金融期货早班车-20250915

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Views of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - Market Performance: On September 12, most of the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.12% to 3870.6 points, the Shenzhen Component Index fell 0.43% to 12924.13 points, the ChiNext Index fell 1.09% to 3020.42 points, and the STAR 50 Index rose 0.9% to 1338.02 points. Market trading volume was 25,483 billion yuan, an increase of 837 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+1.96%), real estate (+1.51%), and steel (+1.41%) led the gains; communication (-2.13%), comprehensive (-1.95%), and beauty care (-1.52%) led the losses. From the perspective of market strength, IC>IM>IH>IF, and the number of rising/flat/falling stocks was 1,926/130/3,370 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 21.1 billion, - 16.2 billion, 6.3 billion, and 31 billion yuan respectively, with changes of - 47.1 billion, - 0.5 billion, +31.1 billion, and +16.5 billion yuan respectively [2]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH was 96.88, 58.55, 5, and - 0.46 points respectively, and the annualized basis yields were - 16.32%, - 10.24%, - 1.38%, and 0.19% respectively, with three - year historical quantiles of 11%, 16%, 43%, and 46% respectively [2]. - Trading Strategy: In the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. (2) Treasury Bond Futures - Yield Changes: On September 12, the yields of treasury bond futures rose and fell differently. Among the active contracts, the implied interest rate of the two - year bond was 1.396, up 2.79 bps from the previous day; the implied interest rate of the five - year bond was 1.603, up 0.24 bps; the implied interest rate of the ten - year bond was 1.778, down 0.53 bps; and the implied interest rate of the thirty - year bond was 2.177, down 1.63 bps [2]. - Cash Bond Situation: Currently, the active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.024 and an IRR of 1.55%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 0.75 bps, corresponding to a net basis of 0.06 and an IRR of 1.23%; for the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 1.25 bps, corresponding to a net basis of 0.1 and an IRR of 1.07%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 2.7 bps, corresponding to a net basis of - 0.038 and an IRR of 1.59% [2]. - Funding Situation: In terms of open - market operations, the central bank injected 230 billion yuan and withdrew 188.3 billion yuan, with a net injection of 41.7 billion yuan [2]. - Trading Strategy: With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [8].