金融期货早班车-20250911

Report Summary 1. Market Performance - On September 10, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.13% to 3,812.22 points, the Shenzhen Component Index up 0.38% to 12,557.68 points, the ChiNext Index up 1.27% to 2,904.27 points, and the STAR 50 Index up 1.09% to 1,259.1 points. Market turnover was 2.004 trillion yuan, a decrease of 148.1 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+3.49%), electronics (+1.78%), and media (+1.68%) led the gains, while power equipment (-1.18%), comprehensive (-1.09%), and basic chemicals (-0.94%) led the losses [2]. - From the perspective of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 2,440, 219, and 2,767 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 4.5 billion, - 5.8 billion, - 6.8 billion, and 8 billion yuan respectively, with changes of +32 billion, +17.3 billion, - 17 billion, and - 32.2 billion yuan respectively [2]. 2. Stock Index Futures - Basis and Basis Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 141.57, 129.11, 22.56, and 3.39 points respectively, and the basis annualized yields were - 22.25%, - 21.16%, - 5.77%, and - 1.31% respectively, with three - year historical quantiles of 2%, 1%, 18%, and 32% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [3]. 3. Treasury Bond Futures - Market Performance: On September 10, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.416, up 2.78 bps from the previous day; the five - year bond was 1.645, up 3.23 bps; the ten - year bond was 1.812, up 4.25 bps; and the thirty - year bond was 2.202, up 4.38 bps [3]. - 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 bps, a corresponding net basis of 0.007, and an IRR of 1.45%. For the five - year, ten - year, and thirty - year treasury bond futures, the relevant data are also provided [4]. - Funding Situation: In open - market operations, the central bank injected 304 billion yuan and withdrew 229.1 billion yuan, resulting in a net injection of 74.9 billion yuan [4]. - Trading Strategy: 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 [4]. 4. Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak momentum [11].