- The report discusses the overall performance of the four major stock index futures, with the CSI 500 futures showing the largest increase of 3.83% and the SSE 50 futures showing the smallest increase of 1.00%[3] - The average trading volume of the four major index futures contracts decreased compared to the previous week, with the IH futures showing the largest decrease of -24.59% and the IC futures showing the smallest decrease of -5.41%[3] - The basis levels for the IF, IC, IM, and IH contracts are provided, with the IF and IM discounts deepening, the IC discount narrowing, and the IH discount turning into a premium[3] - The cross-period spread rates for the IF, IC, IM, and IH contracts are given, with the IF, IC, IM, and IH contracts' cross-period spread rates being at the 45.80%, 49.70%, 60.20%, and 40.00% percentiles since 2019, respectively[3] - The report mentions that there are no opportunities for positive or negative arbitrage in the IF main contract based on the closing prices[4] - The dividend forecast indicates that the dividends for the main contracts of the four major index futures have minimal impact on the September main contracts' points[4] - The market sentiment has improved, with the IH basis turning from a discount to a premium and the total open interest of the four major index futures increasing, with the IC showing the most significant increase[4][13] - The report includes a detailed explanation of the calculation methods for index futures arbitrage, including the formulas for positive and negative arbitrage returns[46] - The dividend estimation method is explained, which involves predicting the dividend points based on historical dividend patterns and the current EPS and payout ratio[47][48]

Report Summary 1. Investment Rating No investment rating information is provided in the report. 2. Core View The report presents the daily arbitrage data of various futures varieties on September 17, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, aiming to provide data reference for investors [1][5][21][27][40][51]. 3. Summary by Category 3.1 Power Coal - **Base Difference**: On September 16, 2025, the base difference was - 113.4 yuan/ton, showing a narrowing trend compared with previous days [2]. - **Spread**: The spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month were all 0.0 [2]. 3.2 Energy Chemicals - **Energy Commodities**: The base differences of fuel oil, INE crude oil, and other energy commodities on different dates are presented, such as the base difference of INE crude oil being 16.04 yuan/ton on September 16, 2025 [7]. - **Chemical Commodities** - **Base Difference**: The base differences of rubber, methanol, PTA, etc. on different dates are provided, for example, the base difference of rubber was - 890 yuan/ton on September 16, 2025 [9]. - **Spread**: The spreads of 5 - 1 month, 9 - 1 month, and 9 - 5 month for various chemical products were mostly 0.0. The cross - variety spreads like LLDPE - PVC, LLDPE - PP, etc. on different dates are also given, e.g., the LLDPE - PVC spread was 2296 yuan/ton on September 16, 2025 [10]. 3.3 Black Metals - **Spread** - **Cross - Period**: The cross - period spreads of rebar, iron ore, etc. are shown, for example, the 5 - 1 month spread of rebar was 68.0 yuan/ton [20]. - **Cross - Variety**: The cross - variety spreads such as screw/ore, screw/coke on different dates are presented, e.g., the screw/ore ratio was 3.93 on September 16, 2025 [20]. - **Base Difference**: The base differences of rebar, iron ore, etc. on different dates are provided, like the base difference of rebar was 114.0 yuan/ton on September 16, 2025 [21]. 3.4 Non - Ferrous Metals - **Domestic Market**: The domestic base differences of copper, aluminum, etc. on different dates are given, for example, the base difference of copper was - 80 yuan/ton on September 16, 2025 [28]. - **London Market**: The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss of LME non - ferrous metals on September 16, 2025 are presented, such as the LME spread of copper being (59.26) [34]. 3.5 Agricultural Products - **Base Difference**: The base differences of soybeans, soybean meal, etc. on different dates are provided, for example, the base difference of soybeans was 136 yuan/ton on September 16, 2025 [40]. - **Spread** - **Cross - Period**: The cross - period spreads of various agricultural products are shown, e.g., the 5 - 1 month spread of soybeans was 47 [40]. - **Cross - Variety**: The cross - variety spreads such as soybean/corn, soybean oil/soybean meal on different dates are presented, like the soybean/corn ratio was 1.81 on September 16, 2025 [40]. 3.6 Stock Index Futures - **Base Difference**: On September 16, 2025, the base differences of CSI 300, SSE 50, etc. were 6.54, - 2.78, etc. respectively [52]. - **Spread**: The cross - period spreads of CSI 300, SSE 50, etc. are given, for example, the next - month - current - month spread of CSI 300 was - 10.0 [52].

期货研究院 股指期货日度策略报告 Stock Index Futures Strategy Daily Report 金融衍生品研究中心 | 作者： | 李彦森 | | --- | --- | | 从业资格证号： | F3050205 | | 投资咨询证号： | Z0013871 | | 联系方式： | 010-68518392 | 投资咨询业务资格：京证监许可【2012】75号 成文时间：2025年05月13日星期二 更多精彩内容请关注方正中期官方微信 摘要 【行情复盘】 周一股指上行步伐有所加快，沪指收涨0.82%。期指主力合约也全 面走升。成交持仓方面，四个品种成交持仓均上升，市场情绪有所 好转。 【重要资讯】 行业来看，31个一级行业大多数上涨，行业涨跌差异上升，结合行 业在指数中所占权重看，非银金融对300和50带动最强，电力设备 带动300，国防军工、电子带动500和1000，医药生物是四大指数 主要拖累。资金方面，主要指数资金全面流入。消息面上看，央行 今日公开市场操作净投放流动性430亿元，短端资金成本小幅下降 。消息显示，中美关税谈判取得突破性进展，双方联合声明确认将 4月2日后增量关税降至 ...