招商期货金融期货早班车-20250610

Market Performance - On June 9, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.43% to 3399.77 points, the Shenzhen Component Index up 0.65% to 10250.14 points, the ChiNext Index up 1.07% to 2061.29 points, and the STAR 50 Index up 0.6% to 997.61 points [2]. - Market turnover was 1.3127 trillion yuan, an increase of 135.4 billion yuan from the previous day. Among industry sectors, medicine and biology (+2.3%), agriculture, forestry, animal husbandry and fishery (+1.72%), and textile and apparel (+1.61%) led the gains, while food and beverages (-0.43%), automobiles (+0.03%), and household appliances (+0.04%) led the losses [2]. - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 4120/200/1092 respectively. Institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 5.7 billion, -5.9 billion, -7.3 billion, and 7.6 billion yuan respectively, with changes of +13.3 billion, +5.9 billion, -8.6 billion, and -10.7 billion yuan respectively [2]. Stock Index Futures Basis and Annualized Yield - The basis of the next-month contracts of IM, IC, IF, and IH was 142.36, 109.65, 53.05, and 40.83 points respectively, with annualized basis yields of -19.08%, -15.74%, -11.38%, and -12.66% respectively, and three-year historical quantiles of 5%, 6%, 3%, and 6% respectively. The futures-spot price difference remained at a low level [3]. Trading Strategy - Recently, small-cap stock indices have had a deep discount, presumably due to the expansion of neutral product scale since this year. As 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-term band strategy is recommended [3]. - In the medium to long term, the report maintains a bullish view on the economy. Buying IF, IC, and IM forward contracts on dips is recommended. 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 Market Performance - On June 9, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.344, up 0.53 bps from the previous day; the implied interest rate of the five-year bond was 1.472, up 0.12 bps; the implied interest rate of the ten-year bond was 1.617, up 2.45 bps; and the implied interest rate of the thirty-year bond was 1.95, down 1.63 bps [3]. Cash Bonds - The current active contract is the 2509 contract. The CTD bond of the two-year treasury bond futures is 250006.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.093, and an IRR of 1.85%; the CTD bond of the five-year treasury bond futures is 240020.IB, with a yield change of +0 bps, a corresponding net basis of -0.083, and an IRR of 1.81%; the CTD bond of the ten-year treasury bond futures is 220010.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.094, and an IRR of 1.86%; the CTD bond of the thirty-year treasury bond futures is 210005.IB, with a yield change of -1 bps, a corresponding net basis of -0.162, and an IRR of 1.94% [4]. Trading Strategy - The cash bond market has recently shown a pattern of strong supply and weak demand, but this pattern is expected to change. First, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more stable. Second, there is a possibility that the long-term liability cost of insurance companies will be lowered in July. Third, the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase [5]. - For futures, the CTD bond price of the near-month contracts is low, and the recent IRR level is high, so short sellers have a strong willingness to deliver, putting pressure on the near-month contract prices and causing the far-month contracts to have a premium. The positions of T and TL have increased, while the positions of TF and TS have decreased, indicating strong long positions at the long end, 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 [5]. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [12].