国债期货早报-20251111

Group 1: Overall Market Condition and Expectations - The bond market showed an overall oscillatory strengthening trend, with long - term bonds performing slightly better than short - term bonds. The 30 - year main contract of treasury bond futures rose 0.22%. The liquidity in the inter - bank market tightened further, and the overnight repurchase rate of deposit - taking institutions rose more than 15bp to 1.48%. Vanke bonds generally declined, with "22 Vanke 06" falling more than 8%. The bond market sentiment was fair, and it is expected to remain oscillatory until the end of the year, with few trend opportunities [2]. - The central bank has increased the volume of MLF roll - overs for the 8th consecutive month. The October PMI data was below expectations and still below the boom - bust line. In September, the CPI rose 0.1% month - on - month and fell 0.3% year - on - year, while the year - on - year increase of core CPI expanded for the 5th consecutive month. The new social financing in September was slightly lower than the seasonal level. Affected by the "migration of RMB deposits", the M2 growth rate expanded. The LPR remained unchanged as expected. The Federal Reserve cut interest rates by 25 basis points at the October FOMC meeting [4]. Group 2: Capital and Policy - On November 10, the People's Bank of China conducted 119.9 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40%. With 78.3 billion yuan of reverse repurchases maturing on the same day, the net investment on the day was 41.6 billion yuan [2]. Group 3: Basis and Inventory Analysis - The main basis of TS was - 0.0211, indicating that the cash bond was at a discount to the futures, which was bearish. The main basis of TF was - 0.0235, also bearish. The main basis of T was 0.0202, and the main basis of TL was 0.1186, both indicating that the cash bond was at a premium to the futures, which was bullish [2]. - The balances of deliverable bonds for the main contracts of TS, TF, and T were 1.3594 trillion, 1.4935 trillion, and 2.3599 trillion respectively, which was neutral [3]. Group 4: Market Technical Analysis - The main contracts of TS, TF, and T were all above the 20 - day moving average, and the 20 - day moving average was upward, which was bullish [3]. - The main contract of TS had a net long position with an increase in long positions. The main contract of TF also had a net long position with an increase in long positions. The main contract of T had a net long position with a decrease in long positions [4]. Group 5: Main Contract Quotes | Futures Contract | Current Price | Change Rate | Trading Volume | Open Interest | Daily Position Change | CTD Bond | | --- | --- | --- | --- | --- | --- | --- | | T2512.CFE | 108.485 | 0.01% | 58,830 | 231,393 | - 4,216 | 250018.IB | | TF2512.CFE | 105.940 | 0.02% | 49,109 | 138,398 | - 4,021 | 250003.IB | | TS2512.CFE | 102.468 | 0.00% | 24,929 | 67,365 | - 700 | 250012.IB | | TL2512.CFE | 116.28 | 0.22% | 96,097 | 129,150 | 1,495 | 210005.IB | [7]