金融期货早班车-20250819

Report Information - Report Title: Financial Futures Morning Express - Report Date: August 19, 2025 - Report Company: China Merchants Futures Co., Ltd. [1] Market Performance A-share Market - On August 18, the four major A-share stock indexes all rose. The Shanghai Composite Index rose 0.85% to close at 3,728.03 points; the Shenzhen Component Index rose 1.73% to close at 11,835.57 points; the ChiNext Index rose 2.84% to close at 2,606.2 points; the STAR 50 Index rose 2.14% to close at 1,124.82 points. Market turnover was 2.8091 trillion yuan, an increase of 536.3 billion yuan from the previous day. [2] - In terms of industry sectors, communications (+4.46%), comprehensive (+3.43%), and computer (+3.33%) led the gains; real estate (-0.46%), petroleum and petrochemicals (-0.1%), and non-ferrous metals (+0.14%) led the losses. [2] - From the perspective of market strength, IM > IC > IF > IH. The number of rising, flat, and falling stocks was 4,034, 165, and 1,220 respectively. [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 5.4 billion yuan, -19.1 billion yuan, -6.8 billion yuan, and 20.5 billion yuan respectively, with changes of -7 billion yuan, -9.1 billion yuan, +11.9 billion yuan, and +4.2 billion yuan respectively. [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 99.6, 91.77, 4.01, and -10.73 points respectively. The annualized basis yields were -8.82%, -8.82%, -0.61%, and 2.42% respectively, and the three - year historical quantiles were 44%, 19%, 52%, and 78% 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. It is recommended to allocate long - term contracts of each variety on dips. [3] Treasury Bond Futures - On August 18, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.44, up 2.92 bps from the previous day; the five - year bond was 1.634, up 5.09 bps; the ten - year bond was 1.729, up 4.96 bps; the thirty - year bond was 2.142, up 6.68 bps. [3] - For the current active contract 2509, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +2.75 bps, a corresponding net basis of 0.026, and an IRR of 1.19%; the five - year was 240020.IB, with a yield change of +3.75 bps, a net basis of 0.057, and an IRR of 0.81%; the ten - year was 250007.IB, with a yield change of +4.55 bps, a net basis of 0.042, and an IRR of 1%; the thirty - year was 210005.IB, with a yield change of +7 bps, a net basis of -0.129, and an IRR of 2.74%. [3] - In terms of the money market, the central bank injected 266.5 billion yuan and withdrew 112 billion yuan, resulting in a net injection of 154.5 billion yuan. [3] - The trading strategy is that with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies for the medium and long term. [3] Section Summaries (1) Stock Index Futures Spot and Futures Market Performance - The report provides detailed data on the performance of various stock index futures contracts (such as IC2509, IF2509, etc.), including their names, price changes, current prices, trading volumes, open interests, and other indicators. [6] (2) Treasury Bond Futures Spot and Futures Market Performance - The report presents the performance data of various treasury bond futures contracts (such as TS2509, TF2509, etc.), including price changes, current prices, trading volumes, open interests, net basis, and CTD bond implied interest rates. [7] (3) Economic Data - High - frequency data shows that the recent social activity sentiment has been weak. Based on the comparison of meso - level data in each module with the same period in the past five years (year - on - year and month - on - month), the sentiment is scored. Positive scores indicate an improvement in sentiment, negative scores indicate a weakening, and zero indicates little change. [10][12][13]