沪指缩量收红主力资金面临方向选择_W

1、金融期货研究报告银河期货研发中心2018 年 3 月 19 日 星期一股 指 期 货 日 报银河期货研究中心 您最忠实和信赖的理财顾问！请务必阅读正文后的免责声明部分1沪指缩量收红，主力资金面临方向选择市场主要消息【银监会 做好 2018 年三农和扶贫金融服务工作】2018 年力争普惠型农户经营性贷款和普惠型涉农小微企业贷款增速总体不低于各项贷款平均增速，扶贫小额信贷和精准产业扶贫贷款增速总体高于各项贷款平均增速。涉农贷款、精准扶贫贷款不良率高出自身各项贷款不良率年银河期货研发中心李恩现股指期货研究员(：lienxian_&：上

2、海市浦东新区世纪大道 1501 号 SOHO世纪广场 9 层:从业资格号：F3033699股指期货指数及持仓量：持仓量 沪深300合约 沪深300指数 30,000.00004140.000025,000.00004120.00004100.000020,000.00004080.000015,000.00004060.000010,000.00004040.00005,000.00004020.00000.00004000.0000上证 50度目标 2 个百分点（含）以内的，可不作为银行内部考核评价的扣分因素， 沪深 300并要求各银行业金融机构制定和完善涉农、

3、扶贫金融服务尽职免责制度。【银监会对小微企业贷款提出“两增两控”的新目标】在继续监测“三个不低于”、确保小微企业信贷总量稳步扩大的基础上，重点针对单户授信1000 万元以下（含）的小微企业贷款，提出“两增两控”的新目标，“两增”即单户授信总额 1000 万元以下（含）小微企业贷款同比增速不低于各项贷款同比增速，贷款户数不低于上年同期水平，“两控”即合理控制小微企业贷款资产质量水平和贷款综合成本；突出对小微企业贷款量质并重、可持续增长的监管导向持仓量 上证50期货合约 上证50指数 16000.00002920.000014000.00002910.000012000.00002900.0000

4、10000.00002890.00008000.00002880.00006000.00002870.00004000.00002860.00002000.00002850.00000.00002840.0000【中信证券：央行或将于近期提高公开市场操作利率 调整基准利率】首先，全球经济复苏和主要央行货币政策正常化过程中，人民银行货币政策的实施需考虑全球货币政策正常化的大背景。其次，近期我国公布的进出口、通胀等数据显示出我国经济的韧性和动力，国际主要经济体出现复苏也是利好我国经济的重要因素。再者，金融去杠杆任务尚未完成，监管易紧难松，监管不会放松，去杠杆仍将继续，金融业面临的政策环境不容乐观。

5、最后，本月 22 日美联储加息几乎已成一致预期，央行大概率将渐进跟随美联储加息以维持 利差，从而保持汇率相对稳定。【央行副行长潘功胜：金融支持住房租赁市场相关文件有望上半年出台】5950.00000.00006000.00002000.00006050.00006000.00004000.00006100.00008000.00006150.000010000.00006200.000012000.00006250.000014000.00006300.000016000.00006350.000018000.0000持仓量 中证500合约 中证500指数 央行副行长潘功胜表示，今年将就金融支

6、持住房租赁市场发布相关文件， 有望今年上半年出台。对于公募 REITs 推出的时间表，潘功胜表示：“正在与相关部门研究，希望能够尽早展开试点。”近期市场运行主要逻辑：1-2 月工业经济超预期反弹，但疑虑重重。一是工业反弹主要由电力、钢铁、水泥、煤炭等行业贡献，其他行业普跌。二是投资回升主要由房地产贡献，但地产销量、购地、新开工均向下。三是社消零售名义增速改善但实际增速新低。四是出口增速反弹，但不排除受到贸易战预期影响。而中证 500金融期货研究报告3 月上中旬地产销量和发电耗煤增速双双下滑，也意味着工业反弹持续性存疑。年初工业生产反弹，尤以电力、钢铁为代表。钢企库存和社会库存双双大幅回补，意味

7、着钢企产量超预期并非由真实需求改善驱动，而是基于前期盈利改善以及对未来需求的乐观预期。但无论是地产销售、新开工的下滑，还是地产相关融资的冻结，都意味着地产投资将趋于回落。当旺季到来，乐观预期将会面临考验。操作建议：市场维持弱平衡，成交继续缩减，主力面临板块选择资金流向未见一致性，建议观望50ETF ：卖出虚值看跌市场行情回顾沪指早盘低开，随后探底回升至平盘线附近，在全天近 80%时间里指数横盘震荡，中国平安、招商银行、中国太保等大蓝筹尾盘拉升行情；创指小幅高开，随后震荡上扬，盘中一度涨逾 2%， 创指下午基本经历过山车行情，指数涨幅不断收窄，尽管盘中有小幅反弹但并未止住滑落态势。截止收盘，沪指

8、报 3279.25，涨0.29%，创指报 1842.92，涨 1.19%。从盘面上看，工业互联网、次新股、环保、医疗居板块涨幅榜前列，钢铁、煤炭、海南、机场航运居板块跌幅榜前列。对基本面的纠结是影响 A 股市场近期情绪的关键变量，开年宏观数据虽好，但市场对未来的预期却依然很弱，市场短期担忧在三个方面：1）外需有“贸易战”阴霾；2）国内开工延后；3）“紧信用”影响融资。但随着消费对于 GDP 的贡献愈发增强，经济增长中期的内生性和韧性很强，随着时间推移供需端大概率会维持银河期货研究中心 您最忠实最可信赖的理财顾问！请务必阅读正文后的免责声明部分2淘宝店铺“Vivian研报” 首次收集整理获取最告

9、及后续更新服务请在淘宝搜索店铺 “Vivian研报” 或直接用手机淘宝扫描下方二维码 金融期货研究报告弱平衡的状态，出现断崖式的影响概率很小。技术面上，从日 K 线上来看，沪指小幅低开后围绕 3270 点一线窄幅震荡，盘中曾触及 20 日线，关注能否站稳 3270 点一线乃至继续上攻。指数上方，年线是需要关注的重要阻力位；5 日线和10 日线死叉相交，意味着指数短期走弱，如无强力因素介入难以迅速扭转；如若继续调整，需要关注 3250 点一线以及 2 月 22 日所形成的跳空缺口上沿的承接力度。创业板指数方面，早盘小幅高开后一路震荡走高，午后摸至日内高点后展开窄幅震荡，截至发稿涨逾 1.6%。从

10、日 K 线图上来看，经过连续调整之后，指数下探年线附近；从今日的表现来看，年线附近的支撑力度较强，指数有望在此处企稳。后续如果量能配合，指数有望继续上行。投资策略上，短期内市场表现仍将以结构性行情为主，受政策提振的优质中小创题材及超跌股仍将是资金主要追逐的标的。建议投资者短线注意控制仓位，勿盲目追涨，待市场企稳信号出现后再行布局。表 1:股指期货市场期货合约昨收开盘价收盘价成交量涨跌涨跌幅持仓量持仓量变化IF18044082.04030.04049.2156486.40.22551825518.0IH18042889.02869.82897.41182218.20.61437214372.0I

11、C18046174.26088.06080.410304-11.8-0.21674116741.0表 2:股指现货市场指数名称前收盘价开盘价收盘价成交量涨跌涨跌幅市盈率PE(TTM)沪深3004056.44054.64074.2815028820017.80.414上证502870.72870.42897.3260429300026.50.912中证5006146.36142.56153.867233214007.50.128银河期货研究中心 您最忠实最可信赖的理财顾问！请务必阅读正文后的免责声明部分3金融期货研究报告沪深 300 合约合约成交量沪深300期货合约沪深300指数 25000.0

12、0004400.0000银河期货研究中心 您最忠实最可信赖的理财顾问！请务必阅读正文后的免责声明部分520000.00004300.00004200.000015000.00004100.00004000.000010000.00003900.00003800.00005000.00003700.00003600.000018/01/2918/01/3118/02/0218/02/0418/02/0618/02/0818/02/1018/02/1218/02/1418/02/1618/02/1818/02/2018/02/2218/02/2418/02/2618/02/2818/03/0218

13、/03/0418/03/0618/03/0818/03/1018/03/1218/03/1418/03/1618/03/180.00003500.0000资料来源: WIND 资讯 银河期货研究中心 上证 50 合约合约成交量上证50合约上证50指数 25000.00003300.000020000.00003200.00003100.000015000.00003000.000010000.00002900.00002800.00005000.00002700.00002600.000018/01/2918/01/3118/02/0218/02/0418/02/0618/02/0818/02

14、/1018/02/1218/02/1418/02/1618/02/1818/02/2018/02/2218/02/2418/02/2618/02/2818/03/0218/03/0418/03/0618/03/0818/03/1018/03/1218/03/1418/03/1618/03/180.00002500.0000资料来源: WIND 资讯 银河期货研究中心 中证 500 合约合约成交量中证500合约中证500指数 14000.00006400.000012000.00006200.000010000.00006000.00008000.00005800.00006000.000056

15、00.00004000.00005400.00002000.00005200.000018/01/2918/01/3118/02/0218/02/0418/02/0618/02/0818/02/1018/02/1218/02/1418/02/1618/02/1818/02/2018/02/2218/02/2418/02/2618/02/2818/03/0218/03/0418/03/0618/03/0818/03/1018/03/1218/03/1418/03/1618/03/180.00005000.0000资料来源: WIND 资讯 银河期货研究中心 50 ETF 近月 合约行情Gamma

16、DeltaIV卖一价买一价执行价买一价卖一价IVDeltaGamma0.00001.00000.00%0.43730.43522.4550.00050.000640.83%-0.00810.11100.09380.994633.76%0.39050.38622.5040.00090.00139.20%-0.01380.18340.00001.00000.00%0.340.33732.5530.00080.00134.32%-0.01480.22310.00001.00000.00%0.29140.29132.60.00140.001532.23%-0.02400.35760.28610.983

17、329.70%0.29260.28932.6020.00150.001732.55%-0.02590.37780.61260.956830.55%0.2450.24452.650.00240.002530.00%-0.04050.59180.32580.984823.95%0.24230.24112.6510.00220.002529.66%-0.03940.58610.75190.959923.46%0.1950.19292.70.00340.003726.71%-0.06160.92950.84710.949525.07%0.19590.19352.70.00360.003726.88%-

18、0.06280.93701.44240.913822.26%0.14840.14652.7490.00560.005723.80%-0.10051.51101.59520.874426.43%0.15130.14932.750.00570.005823.79%-0.10201.52822.47010.824621.33%0.10430.10392.7980.01020.010421.54%-0.17762.46612.50250.813921.85%0.10340.10292.80.01050.010821.51%-0.18252.51133.57180.681420.40%0.06640.0

19、6582.8470.02050.020620.12%-0.31643.61113.85810.682418.86%0.06150.06132.850.02080.020919.72%-0.32453.72304.27540.489619.04%0.03540.03522.8960.03830.039218.79%-0.51074.33244.21900.473019.26%0.03390.03382.90.04080.040918.78%-0.52804.32663.68510.287018.87%0.01640.01622.9460.06980.071519.11%-0.71043.6534

20、3.57870.274319.01%0.01550.01542.950.07180.072118.12%-0.73603.68352.30090.138419.59%0.00670.00663.0.1140.114119.08%-0.86812.28571.38550.074020.65%0.00340.00323.0440.15510.155820.95%-0.92291.40800.74170.038322.90%0.00180.00163.10.20980.210123.63%-0.95680.79190.52450.028625.44%0.00140.00133.1420.25070.

21、25225.63%-0.97050.53470.30450.016627.76%0.00090.00073.20.30740.309425.76%-0.98920.22610.22920.013029.78%0.00070.00063.240.34570.352432.11%-0.98040.30280.16620.010133.17%0.00060.00053.30.40650.410332.44%-0.99120.15000.10050.006738.14%0.00050.00033.40.50860.509342.78%-0.98600.17050.07760.005944.08%0.0

22、0050.00033.50.60510.613651.52%-0.98390.15920.06710.005850.40%0.00060.00033.60.7040.714156.12%-0.98800.1139金融期货研究报告次月 合约行情GammaDeltaIV卖一价买一价执行价买一价卖一价IVDeltaGamma0.00001.00000.00%0.43730.43522.4550.00050.000640.83%-0.00810.11100.09380.994633.76%0.39050.38622.5040.00090.00139.20%-0.01380.18340.00001.00

23、000.00%0.340.33732.5530.00080.00134.32%-0.01480.22310.00001.00000.00%0.29140.29132.60.00140.001532.23%-0.02400.35760.28610.983329.70%0.29260.28932.6020.00150.001732.55%-0.02590.37780.61260.956830.55%0.2450.24452.650.00240.002530.00%-0.04050.59180.32580.984823.95%0.24230.24112.6510.00220.002529.66%-0

24、.03940.58610.75190.959923.46%0.1950.19292.70.00340.003726.71%-0.06160.92950.84710.949525.07%0.19590.19352.70.00360.003726.88%-0.06280.93701.44240.913822.26%0.14840.14652.7490.00560.005723.80%-0.10051.51101.59520.874426.43%0.15130.14932.750.00570.005823.79%-0.10201.52822.47010.824621.33%0.10430.10392

25、.7980.01020.010421.54%-0.17762.46612.50250.813921.85%0.10340.10292.80.01050.010821.51%-0.18252.51133.57180.681420.40%0.06640.06582.8470.02050.020620.12%-0.31643.61113.85810.682418.86%0.06150.06132.850.02080.020919.72%-0.32453.72304.27540.489619.04%0.03540.03522.8960.03830.039218.79%-0.51074.33244.21

26、900.473019.26%0.03390.03382.90.04080.040918.78%-0.52804.32663.68510.287018.87%0.01640.01622.9460.06980.071519.11%-0.71043.65343.57870.274319.01%0.01550.01542.950.07180.072118.12%-0.73603.68352.30090.138419.59%0.00670.00663.0.1140.114119.08%-0.86812.28571.38550.074020.65%0.00340.00323.0440.15510.1558

27、20.95%-0.92291.40800.74170.038322.90%0.00180.00163.10.20980.210123.63%-0.95680.79190.52450.028625.44%0.00140.00133.1420.25070.25225.63%-0.97050.53470.30450.016627.76%0.00090.00073.20.30740.309425.76%-0.98920.22610.22920.013029.78%0.00070.00063.240.34570.352432.11%-0.98040.30280.16620.010133.17%0.000

28、60.00053.30.40650.410332.44%-0.99120.15000.10050.006738.14%0.00050.00033.40.50860.509342.78%-0.98600.17050.07760.005944.08%0.00050.00033.50.60510.613651.52%-0.98390.15920.06710.005850.40%0.00060.00033.60.7040.714156.12%-0.98800.1139季度 合约行情银河期货研究中心 您最忠实最可信赖的理财顾问！请务必阅读正文后的免责声明部分8GammaDeltaIV卖一价买一价执行价买

29、一价卖一价IVDeltaGamma0.67970.866320.93%0.34030.3372.60.02720.027322.34%-0.14780.68140.81040.822321.18%0.30160.29582.650.0340.034621.63%-0.18220.80590.81620.824920.83%0.29660.29652.6510.03440.034721.64%-0.18310.80830.93850.776321.00%0.26060.25852.70.04410.044921.25%-0.22600.93280.93970.776820.94%0.260.25

30、862.70.04380.044121.13%-0.22490.93551.05650.725720.80%0.22450.22252.7490.05630.057320.89%-0.27501.05301.02070.716621.87%0.2310.22562.750.05660.057520.88%-0.27611.05561.15600.669520.67%0.19140.18962.7980.07150.073620.71%-0.33071.15391.15970.667220.66%0.19020.18822.80.07310.074220.77%-0.33351.15421.22

31、590.609220.65%0.16160.16052.8470.09160.092320.66%-0.39081.22511.23610.605820.53%0.15920.15812.850.09150.093620.54%-0.39421.23521.27060.547120.56%0.1350.13352.8960.11360.114720.57%-0.45291.26971.28640.542020.33%0.13110.13072.90.1150.116720.52%-0.45801.27451.26450.484020.79%0.11280.11122.9460.13940.14

32、1420.55%-0.51661.27871.26070.479220.84%0.11110.112.950.14180.143720.57%-0.52161.27691.23750.417720.80%0.09030.08983.0.17260.174420.74%-0.58271.24091.16810.370121.31%0.07860.07653.0440.20220.204320.95%-0.63281.18561.07800.313721.69%0.06280.06273.10.24350.245621.31%-0.69011.09131.00220.275921.99%0.053

33、90.05323.1420.27650.278621.63%-0.72801.01160.88660.235422.87%0.04570.04463.20.32250.328822.16%-0.77280.89720.81370.210323.37%0.04070.0393.240.35660.363222.50%-0.79990.82060.71240.176824.01%0.03370.0323.30.41130.416323.27%-0.83170.71220.56590.133725.13%0.02490.02373.40.5010.507723.94%-0.87910.55380.4

34、5170.104826.51%0.01940.01873.50.59440.601524.61%-0.91340.42290.36670.085428.08%0.01590.01563.60.6890.69724.93%-0.94060.3125次季 合约行情GammaDeltaIV卖一价买一价执行价买一价卖一价IVDeltaGamma0.62390.802320.87%0.380.3762.60.0590.059321.93%-0.20710.61060.68730.765220.93%0.34430.33882.650.06950.070321.47%-0.23920.67690.7467

35、0.726420.88%0.30860.30432.70.08310.084921.27%-0.27630.73660.80460.686320.64%0.27310.27112.750.0990.100921.05%-0.31600.79160.84710.642820.63%0.24230.24092.80.11720.119320.86%-0.35810.83830.87850.598120.62%0.21420.21272.850.13850.13920.69%-0.40210.87580.89490.552920.69%0.18880.18772.90.16170.163820.66

36、%-0.44720.89630.89830.508120.79%0.16620.1652.950.19020.190920.82%-0.49180.89740.88800.464720.96%0.1470.14443.0.21710.219220.69%-0.53650.89950.83720.384421.37%0.11320.11223.10.28020.284820.76%-0.62060.85850.75970.315021.90%0.0880.08723.20.35340.35921.08%-0.69380.77960.66960.258722.63%0.06970.06943.30

37、.43270.441721.58%-0.75380.68400.57980.217723.77%0.05840.05813.40.51650.526821.90%-0.80530.58890.50230.177024.21%0.04660.04473.50.60350.615222.11%-0.84860.49680.43310.149425.15%0.03870.0383.60.6970.705922.63%-0.87980.4145A 股市场主要指数上证综指上证综指 350,000,000,0003,600300,000,000,0003,500250,000,000,0003,40020

38、0,000,000,000150,000,000,0003,3003,2003,100100,000,000,0003,00050,000,000,0002,90002017-05-122017-06-122017-07-122017-08-122017-09-122017-10-122017-11-122017-12-122018-01-122018-02-12 2018-03-122,800资料来源: WIND 资讯 银河期货研究中心 成交额收盘价 深证成指深证成指 500,000,000,00014,000450,000,000,000400,000,000,000350,000,000

39、,00012,00010,000300,000,000,000250,000,000,000200,000,000,0008,0006,000150,000,000,0004,000100,000,000,00050,000,000,0002,000002017-05-122017-06-122017-07-122017-08-122017-09-122017-10-122017-11-122017-12-122018-01-122018-02-12 2018-03-12资料来源: WIND 资讯 银河期货研究中心 成交额收盘价 上证 50沪深 300金融期货研究报告银河期货研究中心 您最忠实

40、最可信赖的理财顾问！请务必阅读正文后的免责声明部分11140,000,000,000120,000,000,000100,000,000,00080,000,000,00060,000,000,00040,000,000,00020,000,000,0000上证503,5003,0002,5002,0001,5001,0005000300,000,000,000250,000,000,000200,000,000,000150,000,000,000100,000,000,00050,000,000,0000沪深3005,0004,5004,0003,5003,0002,5002,0001,5

41、001,0005000成交额收盘价成交额收盘价 资料来源: WIND 资讯 银河期货研究中心 中证 500国证 2000200,000,000,000180,000,000,000160,000,000,000140,000,000,000120,000,000,000100,000,000,00080,000,000,00060,000,000,00040,000,000,00020,000,000,000中证5008,0007,0006,0005,0004,0003,0002,0001,000250,000,000,000200,000,000,000150,000,000,000100,

42、000,000,00050,000,000,000国证20009,0008,0007,0006,0005,0004,0003,0002,0001,0000000成交额收盘价成交额收盘价 资料来源: WIND 资讯 银河期货研究中心 中小板创业板中小板创业板 250,000,000,0009,000 140,000,000,0002,500200,000,000,000150,000,000,0008,0007,0006,0005,000120,000,000,000100,000,000,00080,000,000,0002,0001,500100,000,000,00050,000,000,

43、0004,0003,0002,0001,00060,000,000,00040,000,000,00020,000,000,0001,0005000000成 交 额 收 盘价成交额收盘价 资料来源: WIND 资讯 银河期货研究中心 市场资金流向A 股资金净流入A股资金净流入（日） 600.00.00.00.002017-05-112017-06-112017-07-112017-08-112017-09-112017-10-112017-11-112017-12-112018-01-112018-02-112018-03-11.00.00.00.004002000-200-400-600-8

44、00-1,000.00资料来源: WIND 资讯 银河期货研究中心 上证 50 资金净流入150.00.00.00.002017-05-102017-06-102017-07-102017-08-102017-09-102017-10-102017-11-102017-12-102018-01-102018-02-102018-03-10.00.00.00100500-50-100-150-200.00-250.00资金净流入额:上证50资料来源: WIND 资讯 银河期货研究中心 沪深 300 资金净流入300.00.00.00.002017-05-102017-06-102017-07-102017-08-102017-09-102017-10-102017-11-102017-12-102018-01-102018-02-102018-03-10.00.00.00.002001000-100-200-300-400-500.00资金净流入额:沪深300资料来源: WIND 资讯 银河期货研究中心 中证 500 资金净流入金融期货研究报告150.00.00.00.002017-05-102017-06-102017-07-102017-08-102017-09-102017-10-102017-11-102017-12-102018-01-1020