沪深300股指期货升水率/贴水率月度平均统计表, 数值大于0时升水, 数值小于0是贴水。
月份 | 当月期货升水率 | 下月期货升水率 | 下季度期货升水率 | 隔季度期货升水率 |
201004 | 1.10% | 2.15% | 4.08% | 6.11% |
201005 | 0.75% | 1.77% | 3.37% | 5.00% |
201006 | 0.54% | 1.11% | 2.09% | 3.64% |
201007 | -0.03% | 0.48% | 1.37% | 2.85% |
201008 | 0.21% | 0.65% | 1.84% | 3.05% |
201009 | 0.38% | 0.75% | 1.58% | 2.72% |
201010 | 1.30% | 2.16% | 3.37% | 4.78% |
201011 | 0.49% | 2.10% | 3.91% | 5.34% |
201012 | 0.56% | 1.66% | 3.06% | 5.08% |
201101 | 0.23% | 0.96% | 2.20% | 4.11% |
201102 | 0.17% | 0.87% | 2.64% | 3.92% |
201103 | 0.24% | 0.71% | 1.71% | 2.89% |
201104 | 0.21% | 0.69% | 1.62% | 2.89% |
201105 | 0.08% | 0.48% | 1.65% | 3.15% |
201106 | 0.04% | 0.29% | 0.99% | 2.50% |
201107 | 0.10% | 0.45% | 1.28% | 2.73% |
201108 | -0.04% | 0.27% | 1.24% | 2.52% |
201109 | 0.06% | 0.25% | 0.59% | 1.55% |
201110 | 0.06% | 0.24% | 0.62% | 1.48% |
201111 | 0.19% | 0.42% | 1.16% | 1.71% |
201112 | 0.34% | 0.71% | 1.38% | 2.18% |
201201 | 0.39% | 0.89% | 1.42% | 2.22% |
201202 | 0.15% | 0.57% | 1.38% | 2.36% |
201203 | 0.25% | 0.68% | 1.22% | 2.33% |
201204 | 0.10% | 0.56% | 1.15% | 2.28% |
201205 | -0.25% | -0.13% | 0.61% | 1.69% |
201206 | -0.10% | -0.17% | 0.16% | 1.12% |
201207 | 0.43% | 0.78% | 1.45% | 2.62% |
201208 | 0.44% | 1.00% | 2.25% | 3.56% |
201209 | 0.41% | 1.01% | 2.04% | 3.54% |
201210 | 0.27% | 0.84% | 1.92% | 3.33% |
201211 | 0.13% | 0.57% | 1.78% | 2.96% |
201212 | 0.29% | 0.76% | 1.61% | 2.59% |
201301 | 0.20% | 0.72% | 1.44% | 2.40% |
201302 | 0.16% | 0.69% | 1.52% | 2.39% |
201303 | 0.05% | 0.25% | 0.49% | 1.11% |
201304 | -0.14% | -0.23% | -0.26% | 0.22% |
201305 | -0.43% | -0.80% | -0.36% | 0.52% |
201306 | -0.76% | -1.05% | -0.65% | 0.43% |
201307 | -1.13% | -1.84% | -1.82% | -1.29% |
201308 | -0.14% | -0.26% | -0.06% | 0.33% |
201309 | 0.03% | 0.16% | 0.49% | 1.12% |
201310 | -0.07% | -0.05% | 0.21% | 0.60% |
201311 | 0.15% | 0.13% | 0.53% | 0.59% |
201312 | 0.52% | 0.76% | 1.11% | 1.28% |
201401 | 0.34% | 0.62% | 1.01% | 1.19% |
201402 | -0.28% | -0.14% | -0.09% | -0.05% |
201403 | -0.84% | -1.27% | -1.90% | -2.61% |
201404 | -0.02% | -0.40% | -1.14% | -1.44% |
201405 | -0.27% | -0.77% | -0.97% | -0.54% |
201406 | -0.24% | -0.41% | -0.10% | 0.55% |
201407 | -0.19% | -0.14% | 0.18% | 0.75% |
201408 | 0.21% | 0.54% | 1.14% | 1.97% |
201409 | 0.26% | 0.58% | 1.09% | 1.90% |
201410 | 0.13% | 0.34% | 0.80% | 1.21% |
201411 | 0.13% | 0.46% | 1.13% | 1.29% |
201412 | 0.78% | 2.02% | 3.03% | 3.65% |
201501 | 0.15% | 1.29% | 2.60% | 3.40% |
201502 | 0.45% | 1.27% | 2.66% | 3.32% |
201503 | 0.18% | 0.74% | 1.42% | 1.82% |
201504 | -0.08% | 0.20% | 0.20% | 0.64% |
201505 | 0.46% | 0.25% | 0.16% | 0.84% |
201506 | -0.32% | -0.51% | -0.38% | 0.05% |
201507 | -2.82% | -4.41% | -5.33% | -5.10% |
201508 | -3.26% | -5.69% | -8.82% | -9.34% |
201509 | -3.24% | -6.78% | -10.86% | -12.79% |
201510 | -2.33% | -5.08% | -8.23% | -10.86% |
201511 | -1.57% | -4.12% | -7.53% | -9.96% |
201512 | -1.18% | -2.95% | -5.32% | -8.55% |
201601 | -1.68% | -3.86% | -7.71% | -12.15% |
201602 | -1.22% | -3.24% | -8.14% | -13.47% |
201603 | -1.07% | -2.87% | -5.70% | -10.64% |
201604 | -0.82% | -2.20% | -4.87% | -8.40% |
201605 | -0.79% | -2.13% | -5.35% | -7.90% |
201606 | -1.12% | -2.45% | -3.86% | -5.82% |
201607 | -0.90% | -1.94% | -3.67% | -5.85% |
201608 | -0.51% | -1.26% | -2.76% | -3.98% |
201609 | -0.54% | -1.45% | -2.64% | -4.48% |
201610 | -0.38% | -1.18% | -2.45% | -4.63% |
201611 | -0.28% | -0.98% | -2.77% | -4.64% |
201612 | -0.55% | -1.22% | -2.22% | -3.84% |
201701 | -0.32% | -0.81% | -1.62% | -3.07% |
201702 | -0.44% | -0.93% | -2.21% | -3.69% |
201703 | -0.45% | -1.11% | -2.21% | -4.35% |
201704 | -0.29% | -0.83% | -1.81% | -3.43% |
在2015年6月以前的62个月里,沪深300股指期货只有17个月处于贴水状态, 其它45个月都处于升水状态,升水概率是72%。 在股灾发生以后, 由于政策限制等因素, 股指期货一直处于深度贴水状态,近期的贴水率向正常水平回归。
按照一般经验,在正常市场情况下, 当股息率小于现金收益率时, 股指期货处于升水状态, 股息率大于现金收益率时, 股指期货处于贴水状态。 目前沪深300的加权平均股息率是2.4%, 而余额宝的收益率是4%, 股息率小于现金收益率,所以股指期货在未来的贴水率有可能继续向升水的方向回归。 这使得股指对冲策略更容易获得较好的正收益。