股指期货周报：次新股短期面临调整需求，期指高位区间强震荡

东吴期货研究研究所 021-63123071 www.dwfutures.com 次新股短期面临调整需求，期指高位区间强震荡 目录： 一、 金融期货交易情况 ......................................................................................................... 2 1、 股指和期货 .................................................................................................................... 2 2、 股指期货基差、价差 .................................................................................................... 2 二、 资金面 ............................................................................................................................ 4 三、 宏观政经信息................................................................................................................. 5 1、 李克强：推进制造业提质升级 支撑中国经济迈向中高端 ....................................... 5 2、 【央行徐忠：金融乱象是实体经济和整个体制机制问题的镜像反映】 ................. 5 3、 【8月全国地产销量或首现同比负增长】 ................................................................. 5 4、 刘士余：中国资本市场账户可以看穿，将加强对跨境、跨交易所、跨账户异常交易的监测。 ........................................................................................................................ 5 5、 中国7月工业企业利润增速放缓 但国企利润飙升................................................... 5 6、 【环保监察监测酝酿垂直管理改革】......................................................................... 5 四、 策略建议 ........................................................................................................................ 6 股指期货周报 2017-09-04 星期一 东吴期货研究所 宏观与金融工程组 万 涛 021-63123175 从业证书：F0288751 投资咨询证书：Z0012259 期市有风险，投资需谨慎！ 研究所办公地址： 上海市-黄浦区西藏南路 1208 号 6 楼 苏州市-工业园区星阳街 5号东吴证券大楼8楼 东吴期货研究所 www.dwfutures.com第2页 一、 金融期货交易情况 1、 股指和期货 证券名称收盘价开盘价最高价最低价涨跌涨跌%成交量（手）成交额上证综指3367.11943336.12643381.9253336.126435.59731.071240746650001436731975000深证成指10880.556510678.349810880.5610678.35221.5482.081078164965001517501495300沪深3003830.53833805.65673866.9423800.886134.78390.9274674669800901509734594创业板指1865.251815.83531865.8151815.835352.37192.8923438439800426964957700中小板指7383.4577210.69197392.97210.6919186.82972.6043009711700647999766200上证502710.11862715.46962766.792700.16183.87650.1422109171500277073629315中证5006526.50466348.876530.8996348.87179.97412.8449030352000602069205784恒生指数27953.1627905.5928127.927638.731050.380521603244782恒生国企指数11285.5511313.711461.5711217.63-2.81-0.020117840223900截止2017-9-3名称收盘价开盘价最高价最低价结算价涨跌涨跌%成交量成交额持仓量持仓量变化IC170761236080.86129.858186123.2132.010.4951543614256906000-17244IC17086349.86159637561556349.96193.763.4343494547331109200-17142IC17096528.66340.465486331.46520.2185.83.18522936735177192024156-1576IC17126402.66214.8643362056401.4190.43.19369846731886805269918IF1707373837003748.83622.23737.2747.071.0661055675025617000-21390IF17083725.236403731.836373724.8884.882.6847824529549467600-19727IF17093837.83804.63876.63804.63833.838.21.13616537102673958029084-2259IF171238113776.43837.83767.83805.8511.42583366549234007555945IH17072648.226332672.625992648.0532.050.8442355335256983400-15404IH17082615257026192565.42614.3142.312.0031326243860502600-12869IH17092717.227282775.22708.42715.65.80.09457163757960284018154-648IH17122727.427342780.82715.42724.810.20.29336727736323004224425数据来源：文华财经，东吴期货研究所 2、 股指期货基差、价差 图1：IH期现基差 -15-10-5051015202530210022002300240025002600270028002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IH基差上证50现-当月-40-20020406080100210022002300240025002600270028002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IH基差上证50现-下季 数据来源：Wind，东吴期货研究所 图2：IF期现基差 东吴期货研究所 www.dwfutures.com第3页 -30-20-100102030405030003100320033003400350036003700380039002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IF基差沪深300现-当月02040608010012030003100320033003400350036003700380039002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IF基差沪深300现-下季 数据来源：Wind，东吴期货研究所 图3：IC期现基差 -60-40-200204060801001205200540056005800600062006400660068002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IC基差中证500现-当月0501001502002503003505200540056005800600062006400660068002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IC基差中证500现-下季 数据来源：中金所，东吴期货研究所 图4：跨期价差 -20-1001020304050607080210022002300240025002600270028002017-03-092017-03-192017-03-292017-04-082017-04-182017-04-282017-05-082017-05-182017-05-282017-06-072017-06-172017-06-272017-07-072017-07-172017-07-272017-08-062017-08-162017-08-26IH基差上证50当月-下季010203040506070809