金融期货早班车-20250815

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate various risk varieties of stock index futures on dips [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Relevant Catalogs Market Performance - On August 14, the four major A-share stock indexes adjusted, with the Shanghai Composite Index down 0.46% to 3666.44 points, the Shenzhen Component Index down 0.87% to 11451.43 points, the ChiNext Index down 1.08% to 2469.66 points, and the STAR 50 Index up 0.75% to 1085.74 points. The market turnover was 23,063 billion yuan, an increase of 131.1 billion yuan from the previous day. Non-bank finance led the gains, while comprehensive, national defense and military industry, and communication led the losses. In terms of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 734/41/4644 respectively. The net inflows of institutional, main, large, and retail funds in the Shanghai and Shenzhen stock markets were -25.4 billion, -28.9 billion, 6.2 billion, and 48.1 billion yuan respectively, with changes of -33.1 billion, -19 billion, +18.5 billion, and +33.5 billion yuan respectively [2] Stock Index Futures - The basis of IM, IC, IF, and IH next-month contracts was 47.29, 49.65, 9.51, and -0.13 points respectively, with annualized basis yields of -6.28%, -7.15%, -2.11%, and 0.04% respectively, and three-year historical quantiles of 57%, 31%, 37%, and 45% respectively [3] - On August 14, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.411, up 1.33 bps from the previous day; the implied interest rate of the five-year bond was 1.583, up 1.57 bps; the implied interest rate of the ten-year bond was 1.679, up 1.74 bps; and the implied interest rate of the thirty-year bond was 2.056, up 2.33 bps [3] Treasury Bond Futures - The CTD bond of the 2-year treasury bond futures was 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.021, and an IRR of 1.22%; the CTD bond of the 5-year treasury bond futures was 240020.IB, with a yield change of +1.25 bps, a corresponding net basis of 0.031, and an IRR of 1.11%; the CTD bond of the 10-year treasury bond futures was 250007.IB, with a yield change of +0.9 bps, a corresponding net basis of 0.016, and an IRR of 1.27%; the CTD bond of the 30-year treasury bond futures was 210005.IB, with a yield change of +2.25 bps, a corresponding net basis of -0.104, and an IRR of 2.29% [4] - In terms of the money market, the central bank injected 128.7 billion yuan and withdrew 160.7 billion yuan, resulting in a net withdrawal of 32 billion yuan [4] Economic Data - High-frequency data shows that the recent import and export and social activity prosperity have declined [11]