2. Speculative bullish change of IF: Since the middle of 20021year, the trading volume and positions of IF have decreased synchronously, and the decline ratio has basically remained at 2: 1, reflecting the withdrawal of high-frequency trading funds in the day. As for the speculative funds in low and medium frequency trading, we analyze them from the perspective of the market. In the middle of June last year, 5438+February, with the continuous introduction of favorable policies, the Shanghai and Shenzhen 300 broke through the shock range and went online. The market believes that the Shanghai and Shenzhen 300 began to rebound, and a large number of orders poured into IF, resulting in a short-term pricing deviation of 1F and a large premium. It can be seen from the substantial increase in IF positions that bulls enter the market. But then, as the mood cooled down, IF was still in a state of slight increase, and we guessed that there were other factors that led to the recent increase of IF basis.
3. Snowball hedging effect of 3.lc: The hedging method of snowball products is delta hedging, and the specific trading method is mostly buying stock index futures, selling high and sucking low. The position data of seat A and B are highly consistent with the way of snowball hedging, so we judge that seat B contains a large amount of snowball hedging funds. Recently, the position data of Block B still shows the characteristics of high throwing and low sucking, and the range is large. We believe that the current regulation of snowball products is still relatively strong. At present, the gamma of most snowball products near the index point is relatively large, and the hedging position is highly sensitive to the rise and fall of the index, and the basis will fluctuate violently.
4. Is the neutral strategy shrinking? Judging from the earnings of index-enhanced Public Offering of Fund, the performance of index-enhanced products in recent months is relatively average, and the median excess earnings of public offerings of CSI 300 and CSI 500 are both negative. In this market environment, neutral strategic products may face the pressure of large-scale redemption. In terms of IF, a certain A seat contains a large number of neutral strategic hedging positions. We have observed that the short position of a seat has been declining recently, and the discount of IF is also narrowing synchronously. From this, we speculate that the scale of the neutral strategy of the Shanghai and Shenzhen 300 Index is likely to continue to shrink. 1C, the proportion of futures trading positions remains low, suggesting that the long hedge fund wells have not been evacuated, and the IC short position of a B seat 202 1 continues to increase, reflecting that the neutral financial planning building of CSI 500 Index may not significantly reduce its holdings.
5. When will the basis return to the discount: The reason for the IF premium is that there are too many bargain-hunting funds and the neutral strategy shrinks. Therefore, in the future, the basis trend of IF can pay attention to the enhanced product yield of Shanghai and Shenzhen 300 Index. If the volatility of the Shanghai and Shenzhen 300 Index increases in the future, the yield of index-enhanced products may rise again, and the neutral strategy regulation may expand again, leading to a downward basis. In terms of lC, the influence of snowball products will not end in a short time, and the center of gravity of IC will move up. Therefore, the position change of snowball products can be tracked according to the data of seat B. In addition, IC can pay attention to the seasonal narrowing caused by short positions moving to distant months after the listing of 2209 contract.