Stock index futures discounts converged significantly, with main contracts transitioning from discount to premium

On August 25th, A-shares continued their strong performance with all three major indices posting gains. The Shanghai Composite closed at 3,883 points, just one step away from the 3,900 integer level.

Amid heightened market trading enthusiasm, the stock index futures market rose in tandem. By market close, the CSI 300 Index Futures (IF) main contract led gains with a 2.29% increase, while the SSE 50 Index Futures (IH) main contract, CSI 500 Index Futures (IC) main contract, and CSI 1000 Index Futures (IM) main contract rose 2.14%, 1.8%, and 1.27% respectively.

According to post-market position data disclosed by CFFEX, IF total contract positions reached 289,600 lots with a daily increase of 12,400 lots, while IC total contract positions stood at 244,500 lots with a daily increase of 10,900 lots.

"Today, all four major index futures rose with increased volume, with trading volume and open interest rising simultaneously, reflecting significantly enhanced bullish market entry enthusiasm," Wang Ying, equity and fixed income research analyst at Nanhua Futures, told media. Since the current rally began, "sentiment + capital" has become the primary driving factor. While short-term sentiment shows signs of overheating, the high-level operating pattern may continue given the sustained increase in trading volume.

Beyond synchronized index futures gains, structural market changes have also released key signals. Industry professionals note that the recent continuous narrowing of stock index futures discounts (futures prices converging toward spot prices) indicates significantly improved market expectations.

According to Wind statistics, since July, stock index futures discount margins have gradually converged. Taking the CSI 300 Index Futures (IF) main contract as an example, this contract showed a discount of over 56 points to the spot market in early July, narrowing to around 25 points in August. As of now, it has transitioned from the previous discount state to a slight premium.

"Discount convergence typically signals gradually improving market expectations for future index performance," the industry professional stated. The current market is in an "accelerating sentiment" phase—with strong capital inflow intentions, accelerating sector rotation, and investors showing heightened sensitivity to policy benefits and earnings surprises, driving positive feedback between futures and spot markets.

However, facing the market surge, industry professionals remind investors to remain alert to short-term overheating risks while enjoying the benefits of sentiment-driven rallies.

Wang Ying suggests that with current market volume continuously expanding, high-level operations may persist for some time. Investors can maintain existing positions but need proper risk management: focus on structural opportunities in high-growth sectors (such as technology and consumption) while remaining cautious about stocks with excessive short-term gains and valuations disconnected from fundamentals, avoiding blind chase buying.

"Sentiment euphoria often accompanies increased volatility, requiring investors to control position sizes and avoid single-bet strategies," the industry professional added. From a medium to long-term perspective, if economic recovery trends are confirmed and corporate earnings improve, the market may transition from sentiment-driven to earnings-driven dynamics, further highlighting the allocation value of quality assets.