Report Title - "Stock Index Futures Weekly Report: IC and IM Accelerate Upward" [1] Report Industry Investment Rating - Not provided Core Viewpoints of the Report - The market enthusiasm has risen again after a week of cooling of thematic hotspots, and the upward trend is expected to continue due to high trading volume and sufficient funds. The differentiation of stock indexes may further strengthen investors' expectations, leading funds to flow into non-300 component stocks. It is still optimistic about the CSI 500 and CSI 1000 indexes. In the futures market, the large premium of the near - month contracts of IC and IM indicates investors' optimism about the future market, but also increases the cost of going long in futures [5]. Summary by Relevant Catalogs Part 1: Weekly Core Points Analysis and Strategy Recommendations - **Weekend News** - US President Trump will visit China in April, and China's Foreign Ministry spokesperson said that stable Sino - US relations are in the common interests of the two peoples and the international community [4]. - The China Securities Regulatory Commission and the Asset Management Association of China issued relevant regulations on the performance comparison benchmarks of public - offering securities investment funds, focusing on four aspects: accurate portrayal, full - process supervision, linking with compensation, and information transparency [4]. - The news that the CSRC will tighten the listing threshold for mainland enterprises in Hong Kong is false, and the current overseas listing policy remains unchanged [4]. - As of the end of 2025, the existing scale of the banking wealth - management market was 33.29 trillion yuan, a year - on - year increase of 11.15%. In 2025, the overall income of wealth - management products was stable, with a cumulative income of 730.3 billion yuan for investors, a year - on - year increase of 2.87% [4]. - **Comprehensive Analysis and Strategy Recommendations** - **Logic**: After a week of cooling, thematic hotspots regained momentum in the second half of the week. The CSI 500 and CSI 1000 indexes continued to reach new highs, and the market trading volume remained high, with the trading volume exceeding 3 trillion yuan again on Friday [5]. - **Outlook**: During the concentrated disclosure period of annual report forecasts, the market treats performance growth positively. The differentiation of stock indexes may strengthen investors' expectations, and the rotation of various industry and theme ETFs will continue to drive the rotation of sectors. It is still optimistic about the CSI 500 and CSI 1000 indexes [5]. - **Strategy**: Unilateral strategy is to go long on IC and IM at low prices; arbitrage strategy is the spot - futures arbitrage of "IM long 2609 + short ETF"; option strategy is the bull spread [5][6]. Part 2: Weekly Data Tracking - **A - share Index Performance** - This week, the performance of stock indexes was differentiated. The large - cap indexes were under obvious pressure, while the small - and medium - cap indexes accelerated their rise. The CSI 300 fell 0.62%, the SSE 50 fell 1.54%, the CSI 500 rose 4.34%, and the CSI 1000 rose 2.89% [17]. - **A - share Trading Volume** - This week, the A - share market trading volume first declined and then rose, reaching 3 trillion yuan again on Friday. The total weekly trading volume was 13.86 trillion yuan, and the average daily trading volume decreased by 19% compared with last week. The trading volume ratios of the main indexes remained stable, with a slight increase in the trading volume ratios of the CSI 1000 and CSI 500 indexes [22]. - **A - share Individual Stock Rise - Fall Situation** - The market was in a good state, with more rising stocks than falling stocks. The proportion of rising stocks in the second half of the week was continuously higher than 50% and kept rising. The proportion of limit - down stocks continued to decline, reaching a recent low on Friday, while the proportion of limit - up stocks continued to rise, exceeding 2% again [29]. - **A - share Margin Trading Situation** - This week, the margin trading balance in the A - share market remained at a high level, exceeding 2.7 trillion yuan again on Thursday, accounting for 2.6% of the A - share floating market value. After two consecutive days of net selling at the beginning of the week, there was net buying again. The proportion of margin trading purchases in the A - share trading volume continued to fall below 10% [34]. - **A - share Industry Performance** - **Industry Weekly Rise - Fall**: The rise - fall ranges of different industries varied, with some industries rising significantly and some falling [37]. - **Industry Heat**: The total heat change rates and total heats of different industries showed different trends [39]. - **Industry Capital Flow**: The weekly net capital inflows and weekly net margin trading inflows of different industries also showed different situations [42]. - **Stock Index Futures Data** - **Basis Change**: The basis of different stock index futures contracts showed different changes [48]. - **Trading Volume and Open Interest Change**: The trading volumes and open interests of different stock index futures contracts showed different trends [51][52][53][54]. - **Spot - Futures Trading Volume Comparison**: The trading volumes of the main contracts and all contracts of different stock index futures were compared with the trading volumes of the corresponding spot indexes [57][58][59]. - **Main Open Interest of Stock Index Futures**: The net short - position ratios of the top five and top ten holders of different stock index futures showed different trends [62].

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints of the Report - Last week, with only 3 trading days before the holiday, the market transitioned smoothly with no significant changes in the index. The sector was mainly driven by thematic investment trading, and some technology hotspots remained active. Multiple factors such as the unexpected rebound of China's December PMI, improved trade conditions boosting exports, a longer stocking cycle due to the late Spring Festival, and the effectiveness of previous policies led to a better - than - expected stabilization of the fundamentals [1]. - The Hong Kong stock market during the holiday showed strong performance mainly driven by the technology sector, which is beneficial for the continuation of domestic thematic investment enthusiasm. The US military strike on Venezuela is the first "black swan" event in 2026. It may have an indirect impact on China through the transmission of US inflation expectations, risk appetite, and liquidity expectations, but the direct impact is expected to be limited. Overall, Sino - US economic and trade relations may remain stable. If there is some shock consolidation this week due to risk preference, it still presents a buying opportunity on the dip. Before the Spring Festival, expectations of policy开门红 and monetary easing such as the initial - of - the - year reserve requirement ratio cut still provide support [2]. - Factors to watch include domestic economic data, local two - sessions, the new chairman of the Federal Reserve, and geopolitical trends [3]. Summary by Relevant Catalogs 1. Spot Market Review - Last week, global stock indices showed mixed performance. Among them, the UK's FTSE 100 rose 0.61%, the Spanish index rose 1.06%, while the Nasdaq fell 1.49%, and the Nikkei 225 fell 0.81%. The Shanghai Composite Index rose 0.13% [9]. - Since 2025, major indices have shown different degrees of increase. The CSI 1000 rose 27.5%, and the ChiNext Index rose 49.6%. Last week, the major domestic indices also showed mixed performance. The Shanghai Composite Index rose 0.13%, while the GEM Index fell 1.25% [11]. - Last week, industries in the CSI 300 and CSI 500 indices showed mixed performance. In the CSI 300, the energy sector rose 2.91%, while the utilities sector fell 2.84%. In the CSI 500, the telecommunications sector rose 2.35%, and the pharmaceutical sector rose 5.6% [13]. 2. Stock Index Futures Market Review - Last week, among the stock index futures' main contracts, the IH contract had the largest decline, and the IC contract had the largest amplitude. Both the trading volume and open interest of stock index futures declined [15]. 3. Index Valuation Tracking - As of December 26th, the price - to - earnings ratio (TTM) of the Shanghai Composite Index was 16.54 times, the CSI 300 Index was 14.16 times, the SSE 50 Index was 11.78 times, the CSI 500 Index was 32.69 times, and the CSI 1000 Index was 46.78 times [16][18]. 4. Market Capital Flow Review - Last week, the capital interest rate once rebounded, and the central bank had a net investment situation [21]. Strategy Recommendations Short - term Strategy - The intraday trading frequency can refer to the 1 - minute and 5 - minute K - line charts. The stop - loss and take - profit levels of IF, IH, IC, and IM can be set at 93 points/116 points, 76 points/45 points, 186 points/261 points, and 228 points/304 points respectively [4]. Trend Strategy - Maintain a bullish view. It is expected that the core operating range of the IF2601 main contract is between 4484 and 4715 points, the IH2601 main contract is between 2950 and 3087 points, the IC2601 main contract is between 7232 and 7717 points, and the IM2601 main contract is between 7316 and 7809 points [4]. Cross - variety Strategy - Hold the strategy of shorting IF (or IH) and going long on IC (or IM) [5]

1. Index Trends - On September 25th, the Shanghai Composite Index had a change of -0.01%, closing at 3853.3 points with a trading volume of 1001.211 billion yuan; the Shenzhen Component Index had a change of 0.67%, closing at 13445.9 points with a trading volume of 1369.879 billion yuan [1]. - The CSI 1000 Index had a change of -0.37% and a trading volume of 464.745 billion yuan, with an opening price of 7521.32, a closing price of 7506.51, a daily high of 7563.08, and a low of 7487.12 [1]. - The CSI 500 Index had a change of 0.24% and a trading volume of 493.047 billion yuan, with an opening price of 7325.66, a closing price of 7341.32, a daily high of 7379.61, and a low of 7312.35 [1]. - The SSE 300 Index had a change of 0.6% and a trading volume of 669.867 billion yuan, with an opening price of 4563.98, a closing price of 4593.49, a daily high of 4613.95, and a low of 4558.84 [1]. - The SSE 50 Index had a change of 0.45% and a trading volume of 158.667 billion yuan, with an opening price of 2944.73, a closing price of 2952.74, a daily high of 2962.18, and a low of 2941.87 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index rose -27.71 points from the previous closing price. Media and communication sectors significantly pulled the index up, while basic chemicals, machinery, and electronics sectors pulled it down [3]. - The CSI 500 Index rose 17.61 points from the previous closing price. Computer, machinery, and electronics sectors significantly pulled the index up, while the non - banking financial sector pulled it down [3]. - The SSE 300 Index rose 27.42 points from the previous closing price. Power equipment, non - ferrous metals, and communication sectors significantly pulled the index up, while the banking sector pulled it down [3]. - The SSE 50 Index rose 13.23 points from the previous closing price. Non - ferrous metals, pharmaceutical biology, and electronics sectors significantly pulled the index up, while food and beverage and banking sectors pulled it down [3]. 3. Futures Basis and Annualized Opening Costs - IM00 had an average daily basis of -69.91, IM01 of -156.48, IM02 of -236.36, and IM03 of -449.96 [13]. - IC00 had an average daily basis of -51.53, IC01 of -122.3, IC02 of -177.77, and IC03 of -356.12 [13]. - IF00 had an average daily basis of -8.53, IF01 of -24.0, IF02 of -33.81, and IF03 of -65.69 [13]. - IH00 had an average daily basis of 2.04, IH01 of -0.05, IH02 of 1.44, and IH03 of -0.53 [13]. 4. Futures Roll - over Point Differences and Annualized Costs - For IM, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IM00 - 01, IM00 - 02, etc.) [21]. - For IC, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IC00 - 01, IC00 - 02, etc.) [23]. - For IF, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IF00 - 01, IF00 - 02, etc.) [24]. - For IH, from 09:45 to 15:00, there were data on point differences and annualized costs for different roll - over combinations (e.g., IH00 - 01, IH00 - 02, etc.) [26].

Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]

1. Report Information - Report Name: Stock Index Futures Data Daily Report [1] - Date: July 29, 2025 [2] 2. IM Futures 2.1 Market Summary - The main contract of IM rose 0.8% to close at 6,662 points. The total trading volume of the four IM contracts was 188,549 lots, an increase of 2,292 lots from the previous day, and the total open interest was 329,912 lots, a decrease of 8,839 lots from the previous day [4]. - The main contract of IM was at a discount of 111.88 points, an increase of 16.1 points from the previous day, and the annualized basis rate was -11.57%. The dividend impacts of the four IM contracts were 3.24 points, 4.26 points, 5.07 points, and 5.39 points respectively [5]. 2.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [4] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 1000 | 6,773.88 | 0.65% | 25,926 | 3% | 3,837 | 7% | - | - | - | | IM2508 | 6,731.00 | 0.84% | 38,521 | -2% | 514 | -2% | 59,508 | -4,161 | 96 | | IM2509 | 6,662.00 | 0.86% | 116,403 | 0% | 1,537 | 0% | 174,556 | -5,877 | 279 | | IM2512 | 6,471.80 | 0.80% | 26,296 | 9% | 337 | 8% | 78,495 | -546 | 122 | | IM2603 | 6,306.00 | 0.83% | 7,329 | 11% | 92 | 11% | 17,353 | 1,745 | 26 | 2.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [20][23][24] 3. IF Futures 3.1 Market Summary - The main contract of IF rose 0.51% to close at 4,141.4 points. The total trading volume of the four IF contracts was 97,663 lots, an increase of 4,670 lots from the previous day, and the total open interest was 259,520 lots, a decrease of 4,319 lots from the previous day [25][26]. - The main contract of IF was at a discount of 10.62 points, an increase of 3.2 points from the previous day, and the annualized basis rate was -1.77%. The dividend impacts of the four IF contracts were 3.44 points, 6.32 points, 6.32 points, and 6.32 points respectively [26]. 3.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [25] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 300 | 4,152.02 | 0.39% | 23,081 | 4% | 4,288 | 5% | - | - | - | | IF2508 | 4,152.80 | 0.57% | 24,227 | 4% | 300 | 4% | 41,889 | -2,558 | 63 | | IF2509 | 4,141.40 | 0.54% | 58,516 | 7% | 723 | 7% | 153,577 | -3,158 | 229 | | IF2512 | 4,110.00 | 0.51% | 10,826 | 0% | 133 | 0% | 54,546 | 1,051 | 81 | | IF2603 | 4,078.60 | 0.63% | 4,094 | -4% | 50 | -4% | 9,508 | 346 | 14 | 3.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [41][42][43] 4. IC Futures 4.1 Market Summary - The main contract of IC rose 0.51% to close at 6,263 points. The total trading volume of the four IC contracts was 88,093 lots, a decrease of 98 lots from the previous day, and the total open interest was 224,781 lots, a decrease of 3,909 lots from the previous day [45]. - The main contract of IC was at a discount of 93.13 points, an increase of 8.29 points from the previous day, and the annualized basis rate was -10.24%. The dividend impacts of the four IC contracts were 5.27 points, 6.97 points, 13.65 points, and 15.09 points respectively [46]. 4.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [45] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | CSI 500 | 6,356.13 | 0.52% | 20,176 | -6% | 2,925 | -4% | - | - | - | | IC2508 | 6,317.80 | 0.68% | 23,067 | -3% | 289 | -3% | 48,942 | -1,944 | 74 | | IC2509 | 6,263.00 | 0.66% | 46,670 | 1% | 579 | 1% | 105,314 | -2,825 | 158 | | IC2512 | 6,122.80 | 0.51% | 13,587 | -2% | 165 | -3% | 58,057 | -341 | 85 | | IC2603 | 5,996.40 | 0.43% | 4,769 | 16% | 57 | 16% | 12,468 | 1,201 | 18 | 4.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [57][58][60] 5. IH Futures 5.1 Market Summary - The main contract of IH rose 0.35% to close at 2,814 points. The total trading volume of the four IH contracts was 46,147 lots, a decrease of 210 lots from the previous day, and the total open interest was 94,722 lots, a decrease of 725 lots from the previous day [62]. - The main contract of IH was at a premium of 5.41 points, an increase of 2.38 points from the previous day, and the annualized basis rate was 1.32%. The dividend impacts of the four IH contracts were 1.44 points, 2.21 points, 2.21 points, and 2.21 points respectively [63]. 4.2 Key Quotes | Contract | Closing Price | Change | Trading Volume | Volume Change | Turnover | Turnover Change | Open Interest | Open Interest Change | Margin | [62] | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2,808.59 | 0.21% | 4,705 | -5% | 1,120 | -2% | - | - | - | | IH2508 | 2,812.60 | 0.33% | 11,112 | -13% | 94 | -12% | 17,894 | -550 | 18 | | IH2509 | 2,814.00 | 0.39% | 30,546 | 6% | 257 | 6% | 60,354 | -408 | 61 | | IH2512 | 2,815.00 | 0.35% | 3,574 | -7% | 30 | -6% | 14,387 | 40 | 15 | | IH2603 | 2,816.00 | 0.32% | 915 | -1% | 8 | -1% | 2,087 | 193 | 2 | 4.3 Main Seats - The trading volume, long positions, and short positions of the top five, ten, and twenty seats in each contract showed different changes [74][76][78]

1. Report Title and Date - Report title: "Stock Index Futures Data Daily Report" [1] - Date: June 25, 2025 [2] 2. IM (China Securities 1000 Index Futures) 2.1 Daily Quotes - The closing price of the CSI 1000 was 6,276.16, up 1.32%. The total trading volume of the four IM contracts was 247,386 lots, an increase of 33,750 lots from the previous day; the total open interest was 345,077 lots, an increase of 20,157 lots from the previous day. The main contract of IM rose 2.19% to close at 6,119.6 points [4][5]. 2.2 Basis and Annualized Basis Rate - The main contract of IM was at a discount of 156.56 points, up 43.11 points from the previous day; the annualized basis rate was -10.73% [5]. 2.3 Main Seats' Positions - For different contracts (IM2507, IM2508, IM2509, IM2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [16][18][19]. 3. IF (CSI 300 Index Futures) 3.1 Daily Quotes - The closing price of the CSI 300 was 3,960.07, up 1.44%. The total trading volume of the four IF contracts was 123,530 lots, an increase of 9,685 lots from the previous day; the total open interest was 254,002 lots, an increase of 12,395 lots from the previous day. The main contract of IF rose 1.93% to close at 3,922.8 points [20][21]. 3.2 Basis and Annualized Basis Rate - The main contract of IF was at a discount of 37.27 points, up 14.36 points from the previous day; the annualized basis rate was -3.99% [21]. 3.3 Main Seats' Positions - For different contracts (IF2507, IF2508, IF2509, IF2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [34][35]. 4. IC (CSI 500 Index Futures) 4.1 Daily Quotes - The closing price of the CSI 500 was 5,862.55, up 1.68%. The total trading volume of the four IC contracts was 110,445 lots, an increase of 15,870 lots from the previous day; the total open interest was 234,477 lots, an increase of 12,841 lots from the previous day. The main contract of IC rose 2.37% to close at 5,759.8 points [39][40]. 4.2 Basis and Annualized Basis Rate - The main contract of IC was at a discount of 102.75 points, up 30.49 points from the previous day; the annualized basis rate was -7.48% [40]. 4.3 Main Seats' Positions - For different contracts (IC2507, IC2508, IC2509, IC2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [49][50][52]. 5. IH (SSE 50 Index Futures) 5.1 Daily Quotes - The closing price of the SSE 50 was 2,747.73, up 1.17%. The total trading volume of the four IH contracts was 62,048 lots, a decrease of 784 lots from the previous day; the total open interest was 93,338 lots, an increase of 5,800 lots from the previous day. The main contract of IH rose 1.59% to close at 2,722.6 points [54]. 5.2 Basis and Annualized Basis Rate - The main contract of IH was at a discount of 25.13 points, up 8.79 points from the previous day; the annualized basis rate was -3.87% [55]. 5.3 Main Seats' Positions - For different contracts (IH2507, IH2508, IH2509, IH2512), the report shows the trading volume, long and short positions, and their changes of the top - ranking member companies [68][70]

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In April, the market sought balance between economic and foreign trade pressures and policy support. The market was affected by overseas tariff issues, with policy - makers taking a firm stance to support the market. The transaction volume decreased, and the basis of stock index futures changed significantly. The basis of IH and IF weakened slightly compared to the end of last month, while IC and IM remained basically the same. In the future, the basis of IH and IF may rise with the inflow of long - term funds, and the deep discount of IC and IM is likely to converge [5][22]. - There are potential long - term bullish factors in the product side, such as the increase in the share of index ETFs and the new issuance of index - enhanced products. The neutral strategy has stable performance, and the impact of over - the - counter options on the futures market has basically ended [5]. Summary by Related Catalogs 1. Recent Basis Review - **Market Situation**: In April, the market faced external tariff pressure at the beginning, with small - cap and high - valuation sectors under pressure. The policy layer actively supported the market, and the core broad - based indexes were strongly supported. As the tariff issue eased, the market was volatile and bullish, but the market's upward drive was insufficient, and the average daily trading volume of the whole A - share market dropped to 120 million. By the end of April, the broad - based indexes had not fully recovered, with small - cap stocks having a larger gap [6]. - **Basis Changes**: IH and IF basis weakened slightly compared to the end of last month, while IC and IM remained basically the same. As of April 30, 2025, the annualized basis rates of the quarterly contracts of IH, IF, IC, and IM were 0.76%, - 2.36%, - 8.43%, and - 11.23% respectively, still at a relatively low level in the past three years [8]. - **Driving Factors**: The main fluctuations in April came from the overseas tariff event on April 7, when IC and IM hit the limit down, and the hedging demand shifted to large - cap varieties, causing the basis of IH and IF to decline significantly. The change in the capital side was also an important factor. Due to the policy of restricting institutional stock sales, the basis of each variety declined rapidly on April 11, and the estimated impact scale on the futures side was about 30 - 40 billion [13][15]. - **Product - Side Changes**: Index ETF shares increased significantly, and index - enhanced products were newly issued at a relatively fast pace in April. The neutral strategy had stable performance, with a median return of about 4% and a maximum drawdown of about 1% since this year. The expiration peak of over - the - counter option products has passed, and the impact on the futures market has basically ended [5]. - **Future Outlook**: Currently, IH and IF are slightly discounted, and the potential increase in new - share subscription hedging demand has limited directional impact on the basis. The inflow of long - term funds from insurance may drive the basis of these two varieties to rise. For IC and IM, the deep discount is likely to converge as the over - the - counter option drive disappears and the neutral strategy cannot support a higher discount level [22]. 2. Long - Position Rollover Performance Review - **Performance Data**: As of April 2025, the annualized yields of the long - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 0.8%, 3.6%, 7.5%, and 8.9% respectively; the benchmark portfolios were 3.0%, 3.3%, 6.1%, and 12.3% respectively; the excess returns were - 3.9%, 0.3%, 1.4%, and - 3.4% respectively [26]. 3. Short - Position Rollover Performance Review - **Performance Data**: As of April 2025, the annualized yields of the short - position rollover strategy for IF, IH, IC, and IM in the past 250 trading days were - 4.8%, - 5.2%, - 6.5%, and - 12.2% respectively; the benchmark portfolios were - 3.6%, - 3.9%, - 6.7%, and - 12.1% respectively; the excess returns were - 1.1%, - 1.3%, 0.2%, and - 0.2% respectively [28].