金融期货早班车-20250721

Report Summary 1. Market Performance - On July 18, the four major A-share stock indices were all strong. The Shanghai Composite Index rose 0.5% to close at 3534.48 points, the Shenzhen Component Index rose 0.37% to close at 10913.84 points, the ChiNext Index rose 0.34% to close at 2277.15 points, and the STAR 50 Index rose 0.19% to close at 1007.53 points. Market turnover was 1593.3 billion yuan, an increase of 33 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+2.1%), basic chemicals (+1.36%), and steel (+1.34%) led the gains; media (-0.98%), electronics (-0.49%), and light manufacturing (-0.41%) led the losses [2]. - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2,600/247/2,567 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -13.5 billion, -12.1 billion, 3.6 billion, and 22 billion yuan respectively, with changes of -25.9 billion, -6.7 billion, +13.1 billion, and +19.5 billion yuan respectively [2]. 2. Stock Index Futures - Basis: The basis of the next - month contracts of IM, IC, IF, and IH was 62.07, 45.61, 4.55, and -3.68 points respectively. The annualized basis yields were -11.28%, -8.9%, -1.33%, and 1.59% respectively, and the three - year historical quantiles were 29%, 18%, 45%, and 66% respectively [3]. - Trading strategy: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. 3. Treasury Bond Futures - Spot bonds: 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 bps, a corresponding net basis of -0.008, and an IRR of 1.56%; for the 5 - year Treasury bond futures, the CTD bond is 240020.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.01, and an IRR of 1.57%; for the 10 - year Treasury bond futures, the CTD bond is 250007.IB, with a yield change of +0 bps, a corresponding net basis of 0.041, and an IRR of 1.26%; for the 30 - year Treasury bond futures, the CTD bond is 210005.IB, with a yield change of +1.25 bps, a corresponding net basis of 0.031, and an IRR of 1.36% [4]. - Funding situation: In open - market operations, the central bank injected 187.5 billion yuan and withdrew 84.7 billion yuan, resulting in a net injection of 102.8 billion yuan [4]. - Trading strategy: It is recommended to hedge T and TL contracts on rallies in the medium to long term [4]. 4. Economic Data - High - frequency data shows that the real estate market has recently contracted in terms of prosperity, while the manufacturing sector has seen a recovery in prosperity as industrial added value in June exceeded the same period [11].