金融期货早班车-20251013

Report Industry Investment Rating - Not mentioned in the report Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, and note short - term market cooling signs [3] - For treasury bond futures, short - term is bullish as the implied interest rate of ultra - long bonds is cost - effective; for medium - and long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [4] Summary by Directory 1. Stock Index Futures and Spot Market Performance - On October 10, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.94% to 3897.03 points, the Shenzhen Component Index dropped 2.7% to 13355.42 points, the ChiNext Index declined 4.55% to 3113.26 points, and the Science and Technology Innovation 50 Index decreased 5.61% to 1452.68 points. Market trading volume was 25,341 billion yuan, a decrease of 137.7 billion yuan from the previous day [2] - In terms of industry sectors, building materials (+1.92%), coal (+1.37%), and textile and apparel (+1.3%) led the gains; electronics (-4.71%), power equipment (-4.46%), and computers (-3.7%) led the losses [2] - From the perspective of market strength, IM>IH>IF>IC. The number of rising/flat/falling stocks was 2,772/127/2,529 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 57.9 billion, - 35.1 billion, 26.6 billion, and 66.3 billion yuan respectively, with changes of - 44.3 billion, - 23.1 billion, +17 billion, and +50.4 billion yuan respectively [2] - The basis of IM, IC, IF, and IH next - month contracts was 112.02, 87.02, 16.43, and 1.25 points respectively, and the annualized basis yields were - 11.99%, - 9.49%, - 2.87%, and - 0.34% respectively, with three - year historical quantiles of 28%, 19%, 30%, and 40% respectively [3] - Detailed performance data of various stock index futures contracts (including IC, IF, IH, IM series) are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 2. Treasury Bond Futures and Spot Market Performance - On October 10, the bond market weakened. The implied interest rates of active contracts such as two - year, five - year, ten - year, and thirty - year bonds all increased compared to the previous day [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are as follows: 2 - year CTD bond is 250012.IB, yield change +1bps, net basis 0.009, IRR 1.38%; 5 - year CTD bond is 250003.IB, yield change +0.75bps, net basis 0.005, IRR 1.39%; 10 - year CTD bond is 220019.IB, yield change +0bps, net basis - 0.002, IRR 1.43%; 30 - year CTD bond is 210014.IB, yield change +1bps, net basis 0.067, IRR 1.17% [4] - In terms of the money market, the central bank's currency injection was 409 billion yuan, currency withdrawal was 600 billion yuan, and the net withdrawal was 191 billion yuan [4] - Detailed performance data of various treasury bond futures contracts (including TS, TF, T, TL series) and some treasury bond spot bonds are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rates [7] 3. Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [10] - Based on the changes in domestic medium - term data compared with the same period in the past five years (year - on - year month - on - month), the prosperity scores of manufacturing, real estate, social activities, infrastructure, and imports and exports are shown in Figure 2 [11][12]