期 2025 年 10 月 10 日 股指对冲周报 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 李宏磊 | 投资咨询从业资格号：Z0018445 | lihonglei@gtht.com | （正文） 1. 股指期货基差情况 表 1：股指期货基差 | | | IF | | | | --- | --- | --- | --- | --- | | 合约代码 | 上周基差 | 本周基差 | 基差变动 | 指增年化收益 | | IF2510 | -6.29 | -3.03 | 3.26 | 4.3% | | IF2511 | -17.69 | -16.43 | 1.26 | 4.5% | | IF2512 | -22.69 | -24.63 | -1.94 | 4.2% | | IF2603 | -45.49 | -45.03 | 0.46 | 3.7% | | | | IH | | | | 合约代码 | 上周基差 | 本周基差 | 基差变动 | 指增年化收益 | | IH2510 | -0.34 | 1.15 | 1.49 | ...

广发期货研究所 股指期货持仓日度跟踪 投资咨询业务资格： 股指期货持仓日度变动简评 9,505.0 3,375.0 12,048.0 -1,361.0 14,919.0 4,378.0 21,599.0 1,437.0 -5,000 0 5,000 10,000 15,000 20,000 25,000 IF IH IC IM 主力合约持仓变动 总持仓变动 数据来源：Wind 广发期货研究所整理 2025 年 10 月 10 日星期五 电 话：020-88818051 E-Mail：yeqianning@gf.com.cn 目录： 股指期货： IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2509 | 总持仓大幅上升 | 国君多头增仓超 3000 手 | | 上证 | 50 | IH2509 | 总持仓明显上升 | 前二十席位多数增仓 | | 中证 | 500 | IC2509 | 总持仓大幅上升 | 国君多空头各增仓近 4000 手 | | 中证 | 1000 | ...

投资策略："水牛"行情延续，成长占优 主要逻辑 "水牛"行情延续，成长占优 【长江期货| 研究咨询部】 长江期货股份有限公司交易咨询业务资格：鄂证监期货字[2014]1号 2025/10/09 研究员：彭 博 执业编号：F 投资咨询号：Z0021839 行情回顾：三季度A股市场呈现冲高震荡格局：上证指数 - 月延续涨势并刷新近十年高点后， 月转入高位盘整，围绕 点区间波动。本轮 横盘调整主要受双重因素影响：其一，前期快速上行积累的回调压力显现，在宏观经济尚未出现实质性拐点的背景下，市场存在自发修正需求；其 二，官媒针对局部估值泡沫风险发声提示，叠加投资者对后续政策节奏的观望情绪升温，导致部分资金风险偏好边际回落。整体看，成长板块的结 构性强势与传统板块的有序调整形成动态平衡，共同维系了市场在高位的运行韧性。 后市展望：展望四季度，行情上行的核心支撑逻辑未改，若无超预期利空扰动，市场在完成阶段性调整后仍具备向上拓展空间。从驱动因素看， 两大核心动能持续发力：其一，流动性宽松环境有望延续，国内低利率背景下居民与企业端的资产配置需求旺盛，叠加海外美联储开启降息周期带 来的外资回流预期，全球资金正加速向权益资产倾斜； ...

| 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 上涨 | 震荡偏强 | 宽幅震荡 | 短期资金止盈意愿 VS 中长期政策 利好预期发酵 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 投资咨询业务资格：证监许可【2011】1778 号 宝城期货股指期货早报（2025 年 10 月 9 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 品种：IF、IH、IC、IM 日内观点：震荡偏强 中期观点：上涨 参考观点：宽幅震荡 核心逻辑：9 月 30 日，各股指均震荡上涨。沪深京三市全天成交额 21972 亿元，较上日放量 191 亿 元。9 月制造业 PMI ...

数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：IF:沪深300 IH:上证50 IC:中证500 IM：中证1000 IO:沪深300期权 研究员: 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 微信号：yanjiufuwu 电话：0595-86778969 免责声明：本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完整性不做任何保 证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否符合其特定状况。本报告版权仅为我公 司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。如引用、刊发，需注明出处为瑞达期货股份有限公司研究院， 且不得对本报告进行有悖原意的引用、删节和修改。 股指期货全景日报 2025/9/29 | 项目类别 | 数据指标 IF主力合约（2512） | 最新 4604.6 | 环比 数据指标 +69.4↑ IF次主力合约（2510） | 最新 4623.6 | 环比 +67.8↑ | | --- | --- | --- | --- | --- | ...

3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 投资咨询业务资格：证监许可【2011】1778 号 宝城期货股指期货早报（2025 年 9 月 26 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 上涨 | 震荡偏弱 | 宽幅震荡 | 短期资金止盈意愿 VS 中长期政策 利好预期发酵 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 品种：IF、IH、IC、IM 日内观点：震荡偏弱 中期观点：上涨 参考观点：宽幅震荡 核心逻辑：昨日各股指均震荡整理。沪深京三市全天成交额 23918 亿元，较上日放量 446 亿元。目 前股市的主要交易逻辑主要看资金止盈 ...

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The short - term view of the stock index futures is wide - range oscillation, the medium - term view is upward, and the intraday view is weakly oscillating. The core logic lies in the game between the short - term profit - taking intention of funds and the long - and medium - term fermentation of policy - favorable expectations [1][5]. 3. Summary According to the Catalog 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillation, the medium - term view is upward, the intraday view is weakly oscillating, and the reference view is wide - range oscillation. The core logic is the game between short - term profit - taking intention of funds and long - and medium - term fermentation of policy - favorable expectations [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is weakly oscillating, the medium - term view is upward, and the reference view is wide - range oscillation. Yesterday, all stock indices rose comprehensively, with IC and IM leading the gains. The total turnover of the Shanghai, Shenzhen, and Beijing stock markets was 2347.1 billion yuan, a decrease of 171.3 billion yuan from the previous day. The rebound was accompanied by a reduction in stock market trading volume and a decrease in the open interest of stock index futures, indicating that investors still have differences in their views on the future market. The main trading logic of the stock market comes from policy expectations and capital flows. The game between the profit - taking rhythm of funds and the fermentation of policy expectations needs to be focused on. On one hand, as the valuation has risen significantly, especially when the index rebounds to near the previous high, the demand for profit - taking of profitable funds increases. On the other hand, the policy - favorable expectations and the long - term net inflow trend of the capital side constitute the long - and medium - term driving force for the upward movement of the stock index. The fermentation of policy - favorable expectations depends on the convening of the important meeting in October. The fact that the margin trading balance has exceeded 2.4 trillion yuan and the significant year - on - year increase in new non - bank deposits in July and August indicate the signs of residents' wealth allocation to the equity market. In general, due to the index approaching the previous high and the approaching long holiday, the stock index is expected to be mainly in wide - range oscillation in the short term [5].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints of the Report - The short - term view of the stock index is wide - range oscillation, the medium - term view is upward, and the intraday view is weakly oscillating. The core logic lies in the game between the short - term profit - taking intention of funds and the long - and medium - term fermentation of policy - favorable expectations [1][5] Group 3: Summary According to Related Contents 1. Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2512, the short - term view is oscillation, the medium - term view is upward, the intraday view is weakly oscillating, and the reference view is wide - range oscillation. The core logic is the game between short - term funds' profit - taking intention and the fermentation of long - and medium - term policy - favorable expectations [1] 2. Main Variety Price Quotation Driving Logic - Financial Futures Stock Index Sector - The varieties include IF, IH, IC, IM. The intraday view is weakly oscillating, the medium - term view is upward, and the reference view is wide - range oscillation. The core logic is that yesterday, each stock index oscillated widely and recovered after reaching the bottom. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 251.86 billion yuan, an increase of 37.6 billion yuan from the previous day. There is a certain divergence in market sentiment, focusing on the game between the profit - taking rhythm of funds and the fermentation of policy expectations. On one hand, there is still a demand for profit - taking of profitable funds; on the other hand, policy - favorable expectations and the net inflow trend of funds constitute the long - and medium - term driving force for the upward movement of the stock index. The fermentation of policy - favorable expectations depends on the October key meeting, and the increase in incremental funds can be seen from the fact that the margin trading balance has exceeded 2.4 trillion yuan and the year - on - year significant increase in new non - bank deposits in July and August. In general, the stock index is expected to oscillate widely in the short term [5]

1. Report Industry Investment Rating - No relevant content found 2. Core Viewpoints of the Report - The mid - term repair trend of the stock market has not reversed, and the short - term adjustment is mainly due to the steep upward slope and external regulation. The stock market does not have much room for a significant decline. After the shock last week, the weighted indices such as the Shanghai Composite Index have started to show a high - level shock pattern, and the slow - bull feature of A - shares is clear [1][2] - In the short term, the news of the Sino - US presidential call after the market on Friday and the new positive real - estate policy in Shanghai may still boost market sentiment. During the upcoming National Day holiday, trading is expected to turn light. Without black swan events, the index is expected to continue the range - bound pattern. In October, new variables such as policies and Sino - US geopolitics should be monitored [2] - Factors to watch include domestic policy trends and Sino - US geopolitical news [3] 3. Summary According to the Directory 3.1 Spot Market Review - Last week, global stock indices showed mixed performance. Among them, the Brazilian BOVESPA index rose 2.53%, the Nasdaq rose 2.21%, while the CSI 300 Financial index fell 4.06%, and the Shanghai Composite Index fell 1.30% [8][10] - Since 2025, major domestic indices have generally risen. The ChiNext Index has risen 44.3%, the SME Board Index has risen 25.9%, and the Shenzhen Component Index has risen 25.5% [8] 3.2 Stock Index Futures Market Review - Last week, among the stock index futures main contracts, the IM2509 contract had the largest increase and the largest amplitude. The trading volume of stock index futures first rose and then fell, and the open interest declined [12][15][18] - The cross - variety ratio and basis of stock index futures main contracts also showed certain trends [20] 3.3 Index Valuation Tracking - As of September 19, the TTM price - to - earnings ratios of major domestic indices were as follows: the Shanghai Composite Index was 16.35 times, the CSI 300 Index was 13.95 times, the SSE 50 Index was 11.53 times, the CSI 500 Index was 34.29 times, and the CSI 1000 Index was 47.38 times [21][22] 3.4 Market Fund Flow Review - The share of newly established equity - biased funds and the margin trading balance in the two markets showed certain trends. The capital interest rate price rebounded last week, and the central bank had a net investment [24] 4. Strategy Recommendations - Short - term strategy: The intraday trading frequency can refer to the 1 - minute and 5 - minute K - line charts. The stop - loss and take - profit levels of IF, IH, IC, and IM can be set with reference to 76 points/95 points, 58 points/31 points, 66 points/121 points, and 84 points/142 points respectively [4] - Trend strategy: Buy on dips. It is expected that the core operating range of the IF2510 main contract of IF is between 4352 and 4577 points; the IH2510 main contract of IH is between 2840 and 2971 points; the IC2510 main contract of IC is between 6892 and 7354 points; the IM2510 main contract of IM is between 7087 and 7564 points [4] - Cross - variety strategy: Participate in the short - term strategy of shorting IF (or IH) and going long on IC (or IM) [5]

1. Report Industry Investment Rating - No information provided 2. Core View of the Report - The short - term view of the stock index is wide - range oscillation, the medium - term view is upward, and the intraday view is weakly oscillating. The core logic is the game between short - term capital profit - taking willingness and long - term policy benefit expectation fermentation [1][5] 3. Summary by Relevant Catalogs 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2512, the short - term trend is oscillation, the medium - term trend is upward, the intraday trend is weakly oscillating, and the reference view is wide - range oscillation. The core logic is the game between short - term capital profit - taking willingness and long - term policy benefit expectation fermentation [1] 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include IF, IH, IC, IM. The intraday view is weakly oscillating, the medium - term view is upward, and the reference view is wide - range oscillation. Yesterday, each stock index oscillated and declined, with the whole - day trading volume of 316.66 billion yuan in the Shanghai, Shenzhen, and Beijing stock markets, an increase of 76.37 billion yuan compared with the previous day. The short - term decline is due to large previous increases, significant valuation increases, and insufficient confidence of investors to chase up. In the long - term, there is strong support from macro - policy benefits and net capital inflows. The key window period for policy introduction is expected to be in October. However, due to significant valuation increases of some stocks, there is still profit - taking pressure, resulting in short - term technical adjustment pressure on the stock index. The follow - up focus is on the game between capital profit - taking rhythm and policy expectation fermentation [5]