After undergoing a sharp adjustment in the previous week, the A-share market ushered in an oversold rebound last week. Recently, the discount of IF2108, IH2108 are near historical high. Market participants believe that they can pay attention to the trading opportunities brought by the abnormal discount of futures, and consider future arbitrage and calendar spread trade.

A stock index futures analyst said that from the perspective of the main index trends last week: the Science and Technology 50, the ChiNext Index and the CSI 1000 have completely recovered the previous declines, the CSI 500 has also been repaired relatively large, while the Shanghai Composite Index, the CSI300 And the SSE 50 repaired smaller. It shows that the current growth style of small and medium-sized stocks is still relatively strong. At the level of stock index futures,

affected by the recent rebound of the previously leading sectors after selling off, the ratio of IC to IH weakened from last Monday to last Tuesday, and then oscillated and rebounded.

In terms of market structure, the background of increased economic growth pressure and steady and loose liquidity is indeed conducive to the further differentiation of growth stocks and value stocks.

Investors are bickering on previous leading growth sectors, the main reason for the debate

is overcrowding of funds, rather than the concern on the sustainability of the growth. For the coming time, the extreme differentiation between growth stocks and value stocks will converge, showing more of a seesaw effect, rather than thriving growth stocks or value stocks.

In terms of stock index futures, the current CSI500 stock bond yield difference is located at twice the standard deviation below the average. SSE 50 and CSI 300 are near the average value. Superimposed on SSE 50 and CSI 300, subject to economic downward pressure, they do not have the basis for stepping out of the trend market. It is expected that the ratio of IC and IH will continue to expand. However, considering that the high-congestion of the previous hot sectors represented by new energy, photovoltaics and semiconductors has led to a decline in the short-term cost performance of the CSI 500, the slope of the price expansion of IC and IH may slow down compared with the previous period, and the volatility will also increase.

Recently, the discount of futures index has continued to expand, and the discount of IF2108 and IH2108 contracts is at a historically high level. There are two factors that cause the abnormal discount of the index futures: On the one hand, the sharp fall in the market on July 23-28 triggered panic, and this panic has not completely dissipated at least for now. This is not only the reaction given by the futures market, but also the options market. The P/C holding ratio of SSE 50ETF options is also at a historically low position. Due to this panic caused short trade congestion, shorts can only find counterparties with higher discounts. On the other hand, from the perspective of trading volume and open interest, the July contract completed most of the roll trading around July 15 to Aug contract, then the discount rose sharply a week later. As a result, the short positions that were previously moved are bound to the 2108 contract, making it difficult to move the position in the next step. Meanwhile, the decline in the market has triggered new demand for short hedging, which in turn makes the short trading of the 2108 contract even more crowded.

Regarding how to take advantage of the trading opportunities brought by the abnormal discount on futures, one can consider futures arbitrage, selling CSI 300 ETF in securities lending and buying IF2108 contracts at the same time; or selling SSE 50 ETF in securities lending and buying IH2108 at the same time The contract is closed when the discount returns. The discount of the 2108 contract has exceeded the sum of securities lending costs and transaction costs. If you already hold the SSE 50 ETF or the CSI 300 ETF, you can consider selling the ETF and directly holding stock index futures instead of spot. The second is to consider calendar spread trade. There are still two weeks before the delivery of the 2108 contract, and the stock index futures cash delivery system makes the price of the delivery contract unconditionally return to the spot price, that is, the return speed of the 2108 contract in the next two weeks is likely to be faster than the speed of the far-month contract. Therefore, you can long IF2108 contracts and short IF2203 contracts at the same time; or long IH2108 contracts and short IH2203 contracts at the same time.

In terms of operation, investors need to be cautious in the long IC short IH cross-variety arbitrage, and be alert to the impact of the intensified volatility of the previous popular sector on IC sentiment. "In addition, China Telecom has determined the issue price on August 6, and will conduct online and offline subscriptions on August 9, and is expected to be listed for trading around August 20. Investors need to be wary of the siphoning effect of ultra-large IPOs on liquidity. ."