金融期货早班车-20251010

Report Industry Investment Rating No relevant content provided. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts on dips, and note short - term market cooling signs [2]. - For bond futures, short - term is bullish as the implied yield of ultra - long bonds is cost - effective; for medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4]. Summary by Related Catalogs Stock Index Futures - Market Performance: On October 9, A - share four major stock indexes all rose, with the Shanghai Composite Index up 1.32% to 3933.97 points, the Shenzhen Component Index up 1.47% to 13725.56 points, the ChiNext Index up 0.73% to 3261.82 points, and the Science and Technology Innovation 50 Index up 2.93% to 1539.08 points. Market turnover was 2.6718 trillion yuan, an increase of 474.6 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+7.6%), steel (+3.38%), and coal (+3%) led the gains; media (-1.43%), real estate (-1.39%), and social services (-1.03%) led the losses. In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 3109/135/2184 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were - 13.6 billion, - 12 billion, 9.6 billion, and 15.9 billion yuan respectively, with changes of +7 billion, +300 million, +900 million, and - 8.1 billion yuan respectively [2]. - Basis and Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts was 121.25, 90.92, 12.68, and - 2.4 points respectively, and the annualized basis yields were - 12.39%, - 9.41%, - 2.1%, and 0.62% respectively, with three - year historical quantiles of 25%, 20%, 36%, and 51% respectively [2]. - Trading Strategy: In the medium - to - long - term, maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of each variety on dips. In the short - term, the market shows signs of cooling [2]. Bond Futures - Market Performance: On October 9, the bond market strengthened. Among active contracts, the implied yield of the two - year bond fell 2.39bps to 1.387, the five - year bond fell 2.27bps to 1.572, the ten - year bond fell 0.01bps to 1.765, and the thirty - year bond fell 4.42bps to 2.213 [3]. - Cash Bond Situation: For the currently active 2512 contract, the CTD bonds and their corresponding yield changes, net basis, and IRR are as follows: for the two - year bond futures, the CTD bond is 250012.IB, with a yield change of - 2bps, a net basis of 0.002, and an IRR of 1.5%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of - 2.5bps, a net basis of - 0.024, and an IRR of 1.63%; for the ten - year bond futures, the CTD bond is 220019.IB, with a yield change of - 2.85bps, a net basis of - 0.015, and an IRR of 1.59%; for the thirty - year bond futures, the CTD bond is 210014.IB, with a yield change of - 2.25bps, a net basis of - 0.089, and an IRR of 1.91% [3]. - Funding Situation: In open - market operations, the central bank injected 612 billion yuan and withdrew 2.0633 trillion yuan, resulting in a net withdrawal of 1.4513 trillion yuan [3]. - Trading Strategy: In the short - term, it is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; in the medium - to - long - term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].