金融期货早班车-20251106

Report Summary 1. Market Performance - On November 5th, the four major A-share stock indices opened lower and closed higher. The Shanghai Composite Index rose 0.23% to 3,969.25 points, the Shenzhen Component Index rose 0.37% to 13,223.56 points, the ChiNext Index rose 1.03% to 3,166.23 points, and the STAR 50 Index rose 0.23% to 1,390.39 points. Market turnover was 1.8943 trillion yuan, a decrease of 44.1 billion yuan from the previous day [2]. - In terms of industry sectors, power equipment (+3.4%), coal (+1.39%), and commercial and retail (+1.22%) led the gains, while computer (-0.97%), non-bank finance (-0.49%), and communication (-0.43%) led the losses [2]. - From the perspective of market strength, IM > IC > IF > IH. The number of rising, flat, and falling stocks was 3,376, 161, and 1,902 respectively. Net capital inflows from institutions, the main force, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -2.6 billion yuan, -10.8 billion yuan, -4.1 billion yuan, and 17.5 billion yuan respectively, with changes of +34.9 billion yuan, +9.2 billion yuan, -21.6 billion yuan, and -22.5 billion yuan respectively [2]. 2. Stock Index Futures - The basis of the next-month contracts of IM, IC, IF, and IH was 154.06, 121.34, 30.66, and 5.37 points respectively, and the annualized basis yields were -15.64%, -12.72%, -5.02%, and -1.35% respectively. The three-year historical quantiles were 13%, 11%, 20%, and 32% respectively [3]. - The trading strategy is to maintain a long position on the economy in the medium to long term. Currently, using stock index futures as a long substitute has certain excess returns. It is recommended to allocate long positions in forward contracts of various varieties on dips [3]. 3. Treasury Bond Futures - The current active contract is the 2512 contract. The CTD bonds for the 2-year, 5-year, 10-year, and 30-year treasury bond futures are 250012.IB, 250003.IB, 250018.IB, and 210005.IB respectively. The yield changes were +0.25bps, +0.75bps, +0.1bps, and +0.45bps respectively, corresponding to net bases of -0.027, -0.068, -0.022, and 0.012, and IRRs of 1.68%, 2.03%, 1.63%, and 1.36% respectively [4]. - In terms of the money market, the central bank injected 6.55 billion yuan and withdrew 55.77 billion yuan, resulting in a net withdrawal of 49.22 billion yuan [4]. - The trading strategy is to be bullish in the short term, as the implied interest rate of ultra-long bonds at 2.2 is already 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, except for the manufacturing sector, the prosperity of each sector is lower than the same period in previous years [11].