股指期货周报：市场观望情绪依旧 期指维持区间弱势运行

东吴期货研究研究所 021-63123071 www.dwfutures.com 市场观望情绪依旧 期指维持区间弱势运行 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、 宏观政经信息................................................................................................................. 5 1、 【央行、银监会联手整顿“现金贷”新规落地！ 】 ............................................... 5 2、 【方星海：筹备多年的原油期货已经进入上市前最后冲刺阶段】 ......................... 5 3、 【方星海：要对跨境资本流动、跨境衍生品交易等实施有效监测】 ..................... 5 4、 【三部门发布证券交易资金前端风险控制相关规则】 ............................................. 5 5、 【银监会：下一步现金贷整顿要遵循七原则】......................................................... 5 6、 【银监会就现金贷监管首度发声：现金贷整治方案将于近期下发】 ..................... 5 三、 策略建议 ........................................................................................................................ 6 股指期货周报 2017-12-04 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3317.61743346.65673347.0513300.7808-36.2033-1.0878428705200960202813100深证成指11013.153511126.784311126.7810908.702-155.2395-1.39783038478001090479730200沪深3003998.13654088.93184088.9323984.3776-106.0669-2.5857543726300766128415684创业板指1804.62241781.22151808.691758.449521.96571.2315189493100276568595500中小板指7645.36697720.51337720.5137531.657-85.8739-1.1130517227700462312859800上证502842.18412928.35752928.8632834.262-94.6498-3.2218347816600257553227030中证5006316.40726269.22646329.1776186.033738.37850.6130807927700393689505257恒生指数29074.2429857.6529859.1129028.76-792.08-2.650653481392500恒生国企指数11449.4311889.0211901.7511431.9-458.76-3.850104664498800截止2017-12-3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IC171262796242.86324.26131.46279.8200.84565137055065096023391IC180162546192.66290.46100.86247.6191.182298285420636011940IC18036185.8613862346045619425.80.872841349277232041780IC180661006076.26148.65972.86109.421.60.7470785928160013020IF17123978.84095.440963969.43986-121-2.94862941.04179E+11298660IF18013981.84098.44104.23971.83988-119-2.943736450879246021210IF18033980.84106.44107.839703989.8-129.8-3.2284091016130588069950IF180639804113411539733991.8-139-3.432343283678926021440IH17122840.429382939.42833.82843.2-103-3.395906451153820920177420IH18012847.82951.22953.828422850.2-107.2-3.582601226120722014110IH18032860.82970.22970.228552863.8-111-3.684674407937990033980IH18062867.42986.429872860.42868.4-130.8-4.231454127521336010890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 -30-20-1001020304020002200240026002800300032002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IH基差上证50现-当月-60-40-2002040608020002200240026002800300032002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IH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 -40-30-20-1001020304050300032003400360038004000420044002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IF基差沪深300现-当月-60-40-20020406080100300032003400360038004000420044002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IF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 -100-80-60-40-20020406080100120540056005800600062006400660068002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IC基差中证500现-当月050100150200250300350540056005800600062006400660068002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IC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 -40-30-20-10010203040506020002200240026002800300032002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IH基差上证50当月-下季-20-10010203040506070300032003400360038004000420044002017-06-082017-06-182017-06-282017-07-082017-07-182017-07-282017-08-072017-08-172017-08-272017-09-062017-09-162017-09-262017-10-062017-10-162017-10-262017-11-052017-11-152017-11-25IF基差沪深300期货当月当月-下季 东吴期货研究所 www.dwfutures.com第4页 050100150200250540056005800600062006400660068002017-06-0