金融期货早班车-20250804

Report's Investment Rating for the Industry - No investment rating for the industry is provided in the report. 2. Core Views of the Report - For stock index futures, the report maintains a long - term view of being bullish on the economy, suggesting that using stock indices as a long - term alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [3]. - For treasury bond futures, considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On August 1st, the four major A - share stock indices pulled back. The Shanghai Composite Index fell 0.37% to 3559.95 points, the Shenzhen Component Index dropped 0.17% to 10991.32 points, the ChiNext Index declined 0.24% to 2322.63 points, and the Science and Technology Innovation 50 Index decreased 1.06% to 1036.77 points. Market turnover was 1.6199 trillion yuan, a decrease of 342 billion yuan from the previous day. In terms of industry sectors, environmental protection (+0.88%), media (+0.82%), and light manufacturing (+0.65%) led the gains, while petroleum and petrochemicals (-1.79%), national defense and military industry (-1.47%), and steel (-1.26%) led the losses. The strength order was IM>IC>IF>IH. The number of rising/flat/falling stocks was 3305/203/1907 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -11.1 billion, 100 million, and 24.1 billion yuan respectively, with changes of -2.5 billion, +8.4 billion, +2.7 billion, and -8.5 billion yuan respectively [2]. - Basis and Annualized Basis Yield: The basis of the next - month contracts of IM, IC, IF, and IH was 127.67, 109.2, 25.33, and - 0.27 points respectively, and the annualized basis yields were -13.29%, -12.21%, -4.34%, and 0.07% respectively, with three - year historical quantiles of 19%, 10%, 22%, and 46% respectively [3]. - Trading Strategy: Maintain a long - term bullish view on the economy. Using stock indices as a long - term alternative can yield certain excess returns. Recommend buying long - term contracts of various varieties on dips [3]. 3.2 Treasury Bond Futures - Market Performance: On August 1st, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.411, a decrease of 0.13 bps from the previous day; the implied interest rate of the five - year bond was 1.57, a decrease of 0.12 bps from the previous day; the implied interest rate of the ten - year bond was 1.7, an increase of 3.59 bps from the previous day; the implied interest rate of the thirty - year bond was 2.001, an increase of 0.14 bps from the previous day [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 +0 bps, a corresponding net basis of -0.008, and an IRR of 1.49%; 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 0.002, and an IRR of 1.41%; for the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of +0 bps, a corresponding net basis of 0.062, and an IRR of 0.93%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -0.5 bps, a corresponding net basis of 0.178, and an IRR of 0.38% [4]. - Funding Situation: In open - market operations, the central bank injected 126 billion yuan and withdrew 789.3 billion yuan, resulting in a net withdrawal of 663.3 billion yuan [4]. - Trading Strategy: Considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3.3 Economic Data - High - frequency data shows that the recent business climate of various sectors is similar to that of the same period [11]. - Based on the changes in the meso - level data of each module compared with the same period in the past five years (the month - on - month of year - on - year), scores are given according to the degree of change. Positive scores indicate an improvement in the business climate, negative scores indicate a weakening of the business climate, and a score of zero indicates little change in the business climate [14].