [2]. - In terms of cross - variety price differences, TS - TF was -3.2830, TS - T was -5.6730, etc. [2]. Report on Precious Metals Futures and Spot Core Information - On October 24, 2025, the report included data on domestic and foreign futures closing prices, spot prices, basis, price ratios, interest rates, exchange rates, inventory, and positions of precious metals [3]. - Domestic futures closing prices: the AU2512 contract was 938.10, and the AG2512 contract was 11332 [3]. - Foreign futures closing prices: the COMEX gold主力合约 was 4126.90, and the COMEX silver主力合约 was 48.41 [3]. - Spot prices: London gold was 4111.56, and London silver was 48.62 [3]. - Basis: “gold TD - Shanghai gold主力” was -2.77, “silver TD - Shanghai silver主力” was -15, etc. [3]. - Price ratios: COMEX gold/silver was 85.25, and Shanghai Futures Exchange gold/silver was 82.78 [3]. Report on Container Shipping Industry Futures and Spot Core Information - On October 27, 2025, the report covered spot quotes, container shipping indices, futures prices, basis, and fundamental data of the container shipping industry [4]. - Spot quotes: MAERSK Maersk was 2364 dollars/FEU, CMA CGM was 3425 dollars/FEU, etc. [4]. - Container shipping indices: SCFIS (European route) was 1140.38 points, SCFIS (US West route) was 863.46 points, etc. [4]. - Futures prices: EC2602 was 1601.0, EC2604 was 1179.6, etc. [4]. - Fundamental data: global container shipping capacity supply was 3327.99 million TEU, port on - time rate in Shanghai was 42.77%, etc. [4].

Group 1 - The core viewpoint of the article emphasizes the tracking of dividend progress and yield across major stock indices, highlighting the lack of dividend announcements from many companies within these indices as of October 22, 2025 [1][3][5] - The article provides a detailed comparison of dividend yields across different industries, with coal, banking, and steel sectors ranking the highest [5][9] - The realized and remaining dividend yields for major indices are reported, with the Shanghai 50 Index showing a realized yield of 2.26% and a remaining yield of 0.29%, while the CSI 1000 Index shows a realized yield of 0.91% and a remaining yield of 0.03% [9][18] Group 2 - The article tracks the premium and discount of stock index futures, noting that as of October 22, 2025, the IH main contract has an annualized premium of 0.55%, while the IF, IC, and IM contracts show annualized discounts of 2.85%, 10.08%, and 12.15% respectively [1][4][12] - It discusses the importance of considering dividend impacts when calculating the premium and discount of stock index futures, as dividends can lead to a natural decline in index points [2][24] - The article outlines a systematic approach to estimating dividend points for stock indices, emphasizing the need for accurate data on constituent stock weights and dividend amounts [26][29][30] Group 3 - The article includes a detailed analysis of the dividend progress for various indices, indicating that no companies within the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices have announced dividends as of the specified date [1][3][18] - It presents a visual representation of the dividend yield trends and remaining yields for the indices since 2025, illustrating the overall dividend landscape [8][9] - The article also highlights the historical context of premium and discount levels for stock index futures, providing insights into market sentiment and investor behavior [10][13][40]

- The report introduces the **Cinda-VIX volatility index**, which reflects investors' expectations of future volatility in the options market. The index is based on methodologies from international practices and adjusted for the characteristics of China's options market. It includes a term structure to capture volatility expectations across different time horizons. As of October 17, 2025, the 30-day Cinda-VIX values for major indices are: 22.97 for SSE 50, 24.07 for CSI 300, 35.47 for CSI 500, and 30.70 for CSI 1000[61][62][63] - The report also discusses the **Cinda-SKEW index**, which measures the skewness of implied volatility across different strike prices of options. This index helps investors understand market expectations regarding the distribution of future returns and potential tail risks. Higher SKEW values indicate increased concerns about significant market downturns. As of October 17, 2025, the SKEW values for major indices are: 103.13 for SSE 50, 102.83 for CSI 300, 99.44 for CSI 500, and 99.76 for CSI 1000[68][72][74] - The report evaluates **four futures hedging strategies** based on CSI 500, CSI 300, SSE 50, and CSI 1000 indices. These strategies include "continuous monthly hedging," "continuous quarterly hedging," and "minimum discount hedging." The strategies are tested over the period from July 22, 2022, to October 17, 2025. Key metrics such as annualized return, volatility, maximum drawdown, net value, annual turnover, and year-to-date returns are analyzed for each strategy. For example, the minimum discount strategy for CSI 500 futures achieved an annualized return of -1.54%, a volatility of 4.60%, and a maximum drawdown of -7.97%[44][47][46] - The **annualized basis adjustment model** is introduced to account for the impact of dividend expectations on futures basis. The formula used is: $ Annualized\ Basis = (Actual\ Basis + (Expected\ Dividend\ Points))/Index\ Price \times 360/Days\ to\ Maturity $ This adjustment ensures that the basis reflects the dividend impact during the contract's lifetime[19][20][21] - The report provides **dividend point forecasts** for the next year for major indices: CSI 500 (81.96), CSI 300 (83.80), SSE 50 (68.34), and CSI 1000 (62.81). Additionally, the dividend points for specific contracts are estimated, such as 2.16 for IC2511, 3.95 for IF2511, 4.91 for IH2511, and 1.19 for IM2511[9][11][15][17] - The **performance of the hedging strategies** for each index is detailed. For example, the minimum discount strategy for CSI 300 futures achieved an annualized return of 1.23%, a volatility of 3.07%, and a maximum drawdown of -4.06%. For SSE 50 futures, the minimum discount strategy achieved an annualized return of 1.73%, a volatility of 3.05%, and a maximum drawdown of -3.91%. For CSI 1000 futures, the minimum discount strategy achieved an annualized return of -4.17%, a volatility of 5.55%, and a maximum drawdown of -11.11%[52][56][58]

Core Insights - Stock index futures are a "double-edged sword" that can provide efficient risk management and profit opportunities but can also amplify losses due to leverage and complexity [1] Group 1: Contract Expiration Effect - Understanding the "contract expiration effect" is crucial for trading stock index futures to avoid non-systematic risks caused by time factors [2] - The expiration date is set for the third Friday of the current month, the next month, and the following two quarters, leading to increased price volatility as positions converge to the spot index [2] - Strategies to mitigate risks include "early roll-over" to more liquid contracts, "avoiding delivery months," and being aware of position limits set by exchanges [2] Group 2: Leverage and Position Management - Establishing a "dynamic balance of leverage and position" is essential for risk control in stock index futures trading [3] - Lower margin ratios lead to higher leverage, which can result in significant gains or losses from minor price fluctuations [3] - Investors should keep leverage below 3 times their capital and adjust positions based on profit and loss thresholds to avoid liquidation risks [3] Group 3: Basis Analysis - Learning "basis analysis" is key to improving the success rate in trading stock index futures [5] - The basis reflects market expectations for future index movements, with positive basis indicating expected declines and negative basis indicating expected increases [5] - Significant deviations in basis can present arbitrage opportunities, and changes in basis direction can signal market trends [5] Group 4: Stop-Loss and Emergency Plans - Implementing "stop-loss and take-profit strategies" is vital for protecting accounts during extreme market conditions [6] - Stop-loss levels should not exceed 5% of the margin, and trailing stop-loss strategies can help secure profits [6] - Emergency plans should include automatic reduction of positions during significant market movements to minimize losses [7] Group 5: Overall Trading Philosophy - The essence of trading stock index futures lies in "respecting leverage, managing basis, controlling positions, and adhering to discipline" [7] - This trading arena is not suitable for all investors and requires professional knowledge, risk tolerance, and discipline [7] - Long-term profitability hinges on effective risk management rather than merely defeating the market [7]

General Naming Logic - Stock index futures contracts are typically named based on the underlying index, expiration date, and contract type, with slight variations across different markets [4] - The name or code usually consists of the following components: 1. Underlying index identifier: Specifies the stock index tracked by the contract (e.g., CSI 300, S&P 500, Nikkei 225) 2. Expiration date identifier: Indicates the month and year of expiration 3. Contract type (optional): Some markets differentiate between main contracts and continuous contracts, though this is not usually reflected in official naming [4] Specific Market Cases Mainland China (CFFEX) - The China Financial Futures Exchange (CFFEX) has a typical naming rule structured as "index code + last two digits of the expiration year + expiration month," with specific letter codes to distinguish different indices [5] - Current index codes include: - IF: CSI 300 index futures - IC: CSI 500 index futures - IM: CSI 1000 index futures - For example, IF2406 indicates CSI 300 index futures expiring in June 2024 [6] Contract Month Rules - CFFEX stock index futures contracts are available for the current month, the next month, and the following two quarterly months (March, June, September, December) [7] U.S. Market (CME Group) - U.S. stock index futures, primarily traded on the Chicago Mercantile Exchange (CME), follow a naming convention that emphasizes "index abbreviation + contract type + expiration month code," with month codes represented by letters [8] - For example, E-mini S&P 500 futures are coded as ES, followed by the expiration month code and the last two digits of the year [9] Month Code Rules - CME uses a letter-to-month correspondence system, where: - F = January - G = February - H = March - J = April - K = May - M = June - N = July - Q = August - U = September - V = October - X = November - Z = December [10] Japanese Market (Osaka Exchange) - Japanese stock index futures, primarily based on the Nikkei 225 index, have a naming convention similar to that of the U.S., but the month codes may be simplified [11] - For instance, NKD2412 indicates Nikkei 225 futures expiring in December 2024 [11] Summary - The article provides a comprehensive overview of the naming conventions for stock index futures contracts across different markets, highlighting the common elements and specific rules applicable to each market [12]

Group 1: US Dollar and Federal Reserve - The US dollar has been supported by safe-haven demand due to potential conflicts in the Middle East and the possibility of US involvement [1] - Federal Reserve Chairman Jerome Powell's cautious stance on inflation has reinforced the dollar's performance [1] - Goldman Sachs strategists expect the Fed to lower interest rates twice this year despite raising short-term inflation expectations [1] Group 2: UK Pound and Bank of England - The Bank of England maintained the benchmark interest rate at 4.25%, aligning with market expectations, with a 6-3 voting outcome [4] - The sentiment shifted from "the central bank will fight inflation" to "the rate cut window is opening" following the decision [5] - Market participants are closely monitoring labor market data and energy prices for future policy direction [6] Group 3: Japanese Yen and Government Bonds - The USD/JPY exchange rate showed an upward trend amid ongoing geopolitical concerns, with the dollar outperforming the yen [7] - Japan plans to reduce its government bond issuance by 500 billion yen for the fiscal year 2025/2026, adjusting the issuance of various bond maturities [7] Group 4: Swiss Franc and Swiss National Bank - The Swiss National Bank lowered interest rates by 25 basis points to 0%, marking the sixth rate cut since March 2024 [8] - The accompanying downward adjustment of inflation expectations and cautious outlook on the global economy significantly impacted the currency market [8]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to minimize the impact of basis fluctuations through continuous adjustments [40] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [41] - **Spot Side**: Hold the total return index of the corresponding underlying index [41] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [41] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining maturity is less than 2 days, then roll over to the next contract at the closing price [41] - **Model Evaluation**: This strategy provides a systematic approach to mitigate basis risks but does not account for transaction costs or the indivisibility of futures contracts [41] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance [42] - **Model Construction Process**: - **Backtesting Period**: July 22, 2022, to March 14, 2025 [42] - **Spot Side**: Hold the total return index of the corresponding underlying index [42] - **Futures Side**: Allocate 70% of funds to the spot side and use the remaining 30% to short futures contracts of the same nominal principal [42] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts and select the one with the smallest discount. Contracts are held for 8 trading days or until the remaining maturity is less than 2 days [42] - **Model Evaluation**: This strategy dynamically adjusts positions based on basis levels, potentially improving hedging efficiency [42] --- Model Backtesting Results 1. Continuous Hedging Strategy (IC Futures) - **Annualized Return**: -2.01% (monthly), -1.82% (quarterly) - **Volatility**: 4.02% (monthly), 4.94% (quarterly) - **Maximum Drawdown**: -7.51% (monthly), -8.34% (quarterly) - **Net Value**: 0.9480 (monthly), 0.9529 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.65% (monthly), -0.11% (quarterly) [44] 2. Minimum Basis Strategy (IC Futures) - **Annualized Return**: -0.93% - **Volatility**: 4.84% - **Maximum Drawdown**: -7.97% - **Net Value**: 0.9759 - **Annual Turnover**: 18.68 - **2025 YTD Return**: -0.29% [44] 3. Continuous Hedging Strategy (IF Futures) - **Annualized Return**: 0.89% (monthly), 0.76% (quarterly) - **Volatility**: 2.87% (monthly), 3.24% (quarterly) - **Maximum Drawdown**: -3.95% (monthly), -4.03% (quarterly) - **Net Value**: 1.0236 (monthly), 1.0202 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.02% (monthly), 0.03% (quarterly) [49] 4. Minimum Basis Strategy (IF Futures) - **Annualized Return**: 1.31% - **Volatility**: 3.03% - **Maximum Drawdown**: -4.06% - **Net Value**: 1.0348 - **Annual Turnover**: 16.01 - **2025 YTD Return**: 0.12% [49] 5. Continuous Hedging Strategy (IH Futures) - **Annualized Return**: 1.27% (monthly), 1.97% (quarterly) - **Volatility**: 3.11% (monthly), 3.50% (quarterly) - **Maximum Drawdown**: -4.22% (monthly), -3.75% (quarterly) - **Net Value**: 1.0337 (monthly), 1.0525 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: 0.29% (monthly), 0.31% (quarterly) [54] 6. Minimum Basis Strategy (IH Futures) - **Annualized Return**: 1.68% - **Volatility**: 3.06% - **Maximum Drawdown**: -3.91% - **Net Value**: 1.0446 - **Annual Turnover**: 16.78 - **2025 YTD Return**: 0.34% [54] 7. Continuous Hedging Strategy (IM Futures) - **Annualized Return**: -4.87% (monthly), -4.02% (quarterly) - **Volatility**: 4.26% (monthly), 5.30% (quarterly) - **Maximum Drawdown**: -13.84% (monthly), -12.63% (quarterly) - **Net Value**: 0.8773 (monthly), 0.8981 (quarterly) - **Annual Turnover**: 12 (monthly), 4 (quarterly) - **2025 YTD Return**: -0.98% (monthly), -0.19% (quarterly) [57] 8. Minimum Basis Strategy (IM Futures) - **Annualized Return**: -3.49% - **Volatility**: 5.17% - **Maximum Drawdown**: -11.11% - **Net Value**: 0.9109 - **Annual Turnover**: 17.16 - **2025 YTD Return**: -0.16% [57] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture different time horizons [60] - **Factor Construction Process**: Developed based on overseas methodologies and adjusted for China's market conditions. It calculates implied volatility from options prices [60] - **Factor Evaluation**: Provides insights into market sentiment and volatility expectations [60] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events [66] - **Factor Construction Process**: Derived from the relative differences in implied volatility between out-of-the-money and at-the-money options [66] - **Factor Evaluation**: Known as the "Black Swan Index," it indicates market concerns about tail risks [67] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 21.35 - CSI 300: 19.86 - CSI 500: 26.42 - CSI 1000: 26.01 [60] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.72 - CSI 300: 99.44 - CSI 500: 98.05 - CSI 1000: 102.75 [67]