金融衍生品研究·股指期货 兴证期货.研发产品系列 期指震荡偏弱 2018年10月12日 星期五 内容提要  行情回顾 现货市场: 放量大跌 沪指上个交易日放量大跌，击穿2600点，行业版块普跌，通信设备、电脑硬件、软件、电子元器件领跌。 期指市场: 集体大跌 主力合约IF1810、IH1810、IC1810，涨幅分别为 -5.55%，-4.48%，-8.07%。 外盘市场: 延续大跌 美股收低 欧股收低 港股收低  后市展望及策略建议 综合来看，上日三大期指集体大跌，IC跌幅较大，各合约期现价差均大幅走弱，IF及IC持仓均明显上升，避险需求大幅走高。欧美股市继续大跌引发避险情绪蔓延，资金持续流出，放量跌破前低后仍有惯性下跌风险，预计期指震荡偏弱，建议期指以对冲思路为主。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3003124.11-4.80-8.21沪综指2583.46-5.22-7.46深成指7521.40-6.11-9.76上证502390.50-4.15-7.18中证5004307.42-6.97-9.42国债指数167.160.060.17分类指数最新价1日%5日%能源1780.29-4.95-4.89材料1909.41-5.56-8.37工业1891.51-5.68-7.95可选4405.65-4.07-7.19消费12418.44-3.62-9.71医药9247.72-3.51-8.06金融5230.77-4.57-7.45信息1578.56-0.18-8.03电信2252.09-0.31-7.56公用1712.91-4.05-7.30利率最新价1日%5日%同业拆放(隔夜)2.36-1.58-3.48同业拆放(3个月)2.80-0.32-1.48 日度报告 1. 市场回顾 1.1国内市场评析： 主力合约IF1810、IH1810、IC1810， 涨幅分别为-5.55%，-4.48%，-8.07%。 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 30803100312031403160318032003220324009:30:0009:39:0009:48:0009:57:0010:06:0010:15:0010:24:0010:33:0010:42:0010:51:0011:00:0011:09:0011:18:0011:27:0013:05:0013:14:0013:23:0013:32:0013:41:0013:50:0013:59:0014:08:0014:17:0014:26:0014:35:0014:44:0014:53:00沪深300指数IF1810IF1811IF1812IF1903-30-20-10010203009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00IF1810IF1811IF1812IF1903-15-10-50510152009:30:0009:36:0009:42:0009:48:0009:54:0010:00:0010:06:0010:12:0010:18:0010:24:0010:30:0010:36:0010:42:0010:48:0010:54:0011:00:0011:06:0011:12:0011:18:0011:24:0011:30:0013:05:0013:11:0013:17:0013:23:0013:29:0013:35:0013:41:0013:47:0013:53:0013:59:0014:05:0014:11:0014:17:0014:23:0014:29:0014:35:0014:41:0014:47:0014:53:0014:59:00次月-当月当季-当月下季-当月当季-下月下季-下月下季-当季236023802400242024402460248009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00上证50指数IH1810IH1811IH1812IH1903 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 -10-505101520253035404509:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00IH1810IH1811IH1812IH1903-505101520253035404509:30:0009:36:0009:42:0009:48:0009:54:0010:00:0010:06:0010:12:0010:18:0010:24:0010:30:0010:36:0010:42:0010:48:0010:54:0011:00:0011:06:0011:12:0011:18:0011:24:0011:30:0013:05:0013:11:0013:17:0013:23:0013:29:0013:35:0013:41:0013:47:0013:53:0013:59:0014:05:0014:11:0014:17:0014:23:0014:29:0014:35:0014:41:0014:47:0014:53:0014:59:00次月-当月当季-当月下季-当月当季-下月下季-下月下季-当季410041504200425043004350440044504500455009:30:0009:40:0009:50:0010:00:0010:10:0010:20:0010:30:0010:40:0010:50:0011:00:0011:10:0011:20:0011:30:0013:09:0013:19:0013:29:0013:39:0013:49:0013:59:0014:09:0014:19:0014:29:0014:39:0014:49:0014:59:00中证500指数IC1810IC1811IC1812IC1903-140-120-100-80-60-40-200204009:30:0009:39:0009:48:0009:57:0010:06:0010:15:0010:24:0010:33:0010:42:0010:51:0011:00:0011:09:0011:18:0011:27:0013:05:0013:14:0013:23:0013:32:0013:41:0013:50:0013:59:0014:08:0014:17:0014:26:0014:35:0014:44:0014:53:00IC1810IC1811IC1812IC1903 日度报告 表1 2018年10月11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10月11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 2018-10-11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2018/10/10升贴水2018/10/10升贴水率IF1810.CFE3,106.83,124.1-17.3-0.55%2018-10-196-22.35%7.40.23%IF1811.CFE3,102.43,124.1-21.7-0.70%2018-11-1626-6.47%7.80.24%IF1812.CFE3,103.03,124.1-21.1-0.68%2018-12-2151-3.21%10.40.32%IF1903.CFE3,108.43,124.1-15.7-0.50%2019-03-15108-1.13%9.60.29%IH1810.CFE2,386.82,390.5-3.7-0.15%2018-10-196-6.25%6.30.25%IH1811.CFE2,396.22,390.55.70.24%2018-11-16262.22%10.90.44%IH1812.CFE2,403.02,390.512.50.52%2018-12-21512.48%19.90.80%IH1903.CFE2,412.82,390.522.30.93%2019-03-151082.09%30.91.24%IC1810.CFE4,258.24,307.4-49.2-1.14%2018-10-196-46.09%9.30.20%IC1811.CFE4,242.84,307.4-64.6-1.50%2018-11-1626-13.96%-16.9-0.36%IC1812.CFE4,206.24,307.4-101.2-2.35%2018-12-2151-11.15%-39.9-0.86%IC1903.CFE4,182.64,307.4-124.8-2.90%2019-03-15108-6.49%-80.9-1.75%合约代码总成交量(单边）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仓IF1810.CFE34394647132693-3852219150724928-103610IF1811.CFE17417211986542IF1812.CFE88624111208412270144261729179841926-197IF1903.CFE8444263628229IF总计4584111729591482656IH1810.CFE21383371417810-87012286-27713470-529252IH1811.CFE804304877188IH1812.CFE372015907153637IH1903