股指期货周报：央行安抚市场流动性，期指短期回调中期看涨

东吴期货研究研究所 021-63123071 www.dwfutures.com 央行安抚市场流动性，期指短期回调中期看涨 目录： 一、 金融期货交易情况 ......................................................................................................... 2 1、 股指和期货 .................................................................................................................... 2 2、 股指期货基差、价差 .................................................................................................... 2 二、 资金面 ............................................................................................................................ 5 三、 宏观政经信息................................................................................................................. 5 1、 统战部部长传达金融工作会议精神：反对盲目逐利套利和资金外逃等行为。 ..... 5 2、 公安部部长郭声琨：坚决打击严重干扰金融市场秩序的违法犯罪行为 ................. 5 3、 中美就共同化解全球钢铁产能问题达成一致............................................................. 5 4、 证监会原主席助理张育军严重违纪被双开：谋取巨额不当利益 ............................. 5 5、 银监会出台公私分开和履职回避制度，规范履职行为 ............................................. 6 6、 谈判十多年，美国史上首次得以向中国出口大米。 ................................................. 6 四、 策略建议 ........................................................................................................................ 6 股指期货周报 2017-07-24 星期一 东吴期货研究所 宏观与金融工程组 万 涛 021-63123175 从业证书：F0288751 投资咨询证书：Z0012259 期市有风险，投资需谨慎！ 研究所办公地址： 上海市-黄浦区西藏南路 1208 号 6 楼 苏州市-工业园区星阳街 5号东吴证券大楼8楼 东吴期货研究所 www.dwfutures.com第2页 一、 金融期货交易情况 1、 股指和期货 证券名称收盘价开盘价最高价最低价涨跌涨跌%成交量（手）成交额上证综指3237.98173219.79143247.7123139.503515.56490.481.16736E+111208658962800深证成指10364.820210383.221710406.259960.5572-62.967-0.601.01784E+111245241299400沪深3003728.59763700.61793751.6953621.365225.50360.6974627270800846781772447创业板指1690.14541730.70451730.7051641.3807-55.4218-3.1816734112200257009405800中小板指6956.81336879.96626986.3596623.80940.16880.5838248524800520775976200上证502639.21282627.37462666.0452594.424716.22930.6221628618100266002343071中证5006126.10836108.4526136.9735842.9557-2.6314-0.0445796383000508655341667恒生指数26706.0926572.9226794.1826353.83316.861.200442630951961恒生国企指数10787.1310822.8410899.7210712.2459.060.55087301709400 截止2017-7-23名称收盘价开盘价最高价最低价结算价涨跌涨跌%成交量成交额持仓量持仓量变化IC170761236080.86129.858186123.2132.010.4951543614256906000-17244IC17086041.260506061.85770.660443.4-0.0231129371593386001640513061IC1709598559856005.4571559870.6-0.0375628878290920102771078IC17125862585258775625.45860.2-4.2-0.16205523683354402676274IF1707373837003748.83622.23737.2747.071.0661055675025617000-21390IF170837163686.439973606371945.80.8637042410711130602078716094IF170937033664.237253588.83705.2491.061022811254306680133402192IF171236763627.436993569.83677.657.81.34215323515927203396366IH17072648.226332672.625992648.0532.050.8442355335256983400-15404IH17082640.226222669.82593.82645.2340.6928148223240884601400210245IH170926412619.22667.82594.42642.834.80.83774961312855807523582IH17122638.82610.4266525902644.246.21.11200915873026402812247数据来源：文华财经，东吴期货研究所 2、 股指期货基差、价差 图1：IH期现基差 -15-10-505101520253021002200230024002500260027002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IH基差上证50现-当月-10010203040506070809021002200230024002500260027002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IH基差上证50现-下季 数据来源：Wind，东吴期货研究所 图2：IF期现基差 东吴期货研究所 www.dwfutures.com第3页 -30-20-1001020304050310032003300340035003600370038002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IF基差沪深300现-当月020406080100120310032003300340035003600370038002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IF基差沪深300现-下季 数据来源：Wind，东吴期货研究所 图3：IC期现基差 -60-40-200204060801001205200540056005800600062006400660068002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IC基差中证500现-当月0501001502002503003504005200540056005800600062006400660068002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IC基差中证500现-下季 数据来源：中金所，东吴期货研究所 图4：跨期价差 01020304050607021002200230024002500260027002017-01-192017-01-292017-02-082017-02-182017-02-282017-03-102017-03-202017-03-302017-04-092017-04-192017-04-292017-05-092017-05-192017-05-292017-06-082017-06-182017-06-282017-07-082017-07-18IH基差上证50当月-下季 东吴期货研究所 www.dwfutures.com第4页 0102030405060708090100310032003300340035003600370038002017-01-192017-01-292017-02-082017-02-182017-02-2820