金融期货早班车-20250626

Report Overview - The report is titled "Financial Futures Morning Express" and is dated June 26, 2025, prepared by China Merchants Futures Co., Ltd [1] Market Performance A-share Market - On June 25, the four major A-share stock indices all rose. The Shanghai Composite Index increased by 1.04% to close at 3455.97 points, the Shenzhen Component Index rose 1.72% to 10393.72 points, the ChiNext Index climbed 3.11% to 2128.39 points, and the STAR 50 Index went up 1.73% to 995.61 points. Market turnover was 1639.5 billion yuan, an increase of 191.4 billion yuan from the previous day [2] - In terms of industry sectors, non-bank finance (+4.46%), national defense and military industry (+3.36%), and computer (+2.99%) led the gains, while coal (-1%), petroleum and petrochemical (-0.57%), and transportation (-0.21%) saw declines [2] - In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3916, 217, and 1284 respectively. Institutional, main, large - scale, and retail investors had net inflows of 63, -117, -61, and 115 billion yuan respectively, with changes of -26, -91, +45, and +72 billion yuan [2] Treasury Bond Futures Market - On June 25, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 0.39 bps from the previous day; the five - year bond was 1.457, up 0.36 bps; the ten - year bond was 1.578, up 0.9 bps; and the thirty - year bond was 1.925, up 1.57 bps [3] Futures Analysis Stock Index Futures - Base Spread: The base spreads of the next - month contracts of IM, IC, IF, and IH were 97.16, 65.15, 35.07, and 27.33 points respectively, with annualized base spread yields of -10.19%, -7.31%, -5.83%, and -6.54%. The three - year historical quantiles were 33%, 28%, 21%, and 19% respectively. The base spread of the mid - cap index has moved away from the bottom [3] - Trading Strategy: The deep discount of small - cap stock indices may continue due to the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products. Short - cycle band strategies are recommended. In the medium - to - long term, a long - economic view is maintained, and 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 - caps, which may drag down the IC and IM indices, so caution is advised [3] Treasury Bond Futures - 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 -0.35 bps, a corresponding net base spread of -0.032, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, relevant data of CTD bonds are also provided [4] - Funding Situation: The central bank's open - market operations had a net injection of 209 billion yuan, with a currency injection of 365.3 billion yuan and a currency withdrawal of 156.3 billion yuan [4] - Trading Strategy: The cash bond market currently shows strong supply and weak demand, but this pattern may change. It is recommended to take a short - term long and long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4] Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [13]