It is expected that the stock index futures spot will remain strong before the Spring Festival, and maintain an optimistic attitude before the festival|Stock Index_Sina Finance_Sina

Source: Futures Daily

Since the fourth quarter of last year, domestic stock indexes have bottomed out, including the CSI 300, SSE 50, CSI 500, and CSI 1000 indexes, which all formed a phased bottom in early November and then continued to oscillate and rebound. Although there was a round of adjustments in mid-to-early December, the overall upward trend remained unchanged. It is expected that the stock index futures and spot stocks will remain strong before the Spring Festival, and an optimistic attitude can be maintained. After the festival, it is necessary to pay attention to the risk of increased volatility and the risk of rising and falling.

The latest round of market rebound has the following factors: First, the Federal Reserve’s monetary policy adjustment. This is an important policy background for the market to form a phased bottom in early November 2022. The Federal Reserve meeting concluded on November 3, Beijing time, hinted that the pace of interest rate hikes would slow down, and the monetary policy shifted from accelerated tightening to slow tightening, which greatly boosted market confidence. The major U.S. stock indexes, international commodity prices, and the RMB exchange rate have all formed a periodical bottom since then, while the U.S. dollar index has confirmed its top, and risk appetite in the global financial market has begun to turn. The staged upward movement of the domestic stock market since then is also based on this background. Second, the domestic epidemic prevention policy has been clearly optimized. At the beginning of November 2022, the Politburo meeting of the Central Committee proposed 20 measures to adjust and optimize the epidemic prevention and control. After that, domestic epidemic control policies were gradually relaxed. Since the beginning of 2022, the main constraints on the domestic economy and stock market confidence have been lifted, injecting vitality into the stock index futures and spot markets. . Although there will be a round of stock index adjustments in December 2022 under the cautious sentiment of increasing new cases in the short term, the rebound trend remains unchanged. Third, domestic liquidity remains loose. Since the fourth quarter of 2022, the central bank has taken measures including RRR cuts to support the economy. The regulator announced the “16 real estate regulations”, and then allowed cities to relax and temporarily cancel mortgage interest rates according to their own housing price changes after housing prices fell for three consecutive months. This has become an important factor in helping the index rebound from late December 2022 to January 2023.

Under a series of policies, economic fundamentals have accelerated since the peak of the epidemic in mid-December 2022. After the “weak reality” that made investors in the stock index market cautiously waited and watched was reversed, the “strong expectation” was fulfilled and further strengthened. In addition, during this round of rising, especially in the transactions since 2023, the inflow of foreign capital has been obvious. For example, in the first 10 trading days of the beginning of the year, the cumulative inflow of funds from the Northbound Stock Connect of Lu Stock Connect has reached nearly 80 billion yuan, which is close to the sum of the previous two months. This shows that the confidence of overseas investors in the Chinese market has also increased significantly.

The stock index futures market basically reflects a similar logic. Recently, the trading volume of major varieties followed the downward trend of the spot market, but the total open interest of IH and IC contracts was basically stable, while the total open interest of IF and IM contracts increased significantly. In terms of premiums and discounts, since November 2022, the remote premiums and discounts of the four types of stock index futures have maintained an upward trend, IF and IH contracts have started to premium, and IC and IM contract discounts have narrowed. A week before the Spring Festival, there is even a clear space for positive coverage in the near-month contract. The influencing factors behind the trend of premiums and discounts include seasonal rises, periodic rises in risk-free yields, and improved market sentiment. Among them, the improvement of market sentiment corresponds to the performance of the stock market and capital. At present, the far-end annualized premium and discount rate has reached a seasonal high, and the future direction will turn downward, that is, the premium will narrow or the discount will expand.

In addition, due to the strengthening of economic recovery expectations, the performance of SSE 50 Index and CSI 300 Index is stronger than that of CSI 500 Index and CSI 1000 Index, and the performance of IF and IH is correspondingly stronger than that of IC and IM.

Up to now, the Shanghai Stock Exchange 50 Index and the Shanghai Shenzhen 300 Index have risen to near the highs of the past six months and the past five months, and the CSI 500 Index and the CSI 1000 Index are also close to the upper edge of the oscillation range. Macroeconomic high-frequency data continues to improve, indicating that the fundamental repair has not yet ended, and the policy effect is expected to continue to be released. The continuous inflow of funds and the improvement of market sentiment directly promote the rise of the index. It is expected that the upward trend since January has not yet ended, and an optimistic attitude can be maintained before the Spring Festival. However, the market faces uncertainty after the holiday. First, a number of important economic data will be released overseas during the Spring Festival holiday, including the U.S. PMI in January and GDP in the fourth quarter of 2022, etc., and the fluctuations in the external market may increase. Second, China’s January PMI and the Federal Reserve’s interest rate meeting will be announced in the first week after the festival. Third, the market is worried about a new round of small peaks of the epidemic caused by the movement of domestic people around the Spring Festival, and the cautious wait-and-see attitude has not been completely eliminated. Therefore, the country may face the risk of increased volatility after the opening of the holiday, and we need to be alert to the market’s rise and fall.

In addition, from a medium to long-term perspective, the domestic economy continues to recover, and liquidity will remain loose, which is still a potential positive for the market. It is expected that the operating center of stock index futures will move upward during the year, and the degree of recovery in consumption and real estate will determine the upward slope of the market. For futures and spot arbitrage, focus on the long-term reverse arbitrage opportunities around June. The price comparison of IF, IH, IC, and IM in the cross-species price difference has an obvious upward trend, and you can look for opportunities to go long.(Author unit: Founder Mid-term Futures)

Editor in charge: Zhang Jingdi