金融期货早班车-20250926

Report Overview - The report is a financial futures early morning report released by China Merchants Futures Co., Ltd. on September 26, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on September 25, 2025 [1][2] 1. Stock Index Futures Market Performance - On September 25, most of the four major A - share stock indices rose, with the Shanghai Composite Index down 0.01% to 3853.3 points, the Shenzhen Component Index up 0.67% to 13445.9 points, the ChiNext Index up 1.58% to 3235.76 points, and the STAR 50 Index up 1.24% to 1474.49 points. Market turnover was 23,918 billion yuan, an increase of 446 billion yuan from the previous day [2] - In terms of industry sectors, media (+2.23%), communication (+1.99%), and non - ferrous metals (+1.87%) led the gains; textile and apparel (-1.45%), comprehensive (-1.3%), and agriculture, forestry, animal husbandry and fishery (-1.22%) led the losses [2] - In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,474/80/3,875 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 57, - 179, 38, and 198 billion yuan respectively, with changes of - 167, - 66, +214, and +19 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 146.51, 122.92, 22.29, and 1.14 points respectively, and the basis annualized yields were - 13.55%, - 11.63%, - 3.37%, and - 0.27% respectively, with three - year historical quantiles of 20%, 13%, 26%, and 41% respectively [2] Trading Strategy - In the medium - to - long term, maintain the judgment of going long on the economy. Using stock index futures as a long - term substitute currently has certain excess returns. 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 Market Performance - On September 25, the bond market performed weakly. Among the active contracts, the implied interest rate of the two - year bond was 1.44, up 1.59 bps from the previous day; the implied interest rate of the five - year bond was 1.621, up 1.56 bps; the implied interest rate of the ten - year bond was 1.829, up 1.18 bps; and the implied interest rate of the thirty - year bond was 2.252, up 1.93 bps [2] Cash Bonds - The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +0 bps, a corresponding net basis of 0.055, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0 bps, a corresponding net basis of 0.022, and an IRR of 1.5%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0 bps, a corresponding net basis of 0.025, and an IRR of 1.49%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.326, and an IRR of 0.47% [2] Fundamentals - In terms of open - market operations, the central bank injected 4,835 billion yuan and withdrew 4,870 billion yuan, resulting in a net withdrawal of 35 billion yuan [2] Trading Strategy - In the short term, be bullish. The implied interest rate of the ultra - long - term bond at 2.2 is already cost - effective. 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 contracts on rallies [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]