Group 1: Index Trends - On August 4th, the Shanghai Composite Index rose 0.66% to close at 3583.31 points with a trading volume of 639.776 billion yuan; the Shenzhen Component Index rose 0.46% to close at 11041.56 points with a trading volume of 858.775 billion yuan [1]. - The CSI 1000 Index rose 1.04% with a trading volume of 329.555 billion yuan, opening at 6637.84, closing at 6739.69, with a daily high of 6739.73 and a low of 6631.12 [1]. - The CSI 500 Index rose 0.78% with a trading volume of 236.649 billion yuan, opening at 6190.34, closing at 6261.73, with a daily high of 6261.96 and a low of 6187.62 [1]. - The SSE 50 Index rose 0.55% with a trading volume of 80.252 billion yuan, opening at 2748.62, closing at 2769.39, with a daily high of 2769.39 and a low of 2748.62 [1]. Group 2: Impact of Sector Movements on Indexes - The CSI 1000 rose 69.22 points from the previous close, with sectors such as electronics, machinery, and national defense and military industry significantly contributing to the upward movement [2]. - The CSI 500 rose 48.53 points from the previous close, with sectors such as national defense and military industry, media, and non - ferrous metals significantly contributing to the upward movement [2]. - The SSE 50 rose 15.26 points from the previous close, with sectors such as banks, non - ferrous metals, and electronics significantly contributing to the upward movement [2]. Group 3: Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 35.52, IM01 of - 107.93, IM02 of - 294.98, and IM03 of - 466.83 [13]. - For IC contracts, IC00 had an average daily basis of - 34.72, IC01 of - 96.84, IC02 of - 247.57, and IC03 of - 377.49 [13]. - For IF contracts, IF00 had an average daily basis of - 6.85, IF01 of - 19.1, IF02 of - 50.68, and IF03 of - 81.55 [13]. - For IH contracts, IH00 had an average daily basis of - 0.09, IH01 of 0.34, IH02 of 2.36, and IH03 of 2.52 [13]. Group 4: Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different times (e.g., 09:45, 10:00 etc.) are provided, such as at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791 etc. [21]. - For IC contracts, data on roll - over point differences and their annualized costs at different times are provided, like at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318 etc. [22]. - For IF contracts, data on roll - over point differences and their annualized costs at different times are provided, for example, at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098 etc. [23]. - For IH contracts, data on roll - over point differences and their annualized costs at different times are provided, such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889 etc. [24].

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - Last week, the four stock index futures varieties continued to rise, with CSI 500 and CSI 1000 showing relatively strong performance Most of the basis of the four stock index futures varieties was in the futures discount mode The A - share market remained upward, with the market strength gradually increasing and the trading volume rising The Wande All - A index broke through last year's October high, and the scope of hot industries expanded, with industries entering a virtuous rotation [2] - Looking ahead to next week, the incremental funds for this upward movement initially came from a wide range of net inflows of institutional funds As the market's money - making effect accumulates, the inflow of retail investors is accelerating, and the market heat is rising The "anti - involution" narrative logic is strengthening The policy of "anti - involution" is both a short - term measure to stabilize the price level and revive nominal growth and a long - term strategic choice to build a consumption - driven economy [3][4] 3. Summaries Based on Relevant Contents Market Performance - Last week, the four stock index futures varieties showed a general upward trend, with CSI 500 and CSI 1000 being relatively strong The basis of the futures main contracts was as follows: IH was 1.29, IF was - 11.16, IC was - 83.59, and IM was - 100.81 [2] - The A - share market continued to rise last week, with Friday's adjustment not affecting its overall strength The Wande All - A index broke through last year's October high, and industries entered a virtuous rotation, with low - position chip semiconductors and the computer sector taking over the rise on Friday [2] Market Outlook - Next week, the incremental funds for the upward movement initially came from institutional net inflows, and the inflow of retail investors is accelerating The market heat is rising, and the "anti - involution" narrative logic is strengthening [3] Policy Impact - The Sixth Meeting of the Central Financial and Economic Commission mentioned "anti - involution" again, making the top - down "anti - involution" policy thinking clearer and accelerating the pace of governing the disorderly low - price competition of enterprises in various industries "Anti - involution" is both a short - term measure for economic stability and a long - term strategic choice [4]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - This week, the anti - "involution" policy drove up the stock prices of related sectors, coupled with the rebound of the large - financial sector, leading to a recovery in market risk appetite. Overseas, the impact of US tariffs is gradually materializing. Domestically, attention should be focused on the expectations of the "Political Bureau Meeting of the CPC Central Committee" in July, with anti - "involution" expected to be one of the important themes. Strategically, opportunities for market style rotation should be monitored, and it is recommended to go long on IF stock index futures on dips [10][11]. Summary by Directory 1. Weekly Assessment and Strategy Recommendation - **Important News**: Include the start of the Yarlung Zangbo River downstream hydropower project, the release of the "Rural Highway Regulations", power consumption growth, state - owned asset optimization, potential innovation in the Sci - tech Innovation Board, possible large - scale redemptions of bond funds, and Trump's proposed tariff policy [10]. - **Economic and Corporate Earnings**: China's Q2 GDP annual rate was 5.2%, with positive performance in consumption, industrial added value, and exports. However, the real estate sector continued to decline, and there was still significant pressure to stabilize prices. The social financing scale and money supply showed certain growth [10]. - **Interest Rates and Credit Environment**: The 10Y treasury and credit bond interest rates rebounded synchronously, with unchanged credit spreads. The DR007 interest rate rebounded seasonally at the end of the month, and liquidity tightened temporarily [10]. - **Trading Strategies**: Hold a small number of IM long positions in the long - term due to its medium - to - low valuation and long - term discount. Hold IF long positions for six months as a new round of interest rate cuts may benefit high - dividend assets [12]. 2. Spot and Futures Markets - **Market Indexes**: Data for major indexes such as the Shanghai Composite Index, Shenzhen Component Index, and others are not available. The AH ratio was 123.52, down 2.19% from 126.28 [14]. - **Futures Contracts**: Data for various stock index futures contracts including IF, IH, IC, and IM are not available [15]. - **Volume and Ratio Analysis**: Multiple charts show historical data on trading volume, open interest, basis, and contract ratios of stock index futures [17][19][21][23][28][30]. 3. Economic and Corporate Earnings - **Economic Indicators**: Q2 GDP actual growth was 5.2%. In June, the manufacturing PMI was 49.7%, up 0.2 percentage points from May. Consumption growth slowed to 4.8%. Exports remained resilient with a 5.8% year - on - year increase. Investment growth was 2.8%, with declines in manufacturing, real estate, and infrastructure investment [35][38][41]. - **Corporate Earnings**: In Q1 2025, the revenue growth rate of all A - share non - financial listed companies slightly declined compared to Q4 but was still higher than Q3 last year. The operating net cash flow increased year - on - year and improved compared to Q4, mainly due to reduced inventory [44]. 4. Interest Rates and Credit Environment - **Interest Rates**: The 10 - year treasury bond yield and 3 - year AA - corporate bond yield are presented in charts. The DR007 interest rate and 7 - day reverse repurchase rate, along with reverse repurchase volume, show liquidity and policy rate trends. Sino - US 10 - year bond interest rates and spreads, as well as the relationship between interest rates and exchange rates, are also analyzed [47][50][52]. - **Credit Environment**: In June 2025, M1 growth was 4.6% and M2 growth was 8.3%. The social financing increment was 4.20 trillion yuan, with government bonds and corporate short - term loans being the main contributors [57]. 5. Capital Flows - **Inflow**: This week, the new share issuance of equity - biased funds was 194 million shares, and the net margin purchase was 392 million yuan [63][66]. - **Outflow**: This week, major shareholders had a net increase in holdings of 3883 million yuan, and the number of IPO approvals was 1 [69]. 6. Valuation - The price - to - earnings ratio (TTM) of the Shanghai 50 was 11.41, the CSI 300 was 13.51, the CSI 500 was 30.73, and the CSI 1000 was 40.26. The price - to - book ratio (LF) of the Shanghai 50 was 1.26, the CSI 300 was 1.42, the CSI 500 was 2.06, and the CSI 1000 was 2.29 [73].

Quantitative Models and Construction Methods 1. Model Name: Dividend-Adjusted Basis Model - **Model Construction Idea**: The model adjusts the futures basis by incorporating the expected dividend impact during the contract's life, ensuring a more accurate representation of the basis[20] - **Model Construction Process**: The formula for the adjusted basis is: $ Adjusted\ Basis = Actual\ Basis + Expected\ Dividend\ Points $ The annualized basis is calculated as: $ Annualized\ Basis = \frac{(Actual\ Basis + Expected\ Dividend\ Points)}{Index\ Price} \times \frac{360}{Days\ to\ Maturity} $ This adjustment accounts for the dividend points expected during the contract's life, which are subtracted from the index level but reflected in the futures price[20][21][27] 2. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy involves continuously holding futures contracts to hedge the spot index, adjusting positions as contracts approach expiration[46] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Rebalancing Rule**: - Hold the current month/quarter futures contract until 2 days before expiration - Close the expiring contract and open a new position in the next month/quarter contract at the closing price - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[47] 3. Model Name: Minimum Discount Hedging Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized discount to minimize basis risk[48] - **Model Construction Process**: - **Hedging Setup**: - Spot: Hold the total return index of the underlying - Futures: Use 70% of the capital for the spot and the remaining 30% for shorting futures contracts - **Selection Rule**: - Calculate the annualized basis for all available futures contracts - Select the contract with the smallest discount for hedging - Hold the selected contract for 8 trading days or until 2 days before expiration, whichever comes first - **Assumptions**: No transaction costs, no slippage, and equal capital allocation between spot and futures[48] --- Model Backtesting Results 1. Dividend-Adjusted Basis Model - **IC Futures**: Current basis discount at -7.79%, improved from a weekly low of -8.57%[21] - **IF Futures**: Current basis discount at -1.74%, improved from a weekly low of -2.33%[27] - **IH Futures**: Current basis premium at 0.52%, down from a weekly high of 0.94%[32] - **IM Futures**: Current basis discount at -10.13%, improved from a weekly low of -11.86%[39] 2. Continuous Hedging Strategy - **IC Futures**: - Annualized Return: -2.87% (current month), -2.11% (quarterly)[50] - Volatility: 3.85% (current month), 4.74% (quarterly)[50] - Maximum Drawdown: -8.65% (current month), -8.34% (quarterly)[50] - **IF Futures**: - Annualized Return: 0.52% (current month), 0.69% (quarterly)[55] - Volatility: 2.99% (current month), 3.34% (quarterly)[55] - Maximum Drawdown: -3.95% (current month), -4.03% (quarterly)[55] - **IH Futures**: - Annualized Return: 1.08% (current month), 2.00% (quarterly)[59] - Volatility: 3.10% (current month), 3.52% (quarterly)[59] - Maximum Drawdown: -4.22% (current month), -3.76% (quarterly)[59] - **IM Futures**: - Annualized Return: -6.09% (current month), -4.50% (quarterly)[61] - Volatility: 4.73% (current month), 5.78% (quarterly)[61] - Maximum Drawdown: -14.01% (current month), -12.63% (quarterly)[61] 3. Minimum Discount Hedging Strategy - **IC Futures**: - Annualized Return: -1.09%[50] - Volatility: 4.64%[50] - Maximum Drawdown: -7.97%[50] - **IF Futures**: - Annualized Return: 1.33%[55] - Volatility: 3.12%[55] - Maximum Drawdown: -4.06%[55] - **IH Futures**: - Annualized Return: 1.75%[59] - Volatility: 3.12%[59] - Maximum Drawdown: -3.91%[59] - **IM Futures**: - Annualized Return: -3.89%[61] - Volatility: 5.58%[61] - Maximum Drawdown: -11.11%[61] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility for the underlying asset, with a term structure to capture different time horizons[64] - **Factor Construction Process**: - Derived from the implied volatility of options on the underlying index - Adjusted to reflect the characteristics of the Chinese market[64] - **Current Values**: - 30-day VIX: 21.24 (SSE 50), 20.56 (CSI 300), 28.18 (CSI 500), 25.00 (CSI 1000)[64] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market sentiment on tail risks[74] - **Factor Construction Process**: - Calculated based on the implied volatility of out-of-the-money options - Higher values indicate greater concern for downside risks[74][75] - **Current Values**: - SKEW: 97.47 (SSE 50), 98.01 (CSI 300), 100.61 (CSI 500), 102.81 (CSI 1000)[75] --- Factor Backtesting Results 1. Cinda-VIX - **30-day VIX**: - SSE 50: 21.24[64] - CSI 300: 20.56[64] - CSI 500: 28.18[64] - CSI 1000: 25.00[64] 2. Cinda-SKEW - **SKEW**: - SSE 50: 97.47[75] - CSI 300: 98.01[75] - CSI 500: 100.61[75] - CSI 1000: 102.81[75]

Index Trends - On July 17th, the Shanghai Composite Index rose 0.37% to close at 3516.83 points with a trading volume of 609.791 billion yuan; the Shenzhen Component Index rose 1.43% to close at 10873.62 points with a trading volume of 929.578 billion yuan [1]. - The CSI 1000 Index rose 1.14% with a trading volume of 325.984 billion yuan, opening at 6458.41, closing at 6535.67, with a high of 6535.67 and a low of 6451.15 [1]. - The CSI 500 Index rose 1.08% with a trading volume of 235.043 billion yuan, opening at 6013.71, closing at 6082.46, with a high of 6082.46 and a low of 6013.04 [1]. - The SSE 300 Index rose 0.68% with a trading volume of 325.517 billion yuan, opening at 4005.07, closing at 4034.49, with a high of 4034.59 and a low of 4005.07 [1]. - The SSE 50 Index rose 0.12% with a trading volume of 74.646 billion yuan, opening at 2737.35, closing at 2744.26, with a high of 2744.74 and a low of 2732.35 [1]. Impact of Sector Movements on Indexes - The CSI 1000 rose 73.61 points from the previous close, with sectors such as Medicine & Biology, Electronics, and Machinery having a significant upward pull on the index [3]. - The CSI 500 rose 65.27 points from the previous close, with sectors such as Electronics, Medicine & Biology, and National Defense & Military Industry having a significant upward pull on the index [3]. - The SSE 300 rose 27.29 points from the previous close, with sectors such as Electronics, Communication, and Medicine & Biology having a significant upward pull on the index [3]. - The SSE 50 rose 3.36 points from the previous close, with sectors such as Food & Beverage, Medicine & Biology, and National Defense & Military Industry having a significant upward pull, while sectors such as Transportation, Communication, and Banking had a downward pull [3]. Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of -8.13, IM01 -75.98, IM02 -151.1, and IM03 -336.78 [14]. - For IC contracts, IC00 had an average daily basis of -1.49, IC01 -54.76, IC02 -108.14, and IC03 -235.3 [14]. - For IF contracts, IF00 had an average daily basis of -3.57, IF01 -15.25, IF02 -27.9, and IF03 -63.8 [14]. - For IH contracts, IH00 had an average daily basis of -2.73, IH01 -5.16, IH02 -5.96, and IH03 -4.36 [14]. Futures Roll - over Point Differences and Annualized Costs - Data on the roll - over point differences and their annualized costs for IM, IC, IF, and IH contracts at different time points from 09:45 to 15:00 are presented in detailed tables [25][26][27][28].

1. Report Industry Investment Rating - Not provided in the given content 2. Report Core View - The report presents the daily data of stock index futures including IM, IF, IC, and IH on July 10, 2025, covering their market quotes, trading volume, open interest, basis, and positions of major seats [4][21][39][53] 3. Summary by Relevant Catalogs 3.1 IM Index Futures - **Market Quotes**: The closing price of the CSI 1000 index was 6406.57, up 0.25%. The main contract IM2509 rose 0.19% to 6231.6 points. The total trading volume of the four contracts was 168,165 lots, an increase of 5,777 lots from the previous day, and the total open interest was 333,057 lots, an increase of 11,313 lots [4][5] - **Basis**: The main contract was at a discount of 174.97 points, up 1.5 points from the previous day, with an annualized basis rate of -14.23% [5] - **Positions of Major Seats**: In IM2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 29,040 lots. For long positions, Guotai Junan (on behalf of clients) held 21,994 lots, and for short positions, CITIC Futures (on behalf of clients) held 34,821 lots [17] 3.2 IF Index Futures - **Market Quotes**: The closing price of the SSE 300 index was 4010.02, up 0.47%. The main contract IF2509 rose 0.38% to 3972 points. The total trading volume of the four contracts was 97,027 lots, an increase of 14,938 lots from the previous day, and the total open interest was 258,020 lots, an increase of 11,835 lots [21][22] - **Basis**: The main contract was at a discount of 38.02 points, up 0.58 points from the previous day, with an annualized basis rate of -4.85% [22] - **Positions of Major Seats**: In IF2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 11,334 lots. For long positions, Guotai Junan (on behalf of clients) held 9,457 lots, and for short positions, CITIC Futures (on behalf of clients) held 13,611 lots [35] 3.3 IC Index Futures - **Market Quotes**: The closing price of the CSI 500 index was 5983.05, up 0.50%. The main contract IC2509 rose 0.42% to 5854.2 points. The total trading volume of the four contracts was 73,407 lots, an increase of 2,623 lots from the previous day, and the total open interest was 227,469 lots, an increase of 5,291 lots [39][40] - **Basis**: The main contract was at a discount of 128.85 points, up 1.24 points from the previous day, with an annualized basis rate of -11.16% [40] - **Positions of Major Seats**: In IC2507, the top five trading volume seats were led by Guotai Junan (on behalf of clients) with 9,878 lots. For long positions, CITIC Futures (on behalf of clients) held 15,111 lots, and for short positions, CITIC Futures (on behalf of clients) held 16,422 lots [48] 3.4 IH Index Futures - **Market Quotes**: The closing price of the SSE 50 index was 2756.93, up 0.62%. The main contract IH2509 rose 0.49% to 2740.4 points. The total trading volume of the four contracts was 56,248 lots, an increase of 13,869 lots from the previous day, and the total open interest was 95,486 lots, an increase of 9,632 lots [53] - **Basis**: The main contract was at a discount of 16.53 points, down 0.61 points from the previous day, with an annualized basis rate of -3.06% [54] - **Positions of Major Seats**: In IH2507, the top five trading volume seats were led by CITIC Futures (on behalf of clients) with 6,558 lots. For long positions, CITIC Futures (on behalf of clients) held 4,506 lots, and for short positions, Guotai Junan (on behalf of clients) held 5,852 lots [64]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View - The report provides a daily tracking of the positions of stock index futures, including IF, IH, IC, and IM, and analyzes the changes in total positions and the top 20 seats' positions [1][5][11] 3. Summary by Related Catalogs IF (CSI 300) - Total position significantly increased, with the top 20 seats mainly increasing positions. On July 8, the total position of the IF variety increased by 13,588 hands, and the position of the main contract 2509 increased by 6,572 hands [1][5] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 43,747 hands. CITIC Futures had the most long - position increase (1,425 hands), and Shenyin Wanguo Futures had the most long - position decrease (286 hands) [6] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 46,429 hands. Haitong Futures had the most short - position increase (2,179 hands), and CICC Wealth had the most short - position decrease (19 hands) [8] IH (SSE 50) - Total position slightly increased, and the positions of the top 20 seats changed little. On July 8, the total position of the IH variety increased by 2,249 hands, and the position of the main contract 2509 increased by 2,097 hands [1][11] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 10,132 hands. Guotou Futures had the most long - position increase (352 hands), and GF Futures had the most long - position decrease (228 hands) [12] - Among the top 20 short - position seats, Guotai Junan Futures ranked first with a total position of 12,033 hands. GF Futures had the most short - position increase (440 hands), and Huawen Futures had the most short - position decrease (143 hands) [13] IC (CSI 500) - Total position significantly increased, and both Guotai Junan and CITIC increased their long and short positions by more than 2,000 hands. On July 8, the total position of the IC variety increased by 13,286 hands, and the position of the main contract 2507 increased by 4,008 hands [1][17] - Among the top 20 long - position seats, CITIC Futures ranked first with a total position of 35,866 hands. Guotai Junan Futures had the most long - position increase (2,439 hands), and Shenyin Wanguo Futures had the most long - position decrease (208 hands) [18] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 40,930 hands. CITIC Futures had the most short - position increase (2,807 hands), and Shan Jin Futures had the most short - position decrease (223 hands) [19] IM (CSI 1000) - Total position significantly increased, and CITIC increased its long and short positions by more than 8,000 hands. On July 8, the total position of the IM variety increased by 26,607 hands, and the position of the main contract 2509 increased by 15,443 hands [1][23] - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 45,750 hands. CITIC Futures had the most long - position increase (8,512 hands), and Yong'an Futures had the most long - position decrease (401 hands) [24] - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 67,946 hands. CITIC Futures had the most short - position increase (9,100 hands), and CICC Wealth had the most short - position decrease (265 hands) [26]

Report Overview - Report Date: July 2, 2025 - Report Title: Index Futures Basis Series: Maintaining the Strategy of Basis Convergence - Analysts: Yu Kan, Li Honglei 1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The futures market's characteristic of following the upward movement but not the downward movement may indicate investors' expectations for the index market. Coupled with the improvement of fundamentals and the continuation of the low - interest - rate environment, the report is optimistic about the further improvement of the index beta, which will drive the basis to rise. Regulatory policies may bring trillions of incremental funds to the market, increasing the certainty of the index's upward trend. Currently, the basis has returned to a historical low, and the previous strategy ideas can be continued, including enhancing the long - position substitution strategy, mainly using near - month hedging for short - position hedging, and adopting the term reverse arbitrage strategy for inter - period arbitrage [6][20][26] 3. Summary by Directory 3.1 Recent Basis Review - **Market Performance in June**: The A - share market in June showed a "low - first - then - high" structural trend. At the beginning and middle of the month, despite favorable policies, the market risk appetite was not significantly repaired. In the last week, with multiple positive factors, the market risk appetite rapidly increased, trading volume significantly expanded, and the index rose rapidly. Small and micro - cap stocks led the gains, with a monthly increase of over 5% [6][7][8] - **Basis Changes**: In June, the arbitrage trading of eating the basis increased. The basis of IC and IM has been continuously converging since mid - June, while IH and IF remained stable throughout the month. At the end of the month, due to market adjustments and institutional profit - taking pressure, the basis widened rapidly, and each variety's basis returned to a low level in the past three years. The intraday 1 - minute frequency basis of each variety remained highly consistent, indicating systematic expectations. The futures market's characteristic of following the upward movement but not the downward movement reflects investors' expectations for the index market [6][14][20] - **Strategy Performance in June**: The return of the long - position substitution strategy further increased. The excess returns of the IC and IM main contracts compared to the index increased to 2.8% and 12.6% respectively, nearly 2% higher than in May. For short - position hedging, near - month contracts had lower costs, especially in the IC variety. In inter - period arbitrage, the long - far - month and short - near - month strategy gained some profits but suffered a retracement at the end of the month [22] - **Product - End Strategy Adjustment**: In June, there were adjustments in the strategy positions of the product end, showing the characteristics of quick entry and exit. Index - related products were stable with a slight decline, but the scale of A500ETF stabilized and rebounded, and the new issuance of index - enhanced products increased compared to May. The neutral strategy suffered a certain retracement, but the long - short positions increased as the hedging cost decreased. The long - position substitution strategy of futures was evident, and the CTA strategy's futures positions increased rapidly during the index's rise but decreased rapidly at the end of the month, causing the basis to fall back to a historical low and creating an arbitrage space [24][25] 3.2 Long - Position Roll - Over Performance Review - **Performance Data**: In the past 250 trading days, the annualized excess returns of IF, IH, IC, and IM in the long - position roll - over strategy were - 3.6%, 0.9%, 2.1%, and - 4.1% respectively. The benchmark portfolio was set as a weighted combination based on the previous trading day's closing positions of each contract, without considering handling fees. The trading prices in the calculation were the TWAP prices in the first half - hour of the opening [38] 3.3 Short - Position Roll - Over Performance Review - **Performance Data**: In the past 250 trading days, the annualized excess returns of IF, IH, IC, and IM in the short - position roll - over strategy were - 0.2%, - 0.5%, 1.2%, and - 0.3% respectively [45]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The overall positions of IF, IH, IC, and IM futures contracts showed an upward trend on June 23, 2025, with significant increases in some cases [6][12][18][23]. - In the top twenty positions, major institutions such as Citic Futures and Guotai Junan Futures significantly increased their long and short positions in multiple varieties [6][7][9]. 3. Summary by Related Catalogs IF (CSI 300) - **Total and Main Contract Positions**: On June 23, the total positions of the IF variety increased by 18,334 lots, and the positions of the main contract 2509 increased by 9,751 lots [6]. - **Top Twenty Long - Position Seats**: Guotai Junan Futures ranked first with a total position of 41,606 lots. Citic Futures had the largest increase in long positions, adding 3,455 lots, while Shenyin Wanguo Futures had the largest decrease, reducing 67 lots [7]. - **Top Twenty Short - Position Seats**: Citic Futures ranked first with a total position of 44,977 lots. Citic Futures also had the largest increase in short positions, adding 3,521 lots, and Citic Construction Investment Futures had the largest decrease, reducing 410 lots [9]. IH (SSE 50) - **Total and Main Contract Positions**: On June 23, the total positions of the IH variety increased by 12,339 lots, and the positions of the main contract 2509 increased by 7,115 lots [12]. - **Top Twenty Long - Position Seats**: Guotai Junan Futures ranked first with a total position of 11,319 lots. Guotai Junan Futures had the largest increase in long positions, adding 3,018 lots, and Guotou Futures had the largest decrease, reducing 102 lots [13]. - **Top Twenty Short - Position Seats**: Citic Futures ranked first with a total position of 13,059 lots. Citic Futures had the largest increase in short positions, adding 3,095 lots, and China Merchants Futures had the largest decrease, reducing 34 lots [14]. IC (CSI 500) - **Total and Main Contract Positions**: On June 23, the total positions of the IC variety increased by 6,879 lots, and the positions of the main contract 2507 increased by 1,059 lots [18]. - **Top Twenty Long - Position Seats**: Citic Futures ranked first with a total position of 36,297 lots. Guotai Junan Futures had the largest increase in long positions, adding 1,141 lots, and Zheshang Futures had the largest decrease, reducing 157 lots [18]. - **Top Twenty Short - Position Seats**: Citic Futures ranked first with a total position of 42,688 lots. Guotai Junan Futures had the largest increase in short positions, adding 1,398 lots, and CICC Wealth had the largest decrease, reducing 556 lots [19]. IM (CSI 1000) - **Total and Main Contract Positions**: On June 23, the total positions of the IM variety increased by 12,238 lots, and the positions of the main contract 2509 increased by 6,910 lots [23]. - **Top Twenty Long - Position Seats**: Guotai Junan Futures ranked first with a total position of 42,878 lots. Citic Futures had the largest increase in long positions, adding 2,932 lots, and Guotou Futures had the largest decrease, reducing 1,120 lots [23]. - **Top Twenty Short - Position Seats**: Citic Futures ranked first with a total position of 64,072 lots. Citic Futures had the largest increase in short positions, adding 3,858 lots, and Everbright Futures had the largest decrease, reducing 553 lots [24].

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - On May 28, 2025, the total positions of IF, IH, IC, and IM in the stock index futures market all declined, with significant decreases in the main contracts. The top twenty long and short positions mainly reduced their holdings [1][5][11][17][22] 3. Summary by Related Catalogs IF (CSI 300) - **Total Position and Main Contract Position Changes**: On May 28, the total position of the IF variety decreased by 9,159 lots, and the position of the main contract 2506 decreased by 10,523 lots [5] - **Top Twenty Long Position Holders Changes**: Among the top twenty long position holders of the IF variety on that day, Guotai Junan Futures ranked first with a total position of 38,877 lots. Everbright Futures had the most long - position increases, adding 71 lots intraday, while Guotai Junan Futures had the most long - position decreases, reducing 1,660 lots intraday [6] - **Top Twenty Short Position Holders Changes**: Among the top twenty short position holders of the IF variety on that day, CITIC Futures ranked first with a total position of 43,090 lots. Bank of China Futures had the most short - position increases, adding 176 lots intraday, while Guotai Junan Futures had the most short - position decreases, reducing 2,333 lots intraday [8] IH (SSE 50) - **Total Position and Main Contract Position Changes**: On May 28, the total position of the IH variety decreased by 5,458 lots, and the position of the main contract 2506 decreased by 4,562 lots [11] - **Top Twenty Long Position Holders Changes**: Among the top twenty long position holders of the IH variety on that day, Guotai Junan Futures ranked first with a total position of 9,713 lots. Shenyin Wanguo Futures had the most long - position increases, adding 89 lots intraday, while CITIC Futures had the most long - position decreases, reducing 1,467 lots intraday [12] - **Top Twenty Short Position Holders Changes**: Among the top twenty short position holders of the IH variety on that day, Guotai Junan Futures ranked first with a total position of 10,844 lots. Huatai Futures had the most short - position increases, adding 124 lots intraday, while Guotai Junan Futures had the most short - position decreases, reducing 1,439 lots intraday [13] IC (CSI 500) - **Total Position and Main Contract Position Changes**: On May 28, the total position of the IC variety decreased by 5,580 lots, and the position of the main contract 2506 decreased by 5,278 lots [17] - **Top Twenty Long Position Holders Changes**: Among the top twenty long position holders of the IC variety on that day, CITIC Futures ranked first with a total position of 31,770 lots. Everbright Futures had the most long - position increases, adding 93 lots intraday, while Haitong Futures had the most long - position decreases, reducing 1,562 lots intraday [17] - **Top Twenty Short Position Holders Changes**: Among the top twenty short position holders of the IC variety on that day, CITIC Futures ranked first with a total position of 32,475 lots. Huatai Futures had the most short - position increases, adding 100 lots intraday, while CITIC Futures had the most short - position decreases, reducing 1,272 lots intraday [18] IM (CSI 1000) - **Total Position and Main Contract Position Changes**: On May 28, the total position of the IM variety decreased significantly by 11,992 lots, and the position of the main contract 2506 decreased by 11,259 lots [22] - **Top Twenty Long Position Holders Changes**: Among the top twenty long position holders of the IM variety on that day, Guotai Junan Futures ranked first with a total position of 44,355 lots. Baocheng Futures had the most long - position increases, adding 68 lots intraday, while CITIC Futures had the most long - position decreases, reducing 2,758 lots intraday [23] - **Top Twenty Short Position Holders Changes**: Among the top twenty short position holders of the IM variety on that day, CITIC Futures ranked first with a total position of 60,409 lots. Huatai Futures had the most short - position increases, adding 333 lots intraday, while Guotai Junan Futures had the most short - position decreases, reducing 2,840 lots intraday [25]