中信证券：股指期货市场跟踪（2007年第二期）

—近月合约完美预测现货走势

08.14 14页

目 录
现货市场与期货市场······································································································································································1
现货市场屡创新高，蓝筹股涨势强劲..................................................................................................................................1
期货市场波动率明显降低，接近现货市场...........................................................................................................................1
近月期货合约完美预测现货走势..........................................................................................................................................1
市场对远期走势总体保持乐观，但风险依然存在...............................................................................................................1
现货市场走势···················································································································································································1
沪深300 指数走势及波动率变化..........................................................................................................................................1
沪深300 指数分行业表现......................................................................................................................................................2
沪深300 指数与上证指数相关系数走势...............................................................................................................................3
沪深300 指数期货···········································································································································································3
各期期货合约的走势..............................................................................................................................................................3
成交量及未平仓量..................................................................................................................................................................4
基差走势与套利机会······································································································································································5
主要结论..................................................................................................................................................................................5
近月合约的期现套利机会逐渐减少......................................................................................................................................6
次远月与远月合约的期现套利机会持续存在.......................................................................................................................7
跨期套利收益空间较大，操作难度较高...............................................................................................................................9
保证金管理·······················································································································································································9
主要结论..................................................................................................................................................................................9
保证金管理简介....................................................................................................................................................................10
谨慎保证金水平的测算........................................................................................................................................................10