金融期货早班车-20250714

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of various varieties at low prices [1]. - For treasury bond futures, as there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. 3. Summary by Related Catalogs (1) Stock Index Futures and Spot Market Performance - Market Performance: On July 11, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.01% to 3510.18 points, the Shenzhen Component Index rose 0.61% to 10696.1 points, the ChiNext Index rose 0.8% to 2207.1 points, and the Science and Technology Innovation 50 Index rose 1.48% to 994.45 points. Market turnover was 1736.6 billion yuan, an increase of 221.5 billion yuan from the previous day. Non - bank finance, computer, and steel sectors led the gains, while bank, building materials, and coal sectors led the losses. In terms of market strength, IM>IC>IF>IH, and the number of rising, flat, and falling stocks were 2959, 252, and 2204 respectively. Net capital inflows of institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 6 billion, - 134 billion, - 68 billion, and 209 billion yuan respectively, with changes of + 55 billion, + 16 billion, - 59 billion, and - 12 billion yuan respectively [1]. - Basis and Basis Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts were 72.3, 53.68, 14.81, and 5.77 points respectively, and the basis annualized yields were - 10.76%, - 8.56%, - 3.55%, and - 2.01% respectively, with three - year historical quantiles of 31%, 19%, 27%, and 33% respectively [1]. - Trading Strategy: In the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties at low prices [1]. (2) Treasury Bond Futures and Spot Market Performance - Market Performance: On July 11, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.366, up 0.4 bps from the previous day; the implied interest rate of the five - year bond was 1.503, up 0.72 bps; the implied interest rate of the ten - year bond was 1.603, up 0.6 bps; and the implied interest rate of the thirty - year bond was 1.928, up 0.18 bps [1]. - Cash Bonds: The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of + 0.25 bps, a corresponding net basis of - 0.024, and an IRR of 1.6%; for the five - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of + 0.5 bps, a corresponding net basis of - 0.042, and an IRR of 1.69%; for the ten - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of + 1.25 bps, a corresponding net basis of - 0.068, and an IRR of 1.84%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of + 0.2 bps, a corresponding net basis of - 0.085, and an IRR of 1.8% [1]. - Funding Situation: In open - market operations, the central bank injected 84.7 billion yuan and withdrew 34 billion yuan, resulting in a net injection of 50.7 billion yuan [1]. - Trading Strategy: As there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. (3) Economic Data - High - Frequency Data: High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [8].