Report Industry Investment Rating - The investment rating for stock index futures is "sideways", and for government bond futures is "relatively strong" [1] Core Viewpoints - The A-share market oscillated and closed lower yesterday, with TMT performing well and coal and power equipment sectors correcting. The overall market is expected to be range - bound in the short term as the liquidity-driven market since June ended and the focus returns to fundamentals. Traditional economic sectors are in a slow recovery, and overseas tech stocks also face expectation divergence [1]. - Government bond futures closed higher yesterday. The central bank's actions and economic expectations have a positive impact on the bond market, but the "stock - bond seesaw" effect causes some disturbances. The bond market is expected to continue its oscillating pattern [1][2] Summary by Directory 1. Research Views Stock Index Futures - Yesterday, the A - share market closed down with Wind All - A dropping 0.93% and a trading volume of 1.95 trillion yuan. The CSI 1000, CSI 500, SSE 50, and CSI 300 indices all declined. New - quality productivity themes led by AI have optimistic growth expectations, especially in the upstream hardware manufacturing of the tech sector, but they lack catalysts and have entered a sideways trend since November. Traditional economic sectors are in a slow recovery and are unlikely to enter a fundamental bull market in the short term. Overseas tech stocks also face expectation divergence [1]. Government Bond Futures - Yesterday, government bond futures closed higher, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising. The central bank conducted 4075 billion yuan of 7 - day reverse repurchases, with a net injection of 37 billion yuan. DR001 rose 2BP to 1.53%, and DR007 remained flat at 1.52%. The central bank's actions strengthen the expectation of reasonable and sufficient funds, which is positive for the bond market. However, the "stock - bond seesaw" effect causes some disturbances, and the bond market is expected to oscillate [1][2] 2. Daily Price Changes Stock Index Futures - On November 18, 2025, IH dropped 0.39% to 2,997.6, IF dropped 0.58% to 4,555.0, IC dropped 0.89% to 7,079.8, and IM dropped 0.58% to 7,351.8 compared to November 17 [3]. Stock Indices - The SSE 50 dropped 0.30% to 3,003.0, the CSI 300 dropped 0.65% to 4,568.2, the CSI 500 dropped 1.17% to 7,151.0, and the CSI 1000 dropped 1.00% to 7,448.1 on November 18, 2025, compared to November 17 [3]. Government Bond Futures - On November 18, 2025, TS rose 0.01% to 102.49, TF rose 0.01% to 105.92, T rose 0.01% to 108.50, and TL rose 0.07% to 116.53 compared to November 17 [3] 3. Market News - As of the week ending October 18, the number of initial jobless claims in the US was 232,000, and the number of continuing jobless claims was 1,957,000, up from 1,947,000 the previous week. The US Federal government shutdown led to a lack of regular weekly data [4]. - China's Foreign Ministry held consultations with Japan's officials. China sternly protested against Japanese Prime Minister Kaochi Sanae's wrong remarks on China, urging Japan to retract the remarks and stop causing trouble on China - related issues [4] 4. Chart Analysis Stock Index Futures - The report provides charts of the trends of IH, IF, IM, IC main contracts, and their respective basis trends [6][7][9] Government Bond Futures - The report includes charts of the trends of government bond futures main contracts, bond yields, basis, inter - period spreads, cross - variety spreads, and fund rates [13][14][19] Exchange Rates - The report presents charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [22][23][26]

Core Viewpoint - The article highlights the diverse opportunities and risks in the futures market, emphasizing the differentiation between bullish and bearish trends across various sectors, particularly in stock indices and certain commodities like iron ore and sugar [43]. Group 1: Stock Index Futures - Key bullish varieties include the CSI 500 futures (IC) and CSI 1000 futures (IM), indicating a "Good Curve Long" signal, while the CSI 300 futures (IF) show a "Curve Long" signal and the SSE 50 futures (IH) are "Maybe Curve Long," suggesting an overall bullish sentiment [2]. - The market is currently in a "Consolidation" phase, indicating a period of adjustment [3]. - The volatility of stock index futures is relatively low, with a Vol/Roll ratio between 1.4 and 5.0, and a moderate rolling Sharpe ratio of approximately 0.2 to 0.7, indicating active trading with manageable volatility [4]. - High positive correlation exists among IH, IF, IC, and IM, with correlation coefficients ranging from 0.68 to 0.94, reflecting strong interconnectivity within the sector [5]. - Investment opportunities lie in bullish positions for IC and IM due to strong curve structures and high annualized rolling returns (IC at 7.35%, IM at 10.69%), while IF and IH serve as auxiliary bullish positions suitable for low-cost accumulation during consolidation [6]. - The core logic suggests that small-cap stocks are relatively strong, benefiting from structural policy support and growth expectations, although the overall market lacks trend momentum and requires a breakout signal [8]. Group 2: Government Bond Futures - No clear curve signals are present for 2-year (TS), 5-year (TF), 10-year (T), and 30-year (TL) government bond futures, with all market states classified as "Consolidation" [9]. - Annualized rolling returns are negative (TS -0.26%, TF -0.26%, T -0.02%, TL 0.54%), indicating yield pressure [9]. - The volatility is low, with a Vol/Roll ratio between 0.0004 and 0.0027, and a varied rolling Sharpe ratio (TS at 0.43, T at 0.01), reflecting subdued trading activity and weak returns [10]. - Given the lack of clear direction, it is advised to remain observant or engage in light arbitrage, such as utilizing term spread changes [11]. - The core logic indicates that economic recovery and inflation expectations suppress the bond market, while safe-haven demand provides support, leading to a continued oscillating pattern [13]. Group 3: Precious Metals - Both gold (AU) and silver (AG) are classified as "Maybe Curve Short," but the market state is "Long," indicating a divergence between technical indicators and market conditions [14]. - Annualized rolling returns are negative (AU -2.24%, AG -2.11%), reflecting a bearish curve structure [14]. - The volatility is moderate, with a Vol/Roll ratio around 0.017 to 0.021, and low rolling Sharpe ratios (AU 0.08, AG 0.06), indicating active trading but poor returns [15]. - Cautious bearish positions are suggested, with attention to potential short-selling opportunities after rebounds or utilizing AU-AG price spread arbitrage [16]. - The core logic suggests that actual interest rates and dollar strength dominate prices, with a bearish technical outlook but support from safe-haven sentiment, leading to short-term weakness [18]. Group 4: Base Metals - Copper (CU) and international copper (BC) show no curve signals, with market states classified as "Long" or "Consolidation"; zinc (ZN) is "Maybe Curve Long," while nickel (NI) is "Short" [19]. - Annualized rolling returns vary (CU -0.28%, ZN 2.14%, NI -0.87%) [19]. - The volatility is moderate, with a Vol/Roll ratio between 0.005 and 0.011, and generally low rolling Sharpe ratios (CU 0.02, ZN 0.24), indicating stable trading [20]. - Zinc presents a clear long opportunity due to its bullish curve and positive returns, while nickel's clear bearish trend suggests short-selling at high points [21]. - The core logic indicates that supply-demand balance drives prices, with support from Chinese infrastructure and new energy demand for copper and zinc, but uncertainties arise from inventory levels and macro sentiment [23]. Group 5: Black Metals - Iron ore (I) is identified as "Good Curve Long," while coking coal (JM) is "Good Curve Short," and both coke (J) and rebar (RB) are "Maybe Curve Short" [24]. - Annualized rolling returns vary (I 6.49%, JM -5.35%) [25]. - The volatility is relatively high, with a Vol/Roll ratio around 0.010 to 0.024, and moderate rolling Sharpe ratios (I 0.39, JM 0.14), indicating active trading [26]. - Iron ore presents significant bullish opportunities, supported by positive returns and curve backing, while coking coal and coke show clear bearish trends suitable for short-selling [27]. - The core logic suggests that environmental policies and production cut expectations support iron ore, while weak terminal demand suppresses coking coal and coke, leading to notable sector differentiation [29]. Group 6: Energy and Chemicals - Crude oil (SC) and low-sulfur fuel oil (LU) are "Curve Long," while fuel oil (FU) is "Good Curve Long" but in a "Short" market state, and asphalt (BU) is "Curve Long" but also "Short" [30]. - Annualized rolling returns vary (SC 3.31%, FU 6.76%, BU 3.09%) [31]. - The volatility is moderate, with a Vol/Roll ratio between 0.014 and 0.026, and varied rolling Sharpe ratios (SC 0.14, FU 0.29), indicating strong interconnectivity within the sector [32]. - High-value bullish positions are recommended for SC and LU, benefiting from curve support and positive returns, while FU and BU require cautious validation due to their bearish market states [33]. - The core logic indicates that global crude oil supply-demand tightness supports prices, but downstream demand differentiation and chemical products are influenced by both cost and demand factors [36]. Group 7: Agricultural Products - Sugar (SR) is "Curve Long," soybean (A) is "Maybe Curve Long," palm oil (P) is "Good Curve Long" but in a "Short" market state, while rapeseed oil (OI) and rapeseed meal (RM) are "Maybe Curve Short," and live hogs (LH) and eggs (JD) are "Curve Short" [37]. - Annualized rolling returns vary (SR 3.58%, P 7.81%, LH -3.64%) [37]. - The volatility ranges from low to moderate, with a Vol/Roll ratio between 0.004 and 0.015, and moderate rolling Sharpe ratios (SR 0.56, LH 0.16) [38]. - Clear bullish opportunities exist for sugar and soybean, benefiting from curve support and positive returns, while palm oil's bullish curve requires waiting for stronger signals, and live hogs and eggs show clear bearish trends suitable for short-selling [40]. - The core logic indicates that supply-side factors (planting area, yield) and demand-side factors (feed, consumption) dominate, with significant differentiation among varieties and a need to monitor seasonal factors and global trade flows [42].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The Shanghai Composite Index is hovering around the 4000 mark. Due to the positive news that the two parties in the US will end the government shutdown, global stock markets have rebounded. Domestic sector hotspots are rotating, and the overall market is oscillating with a slight upward trend. However, it is recommended to appropriately reduce positions when the market rises [3][4]. Summary by Relevant Catalogs 1. Futures Market - **Index Basis and Spread**: - IH2512 has a premium of 0.14 points, IF2512 has a discount of 23.05 points, IC2512 has a discount of 108 points, and IM2512 has a discount of 142.25 points [3][5]. - The performance of each index contract shows different price differences and trends [5]. - **Index Position and Expectation**: - The main players in IF have reduced long positions, while those in IH have increased long positions, and those in IC have reduced long positions, showing a slightly positive trend [4]. - The overall market is expected to be oscillating with a slight upward trend, but it is advisable to reduce positions on rallies [4]. 2. Spot Market - **Important Index Daily Returns**: Different important indexes such as the Shanghai Composite Index, SSE 50, CSI 300, etc., have different daily return rates, reflecting the performance of different sectors in the market [13]. - **Style Index Daily Returns**: Various style indexes, including cyclical, non - cyclical, and different price - to - earnings ratio indexes, show different daily return rates, indicating the performance of different market styles [16][19]. 3. Market Structure - **AH Share Premium**: The Hang Seng AH Premium Index shows the premium relationship between A - shares and H - shares over a certain period [22]. - **Price - to - Earnings Ratio (PE) and Price - to - Book Ratio (PB)**: The PE and PB of SSE 50, CSI 300, CSI 500, and ChiNext Index reflect the valuation levels of these indexes over a long - term period [25][27]. 4. Market Capital - **Stock Market Capital Inflow**: The inflow of funds into the A - share market and the CSI 300 shows the capital flow situation in the market [29]. - **Margin Trading Balance**: The margin trading balance and the CSI 300 reflect the scale of margin trading in the market and its relationship with the market index [31]. - **Northbound Capital Inflow**: The net inflow of northbound capital shows the flow of foreign capital into the A - share market [33]. - **Capital Cost**: The SHIBOR overnight, one - week, and two - week rates reflect the short - term capital cost in the market [39]. 5. Market Sentiment - **Trading Activity**: The turnover rates of SSE 50, CSI 300, CSI 500, and ChiNext Index (based on free - floating market value) reflect the trading activity of different indexes [42][45]. - **Public Offering Hybrid Fund Positions**: The positions of public offering hybrid funds reflect the investment sentiment of institutional investors [47]. 6. Other Indicators - **Dividend Yield and Treasury Yield**: The dividend yields of index futures and the ten - year treasury yield show the relationship between the return of the stock market and the bond market [51]. - **Exchange Rate**: The US dollar to RMB exchange rate reflects the exchange rate situation between the two currencies [53]. - **New Account Openings and Index Tracking**: The new account openings are tracked against the Shanghai Composite Index, reflecting the relationship between new investors entering the market and the market index [54]. - **Newly Established Fund Scale**: The scale changes of newly established stock - based, hybrid, and bond - based funds reflect the development of the fund market [56][58][60].

Report Information - Report Title: Stock Index Futures Morning Report - October 27, 2025 [1] - Report Author: Dushufang from Dayue Futures Investment Consulting Department [1] - Report Date: October 27, 2025 [1] Report Industry Investment Rating - Not provided in the given content Core Viewpoints - IC2512 has a discount of 98.73 points, and IM2512 has a discount of 121.24 points, indicating a bearish signal [3] - The Fourth Plenary Session emphasized technological self - reliance, which drove the technology and communication sectors to strengthen. The Sino - US economic and trade consultations reached a preliminary consensus, and the market is expected to open higher. It is recommended to reduce positions appropriately on rallies [3] - The margin trading balance is 24,339 billion yuan, a decrease of 16 billion yuan, showing a neutral signal [3] - IH2512 has a premium of 2.78 points, and IF2512 has a discount of 25.88 points, presenting a neutral situation [3] - In terms of the market performance, IH > IC > IF > IM, and IH, IF, IC, and IM are above the 20 - day moving average, indicating a bullish signal [3] - The main positions of IF and IC have reduced long positions, while the main positions of IH have increased long positions, showing a bullish signal [3] - The Fourth Plenary Session set the tone of supply security priority, manufacturing, technological self - reliance, and expanding domestic demand. The technology sector will rebound. With the preliminary consensus reached in the Sino - US economic and trade consultations, it is recommended to reduce positions on significant intraday rallies. The short - term index will maintain high - level fluctuations. Attention should be paid to the meeting between Chinese and US leaders at the end of this month [3] Summary by Directory Futures Market - **Futures Contract Data**: Data such as contract prices, price changes, trading volumes, index prices, price - to - earnings ratios, price - to - book ratios, dividend yields, spreads, premium/discount ratios, annualized premium/discounts, contract values, delivery dates, and remaining terms are provided for IH, IF, IC, and IM contracts of different expiration dates [4] - **Base and Spread Charts**: Charts of the base and spread of the Shanghai 50 Index and the CSI 500 Index are presented, showing their historical trends [6][9] Spot Market - **Important Index Daily Price Changes**: The daily price change rates of important indexes such as the Shanghai Composite Index, Shanghai 50, CSI 300, Wande All - A, CSI 500, Shenzhen Component Index, ChiNext 50, and ChiNext Index are shown [12] - **Style Index Daily Price Changes**: The daily price change rates of style indexes including cyclical, non - cyclical, low - P/E ratio, large - cap, small - cap, value, high - P/E ratio, medium - P/E ratio, and growth indexes are presented [15][18] Market Structure - **AH Share Premium/Discount**: The historical trend chart of the Hang Seng AH Premium Index is provided, reflecting the premium/discount situation of AH shares [21] - **Price - to - Earnings Ratio (PE)**: The historical trend chart of the P/E ratios (TTM) of the Shanghai 50, CSI 300, CSI 500, and ChiNext Index is shown [24] - **Price - to - Book Ratio (PB)**: The historical trend chart of the P/B ratios of the Shanghai 50, CSI 300, CSI 500, and ChiNext Index is presented [26] Market Capital - **Stock Market Capital Inflow**: The historical trend chart of A - share capital net inflow and the CSI 300 Index is provided, showing the capital flow situation in the stock market [28] - **Margin Trading Balance**: The historical trend chart of the margin trading balance and the CSI 300 Index is presented, reflecting the margin trading situation [30] - **Northbound Capital Inflow**: The historical trend chart of the net inflow of northbound capital is shown [32] - **Fund Cost**: The historical trend chart of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates is presented, reflecting the short - term fund cost [38] Market Sentiment - **Trading Activity**: The historical trend charts of the turnover rates (based on free - floating market value) of the Shanghai 50, CSI 300, CSI 500, and ChiNext Index are provided, reflecting the trading activity in the market [41][44] - **Public Mixed - Fund Positions**: Although the title is given, the specific content seems incomplete [46] Other Indicators - **Dividend Yield and Treasury Yield**: The historical trend chart of the dividend yields of the CSI 300, Shanghai 50, CSI 500, and CSI 1000 Indexes and the ten - year Treasury yield is presented [50] - **Exchange Rate**: The historical trend chart of the US dollar against the Chinese yuan exchange rate is provided [52] - **New Account Openings and Index Tracking**: Although the title is given, the specific content seems incomplete [53] - **Newly Established Fund Scale Changes**: The titles of the newly established scale changes of stock - type, mixed - type, and bond - type funds are given, but the specific content seems incomplete [55][57][59]

Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model aims to estimate the dividend points of stock indices to account for the impact of constituent stock dividends on index futures' premium/discount levels. It is essential for accurately calculating the basis and premium/discount levels of index futures contracts[11][44][47] **Model Construction Process**: 1. **Formula**: Dividend Points = $ \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Value of Constituent Stock}} \times \text{Constituent Stock Weight} \times \text{Index Closing Price} $ - \( N \): Number of constituent stocks - Dividend amounts are considered only if the ex-dividend date falls between the current date (\( t \)) and the contract expiration date (\( T \))[44] 2. **Steps**: - Obtain constituent stock weights and index closing prices - For stocks with announced dividend amounts and ex-dividend dates, use the provided data - For stocks without announced data, estimate dividend amounts based on historical net profit and payout ratios, and predict ex-dividend dates using historical patterns[45][47] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors around 5 points. However, the accuracy for the CSI 500 index is slightly lower, with errors around 10 points[64] - **Model Name**: Dynamic Prediction of Net Profit **Model Construction Idea**: This model predicts annual net profit for constituent stocks based on historical profit distribution patterns, enabling the estimation of dividend amounts for stocks without disclosed data[50][53] **Model Construction Process**: 1. Classify companies into two categories: stable and unstable profit distribution 2. For stable companies, predict based on historical profit distribution patterns 3. For unstable companies, use the previous year's corresponding period profit as the prediction value[53][55] **Model Evaluation**: The model effectively captures profit trends for stable companies but may face challenges with companies exhibiting irregular profit patterns[53] - **Model Name**: Historical Dividend Payout Ratio Estimation **Model Construction Idea**: This model estimates the dividend payout ratio for constituent stocks based on historical averages, assuming stability in payout ratios for companies with consistent operations[54] **Model Construction Process**: 1. If the company paid dividends last year, use the previous year's payout ratio 2. If no dividends were paid last year, use the average payout ratio of the past three years 3. If the company has never paid dividends, assume no dividends for the current year 4. Cap the payout ratio at 100% to avoid unrealistic estimates[56] **Model Evaluation**: The model is suitable for companies with stable operations but may not be accurate for firms with volatile financial policies[54] - **Model Name**: Ex-Dividend Date Prediction Model **Model Construction Idea**: This model predicts the ex-dividend dates of constituent stocks based on historical intervals between announcement and ex-dividend dates[54][59] **Model Construction Process**: 1. If the ex-dividend date is announced, use the provided date 2. If not, estimate based on historical intervals between announcement and ex-dividend dates 3. Default dates are used for companies with no historical data or when historical dates are deemed unreliable[59] **Model Evaluation**: The model effectively predicts ex-dividend dates for most companies, with approximately 90% of firms completing dividends by the end of July[59] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[64] - CSI 300 Index: Prediction error ~5 points[64] - CSI 500 Index: Prediction error ~10 points[64] Quantitative Factors and Construction Methods - **Factor Name**: Constituent Stock Weight Adjustment Factor **Factor Construction Idea**: Adjust constituent stock weights dynamically to reflect daily changes in stock prices and corporate actions[48][49] **Factor Construction Process**: 1. Formula: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ - \( w_{n0} \): Weight of stock \( n \) at the last disclosed date - \( r_{n} \): Non-adjusted return of stock \( n \) since the last disclosed date 2. Use daily disclosed weights from the China Securities Index Company to ensure accuracy[48][49] **Factor Evaluation**: This factor improves the precision of weight adjustments, especially during periods of corporate actions like stock splits or rights issues[49] Factor Backtesting Results - **Constituent Stock Weight Adjustment Factor**: - Daily weight adjustments align closely with disclosed weights, ensuring high accuracy in index calculations[49]

- The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the premium or discount in stock index futures contracts. The model incorporates factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[38][44][46] - The model calculates the dividend points for a stock index during the period from the current date (t) to the futures contract expiration date (T) using the formula: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Stock n}}{\text{Total Market Cap of Stock n}} \times \text{Weight of Stock n} \times \text{Index Closing Price} \right) $$ This formula ensures that only stocks with ex-dividend dates between t and T are included[38][44] - Component stock weights are dynamically adjusted using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ Here, \( w_{n0} \) represents the weight of stock \( n \) at the last disclosed date, and \( r_{n} \) is the non-adjusted return of stock \( n \) between the last disclosed date and the current date[45] - The model estimates net profit for stocks without disclosed data by categorizing companies into stable and unstable profit distribution groups. Stable companies are predicted based on historical patterns, while unstable ones use the previous year's profit as a proxy[47][50] - Dividend payout ratios are estimated using historical averages. If a company paid dividends in the previous year, that ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[51][53] - Ex-dividend dates are predicted using a linear extrapolation method based on historical intervals between announcement and ex-dividend dates. Default dates are applied if historical data is insufficient or inconsistent[51][56] - The model's accuracy was validated by comparing predicted dividend points with actual values for the Shanghai 50, CSI 300, and CSI 500 indices in 2023 and 2024. The Shanghai 50 and CSI 300 predictions showed errors within 5 points, while the CSI 500 had slightly larger errors, around 10 points[57][61][66]

Report Industry Investment Rating No information provided in the given text. Core Viewpoints - **Macro**: The US tariff exemption extension is entering its final week, and negotiations with countries like the EU, India, and Mexico are in a tense phase, with uncertainties regarding potential tariff counter - measures. Overseas is in a week of intensive macro - events, including the Fed's interest - rate meeting and key economic data releases. China will hold a Politburo meeting, and attention should be paid to economic work guidance and PMI data to confirm economic recovery. The real estate sales remain at a low level, the service industry is structurally differentiated and has declined due to summer heat, and the manufacturing's rush - to - export phase is ending, posing potential downward pressure on the Q3 economy. However, anti - involution policies are expected to gradually reverse deflation [4]. - **Funds**: Domestic liquidity is generally loose but marginally tightening. Bond market redemptions are flowing into the stock market, providing incremental funds. Overseas financial conditions have improved, with a decline in the real interest rate of US bonds, leading to foreign capital inflows into the domestic stock market. Passive ETF shares are being re - increased, equity financing such as IPOs has cooled, margin trading funds are continuously flowing in, and the pressure of restricted - share unlocks has increased, overall favoring liquidity [4]. - **Valuation**: After a short - term rebound, the valuations of various indices are still at a historically neutral - to - high level. The stock - bond yield spreads at home and abroad have further declined, making the attractiveness of allocation funds average [4]. - **Strategy**: The current valuations of broad - based indices are not cheap, and the foreign - capital risk premium index has dropped to a low level. The pressure of US tariff policies may resurface. Considering that the stock market has prematurely priced in macro - expectations, the market is expected to oscillate, reach a peak, and then correct in the next 1 - 2 weeks when positive factors are realized or fall short of expectations. It is recommended to reduce long positions in stock indices after sharp rallies this week or use out - of - the - money put options to protect against black - swan risks. In terms of style, hold long positions in IC and IM, or conduct an arbitrage strategy of going long on IM and short on IF [4]. Summary by Directory 1. Market Review - **Stock Indices**: In the past week, the Science and Technology Innovation 50 Index led the gains, while the German stock market led the losses. The week - on - week changes of major indices are as follows: the Shanghai Composite Index rose 1.67%, the Hang Seng China Enterprises Index rose 1.83%, the Shenzhen Component Index rose 2.33%, and the ChiNext Index rose 2.76%, among others [8][9]. - **Sectors**: Coal led the gains, and banks led the losses. Coal > Steel > Non - ferrous metals > Building materials... > Electric power and public utilities > Communications > Comprehensive finance > Banks [12]. - **Futures**: The basis rates of the four major stock index futures (IH, IF, IC, and IM) changed by 0.21%, 0.09%, - 0.39%, and - 0.31% respectively, with IH reaching par and the discounts of IC and IM slightly widening. The inter - period spread rates (current and next month) of the four major stock index futures changed by - 0.3%, - 0.25%, - 0.19%, and - 0.25% respectively, and the inter - period discounts of the four major futures began to widen. The inter - period spread rates (next quarter and current month) changed by - 0.21%, - 0.61%, - 1.32%, and - 1.81% respectively, with the long - term discounts of the four major futures widening significantly [19]. 2. Fund Flows - **Margin Trading and Market - Stabilizing Funds**: Last week, margin trading funds flowed in 39.65 billion yuan, reaching a total of 1.94 trillion yuan. The proportion of margin trading balance to the circulating market value of the Shanghai and Shenzhen stock markets remained unchanged at 2.26%. The scale of passive stock ETF funds was 3.17358 trillion yuan, an increase of 74.43 billion yuan from the previous week, and the share was 198.619 billion shares, with a net subscription of 290 million shares from the previous week [22]. - **Industrial Capital**: In July, the cumulative equity financing was 45.49 billion yuan, with 6 cases. Among them, IPO financing was 20.92 billion yuan, private placement was 24.58 billion yuan, and convertible bond financing was 8.79 billion yuan. The market value of stock market unlocks last week was 86.84 billion yuan, a significant increase of 58.38 billion yuan from the previous week [26]. 3. Liquidity - **Monetary Injection**: Last week, the central bank's OMO reverse - repurchase matured at 1.7268 trillion yuan, with a reverse - repurchase injection of 1.6563 trillion yuan, resulting in a net monetary withdrawal of 7.05 billion yuan. The MLF was injected with 400 billion yuan in July and matured at 300 billion yuan, with continuous monthly net injections for 5 months. Overall, the liquidity supply was neutral but marginally tightening [28]. - **Fund Prices**: The DR007, R001, and SHIBOR overnight rates changed by 14.5bp, 6.4bp, and 5.8bp respectively, reaching 1.65%, 1.55%, and 1.52%. The issuance rate of inter - bank certificates of deposit rebounded by 2.1bp, and the CD rate issued by joint - stock banks rebounded by 4.1bp to 1.67%. The fund supply tightened marginally, debt financing demand declined, but the real - economy financing demand recovered, and the fund prices generally rebounded slightly [34]. - **Term Structure**: Last week, the yields of 10 - year, 5 - year, and 2 - year Treasury bonds changed by 6.7bp, 6bp, and 5.2bp respectively; the yields of 10 - year, 5 - year, and 2 - year China Development Bank bonds changed by 8.9bp, 9.5bp, and 6.6bp respectively. The yield term structure continued to steepen, and the credit spreads between Treasury bonds and China Development Bank bonds widened at both the long and short ends, indicating a return of broad - credit expectations [38]. - **Sino - US Interest Rate Spread**: As of July 25, the US 10 - year Treasury yield changed by - 4.0bp to 4.40%, the inflation expectation changed by 3.0bp to 2.44%, and the real interest rate changed by - 7.00bp to 1.96%. The Sino - US interest rate spread inversion narrowed by 10.79bp to - 266.61bp, and the offshore RMB appreciated by 0.19% [41]. 4. Macroeconomic Fundamentals - **Real Estate Demand**: As of July 24, the weekly trading area of commercial housing in 30 large - and medium - sized cities was 1.531 million square meters, showing a seasonal improvement from the previous week's 1.372 million square meters but still at a relatively low level compared to the same period. Second - hand housing sales declined seasonally, reaching the lowest level in nearly seven years. The real estate market sales generally returned to a low level, and attention should be paid to whether the Politburo meeting will propose signals to boost the real estate market [44]. - **Service Industry Activities**: As of July 25, the daily average subway passenger volume in 28 large - and medium - sized cities dropped significantly to 81.84 million person - times, a 1.2% decrease from the same period last year but a 21.8% increase from 2021. The Baidu congestion delay index of 100 cities decreased slightly from the previous week, indicating that the service industry's economic activities were cooling down [48]. - **Manufacturing Tracking**: Due to the anti - involution policy, the overall capacity utilization rate of the manufacturing industry declined. The capacity utilization rates of steel mills, asphalt, cement clinker enterprises, and coking enterprises changed by - 0.08%, - 4%, - 0.26%, and 0.44% respectively. The average operating rate of the chemical industry chain related to external demand changed by 0.01% from the previous week. Overall, the domestic and foreign demand trends of the manufacturing industry improved marginally, and it has entered the seasonal peak season [52]. - **Goods Flow**: The goods and people flow remained at a relatively high level. The postal express and civil aviation sectors showed a significant weekly decline, while railway transportation rebounded slightly, which may be related to the rush - to - export. There is a risk of a second seasonal decline from August to September [56]. - **Exports**: As the rush - to - export after the Sino - US trade talks is nearing its end, the port cargo throughput and container throughput have increased significantly. There is a risk of a second decline from August to September when the 90 - day tariff exemption period ends [61]. - **Overseas**: With the US Markit manufacturing PMI preliminary value in July falling back into the contraction range and the US durable goods orders data dropping more than expected, the financial market has revised its expectations for the Fed's interest - rate path. The market expects 2 interest rate cuts in 2025, with a reduction of 25 - 50bp, and the probability of a September rate cut has increased to 61.9% [63]. 5. Other Analyses - **Valuation**: The stock - bond risk premium was 3.07%, a 0.15% decrease from the previous week, at the 58.5% quantile. The foreign - capital risk premium index was 3.99%, a 0.05% decrease from the previous week, at the 21.2% quantile. The valuations of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 indices were at the 81.1%, 76.8%, 87.3%, and 71.4% quantiles of the past 5 years respectively, and their relative valuation levels were not low [66][71]. - **Quantitative Diagnosis**: According to seasonal laws, the stock market is in a period of seasonal shock - driven growth and structural differentiation in July. The growth style is relatively dominant, and the cyclical style first rises and then falls. There are opportunities to go long on IC and IM on pullbacks and short on IF and IH on sharp rallies [74]. - **Financial Calendar**: China will release July's manufacturing and service industry PMI and industrial enterprise profits, which will help confirm economic recovery. Overseas, attention should be paid to the US non - farm payroll report, job vacancies, manufacturing PMI, PCE inflation data, and the Fed's interest - rate meeting [76].

Group 1: Report Investment Rating - The report does not provide an investment rating for the industry. Group 2: Core Viewpoints - The A-share market continued to rise, with the Wind All A index up 0.89% and a trading volume of 1.22 trillion yuan. The CSI 1000 index rose 1.26%, the CSI 500 index rose 0.88%, the SSE 50 index rose 0.16%, and the SSE 300 index rose 0.37%. The defense and military industry led the gains, and the TMT sector strengthened. The Fed Chairman's remarks and the dot plot have led the market to price in interest rate cuts in advance, and the Nasdaq is approaching its all-time high. The A-share market has also been boosted and has risen for two consecutive days, but its valuation is above the historical average, making it difficult to continue a sharp upward trend. The stablecoin concept has been popular recently, but it is still a long way from replacing the US dollar as a trading medium. The domestic fundamentals show that the manufacturing PMI in June was 49.7, still in the contraction range; the PPI in May was -3.3% year-on-year, down from April; and the new RMB loans were 620 billion yuan, 330 billion yuan less than the same period last year. Under the background of debt reduction, credit contraction and insufficient demand are still the main contradictions, and the index is difficult to break through the center and rise significantly. On the other hand, the corporate profitability in the first half of 2025 has improved significantly compared with 2024, and with the support of allocation funds, the A-share index will not fall significantly in the short term. It is expected that the index will continue to fluctuate in the future [1][2]. Group 3: Summary by Directory 1. Daily Price Changes - **Stock Index Futures**: The IH contract rose 9.0 points (0.34%), the IF contract rose 9.2 points (0.24%), the IC contract rose 36.0 points (0.62%), and the IM contract rose 37.8 points (0.62%) [3]. - **Stock Indexes**: The SSE 50 index rose 4.4 points (0.16%), the SSE 300 index rose 14.3 points (0.37%), the CSI 500 index rose 51.7 points (0.88%), and the CSI 1000 index rose 79.2 points (1.26%) [3]. - **Treasury Bond Futures**: The TS contract fell 0.044 points (-0.04%), the TF contract fell 0.105 points (-0.10%), the T contract fell 0.15 points (-0.14%), and the TL contract remained unchanged [3]. - **Treasury Bond Yields**: The yields of 2-year, 5-year, 10-year, and 30-year treasury bonds increased by 1.32, 0.72, 0.81, and 1.5 basis points respectively [3]. 2. Market News - On June 30, the National Bureau of Statistics and the China Federation of Logistics and Purchasing released data showing that the manufacturing PMI, non-manufacturing business activity index, and composite PMI output index all rebounded in June, reaching 49.7%, 50.5%, and 50.7% respectively. The manufacturing production and demand indexes were in the expansion range, and the price index rebounded; the construction industry in the non-manufacturing business activity expanded faster [4]. 3. Chart Analysis - **Stock Index Futures**: The report provides charts of the trends and basis of the IH, IF, IC, and IM contracts [6][7][8][9][10]. - **Treasury Bond Futures**: The report provides charts of the trends, basis, inter - period spreads, cross - variety spreads, and funding rates of treasury bond futures and the yields of treasury bond cash [13][14][15][16][17]. - **Exchange Rates**: The report provides charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [20][21][22][24][25].

Report Industry Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The A-share market rose rapidly yesterday, with the Wind All A index up 1.56% and a trading volume of 1.45 trillion yuan. The conflict between Iran and Israel has limited direct impact on the A-share market. Given the current credit contraction and insufficient demand, the index is unlikely to break through the central level and rise significantly. However, with the improvement in corporate earnings in H1 2025 compared to 2024 and the support of allocation funds, the A-share index will not experience a sharp decline in the short term. It is expected that the index will mainly fluctuate in the future [1]. - Treasury bond futures closed lower, with the 30-year main contract down 0.27%, the 10-year main contract down 0.11%, the 5-year main contract down 0.07%, and the 2-year main contract down 0.02%. The central bank conducted 4065 billion yuan of 7-day reverse repurchase operations, with a net injection of 2092 billion yuan. The bond market lacks the momentum to strengthen significantly and is likely to remain in a range-bound pattern [1][2]. Summary by Directory Research Viewpoints - **Stock Index Futures**: The A-share market showed a significant upward trend, with multiple sectors rising. The conflict between Iran and Israel had limited direct impact on the A-share market. The domestic economy faces challenges such as credit contraction and insufficient demand, but corporate earnings have improved, leading to an expected volatile trend for the index [1]. - **Treasury Bond Futures**: Treasury bond futures closed lower. The central bank's open market operations led to a slight tightening of the capital market. Given the economic resilience and the approaching half-year end, the bond market is likely to remain range-bound [1][2]. Price Changes in Futures Contracts - **Stock Index Futures**: On June 24, 2025, IH rose 1.10%, IF rose 1.45%, IC rose 1.79%, and IM rose 2.46% compared to the previous day [3]. - **Stock Indexes**: The Shanghai Composite 50 Index rose 1.16%, the CSI 300 Index rose 1.20%, the CSI 500 Index rose 1.62%, and the CSI 1000 Index rose 1.92% [3]. - **Treasury Bond Futures**: TS fell 0.03%, TF fell 0.08%, T fell 0.12%, and TL fell 0.30% [3]. Market News - An event to commemorate the 80th anniversary of the victory of the Chinese People's War of Resistance against Japanese Aggression and the World Anti-Fascist War will be held on September 3, including a military parade, and President Xi Jinping will deliver an important speech [4]. Chart Analysis - **Stock Index Futures**: The report presents the trends and basis trends of IH, IF, IC, and IM main contracts, providing a visual reference for the performance of stock index futures [6][7][9]. - **Treasury Bond Futures**: The report includes the trends of treasury bond futures main contracts, treasury bond spot yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates, helping to analyze the treasury bond futures market [13][15][17]. - **Exchange Rates**: The report shows the exchange rate trends of the US dollar against the RMB, the euro against the RMB, and other currency pairs, as well as the trends of forward exchange rates, offering insights into the foreign exchange market [20][21][22].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The IC2507 has a discount of 59.43 points, and the IM2507 has a discount of 77.02 points, indicating a bearish signal [3]. - In terms of the market trend, IM > IC > IF > IH (main contracts). IM, IC, and IF are above the 20 - day moving average, showing a bullish sign, while IH is below the 20 - day moving average, suggesting a bearish outlook [3][4]. - For treasury bond futures, the uncertainty of the Israel - Iran situation, consecutive declines in the Hong Kong and A - share small - cap indexes, and a decrease in market hotspots are bearish factors. The margin trading balance increased by 1.4 billion yuan to 1.8167 trillion yuan, which is neutral. The discounts of IH2507 and IF2507 are also neutral [5]. - The main positions of IH and IC show a reduction in long positions, while IF shows an increase in long positions, overall presenting a bullish tendency. Due to concerns about US intervention, increased uncertainty in the Israel - Iran situation, limited positive effects from the Lujiazui Forum, a rebound in crude oil prices, and global stock market adjustments, the domestic index faces increased upward pressure and is expected to undergo a weak adjustment [6]. 3. Summaries by Related Catalogs 3.1 Futures Market - **Index Futures Quotes**: The report provides detailed quotes of various index futures including IH, IF, IC, and IM, such as contract prices, price changes, trading volumes, index prices, price - to - earnings ratios, price - to - book ratios, dividends, spreads, discount ratios, annualized discounts, contract values, delivery dates, and remaining maturities [7]. - **Index Futures Basis and Spreads**: It presents the historical basis and spreads of the Shanghai Composite 50 and CSI 500 index futures, helping to analyze the price relationships between different contracts [9][12]. 3.2 Spot Market - **Important Index Daily Returns**: The daily returns of important indexes such as the Shanghai Composite Index, Shanghai Composite 50, CSI 300, etc., are shown, reflecting the overall performance of the spot market [15][16]. - **Style Index Daily Returns**: The daily returns of style indexes including cyclical, non - cyclical, low - P/E, large - cap, small - cap, etc., are provided, which can be used to analyze the performance of different market styles [18][19][21]. - **Sector Index Daily Returns**: The daily returns of various sector indexes in the Shenwan classification are presented, such as agriculture, basic chemicals, steel, etc., helping to understand the performance of different industries [22]. 3.3 Market Structure - **AH Share Premium**: The historical data of the Hang Seng AH Premium Index is provided, which is useful for analyzing the price differences between A - shares and H - shares [24][25][26]. - **Price - to - Earnings Ratio (PE) and Price - to - Book Ratio (PB)**: The historical P/E and P/B ratios of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index are presented, which can be used to evaluate the valuation levels of different indexes [27][29]. 3.4 Market Fundamentals - **Stock Market Fund Inflows**: The historical data of A - share fund net inflows and the CSI 300 index are shown, reflecting the fund flow situation in the stock market [31][32]. - **Margin Trading Balance**: The historical data of margin trading balance and the CSI 300 index are provided, which can be used to analyze the leverage situation in the market [33][34]. - **Northbound Capital Inflows**: The historical data of northbound capital net inflows are presented, showing the flow of foreign funds into the A - share market [35][36]. - **Fund Costs**: The historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates are provided, reflecting the short - term fund costs in the market [41][42]. 3.5 Market Sentiment - **Trading Activity**: The historical turnover rates of the Shanghai Composite 50, CSI 300, CSI 500, and ChiNext Index are presented, which can be used to analyze the trading activity in the market [44][47][49]. - **Public - Offering Hybrid Fund Positions**: The historical data of public - offering hybrid fund positions are provided, which can reflect the market sentiment of institutional investors [50]. 3.6 Other Market Indicators - **Dividend Yield and Treasury Bond Yield**: The historical data of index futures dividend yields and the 10 - year treasury bond yield are presented, which can be used to compare the investment returns of different assets [53][54]. - **Exchange Rate**: The historical data of the US dollar against the Chinese yuan exchange rate are provided, which can be used to analyze the impact of exchange rate fluctuations on the market [55][56]. - **New Account Openings and Index Tracking**: The relationship between new account openings and the Shanghai Composite Index is tracked, which can reflect the participation enthusiasm of retail investors [57]. - **Newly Established Fund Sizes**: The changes in the newly established sizes of stock - type, hybrid, and bond - type funds are presented, which can reflect the fund - raising situation in the market [59][61][63].