金融期货早班车-20251017

Report Summary 1. Market Performance - On October 16, the four major A-share stock indices showed mixed performance, with the Shanghai Composite Index rising 0.1% to 3916.23 points, the Shenzhen Component Index falling 0.25% to 13086.41 points, the ChiNext Index rising 0.38% to 3037.44 points, and the STAR 50 Index falling 0.94% to 1416.58 points. Market turnover was 1948.7 billion yuan, a decrease of 141.7 billion yuan from the previous day. In the industry sector, coal (+2.35%), banks (+1.35%), and food and beverage (+0.97%) led the gains, while steel (-2.14%), non-ferrous metals (-2.06%), and building materials (-1.86%) led the losses. In terms of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1172/89/4168 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -19.7 billion, -18.9 billion, 14.5 billion, and 24.1 billion yuan respectively, with changes of -18.8 billion, -10.4 billion, +24.9 billion, and +4.4 billion yuan respectively [2]. - For long - term bonds on October 16, the active contracts showed that TS fell 0.01%, TF fell 0.01%, T rose 0.06%, and TL rose 0.42% [3]. 2. Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 108.64, 105.13, 18.82, and - 0.4 points respectively, and the annualized basis yields were -13.59%, -13.46%, -3.77%, and 0.12% respectively, with three - year historical quantiles of 20%, 10%, 24%, and 46% respectively [2]. - For the current active 2512 contracts, the CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of +0.25bps, a corresponding net basis of -0.008, and an IRR of 1.47%; the CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of -0.4bps, a corresponding net basis of -0.013, and an IRR of 1.5%; the CTD bond of the 10 - year Treasury bond futures was 220019.IB, with a yield change of -1bps, a corresponding net basis of -0.038, and an IRR of 1.65%; the CTD bond of the 30 - year Treasury bond futures was 220008.IB, with a yield change of -1.5bps, a corresponding net basis of -0.049, and an IRR of 1.67% [3]. 3. Trading Strategies - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute 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 [3]. - In the short term, be bullish on the market. The implied interest rate of ultra - long bonds 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 [4]. 4. Funds - In open - market operations, the central bank injected 236 billion yuan and withdrew 612 billion yuan, resulting in a net withdrawal of 376 billion yuan [4]. 5. Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [10].