I. Short-Term Basis View (Front-Month / Nearby Contracts)

1. Highly volatile short-term basis, driven by event-specific flows

- May 11: Front-month discounts were steep. The annualized discount for IF front-month reached –15.57%, while IM front-month was as deep as –44.95%. The market attributed this to the expansion of market-neutral strategies and rally-driven hedging demand, which accelerated the widening of discounts.

- May 18: The short-term basis rapidly converged. IF front-month narrowed to –0.71%, and IH front-month even flipped to a +3.72% premium. The basis structure inverted, with nearby discounts turning relatively shallow.

- May 25:Short-term discounts widened again. IF front-month stood at –10.56%, and IM front-month at –15.32%. The market linked this to OTC derivative hedging activity (unwinding of long positions triggered by the index rally).

Conclusion: The short-term basis oscillated violently through May—moving from deep discount → rapid convergence→ renewed widening—a pattern tightly linked to market-neutral strategy positioning and OTC hedging flows.



II. Long-Term Basis View (Current-Quarter / Deferred Contracts)

1. Relatively stable long-term discounts, but increasingly shaped by rolling activity and market-neutral positioning**

- May 11: IF current-quarter discount was –2.10%, and IM current-quarter was –9.09%. With open interest in deferred months rising quickly, the market inferred that market-neutral strategies were locking in long-term hedging costs.

- May 18: IF current-quarter discount was –2.01%, and IM current-quarter was –8.08%. The structure inverted, with deferred discounts exceeding nearby levels. The market speculated that existing short positions were being forced to roll into back months.

- May 25: IF current-quarter discount widened to –5.38%, and IM current-quarter to –10.95%. Discounts deepened across the board, which the market interpreted as intensified disruption from OTC hedging flows.

Conclusion:Long-term basis discounts gradually expanded through May (notably in IC and IM). The term structure shifted from “deep nearby, shallow deferred” to “shallow nearby, deep deferred,” reflecting a migration of short-side pressure toward the back end of the curve.


Summary

- Short-term basis: Extremely high volatility. It is highly sensitive to market-neutral strategy entry, OTC hedging demand, and index directional moves, producing repeated deep-discount-to-rapid-convergence cycles.

- Long-term basis: Discount magnitudes trended wider, especially in IC and IM. The term structure’s shift from deep nearby / shallow deferred to shallow nearby / deep deferred indicates that short-side forces are migrating into deferred contracts.

The basis figures are ex-dividend.

更新到market coloer,6月1号