金融期货早班车-20250709

Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on July 9, 2025, covering the market performance of stock index futures and treasury bond futures on July 8, 2025, along with trading strategies [1][2][3] 1. Report Industry Investment Rating - No industry investment rating is provided in the report 2. Core View of the Report - In the short - term, the discount of stock index futures has returned to extreme levels; in the long - and medium - term, it is recommended to go long on the economy by buying long - term contracts of IF, IC, and IM at low prices. For near - term contracts, due to the potential decline of micro - cap stocks, caution is advised for IC and IM indices. For treasury bond futures, it is recommended to take short - term long positions and long - term short positions, buying T and TL contracts at low prices in the short - term and hedging at high prices in the long - term [3][4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - Market Performance: On July 8, A - share major indices all rose, with the Shanghai Composite Index up 0.7% to 3497.48 points, the Shenzhen Component Index up 1.47% to 10588.39 points, the ChiNext Index up 2.39% to 2181.08 points, and the STAR 50 Index up 1.4% to 991.95 points. Market turnover was 1474.6 billion yuan, an increase of 247.5 billion yuan from the previous day. Among industry sectors, communication (+2.89%), power equipment (+2.3%), and electronics (+2.27%) led the gains; public utilities (-0.37%), banks (-0.24%), and household appliances (+0.21%) led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4282/155/979 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 10.5 billion, - 3.9 billion, - 11.3 billion, and 4.8 billion yuan respectively, with changes of +14.7 billion, +5.9 billion, - 9.6 billion, and - 11.1 billion yuan respectively [2] - Futures Basis and Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 98.1, 71.34, 34.05, and 19.59 points respectively, with annualized basis yields of - 13.2%, - 10.29%, - 7.34%, and - 6.15% respectively, and three - year historical quantiles of 20%, 14%, 17%, and 20% respectively [2] - Contract - Specific Data: Detailed data on various stock index futures contracts such as IC2507, IC2508, etc., including price, trading volume, open interest, basis, and annualized basis yield, are provided [6] 3.2 Treasury Bond Futures and Spot Market Performance - Yield Changes: On July 8, the yields of treasury bond futures declined. Among active contracts, the implied interest rates of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 1.332%, 1.503%, 1.578%, and 1.914% respectively, with increases of 1.99bps, 5.57bps, 1.96bps, and 1.51bps from the previous day [3] - CTD Bond Data: For the current active 2509 contract, data on the cheapest - to - deliver (CTD) bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including yield changes, net basis, and implied repo rate (IRR), are provided [3][4] - Funding Situation: The central bank injected 6.9 billion yuan and withdrew 13.1 billion yuan through open - market operations, resulting in a net withdrawal of 6.2 billion yuan [4] - Contract - Specific Data: Detailed data on various treasury bond futures contracts such as TS2509, TS2512, etc., including price, trading volume, open interest, net basis, and CTD bond implied interest rate, are provided [7] 3.3 Economic Data - High - Frequency Data: High - frequency data shows that the real - estate market has recently contracted, while the other four areas are similar to the same period [10] - Short - Term Interest Rate Changes: Data on short - term capital interest rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007, including current prices, previous - day prices, prices one week ago, and prices one month ago, are provided [10]