金融期货早班车-20250527

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Regarding stock index futures, it is speculated that the deep discount of small - cap stock indexes recently is due to the scale expansion of neutral products this year. With the bond bull market not restarted, the high proportion of short positions in neutral products may keep the deep discount. The report maintains the judgment of being bullish on the economy, recommends buying IF, IC, and IM forward contracts on dips, and advises caution with near - month contracts of IC and IM due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, although the current situation of bond spot market shows strong supply and weak demand, it is expected to change. Factors include the increase in government bond maturity in June, the possible reduction of long - term liability costs of insurance in July, and the return of domestic market risk preference to a defensive style. It is suggested to take a short - term long and medium - to - long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. 3. Summary by Relevant Catalogs (1) Stock Index Futures Spot and Futures Market Performance - On May 26, most of the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.05% to 3346.84 points, the Shenzhen Component Index dropped 0.41% to 10091.16 points, the ChiNext Index decreased 0.8% to 2005.26 points, while the Sci - tech Innovation 50 Index rose 0.17% to 982.26 points. Market trading volume was 1.0339 trillion yuan, a decrease of 148.7 billion yuan from the previous day. In terms of industry sectors, media, computer, and environmental protection led the gains, while automobile, pharmaceutical biology, and comprehensive sectors led the losses [2]. - The basis of IM, IC, IF, and IH next - month contracts were 195.39, 153.86, 68.31, and 47.22 points respectively, with annualized basis yields of - 20.77%, - 17.4%, - 11.34%, and - 11.21%. The three - year historical quantiles were 3%, 3%, 2%, and 8% respectively, indicating that the futures - spot price difference remained at a low level [2]. (2) Treasury Bond Futures Spot and Futures Market Performance - On May 26, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond decreased by 173 bps to 1.356, the five - year bond by 373 bps to 1.488, the ten - year bond remained flat at 1.638, and the thirty - year bond decreased by 79 bps to 1.968 [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. The central bank's open - market operations had a net injection of 24.7 billion yuan [4]. (3) Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities declined, while the real estate prosperity increased [12].