金融期货早班车-20251014

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - Medium to long - term, maintain the judgment of going long on the economy, recommend allocating long - term contracts of various varieties on dips; short - term, the market shows signs of cooling [3] - For the bond market, short - term is bullish as the implied interest rate of ultra - long bonds at 2.2 is cost - effective; medium to long - term, with increasing 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 October 13, A - share four major stock indexes adjusted, with Shanghai Composite Index down 0.19% to 3889.5 points, Shenzhen Component Index down 0.93% to 13231.47 points, ChiNext Index down 1.11% to 3078.76 points, and STAR 50 Index up 1.4% to 1473.02 points. Market turnover was 23,742 billion yuan, a decrease of 1,599 billion yuan from the previous day [2] - In terms of industry sectors, non - ferrous metals (+3.35%), environmental protection (+1.65%), and steel (+1.49%) led the gains; automobiles (-2.33%), household appliances (-1.74%), and beauty care (-1.58%) led the losses [2] - In terms of market strength, IM > IH > IC > IF, and the number of rising/flat/falling stocks was 1,682/118/3,628 respectively. In Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 151, - 248, - 2, and 400 billion yuan respectively, with changes of +429, +102, - 268, and - 263 billion yuan respectively [2] - For stock index futures, the basis of IM, IC, IF, and IH next - month contracts were 124.76, 98.56, 21.58, and 4.61 points respectively, and the annualized basis yields were - 13.83%, - 11.13%, - 3.91%, and - 1.29% respectively, with three - year historical quantiles of 19%, 14%, 23%, and 33% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On October 13, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.403, down 0.93 bps from the previous day; five - year bonds was 1.583, down 0.24 bps; ten - year bonds was 1.762, down 1.32 bps; thirty - year bonds was 2.218, down 1.74 bps [3] - For treasury bond futures, the current active contract is the 2512 contract. The CTD bond of the two - year treasury bond futures is 250012.IB, with a yield change of +0 bps, corresponding net basis of - 0.002, and IRR of 1.46%; for five - year, the CTD bond is 250003.IB, yield change of - 0.5 bps, net basis of - 0.011, and IRR of 1.51%; for ten - year, the CTD bond is 220019.IB, yield change of +0 bps, net basis of - 0.008, and IRR of 1.5%; for thirty - year, the CTD bond is 210014.IB, yield change of - 1.62 bps, net basis of - 0.11, and IRR of 1.94% [3] - In terms of the money market, the central bank's open - market operations had a currency injection of 1,378 billion yuan and no currency withdrawal, with a net injection of 1,378 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure prosperity are lower than in previous periods [10]