金融期货早班车-20250623

Report Summary 1. Market Performance - On June 20, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.07% to 3359.9 points, the Shenzhen Component Index down 0.47% to 10005.03 points, the ChiNext Index down 0.83% to 2009.89 points, and the STAR 50 Index down 0.53% to 957.87 points. Market turnover was 1.0917 trillion yuan, a decrease of 189.2 billion yuan from the previous day [2]. - In terms of industry sectors, transportation (+0.88%), food and beverage (+0.73%), and banking (+0.69%) led the gains, while media (-1.91%), computer (-1.79%), and petroleum and petrochemical (-1.71%) led the losses [2]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1540/231/3644 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9.9 billion, -12.5 billion, -1.2 billion, and 23.5 billion yuan respectively, with changes of +9.7 billion, +7.4 billion, -5.6 billion, and -11.4 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 was 64.79, 51.11, 42.24, and 36.92 points respectively, and the annualized basis yields were -12.86%, -10.79%, -13.07%, and -16.44% respectively. The three - year historical quantiles were 20%, 13%, 1%, and 1% respectively. On the delivery day, the basis of the mid - cap stock index converged significantly [3]. 2.2 Trading Strategies - Recently, the small - cap stock index has a deep discount, presumably due to the expansion of the scale of neutral products since this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be relatively high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended [3]. - In the medium - to - long term, the report maintains the judgment of being bullish on the economy. Using stock indices as long - term substitutes has certain excess returns at present. 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]. 3. Treasury Bond Futures 3.1 Market Performance - On June 20, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.281, down 1.32 bps from the previous day; the five - year bond was 1.436, down 0.61 bps; the ten - year bond was 1.555, down 0.52 bps; and the thirty - year bond was 1.896, down 1.28 bps [3]. 3.2 Current Bonds - The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.15 bps, a corresponding net basis of -0.102, and an IRR of 1.91%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.085, and an IRR of 1.84%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.091, and an IRR of 1.86%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -1.3 bps, a corresponding net basis of -0.121, and an IRR of 1.85% [4]. 3.3 Fundamentals - In open - market operations, the central bank injected 161.2 billion yuan and withdrew 202.5 billion yuan, resulting in a net withdrawal of 41.3 billion yuan [4]. 3.4 Trading Strategies - The current bonds have recently shown a characteristic of strong supply and weak demand, but this pattern is expected to change in the future: the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more moderate; there is a possibility of a reduction in the long - term liability cost of insurance in July; the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. On the futures side, the long - end bullish force is strong, betting on a further decline in future policy interest rates. It is recommended to be short - term long and long - term short, buy T and TL on dips in the short term, and hedge T and TL on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [13].