股市热点切换，债市情绪继续回暖

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In the stock index futures market, the concept of "anti - involution competition" is emerging, boosting policy expectations. The market is in the first stage of trading policy expectations, and the "policy bottom" of commodity prices may have appeared, which is beneficial to the inflation chain. There is a potential risk of market - capitalization style shifting to large - cap stocks. It is recommended to take profits on IM long positions at high prices and consider arbitrage opportunities [1][6]. - In the stock index options market, due to low liquidity, low volatility, and ineffective sentiment indicators, the market trend is likely to be volatile, and a covered - call defensive strategy is recommended [2][6]. - In the treasury bond futures market, bond market sentiment is warming up. The easing of the capital market at the beginning of the month and the reduction in the issuance scale of some treasury bonds are positive factors. However, the central bank's cautious liquidity injection and the potential high supply of new local bonds in July may limit the decline in interest rates, and the bond market is expected to continue to fluctuate [3][7][8]. Summary by Relevant Catalogs Market Views Stock Index Futures - Market Situation: The concept of "anti - involution competition" has emerged, with a focus on industries such as cement, polysilicon, and coal. Commodity futures have risen first, driving up related sectors in the stock market, and funds have flowed out of small - cap growth sectors. The IF, IH, IC, and IM contracts have shown changes in basis, inter - delivery spreads, and positions [1][6]. - Logic: The current supply - demand pattern remains loose, and supply has not been substantially cleared. The "policy bottom" of commodity prices may have appeared, and there is a potential risk of market - capitalization style shifting to large - cap stocks [1][6]. - Operation Suggestion: Take profits on IM long positions at high prices and consider long - far - month and short - near - month arbitrage opportunities. The overall suggestion is to wait and see [1][6]. Stock Index Options - Market Situation: The trading volume of the options market has continued to decline, and trading liquidity is lower than expected. The average implied volatility of each option variety has decreased by 0.05%, and sentiment indicators are not guiding [2][6]. - Logic: Low liquidity and volatility, along with ineffective sentiment indicators, suggest that the index has resistance above, and the market trend is likely to be volatile [2][6]. - Operation Suggestion: Adopt a covered - call defensive strategy [2][6]. Treasury Bond Futures - Market Situation: Treasury bond futures rose collectively. There were changes in trading volume, positions, inter - delivery spreads, inter - variety spreads, and basis of T, TF, TS, and TL contracts. The central bank conducted 985 billion yuan of 7 - day reverse repurchases, with 3653 billion yuan of reverse repurchases maturing [7]. - Logic: At the beginning of the month, the capital market continued to ease, and the issuance scale of some treasury bonds decreased, which improved bond market sentiment. However, the central bank's cautious attitude towards liquidity injection and the potential high supply of new local bonds in July limit the decline in interest rates [3][7][8]. - Operation Suggestion: Maintain a volatile trend strategy. For hedging, pay attention to short - hedging at low basis levels. For basis trading, appropriately pay attention to basis widening. For the yield curve, the odds of steepening the curve in the medium term are higher [8]. Economic Calendar - On June 30, 2025, China's official manufacturing PMI for June was 49.7, up from the previous value of 49.5 [9]. - On July 1, 2025, the final value of the US Markit manufacturing PMI for June was 52.9, higher than the previous value and the forecast value of 52 [9]. - On July 3, 2025, the US will release data on the unemployment rate and non - farm payrolls for June, with forecast values of 4.30% and 11.3 million respectively [9]. Important Information and News Tracking - Domestic Macroeconomics: The National Development and Reform Commission has allocated over 300 billion yuan to support the third - batch of "two major" construction projects in 2025, and the 800 - billion - yuan project list for this year has been fully released, covering multiple key areas [9]. - Commodities: The Silicon Industry Branch of the China Nonferrous Metals Industry Association stated that the polysilicon market showed signs of recovery this week, with the average market price rising slightly [10]. Derivatives Market Monitoring No specific content for in - depth analysis is provided in the text for stock index futures, stock index options, and treasury bond futures market monitoring.