金融期货早班车-20250516

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on May 16, 2025, covering the market performance and trading strategies of stock index futures and treasury bond futures on May 15, 2025 [1][2][4] Market Performance Stock Index Futures - On May 15, the four major A-share stock indexes declined. The Shanghai Composite Index fell 0.68% to 3380.82 points, the Shenzhen Component Index dropped 1.62% to 10186.45 points, the ChiNext Index decreased 1.92% to 2043.25 points, and the Sci - Tech Innovation 50 Index declined 1.26% to 1000.97 points. Market turnover was 1.1904 trillion yuan, a decrease of 159.5 billion yuan from the previous day [2] - In terms of industry sectors, beauty care (+3.68%), coal (+0.42%), and public utilities (+0.12%) led the gains, while computer (-2.97%), communication (-2.45%), and electronics (-2.12%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1406/149/3856 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of - 24.4 billion, - 28.8 billion, 6.8 billion, and 46.3 billion yuan respectively, with changes of - 25.2 billion, - 21.1 billion, + 13.5 billion, and + 32.8 billion yuan respectively [2] Treasury Bond Futures - On May 15, treasury bond futures showed mixed performance. The 2 - year treasury bond futures remained unchanged at 102.29 points, the 5 - year treasury bond futures fell 0.03% to 105.79 points, the 10 - year treasury bond futures rose 0.02% to 108.56 points, and the 30 - year treasury bond futures rose 0.24% to 119.11 points [4] - In the cash bond market, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures had yield changes of + 2.5bps, + 2.25bps, + 1bps, and - 0.45bps respectively, with corresponding net basis of - 0.018, - 0.032, - 0.086, and - 0.082, and IRR of 1.72%, 1.87%, 2.43%, and 2.16% respectively [4] - In terms of the money market, the central bank injected 64.5 billion yuan and withdrew 158.6 billion yuan, resulting in a net withdrawal of 94.1 billion yuan [4] Basis and Trading Strategies Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 108.04, 92.3, 34.4, and 17.3 points respectively, with annualized basis yields of - 17.15%, - 15.53%, - 8.47%, and - 6.07% respectively, and three - year historical quantiles of 7%, 4%, 9%, and 16% respectively. The futures - spot price difference has been repaired but remains at a low level [3] - The outcome of the tariff talks exceeded expectations, and market risk appetite quickly recovered. In the future, the foreign trade situation in the second quarter and fiscal progress are crucial. It is recommended to pay attention to the recovery of the foreign trade industry and the performance of domestic demand sectors [3] - The market is expected to stabilize from four perspectives: the RMB exchange rate has held the key level; there are signs of capital inflows into popular industry indexes; historical data shows that market trading volume usually increases 1 - 2 weeks after May Day; the valuation of the broader market index is at a low level while the economic fundamentals remain strong. It is suggested to buy stock index futures on dips. In the short term, IC and IM have greater elasticity, while in the medium - to - long term, IH and IF have more attractive valuations [3] Treasury Bond Futures - In the short term, the money market is neutral. After the tariff issue is resolved, treasury bonds return to pricing based on economic fundamentals. In the short term, treasury bond prices have reached a high level and are expected to fluctuate. In the long term, the timing and intensity of fiscal/monetary policies will affect the price trend of treasury bond futures. If the domestic economy improves further with policy support, long - term treasury bond prices may gradually cool down; otherwise, long - term prices may remain in a high - level volatile situation [5] Economic Data - High - frequency data shows that the recent infrastructure boom has slightly increased, while the import and export boom has weakened [7] Index Futures and Spot Market Performance - Tables provide detailed performance data of various stock index futures contracts (such as IC2505, IF2505, etc.) and corresponding spot indexes (such as CSI 500, SSE 50, etc.), including price, change, trading volume, open interest, basis, and annualized basis yield [11] Treasury Bond Futures and Spot Market Performance - Tables present the performance data 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, quantiles, and IRR [13] - A table shows the changes in short - term money market interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [16]