金融期货早班车-20250606

Report Summary 1. Market Performance - On June 5, A-share's four major stock indices rose across the board: Shanghai Composite Index rose 0.23% to 3384.1 points, Shenzhen Component Index rose 0.58% to 10203.5 points, ChiNext Index rose 1.17% to 2048.62 points, and STAR 50 Index rose 1.04% to 996.41 points. Market turnover was 1317 billion yuan, an increase of 139.5 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+2.62%), electronics (+2.31%), and computer (+2.12%) led the gains; beauty care (-3.07%), textile and apparel (-1.81%), and agriculture, forestry, animal husbandry and fishery (-1.79%) led the losses [2]. - In terms of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 2675/197/2540 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 38, - 41, - 26, and 30 billion yuan respectively, with changes of +14, - 15, +19, and - 18 billion yuan respectively [2]. - For Treasury bond futures on June 5, most yields declined. Among active contracts, the implied interest rate of the two - year bond was 1.356, down 2.79bps from the previous day; the five - year bond was 1.495, down 1.21bps; the ten - year bond was 1.658, down 0.08bps; and the thirty - year bond was 2.012, up 2.99bps [3]. 2. Futures Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 158.21, 118.37, 64.36, and 49.13 points respectively, with annualized basis yields of - 20.04%, - 16.03%, - 12.97%, and - 14.26% respectively, and three - year historical quantiles of 4%, 5%, 1%, and 3% respectively. The futures - spot price difference remained at a low level [2]. 3. Trading Strategies - Stock Index Futures: Recently, small - cap stock indices have had a deep discount, presumably due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, it is recommended to go long 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 bond market shows a pattern of strong supply and weak demand, but this pattern is expected to change. In June, the maturity scale of government bonds increases, and the net supply rhythm may slow down. In July, there is a possibility of a reduction in the long - term liability cost of insurance. The domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. For futures, the CTD bond price of near - month contracts is low, and the recent IRR level is high, so short - sellers have a strong willingness to deliver, putting pressure on near - month contract prices and causing far - month contracts to have a premium. T and TL positions are increasing, while TF and TS positions are decreasing, indicating strong long - term bullish power, betting on a further decline in 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]. 4. Specific Market Data - Stock Index Futures and Spot Markets: Detailed data on the performance of various stock index futures contracts (such as IC2506 - IC2512, IF2506 - IF2512, IH2506 - IH2512, IM2506 - IM2512) and their corresponding spot indices (such as CSI 500, SSE 50, etc.) are provided, including price, trading volume, open interest, basis, and basis annualized yield [6]. - Treasury Bond Futures and Spot Markets: Data on the performance of various Treasury bond futures contracts (such as TS2506 - TS2512, TF2506 - TF2512, T2506 - T2512, TL2506 - TL2512) and their corresponding spot bonds (such as 250006, 250003, etc.) are presented, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [7]. - Short - term Funding Rates: The current, previous, one - week - ago, and one - month - ago prices of SHIBOR overnight, DR001, SHIBOR one - week, and DR007 are shown, indicating relatively stable short - term funding rates [11]. 5. 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].