股指期货空头套保专题数据报告

20.83.21%34.03.93%IF(剔20.83.21%34.03.93%IF(剔除股息)2312移24012312移24032312移2406移仓基差移仓年化成本0.40.11%-6.2-0.70%-29.4-1.62%IH(剔除股息)2312移24012312移24032312移2406移仓基差移仓年化成本-0.2-0.08%-7.2-1.20%-26.0-2.13%IC(剔除股息)2312移24012312移24032312移2406移仓基差移仓年化成本3.50%62.24.29%94.4IM(剔除股息)2312移24012312移24032312移2406移仓基差移仓年化成本5.23%94.05.94%126.3）：）：）：）：IF(剔除股息)现货-期货2312240124032406基差-0.20.2-6.4-29.6年化基差成本-0.52%0.06%-0.72%-1.63%现货-期货2312IH(剔除股息)240124032406基差-1.3-1.4-8.4-27.2年化基差成本-5.00%-0.59%-1.41%-2.23%现货-期货2312IC(剔除股息)240124032406基差-4.016.858.290.3年化基差成本-6.59%2.82%4.02%3.07%现货-期货2312IM(剔除股息)240124032406基差0.034.094.0126.3年化基差成本-0.02%5.23%5.94%3.93%风险提示：2023和2024年派息预测以公告和历史派息为基础，期货价格为收盘价投资咨询业务资格:证监许可[2011]1294号本人以勤勉的职业态度，独立、客观地出具本报告。本报告所采用的数据和信息均来自市场公开信息，本人不保证该等信息的准确性或完整性。分析逻辑基于作者的职业理解，清晰准确地反映了作者的研究观点，结论不受任何第三方 0 IF各合约年化基差率（正值为贴水，剔除股息）5%0%-5%-10%-15%20172018 20222023201920202021IF当月(剔除股息),-0.19IFIF当月(剔除股息),-0.19IF当季(剔除股息),-6.39IF次月(剔除股息),0.2IF下季(剔除股息),-29.55（正值为贴水，剔除股息）200150100500(100)(150)(200)2017201820192020202120222023 50IH各合约年化基差率 （正值为贴水，剔除股息）15% 10%5%0%-5%-10%-15%2017201820192020202120222023IH各合约基差指数点 150 1005002017201820192020202120222023 05% IC各合约基差指数点（正值为贴水，剔除股息）60050040030020002017201820192020202120222023 0 5%IM各合约基差指数点（正值为贴水，剔除股息） 5004003002000IF2312移仓年化成本(剔除股息)IF2312移仓年化成本2312移24012312移24032312移24062312移24012312移24032312移24062023/11/22-0.94%-1.29%-1.90%-0.94%-1.29%-0.58%2023/11/23-0.67%-1.28%-1.79%-0.67%-1.28%-0.46%2023/11/24-0.87%-1.28%-1.93%-0.87%-1.28%-0.60%2023/11/27-0.46%-1.15%-1.79%-0.46%-1.15%-0.42%2023/11/28-0.35%-0.99%-1.75%-0.35%-0.99%-0.38%2023/11/29-0.04%-0.83%-1.66%-0.04%-0.83%-0.27%2023/11/30-0.29%-0.82%-1.64%-0.29%-0.82%-0.24%2023/12/1-0.08%-1.07%-1.55%-0.08%-1.07%-0.14%2023/12/4-0.36%-0.78%-1.57%-0.36%-0.78%-0.14%2023/12/50.51%0.15%-0.83%0.51%0.15%0.65%2023/12/60.67%0.45%-0.74%0.67%0.45%0.73%2023/12/70.15%0.17%-0.89%0.15%0.17%0.60%2023/12/80.55%0.28%-0.80%0.55%0.28%0.69%2023/12/110.11%-0.53%-1.41%0.11%-0.53%0.10%2023/12/120.11%-0.70%-1.62%0.11%-0.70%-0.11%2312移24012312移24032312移24062312移24012312移24032312移2406-5.4-14.4-39.4-5.4-14.4-12.0-3.8-14.2-37.0-3.8-14.2-9.6-4.8-14.0-39.6-4.8-14.0-12.2-2.4-12.2-35.8-2.4-12.2-8.4-1.8-10.4-35.0-1.8-10.4-7.6-0.2-8.6-32.8-0.2-8.6-5.4-1.4-8.4-32.2-1.4-8.4-4.8-0.4-10.8-30.2-0.4-10.8-2.8-1.6-7.6-30.0-1.6-7.6-2.62.2-15.42.212.02.84.2-13.82.84.213.60.6-16.40.611.02.22.6-14.82.22.612.60.4-4.8-25.60.4-4.80.4-6.2-29.40.4-6.2-2.0 50 11/2211/2311/2IH2312移仓年化成本(剔除股息)IH2312移仓年化成本日期2312移24012312移24032312移24062312移24012312移24032312移24062023/11/22-1.08%-1.80%-1.94%-0.77%-1.64%-0.69%2023/11/23-0.68%-1.78%-1.92%-0.37%-1.62%-0.66%2023/11/24-0.80%-1.67%-1.91%-0.48%-1.51%-0.64%2023/11/27-1.08%-1.82%-2.00%-0.74%-1.65%-0.70%2023/11/28-1.04%-1.66%-2.02%-0.70%-1.50%-0.71%2023/11/29-0.53%-1.49%-1.97%-0.18%-1.32%-0.65%2023/11/30-1.09%-1.79%-2.00%-0.73%-1.61%-0.68%2023/12/1-0.80%-1.75%-2.11%-0.43%-1.58%-0.78%2023/12/4-0.33%-1.21%-2.02%0.07%-1.03%-0.65%2023/12/5-1.04%-0.81%-1.77%-0.62%-0.63%-0.37%2023/12/60.29%-0.41%-1.56%0.71%-0.22%-0.14%2023/12/7-0.58%-0.99%-1.89%-0.15%-0.80%-0.47%2023/12/8-0.29%-0.71%-1.82%0.15%-0.52%-0.39%2023/12/11-0.15%-1.23%-2.25%0.32%-1.03%-0.80%2023/12/12-0.08%-1.20%-2.13%0.41%-1.00%-0.69%IH2312移仓基差(剔除股息)IH2312移仓基差2312移24012312移24032312移24062312移24012312移24032312移24062023/11/22-4.2-13.6-27.2-3.0-12.4-9.62023/11/23-2.6-13.4-26.8-1.4-12.2-9.22023/11/24-3.0-12.4-26.4-1.8-11.2-8.82023/11/27-3.8-13.0-27.0-2.6-11.8-9.42023/11/28-3.6-11.8-27.2-2.4-10.6-9.62023/11/29-1.8-10.4-26.2-0.6-9.2-8.62023/11/30-3.6-12.4-26.6-2.4-11.2-9.02023/12/1-2.6-12.0-27.8-1.4-10.8-10.22023/12/4-1.0-8.0-26.00.2-6.8-8.42023/12/5-3.0-5.2-22.2-1.8-4.0-4.62023/12/60.8-2.6-19.42.0-1.4-1.82023/12/7-1.6-6.2-23.4-0.4-5.0-5.82023/12/8-0.8-4.4-22.40.4-3.2-4.82023/12/11-0.4-7.4-27.40.8-6.2-9.82023/12/12-0.2-7.2-26.01.0-6.0-8.4 50 IC2312移仓年化成本(剔除股息)IC2312移仓年化成本2312移24012312移24032312移24062312移24012312移24032312移24062023/11/221.31%1.97%1.30%1.31%1.97%2.87%2023/11/231.61%2.06%1.38%1.61%2.06%2.93%2023/11/241.31%1.99%1.22%1.31%1.99%2.79%2023/11/271.63%2.31%1.54%1.63%2.31%3.14%2023/11/282.09%2.28%1.70%2.09%2.28%3.30%2023/11/292.35%2.80%1.93%2.35%2.80%3.55%2023/11/302.61%3.52%2.39%2.61%3.52%4.02%2023/12/13.23%4.21%3.18%3.23%4.21%4.81%2023/12/43.69%4.64%3.55%3.69%4.64%5.21%2023/12/54.53%5.31%4.10%4.53%5.31%5.80%2023/12/64.76%5.76%4.53%4.76%5.76%6.23%2023/12/73.78%4.43%3.15%3.78%4.44%4.86%2023/12/83.24%4.39%3.10%3.24%4.39%4.81%2023/12/113.21%4.39%2.99%3.21%4.39%4.71%2023/12/123.50%4.29%3.21%3.50%4.29%4.93%2312移24012312移24032312移24062312移24012312移24032312移240634.642.434.693.236.245.036.295.834.439.234.490.038.848.838.899.638.053.838.0104.646.060.646.0111.420.257.274.420.257.2125.224.668.099.024.668.0149.826.472.8108.626.472.8159.431.281.0122.831.281.0173.632.287.4135.432.287.4186.225.066.693.625.066.6144.421.065.492.021.065.4142.864.288.664.2139.420.862.294.420.862.2145.2 0IMIM2312移仓年化成本(剔除股息)日期2312移24012312移24032312移2406IM2312移仓年化成本2312移24012312移24032312移24062023/11/222.46%3.21%2.66%2.46%3.21%4.19%2023/11/232.27%3.42%2.42%2.27%3.42%3.93%2023/11/242.85%3.61%2.37%2.85%3.61%3.92%2023/11/273.65%4.15%3.03%3.65%4.15%4.60%2023/11/283.52%4.33%3.19%3.52%4.33%4.76%2023/11/293.74%4.42%3.37%3.74%4.42%4.96%2023/11/303.67%5.09%3.92%3.67%5.09%5.52%2023/12/14.03%5.31%4.18%4.03%5.31%5.77%2023/12/45.00%5.85%4.49%5.00%5.85%6.12%2023/12/56.38%7.31%5.63%6.38%7.31%7.30%2023/12/66.17%7.56%5.78%6.17%7.56%7.44%2023/12/75.40%5.61%3.97%5.40%5.61%5.64%2023/12/84.27%5.74%3.78%4.27%5.74%5.46%2023/12/115.23%5.96%4.01%5.23%5.96%5.70%2023/12/125.23%5.94%3.93%5.23%5.94%5.63%IM2312移仓基差(剔除股息)IM2312移仓基差2312移24012312移24032312移24062312移24012312移24032312移24062023/11/2224.462.095.124.462.0149.82023/11/2322.466.286.922.466.2141.62023/11/2427.268.483.927.268.4138.62023/11/2733.076.4105.533.076.4160.22023/11/2831.479.4111.131.479.4165.82023/11/2932.680.0116.332.680.0171.02023/11/3031.290.8133.731.290.8188.42023/12/133.894.6143.133.894.6197.82023/12/439.4101.0151.339.4101.0206.02023/12/548.2122.4184.948.2122.4239.62023/12/645.8126.0189.745.8126.0244.42023/12/739.292.6129.539.292.6184.22023/12/830.293.4122.330.293.4177.02023/12/1134.895.2129.534.895.2184.22023/12/1234.094.0126.334.094.0181.0 02023/1/12023/1/82023/1/152023/1/222023/1/292023/2/52023/2/122023/2/192023/2/262023/3/52023/3/122023/3/192023/3/262023/4/22023/4/92023/4/162023/4/232023/4/302023/5/72023/5/142023/5/212023/5/282023/6/42023/6/112023/6/182023/6/252023/7/22023/7/92023/7/162023/7/232023/7/302023/8/62023/8/132023/8/202023/8/272023/9/32023/9/102023/9/172023/9/242023/10/12023/10/82023/10/152023/10/222023/10/292023/11/52023/11/122023/11/192023/11/262023/12/32023/12/102023/12/172023/12/242023/12/31120100806040200 92.3,累计分红影响点数（预测值）95.2,累计分红影响点数（实际值）0 2023/1/12023/1/82023/1/152023/1/222023/1/292023/2/52023/2/122023/2/19