Insiders told reporters that the premium of futures index reflects market expectations. Among the three major futures indexes, the 50-issue index of Shanghai Stock Exchange is expected to strengthen, and the 50 constituent stocks of Shanghai Stock Exchange have strong support. In addition, the hedging strategy of 50ETF options and SSE 50 futures index may also be one of the reasons for the frequent premium on the basis of the main contract of 50 futures index.
The 50 constituent stocks of Shanghai Stock Exchange are relatively resilient.
After the delivery of IH 1807, the contract of IH 1808 experienced premium on July 27th, lasting for three days, and then experienced premium on August 6th, 7th and 4th. Throughout August, the basis of IH main contract IH 1808 fluctuated on the horizon. On August 20th, the main contract of SSE 50 (IH 1809) rose by 1.87 points on the first day after delivery. Yesterday's opening and intraday trading also maintained the trend of premium. As of yesterday's close, the main contract of IH was discounted at 3.78 points.
Liu Bin, deputy general manager of CITIC Futures Research and Consulting Department, believes that the premium of futures index can reflect the market sentiment to some extent, but it may not have a perfect positive correlation with the index direction. The 50-issue index of Shanghai Stock Exchange has a premium or is flat, indicating that investors are relatively optimistic about big blue chips.
Hongye Futures Finance Research Institute said that the 50 constituent stocks of the Shanghai Stock Exchange involved many financial infrastructure-related sectors, which were expected to be strong, and recently performed relatively well in the three stock index futures. Once the market stabilizes, it is easier to pay a premium. At present, the market tension has eased, and the market resilience has improved significantly under the background of many internal and external risk factors.
50ETF option arbitrage trading raises premium
The 50-term index of Shanghai Stock Exchange has recently increased its premium frequently, which may also be influenced by some arbitrage strategies. Liu Bin further indicated that the trading of 50ETF options also had a certain impact on the futures market. Recently, the trading volume of 50ETF options is very large, and various trading strategies are rich. However, there is a corresponding relationship between 50ETF options and SSE 50 futures index, and the underlying stocks are all SSE 50 constituent stocks. Long-term refers to the strategy that there may be arbitrage between the use period and short-term options.
It is reported that there is cross-market arbitrage between SSE 50-term index and 50ETF options. The simplest operation is to buy more SSE 50 futures contracts in the futures market, which corresponds to buying bearish 50ETF options or selling bullish 50ETF options in the options market. The greater the volatility of options, the greater the risk and the more opportunities for arbitrage. According to institutional sources, more and more private equity funds are studying the arbitrage strategy of 50ETF options and issuing related products.
For this prospect of cross-market arbitrage, the director of a futures company research institute in Shanghai believes that the arbitrage mode of 50ETF options and 50 futures index of Shanghai Stock Exchange belongs to the bottom trading mode of mature markets and is the market stabilizer. And this trading mode is conducive to deepening the effective linkage between options and futures markets, promoting the deviation and return of the prices of the two varieties, and promoting the healthy development of the market.
Looking forward to the market outlook, Hongye Futures Finance Research Institute said that the market is close to the bottom area. Although there is still the risk of shock in the short term, it is unlikely that the market outlook will continue to fall, and the possibility of a greater rebound is increasing.