股指期货日度报告：期指有望短线反弹

金融衍生品研究·股指期货 兴证期货.研发产品系列 期指有望短线反弹 2018年8月6日 星期一 内容提要  行情回顾 现货市场: 午后跳水 沪指上个交易日午后跳水，延续跌势，煤炭、海运、农业、燃气领涨，家用电器、机场、餐饮旅游、建材领跌。 期指市场: 集体下跌 主力合约IF1808、IH1808、IC1808，涨幅分别为 -1.68%，-1.14%，-0.85%。 外盘市场: 欧美收涨 美股收高 欧股收高 港股收低  后市展望及策略建议 综合来看，上日三大期指集体下跌，IF跌幅较大，各合约基差震荡偏弱，期指持仓有所减少，三大期指主力多空净增空仓。短期市场受到宏观经济数据下滑、中美贸易摩擦升级等利空打压，市场避险情绪加重。但上周末央行调整外汇风险准备金，人民币汇率止跌反弹，资金流动性偏松，市场利率延续下行趋势，目前估值已回到历史低位，本周市场有望超跌反弹，预计在三大期指中IC反弹较强。仅供参考。 兴证期货.研发中心 金融研究团队 刘文波 从业资格编号：F0286569 投资咨询编号：Z0010856 高歆月 从业资格编号：F3023194 尚芳 从业资格编号：F3013528 联系人 高歆月 021-20370976 gaoxy@xzfutures.com 日度报告 最新价1日%5日%沪深3003315.28-1.65-5.85沪综指2740.44-1.00-4.63深成指8625.17-1.77-7.22上证502413.50-1.10-4.42中证5004929.75-1.33-6.09国债指数166.550.040.15分类指数最新价1日%5日%能源1657.450.80-2.42材料2158.99-2.06-4.93工业2052.67-1.94-4.78可选4813.43-3.24-8.69消费13161.24-2.04-8.64医药10536.71-3.33-7.28金融5241.40-0.47-4.42信息1835.55-3.02-7.25电信2261.75-2.36-3.82公用1860.890.00-0.10利率最新价1日%5日%同业拆放(隔夜)1.85-6.14-19.05同业拆放(3个月)3.00-1.73-9.08 日度报告 1. 市场回顾 1.1国内市场评析： 主力合约IF1808、IH1808、IC1808， 涨幅分别为-1.68%，-1.14%，-0.85%。 图1沪深300和各股指合约走势图 图2 沪深300股指期货各合约基差 资料来源：Bloomberg，兴证期货研发部 资料来源：Bloomberg，兴证期货研发部 图3沪深300各股指合约间价差走势 图4上证50和各股指合约走势图 资料来源：Bloomberg，兴证期货研发部 资料来源：Bloomberg，兴证期货研发部 32403260328033003320334033603380340009:30:0009:39:0009:48:0009:57:0010:06:0010:15:0010:24:0010:33:0010:42:0010:51:0011:00:0011:09:0011:18:0011:27:0013:05:0013:14:0013:23:0013:32:0013:41:0013:50:0013:59:0014:08:0014:17:0014:26:0014:35:0014:44:0014:53:00沪深300指数IF1808IF1809IF1812IF1903-90-80-70-60-50-40-30-20-10009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00IF1808IF1809IF1812IF1903-70-60-50-40-30-20-100102009:30:0009:36:0009:42:0009:48:0009:54:0010:00:0010:06:0010:12:0010:18:0010:24:0010:30:0010:36:0010:42:0010:48:0010:54:0011:00:0011:06:0011:12:0011:18:0011:24:0011:30:0013:05:0013:11:0013:17:0013:23:0013:29:0013:35:0013:41:0013:47:0013:53:0013:59:0014:05:0014:11:0014:17:0014:23:0014:29:0014:35:0014:41:0014:47:0014:53:0014:59:00次月-当月当季-当月下季-当月当季-下月下季-下月下季-当季240024102420243024402450246009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00上证50指数IH1808IH1809IH1812IH1903 日度报告 图5上证50股指期货各合约基差 图6上证50各股指合约间价差走势 资料来源：Bloomberg，兴证期货研发部 资料来源：Bloomberg，兴证期货研发部 图7中证500和各股指合约走势图 图8中证500股指期货各合约基差 资料来源：Bloomberg，兴证期货研发部 资料来源：Bloomberg，兴证期货研发部 -15-10-505101509:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00IH1808IH1809IH1812IH1903-20-15-10-505101509:30:0009:36:0009:42:0009:48:0009:54:0010:00:0010:06:0010:12:0010:18:0010:24:0010:30:0010:36:0010:42:0010:48:0010:54:0011:00:0011:06:0011:12:0011:18:0011:24:0011:30:0013:05:0013:11:0013:17:0013:23:0013:29:0013:35:0013:41:0013:47:0013:53:0013:59:0014:05:0014:11:0014:17:0014:23:0014:29:0014:35:0014:41:0014:47:0014:53:0014:59:00次月-当月当季-当月下季-当月当季-下月下季-下月下季-当季4600465047004750480048504900495050005050510009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00中证500指数IC1808IC1809IC1812IC1903-300-250-200-150-100-50009:30:0009:39:0009:48:0009:57:0010:06:0010:15:0010:24:0010:33:0010:42:0010:51:0011:00:0011:09:0011:18:0011:27:0013:05:0013:14:0013:23:0013:32:0013:41:0013:50:0013:59:0014:08:0014:17:0014:26:0014:35:0014:44:0014:53:00IC1808IC1809IC1812IC1903 日度报告 表1 2018年8月3日股指期货各合约升贴水情况 资料来源：Wind，兴证期货研发部 表2 2018年8月3日股指期货主力合约持仓情况 资料来源：中金所，兴证期货研发部 2018/8/3合约收盘价指数收盘价收盘价升贴水升贴水率最后交易日交易天数年化升水率2018/8/2升贴水2018/8/2升贴水率IF1808.CFE3,283.63,315.3-31.7-0.96%2018-08-1710-23.13%-26.0-0.77%IF1809.CFE3,266.23,315.3-49.1-1.48%2018-09-2135-10.24%-42.8-1.27%IF1812.CFE3,243.03,315.3-72.3-2.18%2018-12-2194-5.61%-62.2-1.84%IF1903.CFE3,230.03,315.3-85.3-2.57%2019-03-15151-4.12%-71.0-2.10%IH1808.CFE2,406.02,413.5-7.5-0.31%2018-08-1710-7.52%-5.3-0.22%IH1809.CFE2,407.02,413.5-6.5-0.27%2018-09-2135-1.86%-5.3-0.22%IH1812.CFE2,410.62,413.5-2.9-0.12%2018-12-2194-0.31%-4.1-0.17%IH1903.CFE2,403.02,413.5-10.5-0.44%2019-03-15151-0.70%-6.1-0.25%IC1808.CFE4,878.24,929.8-51.6-1.05%2018-08-1710-25.31%-49.6-0.99%IC1809.CFE4,836.64,929.8-93.1-1.89%2018-09-2135-13.06%-92.4-1.85%IC1812.CFE4,748.04,929.8-181.8-3.69%2018-12-2194-9.49%-173.2-3.47%IC1903.CFE4,668.84,929.8-261.0-5.29%2019-03-15151-8.48%-254.4-5.09%合约代码总成交量成交量变化总持仓量持仓量变化前二十名多头持仓比上交易日增减前二十名空头持仓比上交易日增减前二十名净增多仓IF1808.CFE23353-457426311-114117588-85819453-591-267IF1809.CFE4545-120819436-16913627-1031720240-143IF1812.CFE874-1374409-32IF1903.CFE102-7846610IF总计28874-599750622-1332IH1808.CFE1461