金融期货早班车-20250724

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock indices as a long - position substitute can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, due to the upward trend in risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL contracts in the medium - to - long term [2]. 3. Summary by Related Catalogs (1) Stock Index Futures - Market Performance: On July 23, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index rose 0.01% to 3582.3 points; the Shenzhen Component Index fell 0.37% to 11059.04 points; the ChiNext Index fell 0.01% to 2310.67 points; the Science and Technology Innovation 50 Index rose 0.45% to 1020.86 points. Market turnover was 1898.4 billion yuan, a decrease of 30.3 billion yuan from the previous day. Non - bank finance, beauty care, and household appliances led the gains, while building materials, national defense and military industry, and machinery led the losses. In terms of market strength, IH > IF > IC > IM. The number of rising, flat, and falling stocks was 1269, 121, and 4025 respectively. Net capital inflows from institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 17 billion, - 23.8 billion, 1.2 billion, and 39.7 billion yuan respectively, with changes of - 3.2 billion, - 2.3 billion, - 2 billion, and + 7.5 billion yuan respectively [2]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 107.22, 76.76, 10.57, and - 1.6 points respectively, with annualized basis yields of - 9.43%, - 7.2%, - 1.49%, and 0.33%. Their three - year historical quantiles were 40%, 29%, 43%, and 49% respectively [2]. - Trading Strategy: Long - term, maintain a bullish view on the economy, and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures - Market Performance: On July 23, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.39, up 2.26 bps from the previous day; the five - year bond was 1.553, up 1.93 bps; the ten - year bond was 1.65, up 1.59 bps; and the thirty - year bond was 1.991, up 0.79 bps [2]. - Cash 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 + 2.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.63%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of + 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.6%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of + 2 bps, a corresponding net basis of - 0.021, and an IRR of 1.62%. For the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.82 bps, a corresponding net basis of 0.093, and an IRR of 1.02% [2]. - Funding Situation: In open - market operations, the central bank injected 150.5 billion yuan and withdrew 520.1 billion yuan, resulting in a net withdrawal of 369.6 billion yuan [2]. - Trading Strategy: With the upward trend in risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL contracts in the medium - to - long term [2]. (3) Economic Data High - frequency data shows that the real estate sector has recently seen a contraction in prosperity, while the manufacturing sector has recovered in prosperity after the industrial added value in June exceeded the same period [10].