金融期货早班车-20250603

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - Stock Index Futures: Maintain the judgment of going long on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Be cautious with near - month contracts due to the potential risk of micro - cap stocks dragging down IC and IM indices [1]. - Treasury Bond Futures: Suggest short - term long and long - term short strategies. Short - term, buy T and TL on dips; long - term, hedge T and TL on rallies [2]. 3. Summary by Directory Stock Index Futures - Market Performance (May 30): The four major A - share stock indices回调. The Shanghai Composite Index fell 0.47% to 3347.49 points, the Shenzhen Component Index fell 0.85% to 10040.63 points, the ChiNext Index fell 0.96% to 1993.19 points, and the Sci - Tech Innovation 50 Index fell 0.94% to 977.03 points. Market turnover was 1.1642 trillion yuan, a decrease of 49.2 billion yuan from the previous day. Industries such as agriculture, forestry, animal husbandry, and fishery (+1.2%), banks (+0.64%), and pharmaceutical biology (+0.37%) led the gains, while industries such as automobiles (-1.91%), comprehensive (-1.87%), and electronics (-1.85%) led the losses. From the perspective of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1116/134/4160 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 19.3 billion, - 15.9 billion, 9.7 billion, and 25.6 billion yuan respectively, with changes of - 31.5 billion, - 11.2 billion, +25.6 billion, and +17.1 billion yuan respectively [1]. - Basis: The basis of IM, IC, IF, and IH next - month contracts were 149.36, 111.67, 54.63, and 45.5 points respectively, with annualized basis yields of - 17.7%, - 14.07%, - 10.16%, and - 12.13% respectively, and three - year historical quantiles of 7%, 8%, 5%, and 7% respectively. The futures - spot price difference remained at a low level [1]. - Trading Strategy: The deep discount of small - cap stock indices recently may be due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of neutral short positions may still be high, so the deep discount may continue. It is recommended to allocate IF, IC, and IM forward contracts on dips and be cautious with near - month contracts [1]. Treasury Bond Futures - Market Performance (May 30): The yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.379, a decrease of 3.19 bps from the previous day; the five - year bond was 1.497, a decrease of 3.13 bps; the ten - year bond was 1.657, an increase of 0.3 bps; and the thirty - year bond was 1.984, a decrease of 3.1 bps [2]. - Cash Bonds: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of - 2.5 bps, a corresponding net basis of - 0.056, and an IRR of 1.85%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 3.25 bps, a net basis of - 0.054, and an IRR of 1.84%; for the 10 - year, the CTD bond is 220010.IB, with a yield change of - 2 bps, a net basis of - 0.029, and an IRR of 1.76%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 2.25 bps, a net basis of 0.031, and an IRR of 1.58% [2]. - Funding Situation: The central bank's currency injection was 291.1 billion yuan, and currency withdrawal was 142.5 billion yuan, with a net injection of 148.6 billion yuan [2]. - Trading Strategy: The current situation of strong supply and weak demand in the cash bond market is expected to change. In the futures market, the long - end bullish force is strong. It is recommended to take short - term long and long - term short positions, buy T and TL on dips in the short - term, and hedge T and TL on rallies in the long - term [2]. Economic Data High - frequency data shows that in May, the prosperity of imports and exports and social activities declined, while the real estate market's prosperity increased [10].