Home >

Commentary: Futures Index Fell Sharply &Nbsp, The Main Contract Fell 5%

2010/6/29 15:54:00 30

??? 日本語 Fran?ais English 中文

Today

Current cash

The two markets met black Tuesday.

In early trading, the index opened slightly lower, but from all day, the amplitude of early opening was obviously negligible.

Starting at 10:30, the index opened a prelude to a tumble all day, and the main contract fell by more than 2% in the afternoon, and the afternoon futures contract accelerated and fell to the close.

The opportunity to close at the lowest point all day can be magnified by panic.

At the close, IF1009 fell 5.18%, the biggest decline.

Closing quotation

2631.2 points were reported; 1187 hands were traded throughout the day; IF1007 fell 5.03%, or second, throughout the day.

IF1007 reported 2600.4 points, 298585 hands traded throughout the day, 3344 additional stocks per day, IF1008 received 2617.8 points, fell 4.92%, and IF1012 reported 2688.4 points, down 4.82%.

On the spot market, the Shanghai and Shenzhen 300 index closed at 2592.02 points, down 4.59%, while the Shanghai stock index fell 108.65 points, at 2427.05 points, or 4.29%, while the Shenzhen index dropped 503.15 points, or 5.03%, at 9508.91 points.

The volume of the two cities is enlarged.

Arbitrage

Focus on far month contract opportunities.

The futures contract yesterday showed a certain resilience relative to Shanghai and Shenzhen 300, and the trend of the July contract basis showed a trend of bottom up.

In the afternoon, the CITIC Bank changed again. The index response was more sensitive than the current indication. At 14:41, the contract base reached the maximum -24.83 value in July, and the time of rapid convergence appeared at 10:50 in the morning.

According to the 30 point arbitrage threshold we mentioned before, there is no arbitrage opportunity all day, and investors who have already opened the stock can still patiently wait for the opportunity to open positions.

The August contract is more similar to the July contract. The maximum daily base point -40.63 also appears at 14:41 in the afternoon. According to the 45 point arbitrage threshold we mentioned before, there is no arbitrage opportunity all day.

If from the price level, the main contract is ahead of schedule.

The current arbitrage funds can focus on the opportunities of far month contracts.

Yesterday, the turnover of 180ETF was 212 million yuan, and the turnover of 50ETF was 589 million yuan, which kept low.

In terms of intertemporal arbitrage, there is still no good arbitrage opportunity between the contracts in recent months. In August, -7 spread at 13.4 points -19.6, even if it was short term operation.

December -7 month price difference as we expected, the intraday concussion again, 14:12, the price difference reached the minimum of 85.2 points in the day, narrowed to 90 points, there is still a reasonable return of the internal demand, is the most participation value of the intertemporal arbitrage portfolio, who can enter the holding, waiting for the price difference convergence.