金融期货早班车-20250613

Report Summary 1. Market Performance - On June 12, the four major A-share stock indices showed mixed performance. The Shanghai Composite Index rose 0.01% to close at 3402.66 points, the Shenzhen Component Index fell 0.11% to 10234.33 points, the ChiNext Index rose 0.26% to 2067.15 points, and the STAR 50 Index fell 0.3% to 977.97 points. Market turnover was 13,036 billion yuan, an increase of 169 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+1.4%), media (+1.33%), and beauty care (+1.31%) led the gains, while household appliances (-1.77%), coal (-1.14%), and food and beverages (-1.13%) led the losses [2]. - From the perspective of market strength, IC > IM > IH > IF, with the number of rising/flat/falling stocks being 2,325/224/2,864 respectively. Institutions, main players, large investors, and retail investors had net capital inflows of -5 billion, -87 billion, -18 billion, and 111 billion yuan respectively, with changes of 0, -43 billion, +34 billion, and +9 billion yuan [2]. - For the basis of the next-month contracts of IM, IC, IF, and IH, they were 132.42, 99.53, 50.6, and 45.28 points respectively, with annualized basis yields of -19.8%, -15.89%, -12.04%, and -15.58%, and three-year historical quantiles of 4%, 6%, 2%, and 1% respectively. The futures-spot price difference remained at a relatively low level [2]. - On June 12, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.347, up 1.06 bps from the previous day; the five-year bond was 1.472, up 0.84 bps; the ten-year bond was 1.581, up 0.6 bps; and the thirty-year bond was 1.934, down 0.32 bps [3]. 2. Trading Strategies - For stock index futures, in the short term, due to the deep discount of small-cap stock indices, it is speculated to be the result of the scale expansion of neutral products since this year. With the bond bull market not restarted yet, the proportion of short positions in neutral strategies 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, the view of being bullish on the economy is maintained. 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]. - For treasury bond futures, the current spot bonds show a characteristic of strong supply and weak demand, but this pattern is expected to change. Firstly, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may flatten. 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, and the allocation demand for the bond market may increase. In the futures market, the price of the CTD bond of near-month contracts is low, and combined with the relatively high IRR level recently, the short-side delivery willingness is strong, putting pressure on the price of near-month contracts and leading to a premium in far-month contracts. The positions of T and TL have increased, while those of TF and TS have decreased, indicating strong long-side strength at the long end, possibly betting on a further decline in future policy interest rates. A strategy of short-term long and long-term short is recommended, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [5]. 3. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [13].