金融期货早班车-20250718

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - For stock index futures, maintain a long - term bullish view on the economy and recommend buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, suggest medium - to long - term hedging of T and TL contracts on rallies [2]. 3. Summary by Section Stock Index Futures - Market Performance: On July 17, A - share major indices rose, with Shanghai Composite Index up 0.37% to 3516.83, Shenzhen Component Index up 1.43% to 10873.62, ChiNext Index up 1.75% to 2269.33, and STAR 50 Index up 0.8% to 1005.65. Market turnover was 1560.3 billion yuan, an increase of 98.5 billion yuan from the previous day. Defense and military (+2.74%), communication (+2.41%), and electronics (+2.18%) led the gains, while banking (-0.42%), transportation (-0.39%), and environmental protection (-0.26%) led the losses. IM>IC>IF>IH in terms of market strength, with 3535 stocks rising, 271 flat, and 1609 falling. Net inflows of institutional, main, large - scale, and retail funds were 12.4 billion, - 5.4 billion, - 9.5 billion, and 2.5 billion yuan respectively, with changes of +19.3 billion, +1.1 billion, - 9.7 billion, and - 10.7 billion yuan [2]. - Basis and Yield: The basis of IM, IC, IF, and IH next - month contracts were 69.67, 51.86, 11.49, and 2.26 points respectively, with annualized basis yields of - 12.11%, - 9.69%, - 3.24%, and - 0.94%. Their three - year historical quantiles were 25%, 15%, 30%, and 39% respectively [2]. - Trading Strategy: Long - term bullish on the economy, recommend buying long - term contracts of various varieties on dips [2]. Treasury Bond Futures - Market Performance: On July 17, most yields of treasury bond futures declined. The implied yields of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 1.35 (down 0.4bps), 1.491 (down 0.48bps), 1.595 (down 0.22bps), and 1.923 (up 0.09bps) respectively [2]. - Cash Bond: The current active contract is 2509. The CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - Funding: The central bank injected 450.5 billion yuan and withdrew 90 billion yuan, resulting in a net injection of 360.5 billion yuan [2]. - Trading Strategy: Suggest medium - to long - term hedging of T and TL contracts on rallies [2]. Economic Data - High - frequency data shows that the real - estate market's prosperity has recently contracted, while the other four indicators are similar to the same period [10].