股指期货策略早餐-2025-04-02

Report Overview - Date: April 2, 2025 - Research Institution: Guangzhou Financial Holdings Futures Co., Ltd. - Research Team: Li Binlian, Ma Chen, Xue Libing, Li Jun Investment Ratings - Stock Index Futures: Short - term: Slightly Strong; Medium - term: Strong [1] - Treasury Bond Futures: Short - term: Narrow - range Fluctuation; Medium - term: Strong [2] - Black and Building Materials Futures (Steel): Short - term: Weak; Medium - term: Under Pressure [3] Core Views - Stock Index Futures: Domestic industrial enterprise profit growth is structurally recovering, and capital market system optimization promotes long - term capital inflows. Overseas, US tariff policies and inflation data affect the market. The equity market pricing returns to fundamentals, with short - term performance expectations and medium - term domestic technology innovation as the main lines [1] - Treasury Bond Futures: Post - quarter liquidity is generally optimistic, but central bank operations limit overnight rates. Policy emphasizes long - term bond yields, and the weak fundamental improvement expectation supports long - term bonds [2] - Black and Building Materials Futures (Steel): Steel exports face trade barriers, consumption improvement is less than expected, and raw material inventory pressure is large, leading to steel prices under pressure [3][4] Summary by Category Stock Index Futures - Varieties: IF, IH, IC, IM - Reference Strategy: Hold HO2504 - C - 2750 out - of - the - money call options, and exit the long IH2504 and short IC2504 hedge portfolio opportunistically [1] - Core Logic: - Domestic: From January to February, industrial enterprise profits were structurally stable, and PMI data was positive. Capital market systems for securities issuance and refinancing were optimized, and long - term institutional funds were promoted [1] - Overseas: US auto tariff policies and high inflation data increased market concerns about stagflation, and the uncertainty of tariffs and interest rate cuts affected the equity market [1] Treasury Bond Futures - Varieties: TS, TF, T, TL - Reference Strategy: Hold long positions in T2506 and TL2506 [2] - Core Logic: - Funds: Post - quarter liquidity was optimistic, but central bank net withdrawals limited overnight rate decline. Long - term funds' interest rates were relatively stable [2] - Policy: The central bank's Q1 monetary policy meeting emphasized long - term bond yields to prevent systemic risks [2] - Fundamentals: Economic data in the first two months was mediocre, with weak external demand, inflation, and financial data, hindering the improvement expectation [2] Black and Building Materials Futures (Steel) - Varieties: Rebar, Hot - rolled Coil - Reference Strategy: Exit the hot - rolled coil 05 - 10 inter - period positive spread strategy [3] - Core Logic: - Exports: Steel exports faced trade barriers such as anti - dumping duties from Vietnam and South Korea [3] - Consumption: Steel consumption improvement was less than expected, with poor construction funds and weak rebar consumption [3] - Raw Materials: Iron ore and coal - coke inventories had pressure, which might increase steel supply and put pressure on costs [3][4]