20230618-国金证券-_数_看期货_期指交易情绪全面回暖_商品风险偏好上行_14页_1mb

报告摘要

This week featured a broad rebound in all four major index futures: Chinese Financial (IF) reached the highest gain at 33.8%, followed by Shanghai Composite (IH) with a smaller increase of 23.3%. Overall, trading volume increased significantly, indicating a shift from pessimistic to more optimistic trading sentiment. Backwardation (contango/ backward structures) improved as baseline rates narrowed, with IF, IC, IM, and IH contracts recording annualized baseline rates of -250%, -260%, -428%, and -399% respectively, reflecting full pricing of dividend impacts.

Baseline rates converged, showing reduced under-water conditions. Cross-period price spread rates were at elevated historical percentiles (IF: 89.5%, IC: 12.6%, IM: 67.1%, IH: 95.6%) since January 2019, suggesting market optimism and potential for further adjustments due to dividend revisions. Future month contracts showed diminished backwardation, lowering arbitrage opportunities but aligning with policy-induced market confidence.

Passive hedging combinations incurred losses: IF at -0.07%, IC at -0.04%, and IH at -0.15%. Active hedging strategies performed worse (-0.42%, -0.22%, -0.75%), yet historical data suggested that active approaches, leveraging trend following via polynomial fitting, could outperform passively in trend-sensitive periods. Models for hedging used derivative indicators to capture intra-day trends, but carry risks from cleared positions.

The overall commodity futures market rebounded sharply, with an average gain of 25.8%. Notable performers included bitumen-related stocks (e.g., Panjiang Coal +326%) and industrial metals, such as nickel. Price differentials ("Back" structures) remained stable across 42 of 56 commodities, with pure碱inc and jujube showing extreme deviations (+1367% and -1573%). Market participants observed that while demand expectations were bearish, price corrections may signal early signs of fundamental shifts.

This week's strong rebound, part of a broader policy-driven recovery, distinguished from post-crisis peaks by subdued caution. Expected dividends for July contracts could affect future pricing. Domestic stability policies bolstered confidence, but risks include model obsolescence, policy changes, and market volatility. The analysis underscores that prices may lead fundamentals in reactions, supporting potential mean reversion in deviations.