金融期货早班车-20251128

Report Industry Investment Rating - Not provided Core Viewpoints of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long term, and it is recommended to allocate long - term contracts of various varieties on dips [1]. - For treasury bond futures, it is expected to be volatile in the short term, and it is recommended to hedge T and TL contracts on rallies in the medium - to - long term [1]. Summary by Relevant Catalogs Stock Index Futures - Market Performance: On November 27, most of the four major A - share stock indexes declined, with the Shanghai Composite Index rising 0.29% to close at 3875.26 points, and the Shenzhen Component Index, ChiNext Index, and Science and Technology Innovation 50 Index falling 0.25%, 0.44%, and 0.33% respectively. Market trading volume was 1723.2 billion yuan, a decrease of 74 billion yuan from the previous day. In terms of industry sectors, light manufacturing, basic chemicals, and petroleum and petrochemicals led the gains, while comprehensive, media, and commercial retail led the losses. From the perspective of market strength, IM>IH>IF>IC. The number of rising, flat, and falling stocks was 2786, 217, and 2445 respectively. Institutional, main, large - scale, and retail investors had net capital inflows of - 8.1 billion, - 10.5 billion, 0.3 billion, and 18.4 billion yuan respectively, with changes of - 10.2 billion, + 2.5 billion, - 0.9 billion, and + 8.5 billion yuan respectively [1]. - Basis: The basis of the next - month contracts of IM, IC, IF, and IH was 153.85, 113.28, 38.4, and 15.07 points respectively, with annualized basis yields of - 15.14%, - 11.64%, - 6.07%, and - 3.62% respectively, and three - year historical quantiles of 15%, 15%, 18%, and 23% respectively [1]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indexes as a long - position substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [1]. Treasury Bond Futures - Market Performance: On November 27, interest - rate bonds basically stabilized. Among the active contracts, TS rose 0.01%, TF fell 0.01%, T fell 0.06%, and TL fell 0.01% [1]. - Cash Bonds: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 0.5bps, a corresponding net basis of - 0.052, and an IRR of 1.62%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of + 1.5bps, a corresponding net basis of - 0.039, and an IRR of 1.58%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of + 1.75bps, a corresponding net basis of - 0.059, and an IRR of 1.64%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of + 1bps, a corresponding net basis of - 0.108, and an IRR of 1.73% [1]. - Funding Situation: In terms of open - market operations, the central bank injected 356.4 billion yuan and withdrew 300 billion yuan, resulting in a net injection of 56.4 billion yuan [1]. - Trading Strategy: It is expected to be volatile in the short term, and the valuation of interest - rate bonds has reached a reasonable level. 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 [1]. Economic Data - High - frequency data shows that this month's import and export and social activity sentiment are better than the same period, while the infrastructure sentiment is worse than the same period [7].