金融期货早班车-20251111

Report Overview - Report Date: November 11, 2025 [doc id='1'] - Report Company: China Merchants Futures Co., Ltd. [doc id='1'] 1. Market Performance Stock Index Futures and Spot Market - On November 10, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.53% to close at 4,018.6 points; the Shenzhen Component Index rose 0.18% to close at 13,427.61 points; the ChiNext Index fell 0.92% to close at 3,178.83 points; the STAR 50 Index fell 0.57% to close at 1,407.56 points. Market turnover was 2.1944 trillion yuan, an increase of 174.2 billion yuan from the previous day [doc id='2']. - In terms of industry sectors, beauty care (+3.6%), food and beverage (+3.22%), and commercial and retail (+2.69%) led the gains; power equipment (-1.09%), machinery and equipment (-0.71%), and electronics (-0.51%) led the losses [doc id='2']. - In terms of market strength, IH > IF > IM > IC. The number of rising/flat/falling stocks was 3,373/118/1,952 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -12.1 billion, -13.3 billion, 400 million, and 25.1 billion yuan respectively, with changes of -100 million, +4.4 billion, -4.2 billion, and -100 million yuan respectively [doc id='2']. - The basis of the next - month contracts of IM, IC, IF, and IH were 142.25, 108, 23.05, and -0.14 points respectively. The annualized basis yields were -15.67%, -12.26%, -4.09%, and 0.04% respectively, and the three - year historical quantiles were 13%, 12%, 23%, and 45% respectively [doc id='2']. Bond Futures Market - On November 10, interest - rate bonds rose slightly. Among the active contracts, TS remained flat, TF rose 0.02%, T rose 0.01%, and TL rose 0.22% [doc id='3']. - For the current active 2512 contracts: - The CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of +0bps, a corresponding net basis of -0.011, and an IRR of 1.6% [doc id='3']. - The CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of -0.25bps, a corresponding net basis of -0.025, and an IRR of 1.75% [doc id='3']. - The CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of -0.75bps, a corresponding net basis of -0.006, and an IRR of 1.56% [doc id='3']. - The CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of -1bps, a corresponding net basis of -0.031, and an IRR of 1.75% [doc id='3']. - In terms of the money market, the central bank injected 119.9 billion yuan and withdrew 78.3 billion yuan through open - market operations, resulting in a net injection of 41.6 billion yuan [doc id='3']. 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains a bullish view 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 various varieties on dips [doc id='3']. Bond Futures - In the short term, it is bullish. The implied interest rate of ultra - long bonds (2.2) has sufficient cost - effectiveness. In the medium - to - long term, with an upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [doc id='3']. 3. Economic Data - High - frequency data shows that at the beginning of November, the import and export business climate was better than the same period, while the infrastructure business climate was worse than the same period [doc id='10']. 4. Tables and Figures Tables - Table 1 shows the performance of stock index futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and basis [doc id='6']. - Table 2 shows the performance of Treasury bond futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and net basis [doc id='7']. - Table 3 shows the changes in the short - term money market interest rates, including SHIBOR overnight rates [doc id='10']. Figures - Figure 1 shows the term structure of Treasury bond spot prices [doc id='8']. - Figure 2 shows the tracking of domestic meso - level data [doc id='11'].