金融期货早班车-20251110

Report Summary 1. Market Performance - On November 7, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.25% to 3997.56 points, the Shenzhen Component Index down 0.36% to 13404.06 points, the ChiNext Index down 0.51% to 3208.21 points, and the STAR 50 Index down 1.47% to 1415.69 points. Market turnover was 20,202 billion yuan, a decrease of 557 billion yuan from the previous day [2]. - In terms of industry sectors, basic chemicals (+2.39%), comprehensive (+1.45%), and petroleum and petrochemicals (+1.38%) led the gains; computers (-1.83%), electronics (-1.34%), and household appliances (-1.17%) led the losses [2]. - In the stock index futures market, the basis of the next-month contracts of IM, IC, IF, and IH were 129.88, 97.71, 19.39, and 0.15 points respectively, with annualized basis yields of -13.89%, -10.75%, -3.34%, and -0.04% respectively, and three-year historical quantiles of 19%, 16%, 28%, and 45% respectively [3]. - In the bond market, on November 7, interest rate bonds declined slightly. Among the active contracts, TS fell 0.02%, TF fell 0.05%, T fell 0.09%, and TL fell 0.15% [3]. 2. Trading Strategies - Stock Index Futures: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - term substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. - Treasury Bond Futures: In the short term, it is bullish. The implied interest rate of ultra - long bonds at 2.2 has sufficient cost - effectiveness; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [4]. 3. Specific Market Data Stock Index Futures and Spot Markets - The report provides detailed performance data of various stock index futures contracts (such as IC2511, IF2511, etc.), including price, trading volume, open interest, basis, and annualized basis yield [6]. Treasury Bond Futures and Spot Markets - The report presents the performance data of various treasury bond futures contracts (such as TS2512, TF2512, etc.), including price, trading volume, open interest, net basis, and CTD bond implied interest rate [7]. Short - term Fund Interest Rate Market - The current price of SHIBOR overnight is 1.327, compared with 1.313 yesterday, 1.321 a week ago, and 1.379 a month ago [10]. 4. Economic Data - High - frequency data shows that at the beginning of November, the import and export sentiment was better than the same period, while the infrastructure sentiment was worse than the same period [10].