金融期货早班车-20251226

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long term, and recommend allocating long - term contracts of each variety on dips [2] - For treasury bond futures, in the medium - to - long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs (1) Stock Index Futures - Market Performance: On December 25th, most of the four major A - share stock indexes rose. The Shanghai Composite Index rose 0.47% to 3959.62 points; the Shenzhen Component Index rose 0.33% to 13531.41 points; the ChiNext Index rose 0.3% to 3239.34 points; the Science and Technology Innovation 50 Index fell 0.23% to 1349.06 points. Market turnover was 19,439 billion yuan, an increase of 467 billion yuan from the previous day. Defense industry (+2.91%), light industry manufacturing (+1.59%), and machinery equipment (+1.51%) led the gains; comprehensive (-1.12%), non - ferrous metals (-0.77%), and commercial retail (-0.47%) led the losses. In terms of market strength, IM>IC>IH>IF. The numbers of rising/flat/falling stocks were 3,768/220/1,469 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 57, - 147, - 47, and 251 billion yuan respectively, with changes of - 171, - 38, +104, and +104 billion yuan respectively [2] - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 105.78, 54.11, 23.94, and 0.04 points respectively, and the annualized basis yields were - 9.69%, - 5.07%, - 3.58%, and - 0.01% respectively. Their three - year historical quantiles were 44%, 51%, 30%, and 48% respectively [2] - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips [2] (2) Treasury Bond Futures - Market Performance: On December 25th, the trend of interest - rate bonds was weak. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T fell 0.02%, and TL fell 0.24% [2] - Cash Bonds: The current active contract is the 2603 contract. The CTD bond of the 2 - year treasury bond futures is 250017.IB, with a yield change of - 0.8bps, a corresponding net basis of - 0.018, and an IRR of 1.56%; the CTD bond of the 5 - year treasury bond futures is 2500801.IB, with a yield change of +1.25bps, a corresponding net basis of - 0.062, and an IRR of 1.76%; the CTD bond of the 10 - year treasury bond futures is 250018.IB, with a yield change of +0.55bps, a corresponding net basis of - 0.038, and an IRR of 1.65%; the CTD bond of the 30 - year treasury bond futures is 210005.IB, with a yield change of +0.5bps, a corresponding net basis of 0.267, and an IRR of 0.56% [2] - Funding: In open - market operations, the central bank injected 177.1 billion yuan and withdrew 88.3 billion yuan, with a net injection of 88.8 billion yuan [2] - Trading Strategy: In the medium - to - long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] (3) Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities is temporarily lower than in previous periods, and further observation is needed [8]