1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The basis level and volatility of stock index futures show clear style stratification, with solid financial logic support for statistical laws. The volatility of the basis of small - and mid - cap stock index futures (IC, IM) is systematically higher than that of large - cap varieties (IF, IH). The basis presents a leptokurtic and thin - tailed feature, and there are differences in the distribution form. IH and IF basis distributions have significant seasonal characteristics, strengthening seasonally from May to July mainly due to the dividend effect [3][60][61]. - Investor expectations, market sentiment, and capital behavior are key forces driving short - term basis fluctuations, with significant varietal heterogeneity in the impact. When market sentiment warms up or the margin balance expands, the basis tends to narrow, and this effect is more sensitive and intense in small - and mid - cap varieties. The stock market volatility index is positively correlated with the basis. The large - scale inflow of north - bound funds usually supports the spot price and helps the basis expand, but the recent data has gaps. The significant decline in the shareholding ratio of long - term institutional funds such as insurance and social security may weaken the spot pricing anchor and increase the forward risk premium of the market, intensifying the futures discount [4][61]. - Index dividends are a definite fundamental factor causing regular seasonal fluctuations in the basis. There is a significant positive correlation between the dividend rate and the basis, and the higher the dividend concentration, the stronger the impact. During the dividend peak from May to July each year, the futures of Shanghai Stock Exchange 50 (IH) and CSI 300 (IF) stock index futures are usually in deep discount, which provides a clear layout window for calendar - effect - based arbitrage and hedging strategies [4][62]. 3. Summary according to the Directory 3.1 Chapter 1: Historical Distribution and Statistical Laws of Stock Index Futures Basis - **Core Statistical Features and Differences between Varieties**: Based on historical data from 2023 to 2026, the basis of the four major stock index futures shows significant varietal differentiation. The basis level presents a style gradient of IM > IC > IF/IH, and the basis volatility also shows a similar style differentiation. The statistical features of the IH variety are special, with a low basis mean and volatility, but extreme basis deviations may occur, indicating potential arbitrage opportunities [10][11]. - **Time - Series Features and Seasonal Laws**: The basis has obvious quarterly effects. The monthly average of the basis is significantly higher from May to July due to the dividend effect, and the futures are more likely to be in a premium state in the fourth quarter, which may be related to year - end market liquidity, institutional investors' portfolio adjustments, and expectations for the next year's corporate performance [12][14]. - **Distribution Form and Normal Distribution Test**: The basis distribution forms of different varieties vary. The basis distributions of IH, IF, and IC are more concentrated, while that of IM is flatter. All have leptokurtic and thin - tailed distribution features, which have dual implications for trading practice [23][25]. 3.2 Chapter 2: Influence Mechanism of Investor Expectations and Market Sentiment on Stock Index Futures Basis - **Linkage Mechanism between Market Sentiment and Basis and Varietal Heterogeneity**: Market sentiment is positively correlated with the basis, but the sensitivity of different style index futures varies. When the market sentiment index rises, the basis tends to narrow, and this effect is more obvious in small - and mid - cap stock index futures. The margin balance is also indirectly related to the basis, and the stock market volatility index is positively correlated with the basis [35][36][37]. - **Transmission Path and Influence of Policy Expectations on the Basis**: Monetary policy and stock index futures regulatory policies affect the basis. Monetary policy has a complex impact on the basis through changing the risk - free interest rate and liquidity environment. The stability of regulatory policies provides a institutional basis for the market - based formation of the basis [41][42]. 3.3 Chapter 3: Analysis of the Seasonal Influence of Index Dividends on Stock Index Futures Basis - **Core Facts of Dividend Season Distribution and Seasonal Performance of the Basis**: Index component stock dividends are concentrated in the second and third quarters, leading to significant seasonal characteristics of the basis. The impact of dividends on the basis of different varieties varies, with IH and IF being more significantly affected [44][45]. - **Practical Application and Strategy Considerations Based on Dividend Seasonality**: The predictable seasonal influence of dividends provides a strategy layout window. During the dividend season, there may be opportunities for reverse cash - and - carry arbitrage. Establishing a dividend monitoring system is crucial [48]. 3.4 Chapter 4: Influence Mechanism of Market Capital Behavior on Stock Index Futures Basis - **Analysis of the Influence Mechanism of Various Capital Behaviors on the Basis**: Margin trading funds affect the basis by changing the supply - demand balance in the spot market. The shrinkage of short - selling balance may lead to an increase in futures discount. North - bound funds affect the basis by influencing the spot pricing anchor, but data gaps exist. The reduction of long - term institutional funds' shareholding may lead to an increase in the basis [50][51][52]. - **Interpretation of the Current Market Structure and Future Observation**: In March 2026, the deep discount structure of the four major stock index futures may be the result of the combined action of various capital behaviors. Follow - up monitoring dimensions include the inflection point of short - selling balance, the authenticity verification and tracking of institutional holdings, and the linkage between capital cost and basis rate [53][54]. 3.5 Chapter 5: Analysis of the Current Stock Index Futures Basis Situation and Market Structure - **Current Basis Level and Term Structure Features**: As of March 25, 2026, all varieties of futures are in a discount state, and the far - month discount deepens. There are significant differences in basis rates between varieties, with IH having the lowest basis rate and IM having the highest [56]. - **Strategy Considerations and Risk Monitoring under the Current Basis Structure**: For cash - and - carry arbitrageurs, reverse arbitrage is theoretically the main direction, but practical execution is difficult. Key risk monitoring dimensions include sudden changes in capital interest rates, reversals of market sentiment, early reactions to dividend season expectations, and signs of style switching [58][59]. 3.6 Chapter 6: Summary The report systematically studies the basis performance of the four major stock index futures from January 1, 2023, to March 25, 2026, and finds relevant laws of basis changes, including style stratification of basis level and volatility, the influence of investor expectations, market sentiment, and capital behavior on short - term basis fluctuations, and the seasonal influence of index dividends on the basis [60].

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core View of the Report - The short - term view of IF, IH, IC, and IM is weak, the medium - term view is oscillatory, and the reference view is range - bound. It is expected that the stock index will mainly fluctuate in a range in the short term [5]. Group 3: Summary According to the Catalog 1. Variety View Reference - Financial Futures Stock Index Sector - For IH2606, the short - term view is oscillatory, the medium - term view is oscillatory, the intraday view is weak, and the reference view is range - bound. The core logic is the contrast between continuous policy benefits and the Middle East geopolitical crisis [1]. 2. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - Last Friday, each stock index rebounded oscillatory. The Middle East geopolitical situation is the main factor affecting the short - term trend of the stock index. The information released by the US and Iran on the US - Iran peace talks has a huge difference, with high uncertainty in reaching an agreement. Although the Middle East geopolitical risk has cooled to some extent, investors' risk preference is cautious. The trading volume of the Shanghai and Shenzhen stock markets has continued to shrink. From the perspective of the stock market's own fundamentals, domestic policies are continuously beneficial to the economic fundamentals, and there is still support for the stock index in the medium and long term [5].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The conflict between the US and Iran is recurring, and Trump's verbal intervention is losing effectiveness. Rising energy prices and increasing inflation have led to a decline in expectations of a Fed rate cut and even a shift towards rate hikes. The probability of a rate hike by traders has exceeded 50% for the first time, causing an increase in US bond yields and suppressing the valuation of global risk assets. In China, the narrowing of PPI and strong profitability of industrial enterprises at the beginning of the year, along with energy self - sufficiency and reserve advantages, have maintained export resilience. The short - term market may continue to fluctuate, but the medium - to - long - term strategy is mainly to go long on dips [11]. 3. Summary by Directory 3.1 Week - to - Week Assessment and Strategy Recommendation - **Important News**: Iran rejected the 15 - point cease - fire agreement proposed by the US and demanded that the US stop aggression. The OECD predicts that the US inflation rate will reach 4.2% this year, much higher than the Fed's expected 2.7%. China's innovation drug external authorization in the first three months exceeded $60 billion, approaching half of last year's $130 billion. The Shanghai and Shenzhen Stock Exchanges expanded the scope of the "light - asset, high - R & D investment" recognition standard to main - board companies. The central bank's net open - market injection this week was 231.9 billion yuan [11]. - **Economic and Corporate Earnings**: From January to February, industrial enterprises above a designated size achieved an operating income of 20.84 trillion yuan, a year - on - year increase of 5.3%, and a total profit of 1.02456 trillion yuan, a year - on - year increase of 15.2%. The profit of the computer, communication, and other electronic equipment manufacturing industries increased by 2 times year - on - year, and that of the non - ferrous metal smelting and rolling processing industries increased by 1.5 times. National fixed - asset investment from January to February increased by 1.8% year - on - year, and excluding real - estate development investment, it increased by 5.2%, while real - estate development investment decreased by 11.1%. China's March LPR remained unchanged for 10 consecutive months, with the 1 - year LPR at 3.0% and the over - 5 - year LPR at 3.5%. Experts predict a 10 - 20 basis - point rate cut in the middle of the year. From January to February, China's fiscal expenditure was 4.67 trillion yuan, a year - on - year increase of 3.6%, and fiscal revenue was 4.42 trillion yuan, a year - on - year increase of 0.7%. The preliminary value of the US S&P Global Manufacturing PMI in March was 52.4, higher than the expected 51.3 and the previous value of 51.6. The US import prices in February increased by 1.3% month - on - month, the largest monthly increase since March 2022, and export prices increased by 1.5% month - on - month, the largest increase since May 2022 [11]. - **Interest Rates and Credit Environment**: This week, both the 10 - year Treasury bond rate and the credit bond rate decreased slightly, the credit spread remained unchanged, and liquidity was abundant [11]. - **Trading Strategy Recommendations**: Hold a small amount of IM long positions in the long term as the valuation is at a moderately low level and IM has a long - term discount. Hold IF long positions for 6 months as a new rate - cut cycle is expected to start, and high - dividend assets are likely to benefit [13]. 3.2 Spot and Futures Markets - **Index Performance**: The Shanghai Composite Index was at 3913.72, down 43.33 points or 1.09%; the Shenzhen Component Index was at 13760.37, down 105.83 points or 0.76%; the ChiNext Index was at 3295.88, down 56.22 points or 1.68%; the CSI 300 was at 4502.57, down 64.45 points or 1.41%; the SSE 50 was at 2837.31, down 46.56 points or 1.61%; the CSI 500 was at 7737.61, down 22.42 points or 0.29%; the CSI 1000 was at 7746.31, down 37.12 points or 0.48%; the Hang Seng Index was at 24952, down 325 points or 1.29%; the AH ratio was at 120.48, up 0.56%; the Dow Jones Index was at 45167, down 411 points or 0.90%; the Nasdaq Index was at 20948, down 699 points or 3.23%; the S&P 500 was at 6369, down 138 points or 2.12% [16]. - **Futures Contract Performance**: Details of the performance of various futures contracts such as IF, IH, IC, and IM in terms of points, trading volume, and price changes are provided [17]. 3.3 Economy and Corporate Earnings - **Economic Indicators**: In Q4 2025, the actual GDP growth rate was 4.5%, in line with expectations and down from the previous value of 4.8%. The official manufacturing PMI in February was 49.0, down from the previous value of 49.3, possibly due to the long and late holiday's impact on the supply side. In January - February 2026, the consumption growth rate was 2.8%, up from the previous value of 0.9%, as the "trade - in" fund quota slightly decreased and the public's consumption demand was concentratedly released at the beginning of the year. In January - February 2026, exports denominated in US dollars increased by 21.8% year - on - year, up from the previous value of 6.9%, with the drag on exports to the US repaired, exports to Africa growing by nearly 50%, and exports to the EU increasing by 27.8% year - on - year. In January - February 2026, the investment growth rate was 1.8%, up from the previous value of - 3.8% and 2.5 percentage points higher than the whole of 2025. Manufacturing investment increased by 3.1% year - on - year, real - estate investment decreased by 11.1%, and infrastructure investment increased by 11.4%. Among them, investment in transportation, warehousing, and postal services increased by 9.1% year - on - year, 10.3 percentage points higher than the whole of 2025; investment in water conservancy, environment, and public facilities management increased by 8.3% year - on - year, 16.7 percentage points higher than the whole of 2025; investment in the production and supply of electricity, heat, gas, and water increased by 13.1% year - on - year [35][38][41]. - **Corporate Earnings**: In the Q3 2025 quarterly report, the year - on - year growth rate of operating income was 1.24%, and the growth rate rebounded by 1.22% compared with the semi - annual report. The year - on - year growth rate of net profit was 3.89%, and the growth rate rebounded by 1.83% compared with the semi - annual report [44]. 3.4 Interest Rates and Credit Environment - **Interest Rates**: The weighted average R007 rate on March 27 was 1.4398%, up 1.89 basis points from last week. The central bank's net open - market injection this week was 231.9 billion yuan, with an injection of 474.2 billion yuan and a withdrawal of 242.3 billion yuan [53]. - **Credit Environment**: In February 2026, the M1 growth rate was 5.9%, up from the previous value of 4.9%; the M2 growth rate was 9.0%, the same as the previous value. With high - level fiscal efforts, corporate cash flow continued to improve, and the demand for foreign exchange settlement continued to be released as the exchange rate strengthened in February. From January to February 2026, the social financing increment was 9.6 trillion yuan, a year - on - year increase of 31.62 billion yuan, with corporate credit effectively filling the gap and strong external demand effectively offsetting the Spring Festival misalignment [61]. 3.5 Capital Flows - **Inflow**: This week, about 2.1048 billion new shares of equity - biased funds were established, maintaining a normal level. The margin trading balance in the two markets decreased by 16.088 billion yuan this week, and the latest balance was 259.8731 billion yuan. The scale of each ETF decreased slightly [68][71]. - **Outflow**: This week, major shareholders had a net increase of - 2.455 billion yuan in shareholding, and the net reduction was relatively stable. The number of IPOs was 0 [74]. 3.6 Valuation - **P/E Ratio (TTM)**: The P/E ratio of SSE 50 was 11.28, CSI 300 was 13.91, CSI 500 was 35.22, and CSI 1000 was 47.00. - **P/B Ratio (LF)**: The P/B ratio of SSE 50 was 1.22, CSI 300 was 1.45, CSI 500 was 2.42, and CSI 1000 was 2.54 [79].

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - A股主要指数收盘集体下跌，三大指数震荡下行，中小盘股弱于大盘蓝筹股，沪深两市成交额降至2万亿下方，全市场近4500只个股下跌，行业板块普遍下跌，计算机、非银金融等板块明显走弱，仅煤炭、石油石化、银行板块逆市上涨 [2] - 海外方面美伊谈判扑朔迷离，加剧市场不确定性；国内方面2026年1 - 2月国内规上工业增加值等数据显著回升，国民经济整体开局良好，从已披露2025年年报的上市公司看，除上证50外其他三大宽基指数营收与净利增速均加快，2月份国内经济基本面表现强劲 [2] - 进入3月下半月上市公司进入年报密集披露期，市场转向事实验证阶段，目前披露2025年年报的上市公司整体表现良好，虽美方释放结束战争信号为权益市场提供缓冲空间，但战争未正式结束，需警惕后续谈判破裂风险，在战争结束前仍需谨慎对待 [2] 3. Summary by Related Catalogs Futures Disk - IF主力合约（2606）最新4396.0，环比 -53.6；IF次主力合约（2604）最新4453.2，环比 -53.2；IH主力合约（2606）2804.8，环比 -27.6；IH次主力合约（2604）2822.0，环比 -28.4；IC主力合约（2606）7413.8，环比 -135.6；IC次主力合约（2604）7571.2，环比 -125.4；IM主力合约（2606）7375.6，环比 -114.4；IM次主力合约（2604）7558.2，环比 -107.8 [2] - IF - IH当月合约价差1631.2，环比 -26.4；IC - IF当月合约价差3118.0，环比 -62.0；IM - IC当月合约价差 -13.0，环比 +22.6；IC - IH当月合约价差4749.2，环比 -88.4；IM - IF当月合约价差3105.0，环比 -39.4；IM - IH当月合约价差4736.2，环比 -65.8 [2] - IF当季 - 当月 -57.2，环比 -1.6；IF下季 - 当月 -143.4，环比 -2.2；IH当季 - 当月 -17.2，环比 +0.8；IH下季 - 当月 -57，环比 -2.2；IC当季 - 当月 -157.4，环比 -1.8；IC下季 - 当月 -331，环比 -0.4；IM当季 - 当月 -182.6，环比 -10.0；IM下季 - 当月 -405.6，环比 -8.6 [2] Futures Position - IF前20名净持仓23,508.00，环比 -167.0；IH前20名净持仓21,143.00，环比 +165.0；IC前20名净持仓27,814.00，环比 -465.0；IM前20名净持仓45,332.00，环比 -3617.0 [2] Spot Price - 沪深300 4477.53，环比 -59.9，IF主力合约基差 -81.5，环比 +5.9；上证50 2,824.7，环比 -34.9，IH主力合约基差 -19.9，环比 +9.7；中证500 7,642.1，环比 -125.5，IC主力合约基差 -228.3，环比 +9.3；中证1000 7,639.4，环比 -111.8，IM主力合约基差 -263.8，环比 +10.0 [2] Market Sentiment - A股成交额（日，亿元）19,569.68，环比 -2358.85；两融余额（前一交易日，亿元）26,174.75，环比 +38.77；北向成交合计（前一交易日，亿元）2734.48，环比 -158.38；逆回购（到期量，操作量，亿元） -130.0，环比 +2240.0；主力资金（昨日，今日，亿元） +214.83，环比 -924.20 [2] - 上涨股票比例（日，%）16.67，环比 -72.07；Shibor（日，%）1.320，环比 +0.001；IO平值看涨期权收盘价（2604）57.40，环比 -23.20；IO平值看涨期权隐含波动率（%）17.22，环比 +0.87；IO平值看跌期权收盘价（2604）100.00，环比 +29.40；IO平值看跌期权隐含波动率（%）17.37，环比 +1.02；沪深300指数20日波动率（%）18.46，环比 +0.41；成交量PCR（%）68.30，环比 +5.67；持仓量PCR（%）65.46，环比 +0.57 [2] Wind Market Strength and Weakness Analysis - 全部A股2.70，环比 -5.60；技术面1.70，环比 -7.10；资金面3.80，环比 -3.90 [2] Industry News - 伊朗明确拒绝美国停战提议，白宫发言人却称美伊谈判仍在继续且富有成效，美国众议院议长称伊朗战争“接近结束且目标已实现”，美军在中东兵力集结是警示，不会地面作战，伊朗军方称若敌方地面行动伊方可能开启其他战线，伊朗已为局势升级做好准备，美方正设法安排会议讨论结束战事“退出方案” [2] - 伊朗外交部长称目前未与美国谈判，美国只是通过调解人传递信息，一位伊朗高官称战争结束按伊朗条件和时间表，伊朗提出停战5项条件，包括停止“侵略和暗杀”、防止战争再次发生、确保赔偿落实、全面结束军事行动、承认伊朗对霍尔木兹海峡主权，伊朗向中间人传达停火前提是接受所有条件 [2] Key Focus - 3/27 9:30关注中国2月规上工业企业利润 [3]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - A股主要指数收盘集体大幅下跌，三大指数低开低走，上证指数一度跌破3800点，至尾盘小幅回升，中小盘股弱于大盘蓝筹股，沪深两市成交额有所回升，行业板块普遍下跌，仅煤炭、石油石化板块逆市上涨 [2] - 2026年1 - 2月国内规上工业增加值、固投、社零、进出口、通胀数据均较前值显著回升，国民经济整体录得良好开局；从已披露2025年年报的上市公司看，中证500、中证1000营收与净利增速均加快，沪深300营收增速亦小幅抬升，2月份国内经济基本面表现强劲 [2] - 3月下半月上市公司进入年报密集披露期，市场转向事实验证阶段，目前披露2025年年报的上市公司整体表现良好 [2] - 美伊冲突带来的油价上涨冲击全球金融市场，战争局势未见明显好转，后续油价仍有进一步走高可能，停滞性通货膨胀带来的经济衰退和物价上涨忧虑对权益市场尤其是成长风格股票产生明显压制 [2] 3. Summary by Relevant Catalogs 3.1 Futures Market 3.1.1 Futures Contract Prices - IF主力合约（2606）价格为4344.4，环比下降160.4；IF次主力合约（2604）价格为4398.0，环比下降160.4 [2] - IH主力合约（2606）价格为2776.0，环比下降98.6；IH次主力合约（2604）价格为2793.6，环比下降95.2 [2] - IC主力合约（2606）价格为7235.0，环比下降371.2；IC次主力合约（2604）价格为7387.6，环比下降356.6 [2] - IM主力合约（2606）价格为7190.0，环比下降422.6；IM次主力合约（2604）价格为7364.0，环比下降410.8 [2] 3.1.2 Futures Contract Spreads - IF - IH当月合约价差为1604.4，环比下降54.2；IC - IF当月合约价差为2989.6，环比下降167.0 [2] - IM - IC当月合约价差为 - 23.6，环比下降54.8；IC - IH当月合约价差为4594.0，环比下降221.2 [2] - IM - IF当月合约价差为2966.0，环比下降221.8；IM - IH当月合约价差为4570.4，环比下降276.0 [2] - IF当季 - 当月为 - 53.6，环比无变化；IF下季 - 当月为 - 139.2，环比下降5.8 [2] - IH当季 - 当月为 - 17.6，环比下降2.0；IH下季 - 当月为 - 52.4，环比下降3.6 [2] - IC当季 - 当月为 - 152.6，环比下降15.4；IC下季 - 当月为 - 338.6，环比下降24.8 [2] - IM当季 - 当月为 - 174.0，环比下降6.2；IM下季 - 当月为 - 394，环比下降10.2 [2] 3.1.3 Futures Positions - IF前20名净持仓为24,067.00，环比下降1040.0；IH前20名净持仓为20,392.00，环比增加331.0 [2] - IC前20名净持仓为33,090.00，环比增加108.0；IM前20名净持仓为51,403.00，环比下降311.0 [2] 3.2 Spot Market - 沪深300现货价格为4418.00，环比下降149.0；IF主力合约基差为 - 73.6，环比增加7.0 [2] - 上证50现货价格为2,792.3，环比下降91.5；IH主力合约基差为 - 16.3，环比增加1.7 [2] - 中证500现货价格为7,440.8，环比下降319.3；IC主力合约基差为 - 205.8，环比下降5.1 [2] - 中证1000现货价格为7,409.1，环比下降374.3；IM主力合约基差为 - 219.1，环比增加4.3 [2] 3.3 Market Sentiment - A股成交额（日，亿元）为24,481.05，环比增加1452.81；两融余额（前一交易日，亿元）为26,322.94，环比下降178.34 [2] - 北向成交合计（前一交易日，亿元）为3390.88，环比增加644.56；逆回购（到期量，操作量，亿元）为 - 1373.0，环比增加80.0 [2] - 主力资金（昨日，今日，亿元）为 - 738.53，环比下降1253.99 [2] - 上涨股票比例（日，%）为5.56，环比下降6.48；Shibor（日，%）为1.317，环比下降0.002 [2] - IO平值看涨期权收盘价（2604）为124.80，环比下降65.40；IO平值看涨期权隐含波动率（%）为25.36，环比增加4.99 [2] - IO平值看跌期权收盘价（2604）为118.00，环比增加73.00；IO平值看跌期权隐含波动率（%）为25.36，环比增加5.07 [2] - 沪深300指数20日波动率（%）为17.07，环比增加3.57；成交量PCR（%）为92.21，环比增加15.76 [2] - 持仓量PCR（%）为64.23，环比下降4.65 [2] 3.4 Wind Market Strength - Weakness Analysis - 全部A股为1.80，环比下降0.70；技术面为0.60，环比下降0.60 [2] - 资金面为3.00，环比下降0.90 [2] 3.5 Industry News - 当地时间3月21日，特朗普要求伊朗在48小时内开放霍尔木兹海峡，否则将对伊朗“各类发电厂”发动打击并摧毁；伊朗方面回应若发电站等基础设施被打击，将采取包括关闭霍尔木兹海峡等4项措施，油价将长期上涨 [2] - A股主要指数收盘集体大幅下跌，三大指数低开低走，行业板块普遍下跌，仅煤炭、石油石化板块逆市上涨 [2] - 当地时间3月18日周末期间，美伊局势进一步升级，特朗普表示若伊朗不开放霍尔木兹海峡将袭击其电力设备，伊朗回应若电力设施遭到打击将完全关闭霍尔木兹海峡，市场对美联储在10月份议息会议上加息的预期为29.2% [2] 3.6 Key Points of Attention - 3月24日16:15 - 17:30关注法国、德国、欧元区、英国3月SPGI制造业、服务业、综合PMI初值以及美国3月SPGI制造业、服务业、综合PMI初值 [3] - 3月27日9:30关注中国2月规上工业企业利润 [3]

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - Not mentioned in the provided content 3. Summary by Related Catalogs Ferrous Metals - Silicon iron (SF603) spot price is 5898, futures price is 5796, with a basis of 102, a basis rate of 1.76%, and a historical quantile of 70.60% [1] - Silicon manganese (SM603) spot price is 6220, futures price is 6138, with a basis of 82, a basis rate of 1.34%, and a historical quantile of 42.50% [1] - Rebar (RB2605): Information incomplete. - Hot - rolled coil (HC2605) spot price is 3290, futures price is 3310, with a basis of - 20, a basis rate of - 0.60%, and a historical quantile of 10.70% [1] - Iron ore (I2605) spot price is 845, futures price is 811, with a basis of 34, a basis rate of 4.22%, and a historical quantile of 29.10% [1] - Coke (J2605) spot price is 1734, futures price is 1722, with a basis of 13, a basis rate of 0.74%, and a historical quantile of 73.34% [1] - Coking coal (JM2605) spot price is 1247, futures price is 1157, with a basis of 91, a basis rate of 7.83%, and a historical quantile of 49.60% [1] Non - ferrous Metals - Copper (CU2604) spot price is 98990, futures price is 98590, with a basis of 400, a basis rate of 0.41%, and a historical quantile of 86.45% [1] - Aluminum (AL2605) spot price is 24510, futures price is 24800, with a basis of - 290, a basis rate of - 1.11%, and a historical quantile of 6.66% [1] - Alumina (AO2605) spot price is 2720, futures price is 3048, with a basis of - 328, a basis rate of - 10.77%, and a historical quantile of 1.54% [1] - Zinc (ZN2604) spot price is 23130, futures price is 23325, with a basis of - 195, a basis rate of - 0.84%, and a historical quantile of 16.25% [1] - Tin (SN2604) spot price is 369500, futures price is 370000, with a basis of - 500, a basis rate of - 0.14%, and a historical quantile of 37.08% [1] - Nickel (NISEOR) spot price is 134700, futures price is 135200, with a basis of - 500, a basis rate of - 0.37%, and a historical quantile of 26.87% [1] - Stainless steel (SS2605) spot price is 14350, futures price is 14020, with a basis of 500, a basis rate of 3.57%, and a historical quantile of 86.90% [1] - Lithium carbonate (LC2605) spot price is 155500, futures price is 150120, with a basis of 5380, a basis rate of 3.58%, and a historical quantile of 97.35% [1] - Industrial silicon (SISEO5) spot price is 9200, futures price is 8375, with a basis of 855, a basis rate of 9.85%, and a historical quantile of 55.97% [1] Precious Metals - Gold (AU2604) spot price is 1111.7, futures price is 1113.52, with a basis of - 1.8, a basis rate of - 0.16%, and a historical quantile of 47.10% [1] - Silver (AG2606) spot price is 19966.0, futures price is 19980.0, with a basis of - 14.0, a basis rate of - 0.07%, and a historical quantile of 68.40% [1] Agricultural Products - Soybean meal (M2605) spot price is 3290, futures price is 3036.0, with a basis of 254.0, a basis rate of 8.37%, and a historical quantile of 67.90% [1] - Fourth - grade soybean oil (ASEO2) spot price is 8770, futures price is 8540.0, with a basis of 230.0, a basis rate of 2.69%, and a historical quantile of 49.50% [1] - Palm oil (P2605) spot price is 9680, futures price is 9692.0, with a basis of - 12.0, a basis rate of - 0.12%, and a historical quantile of 23.30% [1] - Rapeseed meal (RM605) spot price is 2470, futures price is 2443.0, with a basis of 27.0, a basis rate of 1.11%, and a historical quantile of 51.00% [1] - Fourth - grade rapeseed oil (Oleos) spot price is 10280, futures price is 9780.0, with a basis of 500.0, a basis rate of 5.11%, and a historical quantile of 91.40% [1] - Corn (C2605) spot price is 2420, futures price is 2382.0, with a basis of 38.0, a basis rate of 1.60%, and a historical quantile of 54.60% [1] - Corn starch (CS2605) spot price is 2850, futures price is 2721.0, with a basis of 129.0, a basis rate of 4.74%, and a historical quantile of 66.00% [1] - Live pigs (H2605) spot price is 10100, futures price is 10475.0, with a basis of - 375.0, a basis rate of - 3.58%, and a historical quantile of 30.20% [1] - Eggs (JD2605) spot price is 3110, futures price is 3400.0, with a basis of - 290.0, a basis rate of - 8.53%, and a historical quantile of 17.30% [1] - Cotton (CF605) spot price is 16650, futures price is 15210.0, with a basis of 1440.0, a basis rate of 9.47%, and a historical quantile of 95.40% [1] - White sugar (SR605) spot price is 5470, futures price is 5343.0, with a basis of 127.0, a basis rate of 2.38%, and a historical quantile of 16.60% [1] - Apples (AP605) spot price is 9800, futures price is 10121.0, with a basis of - 321.0, a basis rate of - 3.17%, and a historical quantile of 10.70% [1] - Red dates (CJ605) spot price is 7900, futures price is 8795.0, with a basis of - 895.0, a basis rate of - 10.18%, and a historical quantile of 45.10% [1] Energy and Chemicals - p - Xylene (PX605) spot price is 9906.9, futures price is 9874.0, with a basis of 32.9, a basis rate of 0.33%, and a historical quantile of 39.50% [1] - PTA (TA605) spot price is 6710.0, futures price is 6790.0, with a basis of - 80.0, a basis rate of - 1.18%, and a historical quantile of 24.20% [1] - Ethylene glycol (EG2605) spot price is 4745.0, futures price is 4849.0, with a basis of - 104.0, a basis rate of - 2.4%, and a historical quantile of 17.60% [1] - Polyester staple fiber (PF606) spot price is 8285.0, futures price is 8182.0, with a basis of 103.0, a basis rate of 1.26%, and a historical quantile of 69.30% [1] - Styrene (EB2604) spot price is 9980.0, futures price is 9968.0, with a basis of 12.0, a basis rate of 0.12%, and a historical quantile of 28.60% [1] - Methanol (MA605) spot price is 2925.0, futures price is 2912.0, with a basis of 13.0, a basis rate of 0.49%, and a historical quantile of 53.20% [1] - Urea (UR605) spot price is 1880.0, futures price is 1855.0, with a basis of 25.0, a basis rate of 1.35%, and a historical quantile of 25.00% [1] - LLDPE (L2605) spot price is 8360.0, futures price is 8431.0, with a basis of - 71.0, a basis rate of - 0.84%, and a historical quantile of 8.00% [1] - PP (PP2605) spot price is 8750.0, futures price is 8628.0, with a basis of 122.0, a basis rate of 1.41%, and a historical quantile of 62.70% [1] - PVC (V2605) spot price is 5680.0, futures price is 5735.0, with a basis of - 55.0, a basis rate of - 0.95%, and a historical quantile of 70.10% [1] - Caustic soda (SHEOS) spot price is 2140.6, futures price is 2442.0, with a basis of - 301.4, a basis rate of - 12.34%, and a historical quantile of 17.00% [1] - LPG (PG2604) spot price is 6258.0, futures price is 5766.0, with a basis of 492.0, a basis rate of 8.53%, and a historical quantile of 67.30% [1] - Asphalt (BU2606) spot price is 4090.0, futures price is 4400.0, with a basis of - 310.0, a basis rate of - 7.05%, and a historical quantile of 1.50% [1] - Butadiene rubber (BR2605) spot price is 15800.0, futures price is 15260.0, with a basis of 540.0, a basis rate of 3.54%, and a historical quantile of 85.60% [1] - Glass (FG605) spot price is 968.0, futures price is 1066.0, with a basis of - 98.0, a basis rate of - 10.12%, and a historical quantile of 40.00% [1] - Soda ash (SA605) spot price is 1201.0, futures price is 1211.0, with a basis of - 10.0, a basis rate of - 0.83%, and a historical quantile of 56.21% [1] - Pure benzene (BZ2604) spot price is 8400.0, futures price is 8154.0, with a basis of 246.0, a basis rate of 3.02%, and a historical quantile of 98.80% [1] - Propylene (PL2605) spot price is 8045.0, futures price is 8313.0, with a basis of - 268.0, a basis rate of - 3.22%, and a historical quantile of 8.80% [1] - Bottle chips (PR2605) spot price is 9012.0, futures price is 8550.0, with a basis of 462.0, a basis rate of 5.40%, and a historical quantile of 99.10% [1] - Natural rubber (RU2605) spot price is 16250.0, futures price is 16400.0, with a basis of - 150.0, a basis rate of - 0.92%, and a historical quantile of 82.18% [1] Financial Instruments - IF2603.CFE spot price is 4658.3324, futures price is 4651.4, with a basis of - 6.9324, a basis rate of - 0.15%, and a historical quantile of 46.00% [1] - IH2603.CFE spot price is 2961.4264, futures price is 2958.6, with a basis of - 2.8264, a basis rate of - 0.10%, and a historical quantile of 40.30% [1] - IC2603.CFE spot price is 8096.4276, futures price is 8086.0, with a basis of - 10.4276, a basis rate of - 0.13%, and a historical quantile of 67.70% [1] - IM2603.CFE spot price is 8096.5948, futures price is 8080.4, with a basis of - 16.1948, a basis rate of - 0.20%, and a historical quantile of 62.50% [1] - 2 - year bond (TS2606) spot price is 100.09, futures price is 102.50, with a basis of 0.03, a basis rate of 0.03%, and a historical quantile of 40.70% [1] - 5 - year bond (TF2606) spot price is 100.21, futures price is 105.99, with a basis of 0.05, a basis rate of 0.04%, and a historical quantile of 36.10% [1] - 10 - year bond (T2606) spot price is 99.89, futures price is 108.26, with a basis of 0.09, a basis rate of 0.08%, and a historical quantile of 28.30% [1] - 30 - year bond (TL2606) spot price is 122.05, futures price is 110.96, with a basis of 0.71, a basis rate of 0.64%, and a historical quantile of

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - The short - term view of the stock index is mainly range - bound, with the co - existence of continuous policy benefits and global economic stagflation risks [1][5] - The policy's continuous benefits form the main logic for the medium - and long - term upward movement of the stock index, while the long - term risk of the Middle East geopolitical crisis suppresses the stock index [5] Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2606, the short - term view is oscillatory, the medium - term view is oscillatory, the intraday view is bullish, and the reference view is range - bound. The core logic is the co - existence of continuous policy benefits and global economic stagflation risks [1] Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is bullish, the medium - term view is oscillatory, and the reference view is range - bound. The core logic is that the strong support from continuous policy benefits and the bearish pressure from the long - term risk of the Middle East geopolitical crisis co - exist, causing the stock index to enter a range - bound consolidation market [5]

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - The short - term view of the stock index is mainly range - bound consolidation. The geopolitical risks and continuous policy benefits are intertwined, with geopolitical risks suppressing the stock index and policy benefits supporting it in the medium - to - long term. The follow - up should focus on the evolution of the US - Iran situation, policy implementation effects, and the disclosure of listed company financial reports [5] Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the IH2606 variety, the short - term view is oscillatory, the medium - term view is oscillatory, the intraday view is bullish, and the reference view is range - bound. The core logic is that continuous policy benefits stabilize the economic fundamentals [1] Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For varieties IF, IH, IC, and IM, the intraday view is bullish, the medium - term view is oscillatory, and the reference view is range - bound. The core logic is that yesterday, each stock index was oscillating and consolidating in a narrow range. Geopolitical risks and continuous policy benefits are intertwined, causing the stock index to fall into an oscillatory consolidation market. Geopolitical risks suppress the stock index, while policy benefits support it in the medium - to - long term [5]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - After the closing of the Two Sessions, the market has gradually realized the policy benefits brought by the National Two Sessions, and the subsequent market will shift to the fact - verification stage [2] - The domestic economic fundamentals in February were strong, and the macro - fundamentals remained stable, providing support for the stock market. Although external shocks had a short - term impact on the domestic market, after the negative impact of rising oil prices was digested, the A - share market was still expected to continue the slow - bull market [2] 3. Summary by Relevant Catalogs 3.1 Futures Disk - IF main contract (2603) latest price was 4662.8, up 3.0; IF sub - main contract (2606) latest price was 4589.0, up 1.6 [2] - IH main contract (2603) latest price was 2952.0, down 7.6; IH sub - main contract (2606) latest price was 2942.2, down 6.0 [2] - IC main contract (2603) latest price was 8178.4, down 51.4; IC sub - main contract (2606) latest price was 8003.4, down 45.0 [2] - IM main contract (2603) latest price was 8187.0, down 17.0; IM sub - main contract (2606) latest price was 7952.8, down 14.0 [2] - IF - IH current - month contract spread was 1710.8, up 9.8; IC - IF current - month contract spread was 3515.6, down 40.2 [2] - IM - IC current - month contract spread was 8.6, up 35.4; IC - IH current - month contract spread was 5226.4, down 30.4 [2] - IM - IF current - month contract spread was 3524.2, down 4.8; IM - IH current - month contract spread was 5235.0, up 5.0 [2] - IF quarterly - current - month was - 73.8, up 0.6; IF next - quarter - current - month was - 152.8, down 3.2 [2] - IH quarterly - current - month was - 9.8, up 1.4; IH next - quarter - current - month was - 46, up 4.4 [2] - IC quarterly - current - month was - 175.0, up 8.0; IC next - quarter - current - month was - 339.6, up 10.8 [2] - IM quarterly - current - month was - 234.2, up 1.6; IM next - quarter - current - month was - 444.2, down 3.2 [2] 3.2 Futures Position - IF top 20 net position was 29,362.00, down 954.0; IH top 20 net position was 20,657.00, up 920.0 [2] - IC top 20 net position was 27,819.00, up 1844.0; IM top 20 net position was 56,018.00, up 624.0 [2] 3.3 Spot Price - CSI 300 was 4671.56, up 2.4; IF main contract basis was - 8.8, up 2.4 [2] - SSE 50 was 2,954.1, down 2.8; IH main contract basis was - 2.1, down 2.2 [2] - CSI 500 was 8,185.2, down 54.7; IC main contract basis was - 6.8, up 19.3 [2] - CSI 1000 was 8,211.4, down 2.9; IM main contract basis was - 24.4, up 2.9 [2] 3.4 Market Sentiment - A - share trading volume (daily, billion yuan) was 23,399.03, down 773.72; margin trading balance (previous trading day, billion yuan) was 26,517.11, down 129.47 [2] - Northbound trading total (previous trading day, billion yuan) was 2952.45, down 9.33; reverse repurchase (maturity volume, operation volume, billion yuan) was - 6485.0, up 6373.0 [2] - Main - force funds (yesterday, today, billion yuan) were - 774.10 and - 430.85; MLF (roll - over volume, net injection, billion yuan) had no data [2] - Rising stock ratio (daily, %) was 51.48, up 24.09; Shibor (daily, %) was 1.320, down 0.001 [2] - IO at - the - money call option closing price (2603) was 40.60, down 7.00; IO at - the - money call option implied volatility (%) was 13.83, down 2.55 [2] - IO at - the - money put option closing price (2603) was 26.40, down 13.60; IO at - the - money put option implied volatility (%) was 13.82, down 2.56 [2] - CSI 300 index 20 - day volatility (%) was 13.35, down 0.17; trading volume PCR (%) was 75.76, up 12.81 [2] - Position PCR (%) was 71.57, up 0.02 [2] 3.5 Wind Market Strength and Weakness Analysis - All A - shares were 5.00, up 1.60; technical aspect was 5.20, up 2.50 [2] - Capital aspect: from January to February, the added value of industrial enterprises above designated size increased by 6.3% year - on - year. In February, it increased by 0.83% month - on - month [2] - From January to February, the total retail sales of consumer goods were 86079 billion yuan, a year - on - year increase of 2.8%. From January to February, the national fixed - asset investment (excluding rural households) was 52721 billion yuan, a year - on - year increase of 1.8%. Among them, private fixed - asset investment decreased by 2.6% year - on - year. In February, fixed - asset investment (excluding rural households) increased by 0.39% month - on - month [2] - From January to February, the national real estate development investment was 9612 billion yuan, a year - on - year decrease of 11.1%. From January to February, the floor area under construction of real estate development enterprises decreased by 11.7% year - on - year, the newly started floor area decreased by 23.1%, and the completed floor area decreased by 27.9%. From January to February, the sales area of newly built commercial housing decreased by 13.5% year - on - year, and the sales volume decreased by 20.2% [2] 3.6 Industry News - The central bank announced that in the first two months of this year, RMB loans increased by 5.61 trillion yuan; the increment of social financing scale was 9.6 trillion yuan, an increase of 3162 billion yuan year - on - year. At the end of February, M2 increased by 9% year - on - year, and the stock of social financing scale increased by 8.2% year - on - year [2] - US President Trump said that Iran had expressed its willingness to negotiate a cease - fire, but the current conditions were "not good enough", so the US would not reach an agreement to end the war with Iran for the time being. Iranian Foreign Minister Araqchi said that Iran had never requested a cease - fire and would continue to defend until President Trump recognized it as an "illegal and unwinnable war" [2] - A - share major indices closed with mixed results, with the three major indices showing differentiation. The Shenzhen market was stronger than the Shanghai market. At the close, the Shanghai Composite Index fell 0.26%, the Shenzhen Component Index rose 0.19%, and the ChiNext Index rose 1.41%. The trading volume of the Shanghai and Shenzhen stock markets decreased slightly. Industry sectors rose and fell mixed, with the steel and non - ferrous metal sectors weakening significantly, and the food and beverage sector leading the gains [2] - Overseas, the conflict between the US and Iran continued, and the latest statements of both sides were tough, which pushed up the geopolitical risk premium of crude oil. On March 16, during the Asian trading session, Brent crude oil reached $105 and fluctuated repeatedly [2] - Domestically, in terms of economic fundamentals, from January to February 2026, the added value of domestic industrial enterprises above designated size, fixed - asset investment, social retail sales, imports and exports, and inflation data all rebounded significantly compared with the previous values, only the real - estate demand side remained weak, and the national economy in 2026 had a good start [2] - In terms of financial data, the growth rate of M2 in February was flat compared with the previous value, the growth rate of M1 accelerated significantly, the gap between M1 and M2 further narrowed, and the activation degree of funds increased. In addition, the gap between household deposits and M2 increased, indicating that the pace of household deposits flowing into the stock market slowed down, but since the gap was still in the negative range, it showed that the transfer of household deposits continued [2] 3.7 Key Concerns - On March 18 at 20:30, the US February PPI and core PPI data will be released [3] - On March 19 at 2:00, the Federal Reserve will announce its interest - rate decision [3] - On March 19 at 20:00, the Bank of England will announce its interest - rate decision [3] - On March 19 at 21:15, the European Central Bank will announce its interest - rate decision [3]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - For IH2606, in the short - term and medium - term, it is expected to be in a state of oscillation, and intraday it is expected to be on the stronger side, with an overall view of range - bound oscillation due to continuous policy support stabilizing the economic fundamentals [1]. - For IF, IH, IC, and IM, the intraday view is on the stronger side, the medium - term view is oscillation, and the overall reference view is range - bound oscillation. Although the risk of long - term Middle East geopolitical crisis may limit stock prices, the market has basically digested this risk. Policy support is the main logic for the long - term upward movement of the stock index. In the short - term, the index will be mainly in range - bound consolidation [5]. 3. Summary by Related Aspects 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector | Variety | Short - term | Medium - term | Intraday | Viewpoint Reference | Core Logic | | --- | --- | --- | --- | --- | --- | | IH2606 | Oscillation | Oscillation | Stronger | Range - bound oscillation | Policy support stabilizes economic fundamentals [1] | 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - **Core Logic**: Last Friday, stock indexes oscillated and slightly pulled back. The long - term risk of the Middle East geopolitical crisis has increased, which may lead to global stagflation and limit central bank's monetary easing, thus suppressing stock prices. However, the market has basically digested this risk, and the marginal impact is weakening. Policy support is the main driver for the long - term upward movement of the stock index. In the short - term, the index will be in range - bound consolidation, with attention on the development of the US - Iran situation, policy implementation effect, and listed company's financial report disclosure [5].