金融期货早班车-20250813

Report Industry Investment Rating Not mentioned in the provided content Core Viewpoints - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long term, and recommend allocating long - term contracts of each variety on dips [1] - For bond futures, due to the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts at high levels for the medium - to - long term [3] Summary by Directory (1) Stock Index Futures and Spot Market Performance - On August 12, A - share four major stock indexes all rose, with Shanghai Composite Index up 0.5% to 3665.92, Shenzhen Component Index up 0.53% to 11351.63, ChiNext Index up 1.24% to 2409.4, and Science and Technology Innovation 50 Index up 1.91% to 1069.81. Market trading volume was 19,052 billion yuan, an increase of 553 billion yuan from the previous day [1] - In terms of industry sectors, communication (+2.24%), electronics (+1.88%), and coal (+1.01%) led the gains; national defense and military industry (-1.03%), steel (-0.83%), and building materials (-0.46%) led the losses [1] - From the perspective of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 2,083/172/3,162 respectively. The net inflows of institutional, main, large - scale, and retail funds in Shanghai and Shenzhen stock markets were - 89, - 143, - 12, and 244 billion yuan respectively, with changes of - 207, - 97, + 160, and + 145 billion yuan respectively [1] - The basis of IM, IC, IF, and IH next - month contracts was 80.01, 75.56, 12.63, and - 2.59 points respectively, with annualized basis yields of - 9.91%, - 10.15%, - 2.63%, and 0.79%, and three - year historical quantiles of 37%, 15%, 34%, and 54% respectively [1] (2) Treasury Bond Futures and Spot Market Performance - On August 12, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.418, up 1.07bps from the previous day; the five - year bond was 1.571, up 0.6bps; the ten - year bond was 1.665, up 0.83bps; and the thirty - year bond was 2.044, up 1.7bps [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 + 0.25bps, a corresponding net basis of 0.027, and an IRR of 1.17%; the five - year was 240020.IB, with a yield change of + 0.85bps, a net basis of - 0.022, and an IRR of 1.66%; the ten - year was 250007.IB, with a yield change of + 1bps, a net basis of - 0.033, and an IRR of 1.79%; the thirty - year was 210005.IB, with a yield change of + 2.5bps, a net basis of - 0.127, and an IRR of 2.42% [2] (3) Economic Data - High - frequency data shows that the recent import/export and social activity sentiment has declined [9]