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on september 27, driven by the strong performance of a-shares, the stock index futures market continued to surge sharply.

on that day, all four major futures indexes rose sharply. the contracts of csi 500 stock index futures (ic) and csi 1000 stock index futures (im) were at or close to the daily limit, marking a long-awaited surge in prices.

in addition, a rumor about a liquidation in the private placement of alpha hedging strategy was widely spread in the market. according to brokerage china reporters, under the drastic changes in market style, quantitative neutral products have indeed suffered a large-scale retracement recently, and product futures have experienced a sharp increase in margin pressure due to hedging losses.

rarely large premium

the sharp rise in the stock index futures market is not surprising, but the magnitude of the increase is truly astonishing.

as of the close of trading on september 27, the main contracts of csi 300 stock index futures (if), sse 50 stock index futures (ih), csi 500 stock index futures and csi 1000 stock index futures had increased by 8.04%, 6.31%, 9.95% and 9.99% respectively. . some of the far-month contracts of ic and im closed at the daily limit.

what is attracting attention is that the four major stock index futures contracts are all in a state of substantial premium, which has been quite rare in recent years. among them, the premiums of the main contracts of ic and im reached 4.39% and 4.40% respectively, which are at the extreme point of 90% of the historical basis difference in the past five years.

wang ying, a stock index futures analyst at nanhua futures, believes that the main ic and im futures contracts on friday once hit the daily limit, reflecting the strong bullish trading sentiment in the market. the main reasons are: first, favorable policies have driven excitement in trading. since september 24, the state council information office at the press conference, after the bank of china announced a number of favorable policies, the market's expectations for the subsequent economy have improved, risk appetite has significantly recovered, incremental funds can be expected to enter, and the stock market continues to rise; secondly, today the central bank lowered the deposits of financial institutions the successive formal admissions of reserve ratios and policies have further strengthened the market's confidence in the trading of risky assets; the third is the assistance at the trading level, the market trading enthusiasm is strong, there are systematic delayed transactions in some periods of time, and some funds may accelerate the inflow into futures indexes. , causing the futures index to rise to form a positive cycle, showing that the basis premium of the futures index has expanded significantly.

“with the rise of futures indexes, the basis spreads of the current four futures indexes have all turned positive, and the total positions have increased. some contracts have shown reductions in positions, mainly short positions and some investors have carried out operations at a premium. due to the position shifting, the current market sentiment is strong and the trading enthusiasm is strong. it is expected that the futures index will still be easy to rise but difficult to fall. even if the periodic correction is expected to be limited in magnitude and time, there is still room for profit in subsequent long positions," wang ying said. .

quantitative neutral encounters "bull disaster" and futures are under pressure

a rumor of a liquidation in the private placement of alpha hedging strategy was widely spread in the market the day before. the rumor said: "today (september 26), the private placement of the alpha hedging strategy was liquidated. the futures index suffered a huge loss. it was too late to allocate funds or the cash position was not enough. some were lucky enough to be able to sell with fixed income, and some were just position management. something went wrong, and some short futures orders faced forced liquidation.”

regarding this rumor, china securities journal reporters from the brokerage industry conducted extensive research and found that quantitative neutral products have indeed suffered a large-scale retracement in recent days. however, the neutral strategy itself has no or very small exposure. when the shareholding rises, the overall retracement of the product is limited, and the so-called product "liquidation" will not occur. the scale of high-leverage dma products has been significantly reduced after the previous cleanup, and market risks are controllable.

"neutral products had almost a 2-point retracement on thursday, and it was still the same situation on friday. this round of retracement added up to five or six points, which should be similar to everyone in the industry. these two days are indeed quite tragic, but they are worse than those in february this year. it was much better back then, when it was a slap in the face. now the stock is rising, and the main retracement is caused by the change in basis," said a quantitative private equity person.

the sharp rise in futures indexes has also led to a sharp increase in margin pressure on the futures side of some neutral products. according to an industry reporter from china brokerage, when neutral products experience margin pressure on the futures side, stocks are usually sold to replenish futures account margins. however, due to delays in some trading systems on friday, some obstacles have been brought to the fund management of neutral products. taking into account special circumstances, some futures companies have given a certain amount of grace to the time for quantitative private equity insurance recovery when risks arise. however, it is true that the futures positions of individual private placement neutral products were liquidated by futures companies.

a sharp rise in futures prices is not the norm. according to industry insiders, now is the time to enter the market or add positions to neutral products.

a large quantitative private equity firm sent a message to clients saying that for clients who already hold hedging products, basis convergence will lead to temporary floating losses on the short side. however, as the stock index futures contract approaches the expiration and delivery date, the premium is bound to be recovered. the floating losses generated by the short side of the hedging products this week will be converted into profits in the future, boosting the rebound of neutral products.

there are also quantification experts who have left messages in wechat moments to encourage neutral strategies for adding positions.