金融期货早班车-20250428

Report Overview - Report Date: April 28, 2025 [1] - Report Issuer: China Merchants Futures Co., Ltd. [1] 1. Market Performance Stock Index - On April 25, most of the four major A-share stock indices rose, with the Shanghai Composite Index down 0.07% to 3295.06 points, the Shenzhen Component Index up 0.39% to 9917.06 points, the ChiNext Index up 0.59% to 1947.19 points, and the STAR 50 Index up 0.13% to 1004.57 points. Market turnover was 1.137 trillion yuan, a decrease of 1.9 billion yuan from the previous day. [2] - In terms of industry sectors, public utilities (+1.36%), communication (+1.15%), and beauty care (+0.96%) led the gains; real estate (-0.6%), pharmaceutical biology (-0.59%), and coal (-0.59%) led the losses. [2] - In terms of market strength, IC > IM > IF > IH, with the number of rising/flat/falling stocks being 2,831/212/2,366 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 7.8 billion, -4.6 billion, -10 billion, and 6.7 billion yuan respectively, with changes of +22.1 billion, +16.6 billion, -10.7 billion, and -28.1 billion yuan respectively. [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 152.9, 128.58, 47.79, and 20.81 points respectively, with annualized basis yields of -17.39%, -15.44%, -8.53%, and -5.31% respectively, and three - year historical quantiles of 5%, 3%, 8%, and 18% respectively. The futures - spot price difference has been repaired but remains at a low level. [2] Treasury Bond Futures - On April 25, Treasury bond futures showed short - term decline and long - term increase. The 2 - year Treasury bond futures fell 0.04% to 102.28 points, the 5 - year Treasury bond futures remained unchanged at 105.94 points, the 10 - year Treasury bond futures rose 0.06% to 108.77 points, and the 30 - year Treasury bond futures rose 0.28% to 119.68 points. [3] - For the current active contract 2506, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures had yield changes of +0.75bps, -0.75bps, -1bps, and -1.75bps respectively, corresponding net bases of -0.037, -0.063, -0.059, and -0.006, and IRRs of 1.89%, 2.06%, 2.04%, and 1.64% respectively. Currently, CTD bonds of each maturity have high IRRs and low bases, indicating potential cash - and - carry arbitrage opportunities. [3] - In the open - market operations, the central bank injected 159.5 billion yuan and withdrew 250.5 billion yuan, resulting in a net withdrawal of 91 billion yuan. [3] 2. Trading Strategies Stock Index Futures - After the implementation of the US reciprocal tariffs, the volatility of stock indices has increased significantly. In the short term, the index may be oversold. Attention should be paid to whether there are signs of tariff relaxation 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. Since the valuation of IF is relatively low, it is recommended to make long - term arrangements on dips. [2] Treasury Bond Futures - In the short term, the short - end funding situation is neutral; there have been frequent changes on the macro side, and the implementation of the US reciprocal tariff executive order has greatly increased global trade uncertainties. In the short term, the safe - haven property of Treasury bonds is more prominent, but the price has reached a high level, and it is expected to fluctuate. In the long term, the sequence of fiscal and monetary policies will determine the direction of long - end prices. If fiscal policies are introduced first and the domestic economy shows a further positive trend, it is expected that the prices of long - term Treasury bonds will gradually cool down and the yield curve will become steeper. [3] 3. Economic Data - High - frequency data shows that the recent infrastructure boom has slightly increased. [4] 4. Market Data Tables Stock Index Futures and Spot Market Performance - The table provides detailed information on the performance of various stock index futures contracts (such as IC2505, IF2505, etc.) and spot indices (such as CSI 500, SSE 50), including price, change, trading volume, open interest, basis, and annualized basis yield. [8] Treasury Bond Futures and Spot Market Performance - The table shows the performance of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures, including price, change, trading volume, open interest, CTD bond information, yield change, net basis, quantile, and IRR. [10] Short - End Funding Rate Market Changes - The table presents the changes in short - end funding rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007 compared with the previous price, one - week ago, and one - month ago. [13]