金融期货早班车-20250604

Report Summary 1. Market Performance - Stock Market: On June 3rd, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.43% to 3361.98 points, the Shenzhen Component Index up 0.16% to 10057.17 points, the ChiNext Index up 0.48% to 2002.7 points, and the Science and Technology Innovation 50 Index up 0.48% to 981.71 points. Market turnover was 1.1638 trillion yuan, a decrease of 400 million yuan from the previous day. The sectors of beauty care (+3.86%), textile and apparel (+2.53%), and comprehensive (+2.02%) led the gains, while household appliances (-2.1%), steel (-1.37%), and coal (-0.84%) led the losses. From the perspective of market strength, IM > IC > IH > IF, and the numbers of rising, flat, and falling stocks were 3,390, 240, and 1,782 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -2.5 billion, -6.6 billion, -1.8 billion, and 11 billion yuan respectively, with changes of +16.8 billion, +9.3 billion, -11.5 billion, and -14.6 billion yuan respectively [2]. - Stock Index Futures: The basis of the next - month contracts of IM, IC, IF, and IH were 160.24, 127.04, 64.41, and 49.3 points respectively, and the annualized basis yields were -19.41%, -16.4%, -12.3%, and -13.49% respectively, with the three - year historical quantiles being 4%, 5%, 1%, and 5% respectively. The futures - spot price difference remained at a relatively low level [2]. - Treasury Bond Futures: On June 3rd, the yields of treasury bond futures showed a pattern of short - term rising and long - term falling. Among the active contracts, the implied interest rate of the two - year bond was 1.408, up 3.06 bps from the previous day; the implied interest rate of the five - year bond was 1.512, up 1.08 bps; the implied interest rate of the ten - year bond was 1.625, down 3.19 bps; and the implied interest rate of the thirty - year bond was 1.982, down 0.18 bps [3]. 2. Trading Strategies - Stock Index Futures: In the short term, due to the deep discount of small - cap stock indices, which is presumably the result of the expansion of neutral product scale since this year, and considering that the proportion of short positions in neutral products may still be high as the bond bull market has not restarted, the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the long - term, the report maintains the view of being bullish on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. - Treasury Bond Futures: The current situation of the spot bond market is one of strong supply and weak demand, but this pattern is expected to change. Firstly, the maturity scale of government bonds in June will increase, and the net supply rhythm of government bonds may become more stable. Secondly, there is a possibility of a reduction in the long - term liability cost of insurance in July. Thirdly, the domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. On the futures side, the CTD bond price of near - month contracts is low, and combined with the relatively high IRR level recently, short - sellers have a strong willingness to deliver, putting pressure on the prices of near - month contracts and leading to a premium in far - month contracts. The long - end long - position power is strong, possibly betting on a further decline in future policy interest rates. It is recommended to be short - term long and long - term short, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [4]. 3. Economic Data - High - frequency data shows that in May, the prosperity of imports and exports and social activities declined, while the prosperity of the real estate market increased [11]. 4. Tables and Figures - Table 1: Presents the performance of stock index futures and spot markets, including details such as code, name, percentage change, current price, trading volume, open interest, etc. [6] - Table 2: Displays the performance of treasury bond futures and spot markets, with information on code, name, percentage change, current price, trading volume, open interest, etc. [7] - Table 3: Shows the changes in short - term capital interest rates, including overnight SHIBOR, DR001, one - week SHIBOR, and DR007 [11] - Figure 1: Depicts the term structure of treasury bond spot prices [8][9] - Figure 2: Tracks domestic meso - level data, based on the comparison of meso - level data in each module with the same period in the past five years, and scores the changes in prosperity [12][13][14]