金融期货早班车-20251027

Report Summary 1. Market Performance - On October 24, the four major A-share stock indices rebounded across the board. The Shanghai Composite Index rose 0.71% to close at 3,950.31 points, the Shenzhen Component Index rose 2.02% to close at 13,289.18 points, the ChiNext Index rose 3.57% to close at 3,171.57 points, and the STAR 50 Index rose 4.35% to close at 1,462.22 points. Market turnover was 1,991.6 billion yuan, an increase of 330.9 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+4.73%), electronics (+4.72%), and national defense and military industry (+2.34%) led the gains, while petroleum and petrochemicals (-1.36%), coal (-1.29%), and food and beverages (-1.18%) led the losses [2]. - From the perspective of market strength, IC > IM > IF > IH. The number of rising/flat/falling stocks was 3,025/138/2,273 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 18.6 billion yuan, - 3.8 billion yuan, - 10.9 billion yuan, and - 4 billion yuan respectively, with changes of +30.9 billion yuan, +9.8 billion yuan, - 11.8 billion yuan, and - 28.9 billion yuan respectively [2]. 2. Stock Index Futures - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 121.24, 98.73, 25.88, and - 2.78 points respectively, and the annualized basis yields were - 9.96%, - 8.29%, - 3.39%, and 0.56% respectively. The three - year historical quantiles were 38%, 25%, 27%, and 52% respectively [3]. - Trading Strategy: 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 each variety on dips. In the short term, there are signs of market cooling [3]. 3. Treasury Bond Futures - Market Performance: On October 24, the bond market had a slight correction. Among the active contracts, TS fell 0.01%, TF fell 0.05%, T fell 0.06%, and TL fell 0.25% [3]. - Cash Bonds: The current active contract is the 2512 contract. For the 2 - year Treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 0.5 bps, a corresponding net basis of 0.02, and an IRR of 1.28%. For the 5 - year Treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0.75 bps, a corresponding net basis of - 0.019, and an IRR of 1.54%. For the 10 - year Treasury bond futures, the CTD bond is 220019.IB, with a yield change of +0.5 bps, a corresponding net basis of - 0.02, and an IRR of 1.55%. For the 30 - year Treasury bond futures, the CTD bond is 210005.IB, with a yield change of +1 bps, a corresponding net basis of - 0.043, and an IRR of 1.65% [4]. - Funding Situation: In open - market operations, the central bank injected 168 billion yuan and withdrew 164.8 billion yuan, resulting in a net injection of 3.2 billion yuan [4]. - Trading Strategy: In the short term, be bullish. The implied interest rate of ultra - long bonds at 2.2 is 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. Economic Data - High - frequency data shows that recently, the prosperity of social activities, real estate, and infrastructure is lower than in previous periods, while the manufacturing prosperity is good [10].