招商期货金融期货早班车-20250418

Report Summary 1. Market Performance - On April 17, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.13% to 3280.34 points, the Shenzhen Component Index down 0.16% to 9759.05 points, the ChiNext Index up 0.09% to 1908.78 points, and the STAR 50 Index up 0.23% to 1016.81 points. Market turnover was 1.0304 trillion yuan, a decrease of 110.4 billion yuan from the previous day [2]. - In terms of industry sectors, real estate (+2.32%), comprehensive (+1.95%), and building materials (+1.24%) led the gains, while automobiles (-0.8%), non-ferrous metals (-0.41%), and communications (-0.3%) led the losses [2]. - From the perspective of market strength, IM > IH > IC > IF. The number of rising, flat, and falling stocks was 3,125, 246, and 2,035 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 4.3 billion, -7.4 billion, -10.2 billion, and 13.2 billion yuan respectively, with changes of +18.3 billion, +13.4 billion, -10.7 billion, and -20.9 billion yuan respectively [2]. - On April 17, Treasury bond futures pulled back. The 2 - year Treasury bond futures fell 0.08% to 102.49 points, the 5 - year Treasury bond futures fell 0.14% to 106.26 points, the 10 - year Treasury bond futures fell 0.15% to 108.99 points, and the 30 - year Treasury bond futures fell 0.49% to 119.44 points [3]. 2. Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 89.76, 73.41, 34.42, and 15.1 points respectively, with annualized basis yields of -20.23%, -17.38%, -12.01%, and -7.47% respectively, and three - year historical quantiles of 2%, 2%, 1%, and 13% respectively. As the delivery date approaches, the index basis fluctuates greatly. Currently, the futures are at a deep discount, and there may be spot - futures arbitrage opportunities [3]. - After the implementation of US reciprocal tariffs, the volatility of stock indices has increased significantly. In the short term, the index may be oversold. Pay attention to signs of tariff easing and the structural opportunities in the stock market. If the RMB holds the key level, the index may stabilize. Currently, there are gaps above and below the index, and it is expected to fluctuate in the short term. The valuation of IF is low, and it is recommended to buy on dips [3]. 3. Treasury Bond Futures - The current active contract is the 2506 contract. The CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are 240024.IB, 220021.IB, 220003.IB, and 200012.IB respectively. The yield changes are +3.5bps, +0.56bps, +1.25bps, and +3.25bps respectively, corresponding to net bases of -0.12, -0.101, -0.094, and -0.217 respectively, and IRRs of 2.4%, 2.27%, 2.25%, and 2.61% respectively. Currently, the CTD bonds of each maturity have high IRRs and low bases, and there may be spot - futures arbitrage opportunities [4]. - In terms of the money market, the central bank injected 24.55 billion yuan and withdrew 6.59 billion yuan, with a net injection of 17.96 billion yuan. Recently, the tightness of short - term funds has eased. The macro - side changes are frequent, and the implementation of the US reciprocal tariff executive order has greatly increased global trade uncertainty. In the short term, the safe - haven property of Treasury bonds is more prominent, but the price has reached a high level and is expected to fluctuate. In the long run, the sequence of fiscal and monetary policies will determine the direction of long - term prices. If fiscal policies are introduced first and the domestic economy shows a further positive trend, the prices of long - term Treasury bonds are expected to gradually cool down and the yield curve will become steeper [4]. 4. Economic Data - High - frequency data shows that the recent economic fundamentals have a differentiated prosperity. The prosperity of the import - export sector continues to improve, while social activities are weaker than the same period [6]. 5. Index Futures and Spot Market Performance - The report provides detailed performance data of index futures and spot markets, including codes, names, price changes, trading volumes, open interests, and other information of various contracts [10]. 6. Treasury Bond Futures and Spot Market Performance - The report provides detailed performance data of Treasury bond futures and spot markets, including prices, price changes, trading volumes, open interests, CTD bonds, yield changes, net bases, quantiles, and IRRs of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures [12]. - The report also shows the term structure of Treasury bond spot prices and the changes in short - term capital interest rates [14][15]