After the plunge began, most monthly contracts for futures delivery changed from premium to premium. This is a very smart choice for the rescue institutions, because the sellers of futures are mainly institutions and individuals holding stocks. Because of the lack of liquidity of stocks, even if the discount of futures makes them suffer some losses, they will still choose to sell futures to control the losses compared with the strong downward expectation in the spot market.
However, the higher discount still limits their sales ability and reduces the pallet pressure of bailout funds in the futures market. Speculators who sell short are reluctant to choose futures with high discount. Because selling high-discount futures is like hitting a dog and getting meat buns, it will soon be accepted by all bulls. Futures discount is also the reaction of market expectation, and it also regulates market liquidity through price discount. At the beginning of the rescue, the discount rate was much lower than now.
After the bailout funds enter, the bailout funds directly control the market index, which is the Zhuang model. The mode of doing business requires controlling the total exposure of stocks, and buying stocks and selling futures is also a good way to control exposure. This situation is the early reason for the high premium of futures.
After the futures trading is restricted, the above-mentioned operation of holding stocks to sell futures must still be carried out, and hedging and selling are not restricted by policies, and selling pressure still exists. However, speculative buying is strictly restricted, which makes speculative short sellers suppress futures prices more unscrupulously, making stock index futures more discounted.
Through the analysis of the three major indexes and the monthly basis difference chart of futures delivery, it is not difficult to find that the rescue caused the first round of futures discount, and with the continuous strengthening of restrictive policies, the discount also increased rapidly.