金融期货早班车-20251118

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Maintain a long - term bullish view on the economy, suggesting long - term investors to allocate forward contracts of various index futures varieties on dips [3] - Short - term bullish on bond futures, with the implied interest rate of ultra - long bonds at 2.2 being cost - effective; for the medium and long term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4] Summary by Directory 1. Stock Index Futures and Spot Market Performance - On November 17, the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.46% to 3972.03 points, the Shenzhen Component Index fell 0.11% to 13202 points, the ChiNext Index fell 0.2% to 3105.2 points, and the Science and Technology Innovation 50 Index fell 0.53% to 1354.04 points. Market trading volume was 1930.3 billion yuan, a decrease of 50.1 billion yuan from the previous day [2] - In terms of industry sectors, computer (+1.67%), national defense and military industry (+1.59%), and coal (+1.32%) led the gains; pharmaceutical biology (-1.73%), banks (-1.31%), and non - bank finance (-1.11%) led the losses [2] - From the perspective of market strength, IM>IC>IF>IH. The number of rising, flat, and falling stocks was 2582, 138, and 2724 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 4.7 billion, - 12.1 billion, - 0.3 billion, and 17.1 billion yuan respectively, with changes of +33.2 billion, +12 billion, - 13.3 billion, and - 31.8 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 128.68, 91.95, 16.65, and 2.87 points respectively, and the annualized basis yields were - 17.1%, - 12.71%, - 3.62%, and - 0.95% respectively. The three - year historical quantiles were 10%, 11%, 27%, and 36% respectively [3] - Detailed performance data of various stock index futures contracts are shown in Table 1 [6] 2. Treasury Bond Futures and Spot Market Performance - On November 17, interest - rate bonds rose slightly. Among the active contracts, TS rose 0.03%, TF rose 0.05%, T rose 0.09%, and TL rose 0.33% [3] - For the current active 2512 contract, the CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [4] - In terms of the money market, the central bank injected 283 billion yuan and withdrew 119.9 billion yuan, with a net injection of 163.1 billion yuan [4] - Detailed performance data of various treasury bond futures contracts are shown in Table 2 [8] - The spot term structure of treasury bonds is presented in Figure 1 [9] - The short - term capital interest rate market changes are shown in Table 3 [11] 3. Economic Data - High - frequency data shows that at the beginning of November, the import and export prosperity was better than the same period, while the infrastructure prosperity was worse than the same period [11] - The domestic meso - level data tracking is shown in Figure 2 [12]