金融期货早班车-20250730

Report Overview - The report is a financial futures morning briefing released by China Merchants Futures Co., Ltd. on July 30, 2025, covering A-share market performance, stock index futures, treasury bond futures, and economic data [1][2] Market Performance A-share Market - On July 29, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.33% to 3,609.71 points, the Shenzhen Component Index up 0.64% to 11,289.41 points, the ChiNext Index up 1.86% to 2,406.59 points, and the STAR 50 Index up 1.45% to 1,070.45 points [2] - Market turnover was 1.8293 trillion yuan, an increase of 63.2 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.29%), steel (+2.59%), and pharmaceutical biology (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.36%), banking (-1.19%), and beauty care (-0.71%) led the losses [2] - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 2,240/176/2,999 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -13.7 billion, -13.5 billion, 3.2 billion, and 24 billion yuan respectively, with changes of -10.9 billion, -5.1 billion, +1.6 billion, and +14.3 billion yuan respectively [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 111.88, 93.13, 10.62, and -5.41 points respectively, with annualized basis yields of -10.59%, -9.39%, -1.64%, and 1.23% respectively, and three - year historical quantiles of 33%, 16%, 42%, and 61% respectively [3] - The trading strategy is to maintain a long - term bullish view on the economy and recommend buying forward contracts of each variety on dips [3] Treasury Bond Futures - On July 29, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.441, up 4.12 bps from the previous day; the implied interest rate of the five - year bond was 1.612, up 4.11 bps; the implied interest rate of the ten - year bond was 1.712, up 4.27 bps; and the implied interest rate of the thirty - year bond was 2.057, up 4.31 bps [3] - For the current active contract 2509, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +2.75 bps, a corresponding net basis of 0.012, and an IRR of 1.47%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +4.5 bps, a corresponding net basis of 0.014, and an IRR of 1.46%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of +4 bps, a corresponding net basis of 0.024, and an IRR of 1.38%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +4.25 bps, a corresponding net basis of 0.121, and an IRR of 0.89% [3] - The trading strategy is to recommend hedging T and TL contracts on rallies in the medium - to - long term due to rising risk appetite and economic recovery expectations [4] Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with industrial added value in June exceeding the same period [10] - Short - term capital interest rates have changed. For example, SHIBOR overnight is at 1.37, down from 1.47 the previous day; DR001 is at 1.36, down from 1.46 the previous day [10]