金融期货早班车-20250716

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, in the short - term, the stock index premium has returned to an extreme position; 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 each variety on dips as there is a certain excess return when using stock index long - position substitution [3] - For treasury bond futures, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4] 3. Summary by Directory 3.1 Stock Index Futures - Market Performance: On July 15, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.42% to close at 3505 points, the Shenzhen Component Index rose 0.56% to close at 10744.56 points, the ChiNext Index rose 1.73% to close at 2235.05 points, and the Science and Technology Innovation 50 Index rose 0.39% to close at 996.25 points. Market turnover was 1635 billion yuan, an increase of 154.1 billion yuan from the previous day. In terms of industry sectors, communication (+4.61%), computer (+1.42%), and electronics (+0.79%) led the gains, while coal (-1.92%), agriculture, forestry, animal husbandry and fishery (-1.62%), and public utilities (-1.6%) led the losses. From the perspective of market strength, IF>IC>IM>IH. The number of rising, flat, and falling stocks was 1332, 68, and 4015 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 9.9 billion, - 15.6 billion, 3.3 billion, and 22.2 billion yuan respectively, with changes of +4.9 billion, - 3.8 billion, - 4.5 billion, and +3.4 billion yuan respectively [2] - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 90.03, 69.76, 25.86, and 12.23 points respectively, and the annualized basis yields were - 14.56%, - 12.07%, - 6.7%, and - 4.64% respectively. The three - year historical quantiles were 15%, 10%, 19%, and 24% respectively [3] 3.2 Treasury Bond Futures - Market Performance: On July 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.364, down 2.4 bps from the previous day; the five - year bond was 1.496, down 3.13 bps; the ten - year bond was 1.597, down 2.53 bps; and the thirty - year bond was 1.921, down 2.64 bps [3] - Cash Bond Situation: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.009, and an IRR of 1.62%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 2.25 bps, a net basis of - 0.022, and an IRR of 1.69%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of - 2.1 bps, a net basis of - 0.009, and an IRR of 1.6%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 1.75 bps, a net basis of 0.01, and an IRR of 1.52% [4] - Funding Situation: In open - market operations, the central bank injected 342.5 billion yuan and withdrew 69 billion yuan, resulting in a net injection of 273.5 billion yuan [4] 3.3 Economic Data - High - frequency data shows that the recent real - estate market sentiment has contracted, while the other four indicators are similar to the same period [12]