招商期货金融期货早班车-20250627

Report Summary 1. Market Performance - Stock Indexes: On June 26, the four major A-share stock indexes adjusted moderately. The Shanghai Composite Index fell 0.22% to close at 3448.45 points, the Shenzhen Component Index dropped 0.48% to 10343.48 points, the ChiNext Index declined 0.66% to 2114.43 points, and the STAR 50 Index decreased 0.57% to 989.97 points. Market turnover was 1623.2 billion yuan, a decrease of 16.3 billion yuan from the previous day [2]. - Industry Sectors: Banking (+1.01%), communication (+0.77%), and national defense and military industry (+0.55%) led the gains, while the automobile (-1.37%), non-bank finance (-1.2%), and pharmaceutical biology (-1.05%) sectors led the losses [2]. - Stock Index Futures Basis: The basis of the next-month contracts of IM, IC, IF, and IH were 91.19, 67.45, 37.82, and 29.27 points respectively, with annualized basis yields of -9.86%, -7.81%, -6.48%, and -7.22% respectively, and three-year historical quantiles of 35%, 24%, 20%, and 17% respectively [2]. - Treasury Bond Futures: On June 26, the yields of treasury bond futures showed mixed changes. Among the active contracts, the implied interest rate of the two-year bond was 1.303, down 0.14 bps from the previous day; the five-year bond was 1.461, up 0.36 bps; the ten-year bond was 1.585, up 0.37 bps; and the thirty-year bond was 1.923, down 0.37 bps [3]. - Funding Situation: In open market operations, the central bank injected 509.3 billion yuan and withdrew 203.5 billion yuan, resulting in a net injection of 305.8 billion yuan [4]. 2. Trading Strategies - Stock Index Futures: In the short term, the stock index discount is expected to converge, and the current direction is unclear. A neutral strategy can be considered. In the medium to long term, the report maintains a bullish view on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Regarding near-month contracts, there is a risk of a decline in micro-cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. - Treasury Bond Futures: On the futures side, the long-term bullish force is strong, possibly betting on a further decline in future policy interest rates. It is recommended to take short-term long positions and long-term short positions. Buy T and TL contracts on dips in the short term and hedge at high levels in the medium to long term [4]. 3. Economic Data - High-frequency data shows that recent social activities and real estate market sentiment have contracted [12].