金融期货早班车-20250519

Report Overview - Report Date: May 19, 2025 [1] - Report Issuer: China Merchants Futures Co., Ltd. - Report Type: Financial Futures Morning Report Market Performance Stock Index Futures - On May 16, the four major A-share stock indexes pulled back. The Shanghai Composite Index fell 0.4% to close at 3367.46 points, the Shenzhen Component Index fell 0.07% to close at 10179.6 points, the ChiNext Index fell 0.19% to close at 2039.45 points, and the STAR 50 Index fell 0.57% to close at 995.24 points. Market turnover was 1.1241 trillion yuan, a decrease of 66.3 billion yuan from the previous day [2]. - In terms of industry sectors, automobiles (+1.91%), machinery and equipment (+0.83%), and composites (+0.77%) led the gains; beauty care (-1.31%), non-bank finance (-1.21%), and food and beverage (-1.06%) led the losses [2]. - From the perspective of market strength, IM > IC > IF > IH. The number of rising/flat/falling stocks was 3,000/225/2,186 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 6.4 billion, -4 billion, -6.6 billion, and 4.2 billion yuan respectively, with changes of +30.7 billion, +24.8 billion, -13.5 billion, and -42 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 134.32, 114.05, 43.09, and 21.46 points respectively. The annualized basis yields were -22.13%, -19.95%, -11.08%, and -7.9% respectively, and the three - year historical quantiles were 2%, 1%, 3%, and 13% respectively. The futures - spot price difference remained at a relatively low level [2]. Treasury Bond Futures - On May 16, treasury bond futures fell across the board. The 2 - year treasury bond futures fell 0.02% to close at 102.38 points, the 5 - year treasury bond futures fell 0.06% to close at 105.72 points, the 10 - year treasury bond futures fell 0.05% to close at 108.48 points, and the 30 - year treasury bond futures fell 0.1% to close at 118.91 points [3] Trading Strategies Stock Index Futures - The results of the tariff talks exceeded expectations, and the market risk appetite quickly recovered. In the future, the foreign trade situation and fiscal progress in the second quarter are crucial. Pay attention to the recovery of the foreign trade industry and the performance of the domestic demand sector [3]. - From four perspectives, the market is expected to stabilize. First, the RMB exchange rate has held the key level, and there is no need to worry about the drag of the exchange rate on the broader market index for the time being. Second, there are signs of capital inflows into popular industry indexes (such as embodied intelligence, AI, semiconductors, etc.), which may further promote the stabilization and recovery of small - cap indexes. Third, judging from the market performance after May Day in previous years, market trading volume will increase within 1 - 2 weeks, which may help the index start a new round of rise. Fourth, the valuation of the broader market index is at a relatively low level, while the fundamentals of the economic improvement remain stable. It is recommended to buy stock index futures on dips. In the short term, IC and IM have more elasticity, and in the medium and long term, IH and IF have more attractive valuations [3] Treasury Bond Futures - In the short term, the short - end liquidity is neutral. On the macro side, the results of the Sino - US tariff talks have eased more than expected. After the tariff issue is resolved, treasury bonds return to pricing based on economic fundamentals. In the short term, the treasury bond price has reached a high level and is expected to fluctuate. In the long term, the timing and intensity of fiscal/monetary policies will affect the trend of treasury bond futures prices. If the domestic economy improves further with policy support, the price of long - term treasury bonds may gradually cool down; otherwise, the long - term price may still remain in a high - level shock situation [4] Economic Data - High - frequency data shows that the prosperity of imports and exports and social activities has declined this week [7] Index Futures and Spot Market Performance - The report provides detailed performance data of various stock index futures contracts (IC, IF, IH, IM) and their corresponding spot indexes, including price, change, trading volume, turnover, open interest, daily increase in open interest, basis, and annualized basis yield [12] Treasury Bond Futures and Spot Market Performance - The report provides detailed performance data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including price, change, trading volume, turnover, open interest, daily increase in open interest, CTD bond, yield change, net basis, quantile, and IRR. It also shows the short - term capital interest rate market changes [14][17]