招商期货金融期货早班车-20250704

Report Information - Report Date: July 4, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] Investment Ratings - No investment ratings for the industry are provided in the report. Core Views - For stock index futures, in the short - term, the discount of stock indices is reverting and the direction is unclear, so a neutral strategy can be considered; in the medium - to long - term, a bullish view on the economy is maintained, and it is recommended to allocate IF, IC, IM forward contracts on dips; for near - month contracts, there is a risk of decline in micro - cap stocks, which may drag down IC and IM indices, so caution is advised [2]. - For treasury bond futures, the long - end has strong bullish power, betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Summary by Directory 1. Stock Index Futures Market Performance - On July 3, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.18% to 3461.15 points, the Shenzhen Component Index rose 1.17% to 10534.58 points, the ChiNext Index rose 1.9% to 2164.09 points, and the STAR 50 Index rose 0.24% to 984.95 points. Market turnover was 1333.5 billion yuan, a decrease of 71.6 billion yuan from the previous day. In terms of industry sectors, electronics, power equipment, and pharmaceutical biology led the gains, while coal, transportation, and steel led the losses. In terms of market strength, IF>IM>IC>IH, and the number of rising, flat, and falling stocks were 3270, 283, and 1863 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 3.6 billion yuan, - 6.1 billion yuan, - 5 billion yuan, and 7.4 billion yuan respectively, with changes of + 19.4 billion yuan, + 11.3 billion yuan, - 9.8 billion yuan, and - 20.9 billion yuan respectively [2]. Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH were 135.04, 102.86, 40.07, and 21.55 points respectively, with annualized basis yields of - 16.63%, - 13.57%, - 7.89%, and - 6.18% respectively, and three - year historical quantiles of 11%, 9%, 15%, and 19% respectively. The trading strategy is as described in the core views [2]. Stock Index Futures Contracts Performance - Details of the performance of various stock index futures contracts such as IC, IF, IH, and IM in terms of price, trading volume, open interest, basis, etc. are provided in Table 1 [6]. 2. Treasury Bond Futures Market Performance - On July 3, the yields of most treasury bond futures rose. For active contracts, the implied interest rate of the two - year bond was 1.301, unchanged from the previous day; the five - year bond was 1.441, up 0.24 bps; the ten - year bond was 1.565, up 0.6 bps; and the thirty - year bond was 1.904, up 0.42 bps [3]. Cash Bonds and Trading Strategy - The current active contract is the 2509 contract. Information on the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures is provided. In terms of trading strategy, the long - end has strong bullish power, and a short - term long and long - term short strategy is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Treasury Bond Futures Contracts Performance - Details of the performance of various treasury bond futures contracts such as TS, TF, T, and TL in terms of price, trading volume, open interest, net basis, etc. are provided in Table 2 [8]. 3. Economic Data - High - frequency data shows that recent social activities and real estate sentiment have contracted. Changes in short - term funding rates are also presented in Table 3 [12].