金融期货早班车-20250922

Market Performance - On September 19, the four major A-share indices pulled back, with the Shanghai Composite Index down 0.3% at 3820.09 points, the Shenzhen Component Index down 0.04% at 13070.86 points, the ChiNext Index down 0.16% at 3091 points, and the STAR 50 Index down 1.28% at 1362.65 points. Market turnover was 23,494 billion yuan, a decrease of 8,172 billion yuan from the previous day [2]. - In terms of industry sectors, coal (+1.97%), non-ferrous metals (+1.19%), and building materials (+1.05%) led the gains, while automobiles (-1.94%), pharmaceuticals and biotechnology (-1.41%), and computers (-1.26%) led the losses [2]. - From the perspective of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,909/115/3,403 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -206, -225, 18, and 414 billion yuan respectively, with changes of +126, +203, -94, and -235 billion yuan respectively [2]. Stock Index Futures Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 94.39, 65.35, 14.92, and -3.46 points respectively, and the annualized basis yields were -21.15%, -15.19%, -5.52%, and 1.98% respectively, with three - year historical quantiles of 3%, 8%, 19%, and 71% 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, the market shows signs of cooling [3]. Treasury Bond Futures Market Performance - On September 19, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.407, up 3.72 bps from the previous day; the implied interest rate of the five - year bond was 1.585, up 4.42 bps; the implied interest rate of the ten - year bond was 1.796, up 4.55 bps; and the implied interest rate of the thirty - year bond was 2.2, up 1.97 bps [3]. Cash Bond and Related Data - 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 +2 bps, a corresponding net basis of 0.012, and an IRR of 1.46%; for the five - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +2.25 bps, a corresponding net basis of 0.015, and an IRR of 1.45%; for the ten - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +3.25 bps, a corresponding net basis of -0.013, and an IRR of 1.56%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +3.25 bps, a corresponding net basis of 0.306, and an IRR of 0.55% [4]. Capital Situation - In terms of open - market operations, the central bank injected 3,543 billion yuan and withdrew 2,300 billion yuan, with a net injection of 1,243 billion yuan [4]. Trading Strategy - Short - term is bullish, and the implied interest rate of 2.2 for ultra - long bonds has sufficient cost - effectiveness; in the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].