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China Stocks Are Primed for Risk Rally to Morgan Stanley Quants


Futures tracking the CSI 300 and CSI 500 had an average price of 1.2% and 5.2% below spot levels as of Friday, according to Morgan Stanley’s quant team. That means the cost of hedging via index futures is lower that what traders are paying to own the indexes via exchange-traded funds. The price relationship, known as backwardation, is in the 90th percentile, they said.





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