金融期货早班车-20250901

Report Summary 1) Report Industry Investment Rating No industry investment rating is provided in the report. 2) Core Views - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests allocating long - term contracts of various varieties on dips, while noting short - term market cooling signs [1]. - For treasury bond futures, considering the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies for the medium - to - long term [1]. 3) Summary by Relevant Catalogs a) Stock Index Futures - Market Performance: On August 29, most of the four major A - share stock indexes rose, with the Shanghai Composite Index up 0.37% to 3857.93 points, the Shenzhen Component Index up 0.99% to 12696.15 points, and the ChiNext Index up 2.23% to 2890.13 points, while the Sci - tech Innovation 50 Index fell 1.71% to 1341.31 points. Market turnover was 28,302 billion yuan, a decrease of 170.7 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.86%), power equipment (+3.12%), and non - ferrous metals (+2.44%) led the gains, while household appliances (-1.82%), transportation (-1.69%), and computers (-1.48%) led the losses. In terms of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,997/121/3,306 respectively. Institutional, main, large - scale, and retail investors' net inflows were - 24.7 billion, - 28 billion, 11.7 billion, and 41.1 billion yuan respectively, with changes of - 12.5 billion, - 1.3 billion, + 13.5 billion, and + 0.3 billion yuan respectively [1]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH was 133.68, 95.74, - 4.04, and - 0.33 points respectively, with annualized basis yields of - 14.98%, - 11.33%, 0.75%, and 0.09% respectively, and three - year historical quantiles of 13%, 12%, 65%, and 45% respectively [1]. - Trading Strategy: Maintain a long - term bullish view on the economy, recommend allocating long - term contracts of various varieties on dips; note short - term market cooling signs [1]. b) Treasury Bond Futures - Market Performance: On August 29, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.371, down 3.05 bps from the previous day; the five - year bond was 1.623, down 1.08 bps; the ten - year bond was 1.763, down 0.23 bps; and the thirty - year bond was 2.114, down 0.09 bps [1]. - Cash Bonds: The current active contract is the 2512 contract. For the two - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.2 bps, a corresponding net basis of 0.003, and an IRR of 1.51%; for the five - year, the CTD bond is 250003.IB, yield change - 2 bps, net basis 0.079, IRR 1.25%; for the ten - year, the CTD bond is 220019.IB, yield change - 0.75 bps, net basis 0.127, IRR 1.09%; for the thirty - year, the CTD bond is 210005.IB, yield change - 0.75 bps, net basis 0.218, IRR 0.98% [1]. - Funding Situation: In open - market operations, the central bank injected 782.9 billion yuan and withdrew 361.2 billion yuan, resulting in a net injection of 421.7 billion yuan [1]. - Trading Strategy: Considering the upward risk appetite and economic recovery expectations, recommend medium - to - long - term hedging of T and TL contracts on rallies [1]. c) Economic Data - High - Frequency Data: High - frequency data shows that the recent social activity sentiment is weak [8]. d) Short - Term Funding Rates - SHIBOR Overnight: The current SHIBOR overnight rate is 1.331, compared with 1.316 the previous day, 1.418 a week ago, and 1.366 a month ago [8].