金融期货早班车-20251021

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - Stock Index Futures: Maintain a long - term bullish view on the economy. It is recommended to allocate long - term contracts of various varieties on dips. The short - term market shows signs of cooling [3]. - Treasury Bond Futures: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium and 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 [3]. 3. Summary by Directory (1) Stock Index Spot and Futures Market Performance - Market Performance on October 20: The four major A - share stock indexes showed a callback, with the Shanghai Composite Index rising 0.63% to 3863.89 points, the Shenzhen Component Index rising 0.98% to 12813.21 points, the ChiNext Index rising 1.98% to 2993.45 points, and the STAR 50 Index rising 0.35% to 1367.9 points. Market turnover was 17,513 billion yuan, a decrease of 2,031 billion yuan from the previous day. In terms of industry sectors, communication (+3.21%), coal (+3.04%), and power equipment (+1.53%) led the gains, while non - ferrous metals (-1.34%), agriculture, forestry, animal husbandry and fishery (-0.88%), and beauty care (-0.38%) led the losses. In terms of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,064/121/1,248 respectively. Institutional, main, large - scale, and retail investors had net inflows of 32, - 116, - 101, and 186 billion yuan respectively, with changes of +497, +217, - 274, and - 440 billion yuan respectively [2]. - Basis and Basis Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts was 179.98, 160.44, 31.42, and 4.46 points respectively, and the basis annualized yields were - 13.81%, - 12.61%, - 3.85%, and - 0.83% respectively, with three - year historical quantiles of 20%, 11%, 24%, and 37% respectively [2]. (2) Treasury Bond Spot and Futures Market Performance - Market Performance on October 20: The bond market adjusted. Among the active contracts, TS fell 0.04%, TF fell 0.11%, T fell 0.14%, and TL fell 0.37% [3]. - Cash Bonds: For the currently active 2512 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year Treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1.5bps, a corresponding net basis of - 0.003, and an IRR of 1.45%; for the 5 - year Treasury bond futures, the CTD bond is 250003.IB, with a yield change of +2bps, a corresponding net basis of - 0.02, and an IRR of 1.56%; for the 10 - year Treasury bond futures, the CTD bond is 220017.IB, with a yield change of +3.25bps, a corresponding net basis of - 0.047, and an IRR of 1.73%; for the 30 - year Treasury bond futures, the CTD bond is 220024.IB, with a yield change of +1.88bps, a corresponding net basis of 0.085, and an IRR of 1.03% [3]. - Funding Situation: The central bank injected 189 billion yuan and withdrew 253.8 billion yuan in open - market operations, resulting in a net withdrawal of 64.8 billion yuan [3]. (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].