Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The short - term strategy for stock index futures is short - cycle band trading, while in the long - term, it is recommended to go long on the economy by allocating IF, IC, and IM forward contracts at low prices. Near - month contracts of IC and IM need to be treated with caution due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, it is suggested to take a short - term long and long - term short position. Short - term, buy T and TL contracts at low prices, and in the long - term, hedge T and TL contracts at high prices [4]. - High - frequency data shows a recent rebound in import and export business sentiment [11]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On June 10, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.44% to 3384.82 points, the Shenzhen Component Index dropped 0.86% to 10162.18 points, the ChiNext Index decreased 1.17% to 2037.27 points, and the STAR 50 Index declined 1.47% to 982.9 points. Market turnover was 1451.4 billion yuan, an increase of 138.8 billion yuan from the previous day [2]. - In terms of industry sectors, beauty care (+1.1%), banking (+0.48%), and pharmaceutical biology (+0.33%) led the gains, while national defense and military industry (-1.97%), computer (-1.87%), and electronics (-1.65%) led the losses [2]. - The basis and basis annualized yields of IM, IC, IF, and IH next - month contracts are at relatively low levels, with three - year historical quantiles at 4%, 5%, 1%, and 1% respectively [3]. (2) Treasury Bond Futures and Spot Market Performance - On June 10, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond increased by 0.13 bps to 1.348, the five - year bond increased by 0.12 bps to 1.47, the ten - year bond decreased by 3.65 bps to 1.581, and the thirty - year bond decreased by 0.42 bps to 1.949 [3]. - The current active contract is the 2509 contract. The yields, net basis, and IRR of CTD bonds for different - term treasury bond futures are provided [4]. - In terms of the money supply, the central bank injected 198.6 billion yuan and withdrew 454.5 billion yuan, resulting in a net withdrawal of 255.9 billion yuan [4]. (3) Economic Data - High - frequency data indicates a recent rebound in import and export business sentiment [11]. - Short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, have shown certain changes compared to the previous day, one week ago, and one month ago [11].
金融期货早班车-20250611
Zhao Shang Qi Huo·2025-06-11 02:20