金融期货早班车-20250711

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, the report maintains the judgment of going long on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts on rallies for medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - Market Performance: On July 10, most of the four major A - share stock indices rose. The Shanghai Composite Index rose 0.48% to 3509.68 points, the Shenzhen Component Index rose 0.47% to 10631.13 points, the ChiNext Index rose 0.22% to 2189.58 points, and the Sci - tech Innovation 50 Index fell 0.32% to 979.99 points. Market turnover was 15,151 billion yuan, a decrease of 124 billion yuan from the previous day. In terms of industry sectors, real estate (+3.19%), petroleum and petrochemicals (+1.54%), and steel (+1.44%) led the gains; automobiles (-0.62%), media (-0.54%), and national defense and military industry (-0.41%) led the losses. From the perspective of market strength, IH>IC>IF>IM. The number of rising, flat, and falling stocks was 2,945, 192, and 2,278 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 61, - 150, - 9, and 221 billion yuan respectively, with changes of +57, +17, - 43, and - 31 billion yuan respectively [2]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 102.57, 78.65, 30.82, and 14.93 points respectively, and the annualized basis yields were - 14.82%, - 12.17%, - 7.12%, and - 5.02% respectively. The three - year historical quantiles were 14%, 10%, 18%, and 23% respectively [2]. - Trading Strategy: Allocate long positions in forward contracts of various varieties on dips [2]. (2) Treasury Bond Futures - Market Performance: On July 10, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.367, up 2.53 bps from the previous day; the implied interest rate of the five - year bond was 1.505, up 3.13 bps; the implied interest rate of the ten - year bond was 1.601, up 2.16 bps; and the implied interest rate of the thirty - year bond was 1.932, up 1.9 bps [2]. - Cash Bonds: The current active contract is the 2509 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - Funding Situation: The central bank injected 900 billion yuan and withdrew 572 billion yuan in open - market operations, with a net injection of 328 billion yuan [2]. - Trading Strategy: Hedge T and TL contracts on rallies for medium - to - long - term [2]. (3) Economic Data - High - Frequency Data: Recent high - frequency data shows that the real estate market has contracted, while the other four indicators are similar to the same period [10]. - Domestic Meso - level Data Tracking: Based on the comparison of meso - level data of each module with the same period in the past five years (year - on - year and month - on - month), a scoring system shows the real estate market's contraction [11][13].