Weekly Report on Stock Index Futures: A-share trading sentiment significantly cools down, and futures basis collectively declines

（Source: Haitong Securities Futures Research Institute）

Abstract

This week, A-shares saw a reduced trading volume with wide-range volatility and a downward trend. The average daily trading value across the whole market was 1.90 trillion yuan, down by about 210 billion yuan from last week, and market trading activity fell sharply. The three major indices all closed lower. The Shanghai Composite Index fell 0.86%, closing at 3880.10 points. Among the major broad-based indices, there was some divergence: the CSI 50 fell 0.24% on a weekly basis, the CSI 2000 fell 3.08% on a weekly basis, and the large-cap style showed prominent defensive characteristics.

On the stock index futures side, the overall average daily trading volume of futures contracts decreased from last week, and trading sentiment at the futures end cooled in step with the spot market. After excluding expected dividends, in terms of the annualized basis rate weighted by positions at period end for futures contracts, the annualized basis rates (dividend-adjusted) for IH, IF, IC, and IM at period end were -1.79%, -5.08%, -8.05%, and -10.85%, respectively, changing by -0.71%, -0.42%, -0.94%, and -0.78% compared with last week.

From the valuation perspective, the PE ratios of most indices moved down. The period-end PE ratios for CSI 50, CSI 300, CSI 500, and CSI 1000 were 11.26x, 13.92x, 34.38x, and 46.59x, respectively; except for CSI 50, they were all above the 80th percentile level over the past five years. On liquidity and capital flows, as of this Thursday, the period-end yield to maturity of the 10-year government bond was 1.82%, unchanged from last weekend; the period-end yield to maturity of the 1-year government bond was 1.24%, down by 1BP from last weekend. The government bond long-short spread rose by 1BP from last weekend. Overall, the market liquidity environment was relatively loose. Regarding financing data, as of this Thursday, the outstanding financing balance was 2.60 trillion yuan; the net purchases of financing from Tuesday to Thursday were -10.6 billion yuan, and leveraged capital participation sentiment continued to retreat.

In terms of economic fundamentals, for March 2026 PMI, manufacturing activity returned to the expansion range. Looking at sub-components of manufacturing PMI, the production index, new orders index, and new export orders index all increased month-over-month, with improvements on both the production and demand sides. The month-over-month rebound in the purchase prices of major raw materials and the ex-factory prices was evident, with clear marginal improvement on the price front.

Overall, this week’s A-shares broadly showed a wide-range volatile pattern. Driven by the repeated geopolitical conflict situation in the Middle East and the approaching Qingming holiday, market sentiment became more cautious and investors’ willingness to participate weakened. There were positive signals in domestic fundamentals. March’s manufacturing PMI rebounded significantly and returned to the expansion range for the first time in two months. This was mainly due to a seasonal rebound from enterprises resuming work and production after the Spring Festival. At the same time, the pre-implementation and early push of stabilizing-growth policies, the release of market demand, and price-related factors jointly provided support. Structurally, both the production and demand sides expanded in sync, and the new orders index outperformed the production index, making the demand-side recovery more pronounced. Meanwhile, both the purchase prices of major raw materials and ex-factory prices increased, and raw material prices rose by more, leading to higher cost-side pressure for enterprises. Looking ahead, uncertainty in overseas geopolitics will continue to disrupt the market’s risk appetite, and the A-share market may maintain a wide-range volatile trend.

Main Text

Analyst Profile ABOUT US

Tang Cuiting (Trading Consulting License No.: Z0021179): Financial engineering researcher at Haitong Securities Futures Research Institute; Bachelor’s degree in Economics and Management from Southwestern University of Finance and Economics; Master’s degree in Finance from Tongji University. Mainly responsible for research on products such as stock index futures and options.

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