股指期货日报

2023年4月17日星期一日度报告金融衍生品研究·股指期货 兴证期货·研发中心兴证期货·研发产品系列股指期货日报内容提要·观点总结 沪深300当月合约IF2304报收4095点，上涨0.51%，成交591.05亿元；上证50当月合约IH2304报收2680.6点，上涨0.41%，成交243.77亿元；中证500当月合约IC2304报收6423.8点，上涨0.17%，成交470.09亿元；中证1000当月合约IM2304报收7004.2点，上涨0.48%，成交438.64亿元。申万31个行业中，有色金属、电子、建筑装饰行业领涨；社会服务、传媒、商贸零售行业领跌。资金方面,上一交易日A股资金净主动买入额为卖出1.34亿元,其中主板A股资金净主动买入额为卖出55.55亿元。 震荡延续，仍存在结构性行情。经济方面，制造业与非制造业均处于扩张通道，但市场担忧经济陷入“通缩”困扰，CPI与PPI同比下降。货币增速仍然明显，新增信贷与社融超预期，信贷与表外回暖。政策层面，稳经济与高质量发展仍是政策主基调。海外方面，美国PPI环比降0.5%，刷新三年新低，预期持平；美国初请失业金人数略高于预期，维持偏鸽路径。近期预期A股震荡仍将延续，市场以结构行情为主。仅供参考。 IF当月合约基差为-3，IH当月合约基差为-1.59，IC当月合约基差为7.27，IM当月合约基差为15.89。金融研究团队林玲从业资格编号：F3067533投资咨询编号：Z0014903杨娜从业资格编号：F03091213投资咨询编号：Z0016895周立朝从业资格编号：F03088989投资咨询编号：Z0018135联系人：杨娜：电话：021-20370947邮箱：yangna@xzfutures.com日度报告指数简称收盘价日最高价 日最低价 日成交量（亿）日成交额（亿）日涨跌日涨跌幅日振幅沪深3004092.004098.224075.20150.703062.02↑23.02↑0.570.57上证502679.012692.462668.8130.90673.04↑8.99↑0.340.89中证5006431.076444.896390.92145.301907.43↑26.42↑0.410.84中证10007020.097026.126942.57174.752491.60↑53.28↑0.761.20上证综指3338.153340.083316.81338.304783.45↑19.79↑0.600.70深证成指11800.0911816.6811737.30439.776366.77↑60.25↑0.510.68中小板指7799.237810.447749.12349.16885.81↑58.23↑0.750.79创业板指2428.092432.362409.60342.012857.64↑22.33↑0.930.95恒生指数20438.8120482.6820297.16360.311387.82↑94.33↑0.460.91台湾5012008.5912058.5411945.67407.141415.41↑106.57↑0.900.95证券简称收盘价 日持仓变化 日成交量 日成交额(亿）日涨跌日涨跌幅日振幅基差沪深300IF23044095.00-778548160591.0520.60↑0.510.58-3.00IF23054099.80695493260.5821.40↑0.520.54-7.80IF23064091.2079815870194.6020.40↑0.500.530.80IF23094052.00-483516462.7615.60↑0.390.5140.00上证50IH23042680.60-681030304243.7711.00↑0.410.86-1.59IH23052686.40925381130.7210.80↑0.400.79-7.39IH23062680.20-11221101188.5611.00↑0.410.79-1.19IH23092651.60-214437834.859.40↑0.360.7627.41中证500IC23046423.80-36923656280.6011.20↑0.170.787.27IC23056409.0018786286152.2713.60↑0.210.8122.07IC23066372.203401193959.5612.60↑0.200.7158.87IC23096292.00-684725438.647.80↑0.120.71139.07中证1000IM23047004.203136931369438.6433.80↑0.480.9315.89IM23056986.004848484867.5836.80↑0.530.9034.09IM23066946.8097249724134.9032.80↑0.470.8773.29IM23096856.204087408755.9928.80↑0.420.83163.894092.002679.016431.077020.09数据来源：wind，兴证期货研发部一、股指期货数据追踪图表1.股市指数追踪数据来源：wind，兴证期货研发部图表2.股指期货盘面数据追踪日度报告一、股市基本情况图表3.流动性监测—银行间同业拆借&SHIBOR数据来源：wind，兴证期货研发部图表4.沪深300风险溢价数据来源：wind，兴证期货研发部图表5.上证50风险溢价数据来源：wind，兴证期货研发部0.00.51.01.52.02.53.02023-04-032023-04-062023-04-092023-04-12IBO001IBO007IBO1M0.50.81.11.41.72.02.32.62023-04-042023-04-072023-04-102023-04-13SHIBORO/NSHIBOR1WSHIBOR1M-2.78-2.77-2.76-2.75-2.74-2.73-2.7201,0002,0003,0004,0005,0006,0007,0002015-08-212016-08-212017-08-212018-08-212019-08-212020-08-212021-08-212022-08-21沪深300沪深300风险溢价-2.77-2.76-2.75-2.74-2.73-2.72-2.71-2.70-2.69-2.6805001,0001,5002,0002,5003,0003,5004,0004,5002015-08-212016-08-212017-08-212018-08-212019-08-212020-08-212021-08-212022-08-21上证50上证50风险溢价日度报告图表8.申万行业涨跌幅情况（单位：%）数据来源：wind，兴证期货研发部图表6.中证500风险溢价数据来源：wind，兴证期货研发部图表7.中证1000风险溢价数据来源：wind，兴证期货研发部-5-4-3-2-10123456农林牧渔基础化工钢铁有色金属电子家用电器