金融期货早班车-20251104

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips as there is a certain excess return when using stock indices as long - term substitutes [3]. - For bond futures, in the short - term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it is suggested to hedge T and TL contracts on rallies [4]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On November 3, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index rose 0.55% to 3976.52 points, the Shenzhen Component Index rose 0.19% to 13404.06 points, the ChiNext Index rose 0.29% to 3196.87 points, and the STAR 50 Index fell 1.04% to 1400.86 points. Market turnover was 21,329 billion yuan, a decrease of 2,169 billion yuan from the previous day. In terms of industry sectors, media, coal, and petroleum and petrochemical led the gains, while non - ferrous metals, household appliances, and the comprehensive sector led the losses. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 89, - 133, 30, and 192 billion yuan respectively, with changes of + 157, + 59, + 26, and - 242 billion yuan respectively [2]. - Basis and Trading Strategy: The basis of the next - month contracts of IM, IC, IF, and IH were 140.12, 94, 18.6, and - 0.25 points respectively, with annualized basis yields of - 13.28%, - 9.16%, - 2.86%, and 0.06%, and three - year historical quantiles of 21%, 22%, 32%, and 45% respectively. The long - term trading strategy is to maintain a long position on the economy, and it is recommended to allocate long positions in forward contracts of various varieties on dips [3]. 3.2 Bond Futures - Market Performance: On November 3, interest - rate bonds were basically flat. Among the active contracts, TS fell 0.03%, TF fell 0.01%, T rose 0.01%, and TL fell 0.11% [3]. - Cash Bond and Trading Strategy: The current active contract is the 2512 contract. The CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided. In terms of the money market, the central bank had a net withdrawal of 2,590 billion yuan. The short - term trading strategy is to be bullish, and in the medium - to - long - term, it is recommended to hedge T and TL contracts on rallies [4]. 3.3 Economic Data High - frequency data shows that recently, except for the manufacturing sector, the prosperity of each sector is lower than the same period in previous years [10].