What is the discount of stock index futures and what is its impact on the market?
Stock index futures is the product of China Financial Futures Exchange. Stock index futures discount is presented when the futures market price is lower than the spot market price, and when the futures market price is higher than the spot market price, it is called premium. How does the detailed stock index futures discount come into being and what kind of role does it play in the market?
Stock Index Futures Basis = stock index futures price spot index price, while stock index futures discount, that is, the basis is negative. In order to understand how the discount of stock index futures is produced, we need to first understand the production mechanism of stock index futures price and spot index price.
The spot index, taking Shanghai and Shenzhen 300 as an example, is the market index, which is weighted and evenly composed of 300 representative stock prices in Shanghai and Shenzhen stock markets. The price of stock index futures changes according to the spot index price, and the change curve is fundamentally different. Therefore, the price of stock index futures should be different or similar to the price of spot index, and the basis should be 0. But in practice, due to the characteristic mechanism of futures market, futures market can short stock index, but stock market can't, so if there is a large number of sales in the futures market, the settlement price will be different from the spot index.
Take the CSI 300 stock index as an example. On August 29, the price of CSI 300 stock index futures was 3834.81 in the spot market, while in the futures market, the price of Shanghai Shenzhen 300 stock index futures if1709 was 3837.8. At present, the futures price is on the high side and is in the situation of premium. Shanghai and Shenzhen 300 stock index futures if1710 price is 3826.8, but in the discount situation. The reason for this situation is that there is a large amount of money pushing down the price or pushing up the price, so there is a basis difference with the spot market.
In addition, if1709 is a long-term contract, while if1710 is a short-term contract, which clarifies that the market is in a state of discount in the long term, while the short-term is a premium situation. That is to say, long-term futures investors are optimistic about the stock market, and the short-term situation is pessimistic.
Taking Shanghai Stock Exchange 50 Stock Index Futures (contract code IH) as an example, relevant people pointed out that: the original IH discount was mainly due to the market's worries about financial risks, and I didn't know when it would burst out. After the financial working conference, this concern was mitigated, so IH returned from the previous discount to the normal and reasonable evaluation degree.
What we should remind investors is that the change of futures market only clarifies an expectation of the current market, but on the whole, the spot market affects the futures market, not the futures market affects the spot market. Therefore, the change of futures market only clarifies a kind of mentality of the market, and cannot determine the future trend. The trend of stock index still depends on the development of market economy and national policies.
Stock index futures discount and premium play a very important role in the market. When the basis (especially the premium) expands, more investors will enter the futures market, suppress the premium and bear the stock index, thus cooling the stock market in disguise and providing certain activity for the stock market.
Stock index futures discount and premium is a complete and normal market response, investors need not panic. If you want to understand the current basis situation, you can analyze and compare the current futures and spot prices.