There are four kinds of stock index futures in China, all of which are listed in CICC, namely CSI 300 Index Futures (IF), CSI 50 Index Futures (IH), CSI 500 Index Futures (IC) and CSI 1000 Index Futures (IM).
Table 1 shows the specific contents of stock index futures contracts. The biggest difference between the four stock index futures contracts lies in the different contract multipliers. The multipliers of CSI 300(IF) and SSE 500(IH) are all a little bit in 300 yuan, and the multipliers of CSI 500(IC) and CSI 1000(IM) are all a little bit in 200 yuan. For example, on August 29th, 2022, the Shanghai and Shenzhen 300 stock index futures contract IF2209 opened at 4070.2 points. At this time, if the contract value of each lot of IF2209 is 4070.2× 300 =1221060 (yuan), and the margin ratio of the exchange is 12%, then the margin will be occupied when the position is opened. Usually, at the actual opening, the margin charged by the futures company is slightly higher than the margin stipulated by the exchange.
In addition, the contract contents of the four stock index futures varieties are basically the same. The quotation unit is the index point, the minimum price change is 0.2, there are four contract months, namely the current month, the next month and the next two quarters, and the trading time is 9: 30-1:30, 13: 00- 15: 00. In addition, the minimum fluctuation of daily price is limited to+10% of the settlement price of the previous trading day, and the last trading day is the third Friday of the contract expiration month. If it is postponed in case of national legal holidays, the delivery date is the same as the last trading day.
The analysis of stock index futures focuses on four dimensions: profit dimension, policy dimension, liquidity dimension and valuation dimension. Among them, the profit dimension is analyzed by macro-level domestic economic situation, social integration trend, and micro-level enterprise net profit growth rate, performance forecast and other indicators. The policy dimension mainly involves fiscal policy, monetary policy and industry policy, which has great influence on domestic economic trends, liquidity and industry development. The liquidity dimension is mainly analyzed from macro liquidity indicators such as inter-bank interest rate level, M 1 and market liquidity indicators such as financing purchase amount, trading volume and northward capital, among which market liquidity reflects current market sentiment and risk preference. The valuation dimension mainly analyzes the absolute value and historical position of P/E ratio and P/B ratio to judge the investment cost performance of stock index futures.
Long-term strategic expansion plan
Long-term unilateral positions involve contract extension. According to the historical data, various extension schemes of CSI 500 stock index futures are tested back.
Option 1, the specific operation of moving positions on the maturity date (T) is as follows: If you want to open long positions in the CSI 500 stock index futures at 20 17 1, buy the CSI 500 contract IC 170 1 and hold it until the maturity date 1 (.
Option 2, the specific operation of moving positions on the maturity date (T) is: If you want to open long positions in the CSI 500 stock index futures at 201710, buy the CSI 500 quarterly contract IC 1703 on the same day and hold it in IC 1703.
The third option is to hold the contract IC 1706 for next season until it expires, and open a new contract IC 17 12 for next season, and move the position twice a year.
Through backtesting, it is found that the CSI 500 stock index futures have a discount structure (the historical average annualized discount rate is 12%). During the period of 2065,438+07,65,438+0-August 2022, although the CSI 500 index fell by 3%, the income from holding stock index futures in the medium and long term can reach 66% within five and a half years, with an average annual rate of 66%. In addition, it can be reasonably speculated that the discount rates of CSI 1000 stock index futures and CSI 300 stock index futures are different (the discount rate of CSI 1000 stock index futures is higher than that of CSI 500 stock index futures, and the discount rate of CSI 500 stock index futures is higher than that of CSI 300 stock index futures), so CSI 1000 stock index futures and CSI 300 stock index futures have long-term rolling.
For CSI 1000, CSI 500 and CSI 300 stock index futures, the long-term strategy is to hold the contracts in recent months and move the positions to the next month 2-5 days before the expiration of each month, which has a high long-term holding rate. However, the SSE 50 stock index futures basically have no discount range, and the long-term strategy is not affected by the way of holding positions.
Cross-variety arbitrage
In July, 2022, CSI 1000 stock index futures went public, which made cross-species arbitrage of stock index futures more feasible, which was embodied in the arbitrage strategy between CSI 500 stock index futures and CSI 1000 stock index futures. The theoretical basis is that from the index characteristics of CSI 1000 and CSI 500, the industry distribution of the two indexes is highly correlated with the historical trend. According to statistics, the correlation between them reached 95% in recent four years, and the price difference center was 300 points. The difference between indexes lies in the market value of constituent stocks. CSI 1000 and CSI 500 represent the small-cap index and the middle-cap index respectively. When the market style is extremely divided and there is room for correction, the trend of index spread can be traded.
Compared with the unilateral holding of stock index futures, the fluctuation range of cross-species arbitrage is relatively small, which is more suitable for investors with low risk appetite. From the perspective of market impact, cross-species arbitrage is conducive to promoting the reasonable return of market price or market style, promoting the liquidity of financial futures market, and promoting financial futures to better play the role of price discovery.