金融期货早班车-20250827

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on August 27, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on August 26, 2025 [1][2] Market Performance Stock Index Futures - On August 26, the four major A-share stock indices showed mixed performance. The Shanghai Composite Index fell 0.39% to 3,868.38 points, the Shenzhen Component Index rose 0.26% to 12,473.17 points, the ChiNext Index fell 0.76% to 2,742.13 points, and the STAR 50 Index fell 1.31% to 1,270.87 points. Market turnover was 2.7098 trillion yuan, a decrease of 467.1 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+2.62%), beauty care (+2.04%), and basic chemicals (+1.26%) led the gains, while pharmaceutical biology (-1.09%), non-bank finance (-1.06%), and steel (-0.98%) led the losses [2] - From the perspective of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 2,802/152/2,469 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large, and retail investors had net inflows of -19.2 billion, -26.8 billion, 3.1 billion, and 42.8 billion yuan respectively, with changes of -5.3 billion, +3.6 billion, -2.2 billion, and +3.9 billion yuan respectively [2] - The basis of the next-month contracts of IM, IC, IF, and IH was 113.87, 82.87, 10.99, and -2.22 points respectively, and the annualized basis yields were -11.54%, -9.01%, -1.87%, and 0.57% respectively, with three-year historical quantiles of 28%, 18%, 39%, and 51% respectively [2] Treasury Bond Futures - On August 26, the yields of treasury bond futures mostly declined. Among the active contracts, the implied interest rate of the two-year bond was 1.383, up 0.53 bps from the previous day; the implied interest rate of the five-year bond was 1.612, down 0.12 bps; the implied interest rate of the ten-year bond was 1.735, down 1.42 bps; and the implied interest rate of the thirty-year bond was 2.079, down 1.94 bps [2] - In terms of cash bonds, the current active contract is the 2512 contract. The CTD bond of the two-year treasury bond futures is 250012.IB, with a yield change of -0.25 bps, a corresponding net basis of -0.004, and an IRR of 1.5%; the CTD bond of the five-year treasury bond futures is 250003.IB, with a yield change of -0.8 bps, a corresponding net basis of 0.029, and an IRR of 1.4%; the CTD bond of the ten-year treasury bond futures is 220017.IB, with a yield change of -0.5 bps, a corresponding net basis of 0.123, and an IRR of 1.09%; the CTD bond of the thirty-year treasury bond futures is 210005.IB, with a yield change of -2 bps, a corresponding net basis of 0.222, and an IRR of 0.96% [2] - In terms of the money market, in open market operations, the central bank injected 405.8 billion yuan and withdrew 580.3 billion yuan, resulting in a net withdrawal of 174.5 billion yuan [2] Trading Strategies Stock Index Futures - In the medium to long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long substitute has certain excess returns, and it is recommended to allocate long-term contracts of various varieties on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - With the upward shift 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 [2] Economic Data - High-frequency data shows that the recent social activity sentiment is weak [9]