Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - Stock Index Futures: Maintain a long - term view of being bullish on the economy. It is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. - Treasury Bond Futures: In the short term, it is recommended to be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summary by Directory Stock Index Futures - Market Performance: On September 24, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.83% to 3853.64 points, the Shenzhen Component Index rose 1.8% to 13356.14 points, the ChiNext Index rose 2.28% to 3185.57 points, and the Science and Technology Innovation 50 Index rose 3.49% to 1456.47 points. Market turnover was 23,472 billion yuan, a decrease of 1,713 billion yuan from the previous day. In terms of industry sectors, power equipment, electronics, and media led the gains, while banks, coal, and communications led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising, flat, and falling stocks was 4,457, 120, and 852 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 111, - 113, - 177, and 179 billion yuan respectively, with changes of +527, +232, - 311, and - 448 billion yuan respectively [1]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 149.82, 109.91, 24.67, and - 0.29 points respectively, and the annualized basis yields were - 13.44%, - 10.14%, - 3.65%, and 0.07% respectively. The three - year historical quantiles were 20%, 17%, 24%, and 44% respectively [1]. - Trading Strategy: In the medium - to - long term, maintain a bullish view on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. Treasury Bond Futures - Market Performance: On September 24, the bond market was weak. Among the active contracts, the implied interest rate of the two - year bond rose 1.86bps to 1.435, the five - year bond rose 2.51bps to 1.611, the ten - year bond rose 1.99bps to 1.823, and the thirty - year bond rose 2.74bps to 2.236 [1]. - Cash Bonds: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [1]. - Funding Situation: In the open - market operations, the central bank injected 4,015 billion yuan and withdrew 4,185 billion yuan, resulting in a net withdrawal of 170 billion yuan [1]. - Trading Strategy: In the short term, be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that the recent social activity sentiment is weak [8].
金融期货早班车-20250925
Zhao Shang Qi Huo·2025-09-25 00:56