金融期货日报-2025-03-28

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Views - Stock Index: On Thursday, the underlying assets showed a volatile upward trend. The Shanghai 50ETF representing large - cap stocks fluctuated sideways after a冲高回落 and closed above the intraday moving average, with the buying and selling forces basically balanced. The CSI 1000 representing small - cap stocks rebounded after hitting the bottom and closed near the intraday moving average, also with balanced buying and selling forces. The Science and Technology Innovation 50ETF had the largest intraday increase of 1.11%, while the CSI 1000 had the smallest increase of 0.22%. The rapid back - and - forth movement of the market on Thursday indicates market resilience and the presence of a supporting force, which is fundamentally different from the market situation before September last year [2]. - Treasury Bonds: After a rapid recovery on Wednesday, the yields of spot bonds at various tenors retreated on Thursday morning. This was due to large - scale net withdrawals during the quarter - end and the fact that yields reached the previous intensive lock - in area after the rapid recovery, leading to many short - term profit - taking trades. However, the overall retracement of spot bonds was not significant. There were still no substantial positive or negative factors throughout the day. The main cause of market fluctuations was institutional concentrated profit - taking due to the overly steep yield recovery slope. Currently, all factors are still favorable for the bond market, but the short - term market odds are insufficient, making institutional behavior more short - term and more sensitive to both positive and negative news, which amplifies the two - way intraday market fluctuations [4]. 3. Strategy Recommendations - Stock Index: The market is in a wide - range oscillation, and the short - term style is suitable for IH [3]. - Treasury Bonds: For allocation, it is advisable to wait and see for the time being; for trading, one can do band trading [5]. 4. Market Review - Stock Index: The futures of the CSI 300 index main contract rose 0.21%, the futures of the Shanghai 50 index main contract rose 0.46%, the futures of the CSI 500 index main contract rose 0.22%, and the futures of the CSI 1000 index main contract rose 0.01% [7]. - Treasury Bonds: The 10 - year main contract fell 0.01%, the 5 - year main contract fell 0.04%, the 30 - year main contract fell 0.12%, and the 2 - year main contract fell 0.01% [10]. 5. Technical Analysis - Stock Index: The Shanghai Composite Index is below the 5 - day moving average [8]. - Treasury Bonds: The T continuous main contract closed above the 5 - day moving average [11]. 6. Futures Data | Date | Futures Variety | Closing Price (Yuan/Zhang) | Change (%) | Trading Volume (Lots) | Open Interest (Lots) | | --- | --- | --- | --- | --- | --- | | 2025/03/27 | CSI 300 Continuous Main | 3,904.60 | 0.21 | 56,873 | 156,732 | | 2025/03/27 | Shanghai 50 Continuous Main | 2,690.60 | 0.46 | 30,381 | 55,492 | | 2025/03/27 | CSI 500 Continuous Main | 5,922.20 | 0.22 | 52,431 | 75,832 | | 2025/03/27 | CSI 1000 Continuous Main | 6,143.40 | 0.01 | 151,417 | 167,954 | | 2025/03/27 | 10 - year Treasury Bond Continuous Main | 107.89 | - 0.01 | 65,109 | 172,454 | | 2025/03/27 | 5 - year Treasury Bond Continuous Main | 105.64 | - 0.04 | 42,270 | 155,661 | | 2025/03/27 | 30 - year Treasury Bond Continuous Main | 116.32 | - 0.12 | 104,678 | 99,307 | | 2025/03/27 | 2 - year Treasury Bond Continuous Main | 102.43 | - 0.01 | 28,220 | 94,551 | [13]