金融期货早班车-20250919

Group 1: Report Industry Investment Rating - Not provided in the report Group 2: Core Viewpoints of the Report - For stock index futures, maintain a long - term view of going long on the economy, recommend allocating long - term contracts of various varieties on dips, and note short - term market cooling signs [1] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Group 3: Summary by Relevant Catalogs Stock Index Futures - Market Performance: On September 18, A - share major indices adjusted, with the Shanghai Composite Index down 1.15% to 3831.66 points, the Shenzhen Component Index down 1.06% to 13075.66 points, the ChiNext Index down 1.64% to 3095.85 points, and the STAR 50 Index up 0.72% to 1380.35 points. Market turnover was 31,666 billion yuan, an increase of 7,637 billion yuan from the previous day. In terms of industry sectors, electronics, communication, and social services led the gains, while non - ferrous metals, comprehensive, and non - bank finance led the losses. From the perspective of market strength, IC>IM>IF>IH. Institutional, main, large - scale, and retail investors' net inflows were - 332, - 428, 112, and 649 billion yuan respectively, with changes of - 181, - 251, + 103, and + 329 billion yuan respectively [1] - Basis and Basis Annualized Yield: IM, IC, IF, and IH next - month contract bases were 106.2, 85.48, 22.11, and 1.03 points respectively, with basis annualized yields of - 22.2%, - 18.55%, - 7.68%, and - 0.55% respectively, and three - year historical quantiles of 2%, 2%, 14%, and 38% respectively [1] - Trading Strategy: In the medium - to long - term, maintain the view of going long on the economy, and using stock indices as long - term substitutes has certain excess returns. Recommend allocating long - term contracts of various varieties on dips. In the short - term, the market shows signs of cooling [1] Treasury Bond Futures - Market Performance: On September 18, treasury bond futures yields rose. Among active contracts, the implied interest rate of two - year bonds was 1.376, up 2.38bps from the previous day; five - year bonds was 1.55, up 1.31bps; ten - year bonds was 1.76, up 4.82bps; and thirty - year bonds was 2.179, up 2.66bps [1] - Cash Bonds: The current active contract is the 2512 contract. For 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of + 1bps, a corresponding net basis of 0.014, and an IRR of 1.5%; for 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of + 2.65bps, a corresponding net basis of - 0.027, and an IRR of 1.67%; for 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of + 1.5bps, a corresponding net basis of - 0.049, and an IRR of 1.76%; for 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of + 1bps, a corresponding net basis of 0.139, and an IRR of 1.13% [1] - Funding Situation: In open - market operations, the central bank injected 487 billion yuan and withdrew 292 billion yuan, with a net injection of 195 billion yuan [1] - Trading Strategy: Be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [7]