金融期货早班车-20250702

Report Summary 1. Report Industry Investment Rating No information provided in the given text. 2. Core Views - Short - term: For stock index futures, with the short - term regression of index futures discount and unclear direction, a neutral strategy can be considered; for treasury bond futures, long - end buying power is strong, suggesting a short - long and long - short strategy, buying T and TL contracts on dips in the short - term and hedging on rallies in the long - term [1][2]. - Medium - to long - term: Maintain the view of being bullish on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips [1]. 3. Summary by Directory Market Performance - Stock Index Market: On July 1, A - share four major stock indexes showed mixed performance. The Shanghai Composite Index rose 0.39% to 3457.75 points, the Shenzhen Component Index rose 0.11% to 10476.29 points, the ChiNext Index fell 0.24% to 2147.92 points, and the STAR 50 Index fell 0.86% to 994.8 points. Market turnover was 1496.5 billion yuan, a decrease of 20.8 billion yuan from the previous day. In terms of industry sectors, comprehensive, pharmaceutical and biological, and banking sectors led the gains, while computer, commercial and retail, and communication sectors led the losses. In terms of market strength, IC>IM>IH>IF. The number of rising, flat, and falling stocks was 2628, 247, and 2542 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 9.1 billion, - 14 billion, 2.3 billion, and 20.8 billion yuan respectively, with changes of - 10.8 billion, - 8.3 billion, + 4.9 billion, and + 14.2 billion yuan respectively [1]. - Stock Index Futures Basis: The basis of IM, IC, IF, and IH next - month contracts were 163.37, 117.07, 47.76, and 26.71 points respectively, with annualized basis yields of - 18.85%, - 14.5%, - 8.91%, and - 7.23% respectively, and three - year historical quantiles of 6%, 8%, 10%, and 17% respectively [1]. - Treasury Bond Futures: On July 1, treasury bond futures yields showed a pattern of short - term rising and long - term falling. Among active contracts, the implied interest rates of two - year, five - year, ten - year, and thirty - year bonds were 1.318 (up 0.93bps from the previous day), 1.453 (down 0.72bps), 1.577 (down 1.12bps), and 1.922 (down 1.39bps) respectively. For the current active 2509 contract, the CTD bonds' yield changes, net basis, and IRR of different - term treasury bond futures were also provided [2]. - Funding Situation: In open - market operations, the central bank injected 131 billion yuan and withdrew 406.5 billion yuan, resulting in a net withdrawal of 275.5 billion yuan [2]. Trading Strategies - Stock Index Futures: Short - term: Consider a neutral strategy; medium - to long - term: recommend allocating IF, IC, and IM forward contracts on dips; be cautious with near - month contracts due to the risk of small - cap stocks falling [1]. - Treasury Bond Futures: Short - term, buy T and TL contracts on dips; long - term, hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that recent social activities and real - estate market sentiment have contracted [9]. Short - term Funding Rates The current prices of SHIBOR overnight, DR001, SHIBOR one - week, and DR007 are 1.37, 1.37, 1.53, and 1.55 respectively, showing different changes compared with the previous day, a week ago, and a month ago [9].