海通期货股指期货空头套保专题数据报告：本周基差波动较小,开仓基差小幅下降移仓基差有所上升

20220520 | 1 请务必阅读正文后的法律声明 摘要：截至2022.05.19收盘 ★开仓基差成本：本周基差小幅下降，2205合约即将交割故不考虑 IF合约（剔除股息影响）：空头套保年化成本最小合约为IF2209合约，实际基差损失最小合约为IF2209合约。 IH合约（剔除股息影响）：空头套保年化成本最小合约为IH2209合约，实际基差损失最小合约为IH2212合约。 IC合约（剔除股息影响）：空头套保年化成本最小合约为IC2206合约，实际基差损失最小合约为IC2206合约。 现货-期货2205220622092212基差1.86.34.316.0年化基差成本8.39%1.93%0.32%0.69%2205220622092212基差1.51.2-7.2-8.6年化基差成本10.27%0.53%-0.80%-0.54%2205220622092212基差-4.322.9115.1209.5年化基差成本-13.54%4.78%5.95%6.18%IH(剔 除 股 息 )IC(剔 除 股 息 )IF(剔 除 股 息 ) ★移仓基差成本：移仓基差有所上升 IF2205合约（剔除股息影响）：空头套保持仓移仓年化成本最小合约为IF2209合约，实际基差损失最小合约为IF2209合约。 IH2205合约（剔除股息影响）：空头套保持仓移仓年化成本最小合约为IH2209合约，实际基差损失最小合约为IH2212合约。 IC2205合约（剔除股息影响）：空头套保持仓移仓年化成本最小合约为IC2206合约，实际基差损失最小合约为IC2206合约。 2205移22062205移22092205移22012移仓基差4.52.414.1移仓年化成本1.37%0.18%0.61%2205移22062205移22092205移22012移仓基差-0.3-8.8-10.1移仓年化成本-0.15%-0.97%-0.63%2205移22062205移22092205移22012移仓基差27.3119.4213.9移仓年化成本5.68%6.17%6.31%IF(剔 除 股 息 )IH(剔 除 股 息 )IC(剔 除 股 息 ) 风险提示：22年派息预测以21年实际派息为基础，期货价格为收盘价 股指期货空头套保专题数据报告 本周基差波动较小，开仓基差小幅下降移仓基差有所上升 2022年5月20日星期五 投资咨询业务资格: 证监许可[2011]1294号 许青辰 投资咨询部研究员 xuqingchen@htfutures.com 从业资格号：F3077365 投资咨询号：Z0015042 分析师承诺： 本人以勤勉的职业态度，独立、客观地出具本报告。本报告所采用的数据和信息均来自市场公开信息，本人不保证该等信息的准确性或完整性。分析逻辑基于作者的职业理解，清晰准确地反映了作者的研究观点，结论不受任何第三方的授意或影响，特此声明。 20220520 | 2 投资咨询部 行业研究 请务必阅读正文后的法律声明 1.空套开仓成本跟踪：（截止05.19日收盘） IF合约（剔除股息）：2205合约即将交割故不考虑； IF2206合约，基差为6.3点，空头套保年化成本为1.93%； IF2209合约，基差为4.3点，空头套保年化成本为0.32%； IF2212合约，基差为16.0点，空头套保年化成本为0.69%。 空头套保年化成本最小合约为IF2209合约，实际基差损失最小合约为IF2209合约。 日期220522062209221222052206220922122022/4/26-0.67%-2.15%-1.17%-0.72%0.82%2.21%4.28%2.84%2022/4/272.30%0.11%-0.32%-0.15%3.80%4.42%5.01%3.32%2022/4/280.51%0.03%-0.22%-0.07%2.07%4.40%5.12%3.39%2022/4/29-2.90%-1.94%-0.75%-0.32%-1.30%2.41%4.50%3.07%2022/5/57.39%1.68%0.16%0.33%8.65%6.29%5.54%3.75%2022/5/616.60%4.38%0.90%0.65%17.81%9.17%6.44%4.17%2022/5/917.49%4.80%0.97%0.92%19.01%9.99%6.69%4.51%2022/5/103.40%-0.54%-0.64%-0.12%4.97%4.70%5.05%3.45%2022/5/1117.85%3.13%0.59%0.77%19.30%8.36%6.22%4.29%2022/5/1214.41%2.19%0.34%0.68%15.92%7.56%6.03%4.23%2022/5/1313.97%1.76%0.13%0.60%15.33%7.17%5.81%4.13%2022/5/1642.71%5.89%1.22%1.15%44.90%11.84%7.08%4.75%2022/5/1724.45%2.86%0.63%0.91%26.18%8.80%6.44%4.47%2022/5/1826.66%3.85%0.66%0.99%28.98%10.00%6.53%4.58%2022/5/198.39%1.93%0.32%0.69%11.86%8.27%6.23%4.29%IF年化基差成本IF年化基差成本(剔除股息) 日期220522062209221222052206220922122022/4/26-1.7-11.8-17.5-17.62.112.163.969.12022/4/275.90.6-4.9-3.89.724.576.582.92022/4/281.30.2-3.3-1.85.124.178.184.92022/4/29-7.0-10.7-11.6-8.3-3.213.269.878.42022/5/513.08.12.48.115.230.482.293.22022/5/626.720.212.915.628.642.292.4100.42022/5/922.320.413.521.624.242.493.0106.42022/5/104.0-2.3-9.0-2.85.919.770.581.92022/5/1119.413.08.318.421.034.687.4102.82022/5/1214.18.84.716.215.530.383.7100.52022/5/1312.26.91.814.413.428.280.698.42022/5/1623.121.116.426.724.342.395.1110.72022/5/1710.710.08.621.311.530.986.9104.92022/5/188.713.18.823.19.533.987.1106.72022/5/191.86.34.316.02.627.282.699.6IF基差（现货-期货）IF基差（现货-期货，剔除股息） 图：IF各合约空头套保年化成本（%） 图：IF各合约基差（现货-期货） -3%-2%-1%0%1%2%3%4%5%6%7%04/2604/2704/2804/2905/0505/0605/0905/1005/1105/1205/1305/1605/1705/1805/19220622092212 (20)(15)(10)(5)05101520253004/2604/2704/2804/2905/0505/0605/0905/1005/1105/1205/1305/1605/1705/1805/19220622092212 数据来源：WIND、海通期货投资咨询部 vU8VlX8YcZiZmNpNmPbR8Q8OnPqQnPtRiNpPmRiNtRqQ9PmNmPwMnOxPNZqNpO 20220520 | 3 投资咨询部 行业研究 请务必阅读正文后的法律声明 IH合约（剔除股息）：2205合约即将交割故不考虑； IH2206合约，基差为1.2点，空头套保年化成本为0.53%； IH2209合约，基差为-7.2点，空头套保年化成本为-0.80%； IH2212合约，基差为-8.6点，空头套保年化成本为-0.54%。 空头套保年化成本最小合约为IH2209合约，实际基差损失最小合约为IH2212合约。 日期220522062209221222052206220922122022/4/26-1.23%-1.23%-1.52%-1.90%-0.09%1.86%4.01%1.83%2022/4/270.37%-0.23%-0.93%-1.76%1.52%2.86%4.53%1.91%2022/4/28-0.56%-0.80%-0.94%-1.80%0.64%2.30%4.48%1.84%2022/4/29-4.58%-3.35%-1.80%-2.35%-3.35%-0.22%3.59%1.26%2022/5/54.28%0.33%-0.78%-1.64%4.34%3.30%4.67%1.96%2022/5/67.42%0.79%-0.79%-1.25%7.48%3.92%4.86%2.47%2022/5/912.71%2.48%-0.45%-0.88%12.79%5.87%5.39%2.92%2022/5/103.05%0.05%-1.08%-1.37%3.14%3.50%4.75%2.42%2022/5/119.54%1.83%-0.44%-1.03%9.63%5.34%5.39%2.75%2022/5/1210.68%1.97%-0.48%-0.83%10.68%5.57%5.42%2.99%2022/5/136.70%0.11%-0.87%-1.02%6.70%3.78%5.02%2.78%2022/5/1615.58%1.98%-0.63%-1.17%15.58%6.02%5.48%2.72%2022/5/1717.01%1.49%-0.61%-0.93%17.01%5.60%5.46%2.93%2022/5/1810.32%0.68%-0.86%-0.88%10.32%4.94%5.29%3.00%2022/5/1910.27%0.53%-0.80%-0.54%10.27%4.94%5.40%3.37%IH年化基差成本IH年化基差成本(剔除股息) 日期220522062209221222052206220922122022/4/26-2.3-4.8-16.0-32.8-0.27.242.431.62022/4/270.7-0.9-9.9-30.82.711.148.533.52022/4/28-1.0-3.1-10.2-31.91.18.948.332.52022/4/29-7.7-12.9-19.5-41.8-5.7-0.938.922.52022/5/55.31.1-8.1-28.45.311.148.333.92022/5/68.32.5-7.9-21.08.412.648.641.42022/5/911.37.3-4.3-14.411.317.352.147.92022/5/102.50.2-10.5-22.62.610.246.039.82022/5/117.25.2-4.2-16.97.215.252.245.42022/5/127.25.4-4.6-13.57.215.451.848.82022/5/134.00.3-8.4-16.74.010.248.045.62022/5/165.84.9-5.8-18.75.814.850.643.62022/5/175.13.6-5.6-15.05.113.550.747.32022/5/182.31.6-7.9-14.22.311.548.548