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金融期货早班车-20250829
Zhao Shang Qi Huo·2025-08-29 03:28

Report Overview - The report is titled "Financial Futures Morning Express" and is issued by China Merchants Futures Co., Ltd. on August 29, 2025 [1] Market Performance Stock Index Futures - On August 28, the four major A - share stock indexes all rose, with the Shanghai Composite Index up 1.14% to 3843.6 points, the Shenzhen Component Index up 2.25% to 12571.37 points, the ChiNext Index up 3.82% to 2827.17 points, and the Science and Technology Innovation 50 Index up 7.23% to 1364.6 points. Market turnover was 30,009 billion yuan, a decrease of 1,969 billion yuan from the previous day [2] - In terms of industry sectors, communication (+7.14%), electronics (+5.53%), and national defense and military industry (+2.29%) led the gains, while coal (-0.81%), agriculture, forestry, animal husbandry and fishery (-0.73%), and textile and apparel (-0.47%) led the losses [2] - From the perspective of market strength, IC > IF > IM > IH, and the number of rising/flat/falling stocks was 2,867/157/2,400 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 122, - 268, - 18, and 408 billion yuan respectively, with changes of +285, +238, - 175, and - 348 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 141.31, 89.96, 9.18, and - 1.27 points respectively, and the annualized basis yields were - 15.3%, - 10.35%, - 1.66%, and 0.35% respectively, with three - year historical quantiles of 12%, 14%, 40%, and 47% respectively [2] Bond Futures - On August 28, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.403, up 1.46 bps from the previous day; the implied interest rate of the five - year bond was 1.636, up 2.16 bps; the implied interest rate of the ten - year bond was 1.765, up 1.75 bps; and the implied interest rate of the thirty - year bond was 2.118, up 3.68 bps [3] - For the current active 2512 contract, the CTD bond of the 2 - year treasury bond futures was 250012.IB, with a yield change of +1.2 bps, a corresponding net basis of 0.036, and an IRR of 1.42%; the CTD bond of the 5 - year treasury bond futures was 250003.IB, with a yield change of +1.75 bps, a corresponding net basis of 0.053, and an IRR of 1.36%; the CTD bond of the 10 - year treasury bond futures was 220017.IB, with a yield change of +4 bps, a corresponding net basis of 0.098, and an IRR of 1.21%; the CTD bond of the 30 - year treasury bond futures was 210005.IB, with a yield change of +3.5 bps, a corresponding net basis of 0.15, and an IRR of 1.18% [3] Capital Market - In terms of open - market operations, the central bank injected 4,161 billion yuan and withdrew 2,530 billion yuan, resulting in a net injection of 1,631 billion yuan [4] Trading Strategies Stock Index Futures - In the medium and 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 various varieties on dips. In the short term, the market shows signs of cooling [3] Bond Futures - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] Data Tables Stock Index Futures Spot and Futures Market Performance - The table shows the performance of various stock index futures contracts, including code, name, change rate, current price, change, trading volume, trading value, open interest, daily change in open interest, settlement price, basis, and annualized basis yield, as well as the performance of corresponding spot indexes such as CSI 500, SSE 50, etc. [6] Treasury Bond Futures Spot and Futures Market Performance - The table presents the performance of various treasury bond futures contracts, including code, name, change rate, current price, trading volume, trading value, open interest, daily change in open interest, settlement price, net basis, CTD bond implied interest rate, and spot bond yield, as well as the performance of corresponding spot treasury bonds [8] Short - term Capital Interest Rate Market Changes - The table shows the current price, previous price, price one week ago, and price one month ago of SHIBOR overnight [11] Figures Treasury Bond Spot Term Structure - The figure shows the term structure of treasury bond spot yields at different time points from 2024/8/28 to 2025/8/28 for different maturities ranging from 3 months to 30 years [10] Domestic Meso - level Data Tracking - Based on the changes (month - on - month of year - on - year) of meso - level data in each module compared with the same period in the past five years, scores are assigned (-2 to +2). Positive scores represent an improvement in the prosperity index, negative scores represent a decline, and a score of zero represents little change [14]