短期风险扰动指数复苏节奏
　　Wind全A周度下跌4.27%，突破年内震荡中枢，创年内新低。
　　美联储维持激进的加息政策，美元指数持续走强，美债短期利率超过长期利率，这都使得资本快速回流美国。近期，10年期美债收益率超过4.9%，对国内资产造成了显著的流动性压力。
　　近期，巴以冲突不断升级，地缘政治中的不确定性增加；同时美国拜登政府10月17日更新了针对人工智能(AI)芯片的出口管制规定。贸易摩擦和地缘冲突也加剧了资本市场的避险需求。
　　

研究报告全文：光期研究股指期货策略周报2023年10月22日光大证券2020年半年度业绩1EVERBRIGHTSECURITIES股指期货短期风险扰动指数复苏节奏中证1000指数下跌506主力合约基差收于-812医药生物电子版块拖累指数股指走势中证500指数下跌372主力合约基差收于493医药生物电子版块拖累指数基差价格沪深300指数下跌417主力合约基差收于1101食品饮料医药生物电子拖累指数上证50指数下跌401主力合约基差收于002食品饮料拖累指数IM净多头明显回落净空头大幅上升空头情绪占上风股指IC净多头基本持平净空头大幅上升空头情绪占上风成交量及持仓量IF净多头小幅上升净空头大幅上升市场持仓情绪偏空IH净多头和净空头同步震荡空头持仓减多头持仓差值维持高位IM各合约开仓年化成本收于2至5换月年化成本收于2至4区间股指IC各合约开仓年化成本收于-25至05区间换月年化成本在-1至1区间震荡空头套保年化成本IF各合约开仓年化成本位于-45至-05区间换月年化成本在-4至-1区间震荡IH各合约开仓年化成本位于-4至1区间换月年化成本在-4至-25区间震荡IM主力合约本周多空滑点位于04上下空头滑点略大下方支撑不足股指多空IC主力合约本周多头滑点位于03至035区间空头滑点略大下方支撑不足交易滑点IF主力合约本周多头滑点位于015至02区间空头滑点略大下方支撑不足IH主力合约本周多空滑点位于015至02区间空头滑点略大下方支撑不足p211短期风险扰动指数复苏节奏图表1Wind全A走势Wind全A周度下跌427突破年内震荡中枢创5300年内新低52005100美联储维持激进的加息政策美元指数持续走强5000美债短期利率超过长期利率这都使得资本快速回4900流美国近期10年期美债收益率超过49对国4800内资产造成了显著的流动性压力47004600近期巴以冲突不断升级地缘政治中的不确定性4500增加同时美国拜登政府10月17日更新了针对人工智能AI芯片的出口管制规定贸易摩擦和地缘冲突也加剧了资本市场的避险需求资料来源Wind光大期货研究所p312中证1000指数下跌506主力合约基差收于-812医药生物电子版块拖累指数图表2中证1000指数及合约基差基差日内均值206150DateTimeIM00diffIM01diffIM02diffIM03diff610020231016-1162-2349-3277-578410605020231017-671-1912-2855-52060600020231018-106-1341-2393-4556595020231019-427-2039-3557-6058-10590020231020398-1623-3282-6397-205850基差日内波动性5800-30DateTimeIM00diffIM01diffIM02diffIM03diff575020231016588600593604-4057002023101737242237434209311035130814401107134014121444094610181050112213231355142714591001103311051306133814101442094410161048112013211353142514570959103111031304133614081003202310185295776136372023-10-162023-10-172023-10-182023-10-192023-10-2020231019332387488672IM00diffIM01diff000852SHlast20231020545516501531资料来源Wind光大期货研究所中证1000指数本周下跌506最高608948最低576702收于577432各合约基差宽幅震荡主力合约基差收于-812医药生物电子版块拖累指数p413中证500指数下跌372主力合约基差收于493医药生物电子版块拖累指数图表3中证500指数及合约基差基差日内均值205700DateTimeIC00diffIC01diffIC02diffIC03diff20231016031393398-60415565020231017-133167100-71810560020231018279606616-204520231019-091155-010-967555020231020299273-005-89205500-5基差日内波动性-105450DateTimeIC00diffIC01diffIC02diffIC03diff20231016484512458523-1554002023101743045552050314401003103511071308134014121444094610181050112213231355142714591001103311051306133814101442094410161048112013211353142514570959103111031304133614080931202310183243203133322023-10-162023-10-172023-10-182023-10-192023-10-2020231019378388411440IC00diffIC01diffIC02diff000905SHlast20231020446416408421资料来源Wind光大期货研究所中证500指数本周下跌372最高563632最低541302收于542367各合约基差大幅震荡主力合约基差收于493医药生物电子版块拖累指数p514沪深300指数下跌417主力合约基差收于1101食品饮料医药生物电子拖累指数图表4沪深300指数及合约基差基差日内均值30DateTimeIF00diffIF01diffIF02diffIF03diff368025202310163731144213246362020231017222937166140633630202310183589221618394715202310192766141287358610358020231020071503107330965基差日内波动性03530DateTimeIF00diffIF01diffIF02diffIF03diff-520231016147168221213-1034802023101710612814015714401003103511071308134014121444094610181050112213231355142714591001103311051306133814101442094410161048112013211353142514570959103111031304133614080931202310181962452563002023-10-162023-10-172023-10-182023-10-192023-10-2020231019231327407488IF00diffIF01diffIF02diff000300SHlast20231020151143156163资料来源Wind光大期货研究所沪深300指数本周下跌417最高366404最低350173收于351059各合约基差小幅震荡主力合约基差收于1101食品饮料医药生物电子拖累指数p615上证50指数下跌401主力合约基差收于002食品饮料拖累指数图表5上证50指数及合约基差基差日内均值252520DateTimeIH00diffIH01diffIH02diffIH03diff2500202310162205921228364420248020231017109450103833311524602023101824450510543273244020231019177333939312510242020231020010116673275952400基差日内波动性23800DateTimeIH00diffIH01diffIH02diffIH03diff236020231016109123128119-5234020231017076087105184100210331104130413351406143709381009104011111311134214131444094510161047111813181349142014510952102310541125132513561427145809591030110113011332140314340931202310181552062012172023-10-162023-10-172023-10-182023-10-192023-10-2020231019203269301339IH00diffIH01diffIH02diff000016SHlast20231020094094110120资料来源Wind光大期货研究所上证50指数本周下跌401最高249162最低237974收于238922各合约基差窄幅震荡主力合约基差收于002食品饮料拖累指数p716板块对中小盘指数涨跌贡献点数图表6板块对中证1000指数涨跌贡献点数100-10-20-30-40-50-60-70图表7板块对中证500指数涨跌贡献点数20100-10-20-30-40-50资料来源WindMysteel光大期货研究所p817板块对大盘指数涨跌贡献点数图表8板块对沪深300指数涨跌贡献点数50-5-10-15-20-25-30图表9板块对上证50指数涨跌贡献点数0交通运输汽车煤炭家用电器国防军工钢铁石油石化公用事业商贸零售机械设备基础化工建筑装饰房地产通信电子计算机有色金属电力设备银行非银金融医药生物食品饮料-5-10-15-20-25-30-35资料来源WindMysteel光大期货研究所p921各品种成交量及持仓量图表10股指期货合约成交量及持仓量成交量持仓量DateIM00CFEIM01CFEIM02CFEIM03CFEDateIM00CFEIM01CFEIM02CFEIM03CFE202310163688797441481857372023101655778181759431649907202310173511113700138944929202310174665224662947135022520231018374692069317970644220231018368933594698036519222023101933707341301985382612023101922835532339697452167202310201830245404182977903202310200647259781953145DateIC00CFEIC01CFEIC02CFEIC03CFEDateIC00CFEIC01CFEIC02CFEIC03CFE2023101638082121701511252062023-10-167399928379125167702942023101739131141741554041922023-10-176089135767127036707602023101840621248792058753892023-10-184664052664131934723592023101939513376782205672552023-10-192356672084134701736392023102019132446022143374152023-10-2008641313608075578DateIF00CFEIF01CFEIF02CFEIF03CFEDateIF00CFEIF01CFEIF02CFEIF03CFE2023101653543126932267638532023-10-168913223562138360245192023101750404164651947733092023-1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