金融期货早班车-20251201

Report Information - Report Date: December 1, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] - Report Type: Financial Futures Morning Report [1] Market Performance A-share Market - On November 28, the four major A-share stock indexes rose across the board, with the Shanghai Composite Index up 0.34%, closing at 3,888.6 points; the Shenzhen Component Index up 0.85%, closing at 12,984.08 points; the ChiNext Index up 0.7%, closing at 3,052.59 points; and the Science and Technology Innovation 50 Index up 1.25%, closing at 1,327.15 points [2]. - Market turnover was 1.5977 trillion yuan, a decrease of 125.4 billion yuan from the previous day [2]. - In terms of industry sectors, steel (+1.59%), agriculture, forestry, animal husbandry and fishery (+1.59%), and commerce and retail (+1.46%) led the gains; banks (-0.83%), coal (-0.14%), and beauty care (+0.07%) led the losses [2]. - In terms of market strength, IC > IM > IF > IH, and the number of stocks rising/flat/falling were 4,122/139/1,187 respectively [2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 9.2 billion, - 2.4 billion, - 8 billion, and 1.2 billion yuan respectively, with changes of +17.3 billion, +8.1 billion, - 8.3 billion, and - 17.1 billion yuan respectively [2]. Interest Rate Bond Market - On November 28, interest rate bonds showed mixed performance. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T rose 0.03%, and TL rose 0.05% [3]. Futures Market Stock Index Futures - Basis: The basis of the next - month contracts of IM, IC, IF, and IH were 148.61, 113.55, 36.06, and 10.22 points respectively, with annualized basis yields of - 14.9%, - 11.87%, - 5.86%, and - 2.53% respectively, and three - year historical quantiles of 16%, 14%, 19%, and 26% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3]. Treasury Bond Futures - Cash Bonds: The current active contract is the 2603 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 as follows: for 2 - year, the CTD bond is 250017.IB, yield change is - 1.25bps, net basis is - 0.012, IRR is 1.51%; for 5 - year, the CTD bond is 2500801.IB, yield change is + 0.75bps, net basis is - 0.041, IRR is 1.6%; for 10 - year, the CTD bond is 250018.IB, yield change is - 0.9bps, net basis is - 0.03, IRR is 1.57%; for 30 - year, the CTD bond is 210005.IB, yield change is + 0bps, net basis is - 0.176, IRR is 1.93% [4]. - Funding Situation: In open - market operations, the central bank injected 301.3 billion yuan and withdrew 375 billion yuan, resulting in a net withdrawal of 73.7 billion yuan [4]. - Trading Strategy: In the short term, it is volatile, 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 on rallies [4]. Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while infrastructure sentiment is worse than the same period [12]