股指期货持仓日度跟踪 投资咨询业务资格： 广发期货研究所 电 话：020-88830760 E-Mail：zhaoliang@gf.com.cn 目录： 股指期货： IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2509 | 总持仓大幅上升 | 中信多空头加仓超 2000 手 | | 上证 | 50 | IH2509 | 总持仓明显上升 | 前二十席位加仓为主 | | 中证 | 500 | IC2509 | 总持仓大幅上升 | 中信多空头各增仓超 2000 手 | | 中证 | 1000 | IM2509 | 总持仓明显上升 | 国君增仓中信减仓 | 股指期货持仓日度变动简评 4,048.0 2,017.0 3,746.0 -200.0 12,487.0 6,671.0 10,952.0 8,727.0 -2,000 0 2,000 4,000 6,000 8,000 10,000 12,000 14,000 IF IH IC IM 主力合约持仓变动 总持仓变动 数 ...

金 融 期 货 研 究 | | | 毛磊 | | | 投资咨询从业资格号：Z0011222 | | maolei@gtht.com | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 【期指期现数据跟踪】 | | | | | | | | | 期指数据 | | | | | | | | | | | 收盘价 | 涨跌幅% | 基 差 | 成交额-亿 | 成交量 | 变 动 | 持仓量 | 变 动 | | 沪深300 | 4378 | ↑2.10 | | 6759.4 | | | | | | IF2509 | 4394 | ↑2.72 | 1 6 | 1230.5 | 94570 | ↑11267 | 161198 | ↑9802 | | IF2510 | 4387.8 | ↑2.73 | 9.8 | 50.1 | 3853 | ↑775 | 5063 | ↑1137 | | IF2512 | 4374.8 | ↑2.76 | -3.2 | 417.5 | 32230 | ↑6623 | 86134 | ↑6579 | | IF2603 | ...

贴水持续收敛，市场情绪延续乐观 [Table_ReportTime] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 金工研究 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦 B座 邮编：100031 [贴水持续收敛 Table_Title] ，市场情绪延续乐观 [Table_ReportDate] 202 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - Although economic data weakened in July, market expectations for policy intensification have risen. The market is focused on the semi - annual reports of listed companies, with positive net profit growth in the four broad - based indices. Some companies' improved fundamentals support the stock market, but caution is needed regarding the potential drag on index performance from companies with unannounced and possibly poor earnings. A - shares, with reasonable valuations, are attracting foreign capital inflows. The strategy suggests light - position buying on dips [2] 3. Summary by Relevant Catalogs 3.1 Futures Contract Prices and Spreads - IF, IH, and IC main contracts (2509) rose, while IM main contract (2509) fell. For example, IF main contract (2509) was at 4282.2 (+28.2↑), IH main contract (2509) was at 2865.4 (+24.0↑), IC main contract (2509) was at 6656.4 (-4.0↓), and IM main contract (2509) was at 7202.2 (-31.4↓). Most of the contract spreads decreased, such as IF - IH monthly contract spread at 1416.8 (-2.0↓) [2] 3.2 Futures Position Holdings - The net positions of the top 20 in IF, IH, IC, and IM all decreased. IF top 20 net position was - 30,886.00 (-783.0↓), IH top 20 net position was - 17,218.00 (-1458.0↓), IC top 20 net position was - 16,125.00 (-305.0↓), and IM top 20 net position was - 58,664.00 (-1904.0↓) [2] 3.3 Spot Prices and Basis - The spot prices of CSI 300 and SSE 50 rose, while those of CSI 500 and CSI 1000 fell. The basis of IF, IH, IC, and IM main contracts all decreased. For instance, CSI 300 was at 4288.07 (+16.7↑), and IF main contract basis was - 5.9 (-4.5↓) [2] 3.4 Market Sentiment - A - share trading volume was 24,603.35 billion yuan (+119.21↑), and margin trading balance was 21,475.69 billion yuan (+158.75↑). The proportion of rising stocks decreased to 40.02% (-27.75↓), and Shibor was 1.466% (-0.007↓) [2] 3.5 Wind Market Strength - Weakness Analysis - The strength of all A - shares, technical aspects, and capital aspects all decreased. All A - shares were at 4.30 (-2.70↓), technical aspects were at 4.60 (-2.10↓), and capital aspects were at 4.00 (-3.10↓) [2] 3.6 Industry News - From January to July 2025, national fixed - asset investment (excluding rural households) was 288,229 billion yuan, with a year - on - year increase of 1.6%. Real estate development investment was 53,580 billion yuan, a year - on - year decrease of 12.0%. In July, the total retail sales of consumer goods were 38,780 billion yuan, a year - on - year increase of 3.7%. The LPR remained unchanged in August [2] 3.7 Key Events to Watch - On August 21 at 21:45, the preliminary values of the SPGI manufacturing, services, and composite PMIs in the US for August will be released. On August 22 at 22:00, Fed Chairman Powell will speak at the Jackson Hole Global Central Bank Annual Meeting [3]

股指期货持仓日度跟踪 投资咨询业务资格： 广发期货研究所 电 话：020-88830760 E-Mail：zhaoliang@gf.com.cn 目录： 股指期货： IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2509 | 总持仓明显上升 | 国君多空头均加仓超 3000 手 | | 上证 | 50 | IH2509 | 总持仓小幅上升 | 国君多空头加仓超 1000 手 | | 中证 | 500 | IC2509 | 总持仓明显上升 | 前二十席位以加仓为主 | | 中证 | 1000 | IM2509 | 总持仓大幅上升 | 中信多空头均加仓超 6000 手 | 股指期货持仓日度变动简评 2025 年 8 月 21 日星期四 证监许可【2011】1292 号 联系信息： 叶倩宁（投资咨询资格：Z0016628） 电话：020-88818051 邮箱：yeqianning@gf.com.cn 4,297.0 3,148.0 3,902.0 7,958.0 8,7 ...

Group 1: Report's Industry Investment Rating - Not provided Group 2: Report's Core View - The short - term view of the stock index is mainly oscillating strongly, and the medium - term view is upward. The reference view is also upward. Policy - side favorable expectations strongly support the stock index, and factors such as trading volume, capital inflow, and the development of the technology AI industry all contribute to the positive trend of the stock index [1][5] Group 3: Summary According to Relevant Content 1. Variety View Reference - Financial Futures Stock Index Sector - For IH2509, the short - term view is oscillating, the medium - term view is upward, the intraday view is oscillating strongly, and the overall view is upward, with favorable policy expectations as the core support [1] 2. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is oscillating strongly, and the medium - term view is upward. The reference view is upward. Yesterday, each stock index showed an oscillating upward trend. The trading volume of the three major stock markets in Shanghai, Shenzhen, and Beijing was 2448.4 billion yuan, a decrease of 192.3 billion yuan from the previous day. The trading volume above 2 trillion yuan indicates positive investor sentiment. Policy - side favorable expectations strongly support the stock index, and policies from both supply and demand sides promote price index recovery and corporate profit repair. Funds from margin trading, institutional long - term funds, and residents' wealth - management funds continue to flow into the stock market, which is positive for the valuation repair of the stock index. At the micro - level, the rapid development of the technology AI industry and the increasing logic of domestic substitution are beneficial to the CSI 500 and CSI 1000 indexes [5]

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - Although economic data weakened in July, market expectations for policy intensification have increased [2]. - The market is focusing on the semi - annual reports of listed companies. The net profit growth rates of the four broad - based indexes are positive, and the improved fundamentals of some listed companies support the stock market, but the potential drag from companies with unannounced reports should be watched [2]. - With high valuations in the US stock market, A - shares with reasonable valuations are attracting foreign capital inflows, bringing incremental funds to the market. It is recommended to buy on dips with a light position [2]. 3. Summary by Related Catalogs Futures盘面 - **Contract Prices**: IF, IH, IC, and IM主力合约（2509）prices are 4270.0, 2851.2, 6695.2, and 7276.0 respectively, with increases of +49.0, +30.4, +92.4, and +88.6. Their corresponding secondary - main contracts also showed price increases [2]. - **Contract Spreads**: Various contract spreads such as IF - IH, IC - IF, etc. showed changes, with most spreads increasing [2]. - **Quarter - to - Month Spreads**: Spreads between quarterly and monthly contracts of different varieties changed, with some increasing and some decreasing [2]. Futures持仓头寸 - The net positions of the top 20 in IF, IH, and IC decreased by - 1677.0, - 437.0, and - 1152.0 respectively, while that of IM increased by +50.0 [2]. Spot Price - The prices of the Shanghai and Shenzhen 300, Shanghai 50, CSI 500, and CSI 1000 increased by +48.0, +34.6, +72.8, and +62.6 respectively. The basis of the corresponding futures contracts also changed [2]. Market Emotions - A - share trading volume was 24,484.14 billion yuan, a decrease of - 1922.65 billion yuan. Margin trading balance increased by +293.85 billion yuan. Other indicators such as north - bound trading volume, reverse repurchase, etc. also showed corresponding changes [2]. Wind Market Strength - Weakness Analysis - All A - shares, technical aspects, and capital aspects showed increases of +1.90, +1.30, and +2.30 respectively [2]. Industry News - From January to July 2025, national fixed - asset investment (excluding rural households) was 288229 billion yuan, with a year - on - year increase of 1.6%. Real estate development investment decreased by 12.0% year - on - year. Other economic data such as social consumer goods retail and industrial added value also had corresponding changes [2]. - On August 20, 2025, the 1 - year LPR was 3.0% and the 5 - year LPR was 3.5%, remaining unchanged from the previous period [2]. Key Event Schedule - On August 21, at 15:00 - 16:30, the preliminary values of SPGI manufacturing, service, and composite PMIs for France, Germany, the Eurozone, and the UK in August will be released; at 21:45, the preliminary values of SPGI manufacturing, service, and composite PMIs for the US in August will be released [3]. - On August 22, at 22:00, Federal Reserve Chairman Powell will give a speech at the Jackson Hole Global Central Bank Annual Meeting [3].

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - On August 20, 2025, the report shows that for different股指期货 contracts, their total positions generally decreased on August 19, with significant declines in IF and IM, and slight declines in IH and IC. Some major institutions also made large - scale position reductions [1][4][10][15][21] 3. Summary by Related Catalogs IF (CSI 300) - **Total Position and Main Contract Position Changes**: On August 19, the total position of the IF variety decreased by 15,341 hands, and the position of the main contract 2509 decreased by 13,944 hands [4] - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, Guotai Junan Futures ranked first with a total position of 42,569 hands. Dayue Futures had the most long - position increase (477 hands), and Guotai Junan Futures had the most long - position decrease (3,518 hands) [5] - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 44,064 hands. CITIC Construction Investment Futures had the most short - position increase (375 hands), and Guotai Junan Futures had the most short - position decrease (3,254 hands) [7] IH (SSE 50) - **Total Position and Main Contract Position Changes**: On August 19, the total position of the IH variety decreased by 3,500 hands, and the position of the main contract 2509 decreased by 5,621 hands [10] - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, Guotai Junan Futures ranked first with a total position of 10,922 hands. Everbright Futures had the most long - position increase (372 hands), and Guotai Junan Futures had the most long - position decrease (1,962 hands) [10] - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 18,240 hands. GF Futures had the most short - position increase (584 hands), and Guotai Junan Futures had the most short - position decrease (1,390 hands) [11] IC (CSI 500) - **Total Position and Main Contract Position Changes**: On August 19, the total position of the IC variety decreased by 5,253 hands, and the position of the main contract 2509 decreased by 5,726 hands [15] - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, CITIC Futures ranked first with a total position of 36,026 hands. Shenyin Wanguo Futures had the most long - position increase (400 hands), and Guotai Junan Futures had the most long - position decrease (1,785 hands) [16] - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 39,651 hands. J.P. Morgan had the most short - position increase (546 hands), and Guotai Junan Futures had the most short - position decrease (1,415 hands) [17] IM (CSI 1000) - **Total Position and Main Contract Position Changes**: On August 19, the total position of the IM variety decreased by 15,574 hands, and the position of the main contract 2509 decreased by 11,245 hands [21] - **Top Twenty Long - Position Seats**: Among the top twenty long - position seats, Guotai Junan Futures ranked first with a total position of 47,886 hands. Baocheng Futures had the most long - position increase (354 hands), and CITIC Futures had the most long - position decrease (7,991 hands) [21] - **Top Twenty Short - Position Seats**: Among the top twenty short - position seats, CITIC Futures ranked first with a total position of 74,078 hands. Zhongtai Futures had the most short - position increase (562 hands), and CITIC Futures had the most short - position decrease (7,420 hands) [23]

Group 1: Report's Investment Rating - No information about the industry investment rating is provided in the report. Group 2: Core Views - The report provides a daily tracking of the positions of stock index futures, including IF, IH, IC, and IM. It shows the changes in total positions and the significant changes in the top 20 seats for each type of futures on August 18, 2025 [1]. Group 3: Summary According to the Directory IF (CSI 300) - Total position significantly increased, with a rise of 15,159 hands on August 18, and the position of the main contract 2509 increased by 1,852 hands. Guojun (Guotai Junan Futures) added more than 2,000 hands to both long and short positions [1][4]. - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 46,087 hands. Guotai Junan Futures had the most long - position increase (2,686 hands), and Shenyin Wanguo Futures had the most long - position decrease (445 hands) [5]. - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 46,929 hands. Guotai Junan Futures had the most short - position increase (3,430 hands), and CITIC Construction Investment Futures had the most short - position decrease (663 hands) [7]. IH (SSE 50) - Total position slightly increased, rising by 7,111 hands on August 18, and the position of the main contract 2509 increased by 3,527 hands. CITIC added more than 1,000 hands to short positions [1][10]. - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 12,884 hands. Guotai Junan Futures had the most long - position increase (767 hands), and Huatai Futures had the most long - position decrease (293 hands) [10]. - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 19,231 hands. CITIC Futures had the most short - position increase (1,785 hands), and Hongyuan Futures had the most short - position decrease (162 hands) [11]. IC (CSI 500) - Total position slightly increased, rising by 3,557 hands on August 18, while the position of the main contract 2509 decreased by 4,302 hands. Guojun and CITIC respectively increased and decreased short positions by more than 1,000 hands [1][15]. - Among the top 20 long - position seats, CITIC Futures ranked first with a total position of 36,776 hands. Huatai Futures had the most long - position increase (788 hands), and Guotai Junan Futures had the most long - position decrease (789 hands) [16]. - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 40,599 hands. Guotai Junan Futures had the most short - position increase (1,196 hands), and CITIC Futures had the most short - position decrease (1,602 hands) [17]. IM (CSI 1000) - Total position significantly increased, rising by 26,482 hands on August 18, and the position of the main contract 2509 increased by 2,215 hands. CITIC added more than 6,000 hands to both long and short positions [1][22]. - Among the top 20 long - position seats, Guotai Junan Futures ranked first with a total position of 49,842 hands. CITIC Futures had the most long - position increase (7,100 hands), and Guotou Futures had the most long - position decrease (258 hands) [22][23]. - Among the top 20 short - position seats, CITIC Futures ranked first with a total position of 81,498 hands. CITIC Futures had the most short - position increase (7,336 hands), and Bank of China Futures had the most short - position decrease (666 hands) [25].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The short - term view of the stock index is mainly volatile and strong, and the medium - term view is upward. Policy - side favorable expectations provide strong support, and the external risk factors are temporarily alleviated, with the stock market risk preference continuously rising [1][5] Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2509, the short - term view is volatile, the medium - term view is upward, the intraday view is volatile and strong, and the overall view is upward. The core logic is that the favorable policy - side expectations provide strong support [1] Main Variety Price Quotation Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is volatile and strong, and the medium - term view is upward. Last Friday, the stock indexes showed a volatile upward trend, with obvious increases in IC and IM. The stock market trading volume has been above 2 trillion yuan for many days, indicating an optimistic market sentiment. Policy - side favorable expectations support the stock index, and policies such as anti - involution and consumption promotion are conducive to the recovery of the price index and corporate profits. The balance of margin trading funds has exceeded 2 trillion yuan, and patient capital such as social security and insurance is continuously entering the market, boosting long - term confidence [5]