金融期货早班车-20251028

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. - For bond futures, take a short - term bullish stance. The implied interest rate of ultra - long bonds at 2.2 is considered cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 3. Summary by Directory 3.1 Stock Index Futures - Market Performance: On October 27, the four major A - share stock indices continued to be strong. The Shanghai Composite Index rose 1.18% to 3996.94 points, the Shenzhen Component Index rose 1.51% to 13489.4 points, the ChiNext Index rose 1.98% to 3234.45 points, and the Science and Technology Innovation 50 Index rose 1.5% to 1484.21 points. Market turnover was 23,566 billion yuan, an increase of 3,650 billion yuan from the previous day. Communication, electronics, and comprehensive sectors led the gains, while media, food and beverage, and real estate sectors led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3,360, 217, and 1,859 respectively. Institutional, main, large - scale, and retail investors had net inflows of 4, - 80, - 4, and 79 billion yuan respectively, with changes of - 183, - 42, + 106, and + 119 billion yuan respectively [1]. - Basis and Basis Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts was 172.78, 124.99, 31.62, and 2.73 points respectively, and the basis annualized yields were - 14.41%, - 10.59%, - 4.19%, and - 0.56% respectively. The three - year historical quantiles were 18%, 17%, 21%, and 39% respectively [1]. - Trading Strategy: In the medium - to long - term, maintain a bullish view on the economy. Using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. 3.2 Bond Futures - Market Performance: On October 27, the bond market rebounded. Among the active contracts, TS rose 0.05%, TF rose 0.12%, T rose 0.15%, and TL rose 0.32% [1]. - Cash Bonds: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided [1]. - Funding Situation: The central bank injected 3,373 billion yuan into the market and withdrew 1,890 billion yuan, resulting in a net injection of 1,483 billion yuan [1]. - Trading Strategy: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 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, while the manufacturing prosperity is good [8].