金融期货早班车-20250818

Report Summary on Financial Futures 1. Market Performance - On August 15, A-share's four major stock indexes all rose, with the Shanghai Composite Index up 0.83% to 3696.77 points, the Shenzhen Component Index up 1.6% to 11634.67 points, the ChiNext Index up 2.61% to 2534.22 points, and the STAR 50 Index up 1.43% to 1101.29 points. Market trading volume was 2272.8 billion yuan, a decrease of 33.4 billion yuan from the previous day [2]. - In terms of industry sectors, comprehensive (+3.92%), non-bank finance (+3.16%), and power equipment (+2.85%) led the gains; banks (-1.46%), food and beverage (+0.04%), and media (+0.51%) led the losses [2]. - From the perspective of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4623/155/641 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were 12.3 billion, - 10 billion, - 18.7 billion, and 16.3 billion yuan respectively, with changes of +37.8 billion, +18.9 billion, - 24.9 billion, and - 31.8 billion yuan respectively [2]. 2. Stock Index Futures - Basis and Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts were 31.3, 37.57, - 7.05, and - 13.52 points respectively, with annualized basis yields of - 4.23%, - 5.5%, 1.61%, and 4.59% respectively, and three - year historical quantiles of 70%, 44%, 76%, and 97% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3]. 3. Treasury Bond Futures - Cash Bond Situation: The current active contract is the 2509 contract. For the 2 - year treasury bond futures CTD bond (250006.IB), the yield change was +0bps, the corresponding net basis was 0.03, and the IRR was 1.15%; for the 5 - year (240020.IB), the yield change was +1bps, the net basis was - 0.001, and the IRR was 1.49%; for the 10 - year (220010.IB), the yield change was +1.25bps, the net basis was - 0.027, and the IRR was 1.78%; for the 30 - year (210005.IB), the yield change was +1.75bps, the net basis was - 0.062, and the IRR was 2% [4]. - Funding Situation: In open - market operations, the central bank injected 238 billion yuan and withdrew 122 billion yuan, with a net injection of 116 billion yuan [4]. - Trading Strategy: With the increase in 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 social activity sentiment is weak [11]. - Based on the comparison of domestic meso - level data with the same period in the past five years, the manufacturing, real estate, social activity, infrastructure, and import - export sectors are analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a weakening, and zero scores indicate little change [13][14].