金融期货早班车-20250805

Report Highlights 1. Report Industry Investment Rating - Not provided in the document 2. Core Views - For stock index futures, maintain the judgment of going long on the economy in the medium - long term. It is recommended to allocate long - term contracts of each variety on dips as taking long positions in stock indices can achieve certain excess returns currently [2] - For treasury bond futures, with the upward trend of risk appetite and the expectation of economic recovery, it is suggested to conduct hedging operations on T and TL contracts on rallies in the medium - long term [2] 3. Summary by Directory (1) Stock Index Futures Spot and Futures Market Performance - On August 4, the four major A - share stock indices opened lower and closed higher. The Shanghai Composite Index rose 0.66% to 3583.31 points, the Shenzhen Component Index rose 1.22%, the ChiNext Index rose 0.5% to 2334.32 points, and the STAR 50 Index rose to 1049.41 points. Market turnover was 1518.2 billion yuan, a decrease of 101.7 billion yuan from the previous day [2] - In terms of industry sectors, national defense and military industry (+3.06%), machinery and equipment (+1.93%), and non - ferrous metals (+1.87%) led the gains; commercial and retail (-0.46%), petroleum and petrochemical (-0.36%), and social services (-0.21%) led the losses [2] - In terms of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3875, 230, and 1310 respectively. Institutional, main, large - scale, and retail investors had net inflows of 20, - 58, - 86, and 124 billion yuan respectively, with changes of +151, +53, - 87, and - 117 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 97.09, 92.73, 17.9 points respectively, and the annualized basis yields were - 10.29%, - 10.58%, - 3.14%, and 0.26% respectively. The three - year historical quantiles were 35%, 13%, 30%, and 48% respectively [2] (2) Treasury Bond Futures Spot and Futures Market Performance - On August 4, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.408, down 0.14bps from the previous day; the five - year bond was 1.571, up 0.36bps; the ten - year bond was 1.66, down 3.96bps; the thirty - year bond was 1.994, down 0.75bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +1bps, corresponding to a net basis of - 0.021 and an IRR of 1.62%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +1bps, corresponding to a net basis of - 0.029 and an IRR of 1.7%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of - 0.25bps, corresponding to a net basis of - 0.008 and an IRR of 1.49%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.75bps, corresponding to a net basis of 0.201 and an IRR of 0.19% [2] - In terms of the money market, the central bank injected 544.8 billion yuan and withdrew 495.8 billion yuan, resulting in a net injection of 49 billion yuan [2] (3) Economic Data - High - frequency data shows that the recent prosperity of various sectors is similar to the same period [9]