金融期货早班车-20250707

Report Summary 1. Market Performance Stock Index Futures - On July 4th, most of the four major A-share stock indexes declined. The Shanghai Composite Index rose 0.32% to close at 3472.32 points, while the Shenzhen Component Index fell 0.25% to 10508.76 points, the ChiNext Index dropped 0.36% to 2156.23 points, and the STAR 50 Index declined 0.01% to 984.8 points. Market trading volume was 1.4545 trillion yuan, an increase of 121 billion yuan from the previous day [2]. - In terms of industry sectors, banks (+1.84%), media (+0.91%), and composites (+0.71%) led the gains, while beauty care (-1.87%), non-ferrous metals (-1.6%), and basic chemicals (-1.22%) led the losses. In terms of market strength, IH > IF > IC > IM, with the number of rising/flat/falling stocks being 1169/129/4118 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of -8.6 billion, -15 billion, 1.6 billion, and 22 billion yuan respectively, with changes of -12.3 billion, -8.9 billion, +6.6 billion, and +14.6 billion yuan respectively [2]. - For index futures basis, the basis of IM, IC, IF, and IH next - month contracts were 125.8, 90.44, 37.4, and 23.24 points respectively, with annualized basis yields of -16.07%, -12.34%, -7.57%, and -6.84% respectively, and three - year historical quantiles of 11%, 10%, 16%, and 18% respectively [2]. Treasury Bond Futures - On July 4th, the yields of treasury bond futures continued to decline. Among the active contracts, the implied interest rate of the two - year bond was 1.305, down 0.14 bps from the previous day; the five - year bond was 1.441, down 0.48 bps; the ten - year bond was 1.566, down 0.6 bps; and the thirty - year bond was 1.901, down 0.6 bps [3]. - In the cash bond market, for the currently active 2509 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year treasury bond futures, the CTD bond was 250006.IB, with a yield change of -1 bps, a corresponding net basis of -0.047, and an IRR of 1.65%; for the 5 - year, it was 240020.IB, yield change -0.5 bps, net basis -0.061, IRR 1.72%; for the 10 - year, it was 220010.IB, yield change -0.25 bps, net basis -0.097, IRR 1.84%; for the 30 - year, it was 210005.IB, yield change -0.5 bps, net basis -0.108, IRR 1.8% [3]. - In terms of the money market, the central bank injected 3.4 billion yuan and withdrew 525.9 billion yuan through open - market operations, resulting in a net withdrawal of 491.9 billion yuan [3]. 2. Trading Strategies Stock Index Futures - In the short term, as the index futures discount returns and the current direction is unclear, a neutral strategy can be considered. In the medium - to - long term, a bullish view on the economy is maintained. Buying IF, IC, and IM long - term contracts on dips is recommended as using stock indexes as a long - position substitute can generate certain excess returns. For 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 - end bullish force is strong, possibly betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended. Short - term T and TL contracts can be bought on dips, and medium - to - long - term T and TL contracts can be hedged on rallies [3]. 3. Data Tables Stock Index Futures Spot and Futures Market Performance - Tables show detailed data of various stock index futures contracts (such as IC2507, IF2507, etc.), including their names, price changes, current prices, trading volumes, open interest, basis, and annualized basis yields [6]. Treasury Bond Futures Spot and Futures Market Performance - Tables present detailed data of various treasury bond futures contracts (such as TS2509, TF2509, etc.), including their names, price changes, current prices, trading volumes, open interest, net basis, and CTD bond implied interest rates [8]. Short - Term Fund Rate Market Changes - The table shows the current prices, previous day prices, prices one week ago, and prices one month ago of short - term fund rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [12]. 4. Economic Data - High - frequency data shows that the recent real estate market sentiment has contracted, while the other four sectors are similar to the same period [12]. 5. Relevant Personnel - Yuhu Shan is the head of the investment consulting department of China Merchants Futures, with 13 years of futures experience. He has in - depth research on stock index futures, options, and quantitative trading and has won relevant awards and published many articles [16]. - Shiwei Xu is the supervisor of the financial group of China Merchants Futures, with over 10 years of experience in futures and derivatives investment research. He has won many awards and has participated in option product design [16].