金融期货早班车-20250923

Report Summary 1. Report Industry Investment Rating No specific industry investment rating is provided in the report. 2. Core Views - For stock index futures, maintain a long - term view of going long on the economy, recommend buying long - term contracts on dips; short - term market shows signs of cooling [2] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds is attractive; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On September 22, the four major A - share stock indexes adjusted, with the Shanghai Composite Index up 0.22% to 3828.58, the Shenzhen Component Index up 0.67% to 13157.97, the ChiNext Index up 0.55% to 3107.89, and the Science and Technology Innovation 50 Index up 3.38% to 1408.64. Market turnover was 21,425 billion yuan, a decrease of 2,070 billion yuan from the previous day [1] - In terms of industry sectors, electronics (+3.71%), computer (+1.7%), and non - ferrous metals (+0.98%) led the gains; social services (-2.04%), beauty care (-1.36%), and commercial retail (-1.31%) led the losses [1] - From the perspective of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 2,175/102/3,151 respectively. Institutional, main, large - scale, and retail investors' net inflows were - 13, - 137, - 16, and 165 billion yuan respectively, with changes of +193, +88, - 33, and - 249 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 177.08, 146.93, 29.21, and 0.18 points respectively, and the annualized basis yields were - 15.16%, - 13.04%, - 4.14%, and - 0.04% respectively, with three - year historical quantiles of 14%, 10%, 21%, and 43% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On September 22, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of two - year bonds was 1.384, down 2.52 bps from the previous day; the implied interest rate of five - year bonds was 1.562, down 3.1 bps; the implied interest rate of ten - year bonds was 1.775, down 2.79 bps; the implied interest rate of thirty - year bonds was 2.203, up 0.86 bps [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 0.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.58%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 1 bps, a corresponding net basis of - 0.048, and an IRR of 1.69%; the CTD bond of the ten - year treasury bond futures was 250018.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.063, and an IRR of 1.76%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.12 bps, a corresponding net basis of 0.201, and an IRR of 0.82% [3] - In terms of the money market, the central bank injected 5,405 billion yuan and withdrew 2,800 billion yuan, resulting in a net injection of 2,605 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10]