金融期货早班车-20250821

Report Overview - The report is a financial futures morning report from China Merchants Futures Co., Ltd., dated August 21, 2025, covering the performance of stock index and treasury bond futures markets and related economic data [1][2] Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend allocating long - term contracts of various varieties on dips, and note short - term market cooling signs [2] - For treasury bond futures, with rising risk appetite and economic recovery expectations, suggest medium - to long - term hedging of T and TL contracts on rallies [2] Summary by Directory 1. Stock Index Futures Market Performance - On August 20, the four major A - share stock indexes opened lower and closed higher. The Shanghai Composite Index rose 1.04% to 3766.21 points, the Shenzhen Component Index rose 0.89% to 11926.74 points, the ChiNext Index rose 0.23% to 2607.65 points, and the Science and Technology Innovation 50 Index rose 3.23% to 1148.15 points. Market turnover was 2.4484 trillion yuan, a decrease of 192.3 billion yuan from the previous day [2] - In terms of industry sectors, beauty care (+2.42%), petroleum and petrochemicals (+2.36%), and electronics (+2.32%) led the gains; pharmaceutical and biological (-0.07%), household appliances (+0.12%), and real estate (+0.16%) led the losses [2] - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 3673/162/1585 respectively. In the Shanghai and Shenzhen stock markets, institutional, major, large - scale, and retail investors had net inflows of - 12.5 billion, - 21.1 billion, - 1.1 billion, and 34.7 billion yuan respectively, with changes of +6.3 billion, +5.2 billion, - 0.8 billion, and - 10.7 billion yuan respectively [2] Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH was 77.26, 69.87, 10, and - 4.21 points respectively, and the annualized basis yields were - 7.15%, - 7.02%, - 1.58%, and 1% respectively, with three - year historical quantiles of 52%, 32%, 42%, and 57% respectively [2] - The trading strategy is to maintain a long - term bullish view on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; the short - term market shows signs of cooling [2] 2. Treasury Bond Futures Market Performance - On August 20, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.426, up 0.4 bps from the previous day; the implied interest rate of the five - year bond was 1.641, up 2.06 bps; the implied interest rate of the ten - year bond was 1.75, up 1.74 bps; and the implied interest rate of the thirty - year bond was 2.144, up 1.07 bps [2] - The current active contract is the 2509 contract. The CTD bond of the two - year treasury bond futures is 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.02, and an IRR of 1.3%; the CTD bond of the five - year treasury bond futures is 240020.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.1, and an IRR of 0.24%; the CTD bond of the ten - year treasury bond futures is 250007.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.112, and an IRR of 0.08%; the CTD bond of the thirty - year treasury bond futures is 210005.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.101, and an IRR of 0.53% [2] - In terms of the money market, the central bank injected 616 billion yuan and withdrew 118.5 billion yuan, with a net injection of 497.5 billion yuan [2] Trading Strategy - With rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies in the medium - to long - term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [8]