The current market is a big sun line. Two big sun lines, the institutions on the list are now. Three Dayang lines, retail investors chase high and do not listen to persuasion. However, as an investor, when investors are going through the previous sharp rises and falls, we can’t just look at stocks when we are stock speculators, but we also need to pay attention to the stock index futures. The concept of futures First, we need to understand futures. Futures are future goods, such as rice futures, which refer to future rice contracts. They can be understood as order contracts. For example, I made an agreement with a farm. After 3 months of harvesting rice, I bought it at a certain price and paid one-tenth of the money in advance. When the rice really arrived in my granary, I paid the remaining money for the deposit. . Here, the rice farmer is the seller (short) of the futures contract, and I am the buyer (long) of the futures contract. The deposit for this transaction is the stock index futures margin. Finally, when the rice reaches my granary, it is delivery. If we trade privately, there will be many problems, such as the definition of rice quality, how to ensure the safe payment of the remaining funds after the deposit, in case the farm is in a disaster and cannot be delivered. At this time, in order to avoid such problems, we enter the exchange, trade standardized contracts, and the exchange handles these issues, and also acts as a trusted third party. This is how futures work. Because the futures contract can be transferred directly to others without waiting for delivery, the farmer does not pick who the last delivery is, just give money, then it is convenient for speculators, we only need one tenth of the money. Speculative speculation on the price of rice, we can not only be buyers, we can directly be the seller (short) of the contract without planting any rice. If the price really drops, we will buy the same futures contract. Close our positions so that we can benefit from falling rice prices without planting any rice. If the price of rice is not as expected and rises, we do not have to worry about handing over the rice in kind. Similarly, we buy the contract to close the position, and the damage is also cash. The concept of stock index futures The principle of stock index futures contracts is the same, the only difference is that the underlying asset here is not rice, but a lot of stocks. The subject matter of the IF futures contract is 300 stocks, and their composition is determined by the CSI 300 Index. The subject matter of the IH and IC stock index futures contracts are the 50 stocks in the Shanghai 50 Index and the 500 index stocks. The meaning of stock index futures is a bunch of stocks in the future. Basis The basis is the difference between the spot price of the asset being hedged and the price of the futures contract used for hedging. That is: basis = spot price-futures price. Since both futures prices and spot prices fluctuate, the basis spread also fluctuates during the validity period of the futures contract. The uncertainty of the basis is called the basis risk, and the key to reducing the basis risk to achieve hedging is to choose a highly matched hedge futures contract. Basis risk is directly related to the basis when hedging and closing the position. When investors hold the spot and hold futures short positions to hedge, the hedging and closing of the day basis will expand and investors will be profitable; on the contrary, when investors will buy For an asset, holding a long futures position to hedge, the hedging and closing of the daily basis spread will expand, and investors will lose money. Positions Stock index futures positions are a kind of volume and energy indicators unique to the futures market, showing changes in the capital stock. Stock index futures positions are the sum of the number of open contracts. Positions represent the holder’s attitude towards the market outlook. Stock index futures trading volume (including opening and closing positions) is the only reason for changes in positions. The total long position is always equal to the total short position, but the degree of divergence and concentration is different. The meaning of stock index futures positions:
(1) The increase or decrease in positions means that funds enter and exit the market;
(2) the size of the position represents the severity of the long and short differences;
(3) Positions must be combined with transactions and prices to be meaningful.
Position report Position report often refers to the position report of all members announced by the futures exchange after the end of each trading day. Market participants often rely on this to analyze the trading situation on the floor. This report is absolutely true. Shorting stock index futures We know that the shorting channels of the Chinese stock market have always been very limited. In addition to margin trading, for a long time there has been only one way for IF Shanghai and Shenzhen 300 stock index futures. The recently launched IH and IC contracts are just extended versions. The newly launched SSE 50 ETF option participant threshold is very high and will not be discussed for the time being. If we find that the price of the IF contract is lower than the current Shanghai and Shenzhen 300, then we can obtain long-term IF contracts and short 300 constituent stocks to obtain a return without price risk. Similarly, shorting the CSI 300 ETF as a way to short the spot is also possible. It is convenient to go long and short stock index futures, and it is easy to buy stocks. It is more troublesome to short stocks in China. For example, in China, to do margin trading, it often faces the problem that securities cannot be fused, and the interest cost is very high. As a participant in arbitrage trading, I would like to see a very high premium state, short the stock index futures contract, and then buy constituent stocks. In fact, there is no need to wait until the delivery date, as long as the ascended state returns to the normal level, or even better, becomes the discount level, you can make great profits without worrying about guessing the stock price. There is no need to guess the price to make a profit. Many people are willing to do it, and some of them are well-funded institutions. In this way, if pure stock index futures speculators are very optimistic about future stock prices and are willing to buy stock index futures contracts at high prices, arbitrage institutions Will short the stock index and buy a large number of stocks, thus pushing up the stock market. Conversely, if a large number of institutions are shorting stock index futures, then arbitrage institutions will make multiple stock index futures contracts and empty a large number of stocks, causing the stock price to dive.