金融期货早班车-20250828

Report Summary 1. Investment Rating No specific industry investment rating is provided in the report. 2. Core Views - For stock index futures, in the medium - long term, maintain the view of being bullish on the economy, and recommend allocating long - term contracts of each variety on dips; in the short term, the market shows signs of cooling [1]. - For bond futures, 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 - long term [2]. 3. Summary by Directory (1) Stock Index Futures - Market Performance: On August 27, the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 1.76% to 3800.35 points, the Shenzhen Component Index dropped 1.43% to 12295.07 points, the ChiNext Index declined 0.69% to 2723.2 points, and the STAR 50 Index rose 0.13% to 1272.56 points. Market turnover was 31,978 billion yuan, an increase of 4,880 billion yuan from the previous day. In terms of industry sectors, communication (+1.66%) led the gainers, while beauty care (-3.86%) led the decliners. From the perspective of market strength, IC > IF > IH > IM. The number of rising/flat/falling stocks was 633/29/4,761 respectively. Institutional, main, large - scale, and retail investors had net capital inflows of - 407, - 506, 157, and 756 billion yuan respectively, with changes of - 216, - 238, +126, and +328 billion yuan respectively [1]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 101.5, 68.76, 8.93, and 0.18 points respectively, and the annualized basis yields were - 10.81%, - 7.83%, - 1.59%, and - 0.05% respectively, with three - year historical quantiles of 32%, 25%, 41%, and 43% respectively [1]. - Trading Strategy: In the medium - long term, maintain the view of being bullish on the economy, and it is recommended to allocate long - term contracts of each variety on dips; in the short term, the market shows signs of cooling [1]. (2) Bond Futures - Market Performance: On August 27, most yields of bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.379, down 0.93 bps from the previous day; the implied interest rate of the five - year bond was 1.605, down 0.96 bps; the implied interest rate of the ten - year bond was 1.744, up 0.22 bps; and the implied interest rate of the thirty - year bond was 2.073, down 0.87 bps [1]. - Cash Bond: The current active contract is the 2512 contract. The CTD bond of the two - year bond futures is 250012.IB, with a yield change of - 1 bps, corresponding to a net basis of 0.014 and an IRR of 1.47%; the CTD bond of the five - year bond futures is 250003.IB, with a yield change of +0.25 bps, corresponding to a net basis of - 0.004 and an IRR of 1.52%; the CTD bond of the ten - year bond futures is 220017.IB, with a yield change of - 0.5 bps, corresponding to a net basis of 0.097 and an IRR of 1.25%; the CTD bond of the thirty - year bond futures is 210005.IB, with a yield change of +0.75 bps, corresponding to a net basis of - 0.093 and an IRR of 1.76% [1]. - Funding Situation: In terms of open - market operations, the central bank injected 3,799 billion yuan and withdrew 6,160 billion yuan, resulting in a net withdrawal of 2,361 billion yuan [2]. - 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 - long term [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak [9].