金融期货早班车-20250616

Report Summary 1. Market Performance - On June 13, the four major A-share stock indices pulled back. The Shanghai Composite Index dropped 0.75% to 3377 points, the Shenzhen Component Index fell 1.1% to 10122.11 points, the ChiNext Index declined 1.13% to 2043.82 points, and the STAR 50 Index decreased 0.51% to 972.94 points. Market trading volume was 1.504 trillion yuan, an increase of 200.4 billion yuan from the previous day [2]. - In terms of industry sectors, petroleum and petrochemicals (+2.05%), national defense and military industry (+1.72%), and public utilities (+0.48%) led the gains, while beauty care (-4.12%), media (-2.53%), and food and beverages (-2.37%) led the losses [2]. - In terms of market strength, IH > IF > IC > IM. The numbers of rising, flat, and falling stocks were 847, 92, and 4474 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -15.7 billion, -22.2 billion, 3.2 billion, and 34.7 billion yuan respectively, with changes of -15.2 billion, -13.5 billion, +5 billion, and +23.6 billion yuan respectively [2]. 2. Stock Index Futures 2.1 Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH were 117.01, 91.44, 51.18, and 50.43 points respectively, and the annualized basis yields were -18.43%, -15.32%, -12.74%, and -18.12% respectively. Their three - year historical quantiles were 7%, 7%, 1%, and 0% respectively [3]. 2.2 Trading Strategies - In the short - term, due to the deep discount of small - cap stock indices, which may be the result of the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products as the bond bull market has not restarted, the deep discount may continue, leading to market fluctuations. Short - cycle band strategies are recommended. - In the medium - to - long - term, a bullish view on the economy is maintained. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. 3. Treasury Bond Futures 3.1 Market Performance - On June 13, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.334, down 0.66 bps from the previous day; the five - year bond was 1.46, down 0.36 bps; the ten - year bond was 1.578, unchanged; and the thirty - year bond was 1.933, up 0.04 bps [3]. 3.2 Cash Bonds - The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -1.16 bps, a corresponding net basis of -0.086, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, similar details are provided [4]. 3.3 Capital Situation - In open - market operations, the central bank injected 202.5 billion yuan and withdrew 135 billion yuan, resulting in a net injection of 67.5 billion yuan [4]. 3.4 Trading Strategies - The cash bond market currently shows a pattern of strong supply and weak demand, but this pattern is expected to change. In the futures market, with the roll - over of near - month contracts and strong long - end bullish forces, it is recommended to take short - term long positions and long - term short positions. Short - term, buy T and TL contracts on dips; medium - to - long - term, hedge T and TL contracts on rallies [5]. 4. Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [12].