股指期货周报：三大期指期内动荡，合约基差收窄

DONGXING SECURITIES 敬请参阅报告结尾处的免责声明 东方财智 兴盛之源 金融工程 东兴证券股份有限公司证券研究报告 三大期指期内动荡，合约基差收窄 ——股指期货周报（20171127-1201） 2017年12月4日 金融工程 定期报告 投资摘要：   郑闵钢 010-66554031 zhengmgdxs@hotmail.com 执业证书编号: S1480510120012 IC与IH比值及收益率差值 -0.05-0.04-0.03-0.02-0.0100.010.020.0322.12.22.32.42.52.62.72.82.92017/3/32017/4/32017/5/32017/6/32017/7/32017/8/32017/9/3IC-IH收益率IC与IH比值 资料来源：Wind、东兴证券研究所 相关研究报告 1．基金仓位周报：平均仓位混合型上升达52% 股票型下降达82% 2017.03.16 2．基金仓位周报：股票及混合型基金仓位持续上涨，小盘基金上涨3% 2017.03.23 3．基金仓位周报：近半数股票型基金接近仓位小盘仓位持续上涨 2017.03.31 4．基金仓位周报：股票及混合净值增长，小盘基金 仓位再新高 2017.04.062 5.基金仓位周报：股票型及偏股型仓位继六周上升后开始小幅回落 2017.04.13 6.基金仓位周报：基金净值及仓位持续下降 2017.04.20 7.基金仓位周报：仓位回升，接近月内历史高点 2017.04.27 8.基金仓位周报：总体仓位伴随股指下跌加速 2017.05.11 9. 基金仓位周报：本周基金仓位整体保持低位 2017.05.19 10.基金仓位周报：或将回升，总体仓位跌至开年来最低 2017.05.26     目录 1. 市场行情概览........................................................................................................................................................................................... 4 2. 基差及价差分析.....................................................................................................................................................................................10 3. 行业分析.................................................................................................................................................................................................14 4. 风格分析.................................................................................................................................................................................................16 DONGXING SECURITIES 东兴证券专题报告 三大期指期内动荡，合约基差收窄 P3 敬请参阅报告结尾处的免责声明 东方财智 兴盛之源 表格目录 表1:本周股指期货交易数据 ....................................................................................................................................................................... 4 表2:本周IF当月合约主力持仓变动.......................................................................................................................................................... 8 表3: 本周IH当月合约主力持仓变动 ....................................................................................................................................................... 9 表4: 本周IC当月合约主力持仓变动 ....................................................................................................................................................... 9 插图目录 图1: IF布林线.............................................................................................................................................................................................. 4 图2: IH布林线 ............................................................................................................................................................................................. 5 图3: IC布林线 ............................................................................................................................................................................................. 5 图4: 本月IF持仓量与成交额.................................................................................................................................................................... 6 图5:本月IH持仓量与成交额 ..................................................................................................................................................................... 7 图6:本月IC持仓量与成交额 ..................................................................................................................................................................... 7 图7: 沪深300指数与期货走势...............................................................................................................................................................10 图8: 上证50指数与期货走势................................................................................................................................................................. 11 图9: 中证500指数与期货走势............................................................................................................................................................... 11 图10: IF跨月价差图 .................................................................................................................................................................................12 图11: IH跨月价差图 .................................................................................................................................................................................13 图12: IC跨月价差图 .................................................................................................................................................................................13 图13: 各行业对沪深300指数贡献 ........................................................................................................................................................14