金融期货早班车-20251022

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - For the stock index futures market, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position substitute can achieve certain excess returns, and recommends buying long - term contracts of various varieties on dips. However, the short - term market shows signs of cooling [2]. - For the bond market, in the short term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is attractive. In the medium - to - long term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge at high prices for T and TL contracts [3]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On October 21, the four major A - share stock indexes rose. The Shanghai Composite Index rose 1.36%, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, and the STAR 50 Index rose 2.81%. The market turnover was 189.27 billion yuan, an increase of 14.14 billion yuan from the previous day. In terms of industry sectors, communication (+4.9%), electronics (+3.5%), and building decoration (+2.36%) led the gains, while coal (-1.02%), food and beverage (+0.23%), and transportation (+0.29%) led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 4,624, 82, and 729 respectively. Institutional, main, large - scale, and retail investors had net inflows of 15.8 billion, - 6 billion, - 15.9 billion, and 6.2 billion yuan respectively, with changes of +12.7 billion, +5.6 billion, - 5.8 billion, and - 12.4 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 161.25, 132.82, 30.27, and 2.46 points respectively, and the annualized basis yields were - 12.48%, - 10.5%, - 3.73%, and - 0.47% respectively. The three - year historical quantiles were 25%, 17%, 25%, and 39% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On October 21, the bond market rose. Among the active contracts, TS rose 0.05%, TF rose 0.05%, T rose 0.04%, and TL rose 0.16% [2]. - The current active contracts are 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 provided [2][3]. - The central bank's open - market operations had a net injection of 6.85 billion yuan, with a currency injection of 15.95 billion yuan and a currency withdrawal of 9.1 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure sectors are less prosperous than in previous periods [9]. - The chart of domestic mid - level data tracking shows the comparison of the prosperity of manufacturing, real estate, social activities, infrastructure, and imports and exports based on the changes compared with the same period in the past five years [10][11].