Report Investment Rating - The outlook for stock index futures is "shockingly bullish," for stock index options is "shockingly," and for Treasury bond futures is "shockingly bearish" [7][8][9] Core Viewpoints - Stock index futures are moving upward due to inertia, with the ChiNext and STAR Market indices leading the gains. A-shares are deviating from the trend of the Asia-Pacific stock market, and the CSI 2000 has underperformed the CSI 1000 in the past two weeks. The turnover rate of the Wind All A Index is approaching a relatively high level, and it may be better to shift to small and micro-cap stocks in September [7]. - The optimism in the stock index options market is waning, with trading volume and implied volatility both dropping. The market sentiment remains positive, but the trading pace has slowed down. It is advisable to set appropriate stop-profit and stop-loss points and re-anchor trading levels [8]. - The performance of the Treasury bond futures market depends on the stock market. Although the stock market was strong yesterday, the bond market also showed an upward trend, and the bullish sentiment may have recovered. The market is concerned about a potential short-term adjustment in the stock market, which could boost the bullish sentiment in the bond market. The bond market should be approached with caution [3][9]. Summary by Directory Market Views Stock Index Futures - The basis of the current contracts of IF, IH, IC, and IM closed at -13.11, -1.60, -95.49, and -120.55 points respectively, with a month-on-month change of -22.55, -5.13, -48.35, and -48.47 points. The spreads between the current and next-month contracts of IF, IH, IC, and IM were 7.6, 1.6, 51.6, and 66.4 points respectively, with a month-on-month change of 2.2, -1.6, 3.0, and 4.8 points. The total positions of IF, IH, IC, and IM changed by -16713, -11062, -12442, and -12786 lots respectively [7]. - The market moved upward due to inertia yesterday, with the ChiNext and STAR Market indices leading the gains. Metal materials, electronics, and healthcare sectors had significant increases, while the large financial sector was relatively weak. A-shares are deviating from the Asia-Pacific stock market, and the CSI 2000 has underperformed the CSI 1000 in the past two weeks. The turnover rate of the Wind All A Index is approaching a relatively high level, and it may be better to shift to small and micro-cap stocks in September. It is recommended to hold IM [7]. Stock Index Options - The trading volume of each option variety decreased by 33.31%, and the liquidity of all varieties declined consistently. The implied volatility of options decreased by an average of 2.55%. It is speculated that the decline in volatility is mainly due to the closing of long option positions, rather than the suppression of short option positions. The average position PCR increased by 1.08%, indicating that the sentiment remains positive, but the trading pace has slowed down. It is advisable to set appropriate stop-profit and stop-loss points and re-anchor trading levels. A small amount of covered call strategy is recommended [8]. Treasury Bond Futures - The trading volumes of the next-quarter contracts of T, TF, TS, and TL were 84189, 60563, 25178, and 121725 lots respectively, with a one-day change of 10472, 4284, -8257, and -19489 lots. The positions were 185116, 113156, 67204, and 125481 lots respectively, with a one-day change of 7482, -145, 605, and 4819 lots. The spreads between the current and next-quarter contracts of T, TF, TS, and TL were 0.300, 0.105, -0.080, and 0.410 yuan respectively, with a one-day change of 0.060, -0.045, -0.010, and -0.100 yuan. The spreads between TF2-T, TS2-TF, TS4-T, and T3-TL of the next-quarter contracts were 103.190, 99.277, 301.744, and 207.090 yuan respectively, with a one-day change of -0.030, -0.044, -0.118, and 0.210 yuan. The basis of the next-quarter contracts of T, TF, TS, and TL were 0.340, 0.021, -0.048, and 0.549 yuan respectively, with a one-day change of -0.109, -0.032, -0.009, and -0.178 yuan. The central bank conducted 1827 billion yuan of 7-day reverse repurchases yesterday, with 2884 billion yuan of reverse repurchases maturing [8]. - Treasury bond futures rose across the board yesterday. The T, TF, TS, and TL main contracts rose 0.17%, 0.08%, 0.02%, and 0.30% respectively. The T main contract opened lower in the morning but then rebounded quickly and showed an upward trend throughout the day. The PMI data in August showed a slight increase, and the equity market continued to be strong yesterday. The bond market sentiment was weak in the morning, but the stock-bond seesaw effect weakened during the day. The bond market also showed an upward trend, and the bullish sentiment may have recovered. The market is concerned about a potential short-term adjustment in the stock market, which could boost the bullish sentiment in the bond market. Although the central bank net withdrew 105.7 billion yuan from the open market on the first day of September, the liquidity in the money market was relatively loose, and the money market rates declined. DR001 and DR007 dropped to 1.31% and 1.45% respectively. In the future, although the stock-bond seesaw effect was not obvious yesterday, it is still necessary to closely monitor the performance of the stock market and the risk appetite. The bond market should be approached with caution. Trend strategy: Be cautiously bullish. Hedging strategy: Pay attention to short hedging at low basis levels. Basis strategy: Pay attention to long-end arbitrage opportunities. Curve strategy: Appropriate attention can be paid to the steepening of the yield curve [3][9]. Economic Calendar - The economic data to be released this week includes the eurozone's unemployment rate, CPI, core CPI, PPI, the US ISM manufacturing PMI, ADP employment, and new ADP employment [10]. Important Information and News Tracking - From July 1 to August 31, the national railway carried a total of 943 million passengers, a year-on-year increase of 4.7%, and the national railway carried a total of 702 million tons of goods, a year-on-year increase of 4.8%. Both passenger and freight volumes reached record highs for the same period [11]. - At the end of the SCO Tianjin Summit on September 1, 2025, Wang Yi, a member of the Political Bureau of the CPC Central Committee and Minister of Foreign Affairs, introduced the eight achievements of the summit, including formulating a 10-year development strategy for the SCO, making a political decision to establish the SCO Development Bank, and setting up six practical cooperation platforms [11]. Derivatives Market Monitoring - The report also includes data on stock index futures, stock index options, and Treasury bond futures, but the specific data is not provided in the text [12][16][28]
股市惯性上?，债市仍需关注股市表现
Zhong Xin Qi Huo·2025-09-02 04:12