金融期货早班车-20250812

Report Summary 1. Market Performance - On August 11th, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.34% to 3647.55 points, the Shenzhen Component Index up 1.46% to 11291.43 points, the ChiNext Index up 1.96% to 2379.82 points, and the STAR 50 Index up 0.59% to 1049.73 points. Market turnover was 1.8499 trillion yuan, an increase of 113.6 billion yuan from the previous day [2]. - In terms of industry sectors, power equipment (+2.04%), communication (+1.95%), and computer (+1.94%) led the gains, while banks (-1.01%), petroleum and petrochemicals (-0.41%), and coal (-0.35%) led the losses [2]. - In terms of market strength, IM > IC > IF > IH. The number of rising, flat, and falling stocks was 4,185, 166, and 1,066 respectively. Institutional, main, large - scale, and retail investors had net inflows of 11.9 billion, -4.6 billion, -17.2 billion, and 9.9 billion yuan respectively, with changes of +24.8 billion, +17.4 billion, -19.1 billion, and -23.1 billion yuan respectively [2]. 2. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 92.74, 92.96, 17.71, and 0.5 points respectively, with annualized basis yields of -11.13%, -12.12%, -3.58%, and -0.15% respectively, and three - year historical quantiles of 30%, 10%, 25%, and 43% respectively [3]. - The trading strategy is to maintain a long - term bullish view on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips [3]. 3. Treasury Bond Futures - On August 11th, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.4, up 1.06 bps from the previous day; the five - year bond was 1.566, up 2.42 bps; the ten - year bond was 1.653, up 2.18 bps; and the thirty - year bond was 2.022, up 3.49 bps [3]. - For the current active contracts, the CTD bonds and their corresponding net basis and IRR are as follows: for the 2 - year treasury bond futures (2509 contract), the CTD bond is 250006.IB, with a yield change of +1 bps, a net basis of 0.005, and an IRR of 1.39%; for the 5 - year, the CTD bond is 240020.IB, yield change +3.25 bps, net basis - 0.007, IRR 1.51%; for the 10 - year, the CTD bond is 250007.IB, yield change +2.75 bps, net basis - 0.044, IRR 1.88%; for the 30 - year, the CTD bond is 210005.IB, yield change +3.6 bps, net basis - 0.086, IRR 2.08% [4]. - In terms of the money supply, the central bank injected 112 billion yuan and withdrew 544.8 billion yuan, resulting in a net withdrawal of 432.8 billion yuan [4]. - The trading strategy is that due to the rising risk appetite and the expectation of economic recovery, 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 recent import - export and social activity sentiment has declined [10].