金融期货早班车-20251229

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on December 29, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures [1] 1. Stock Index Futures Market Performance - On December 26, most of the four major A-share stock indexes rose, with the Shanghai Composite Index up 0.1% to 3,963.68 points, the Shenzhen Component Index up 0.54% to 13,603.89 points, and the ChiNext Index up 0.14% to 3,243.88 points. The STAR 50 Index fell 0.24% to 1,345.83 points [2] - Market turnover was 2.1811 trillion yuan, an increase of 237.2 billion yuan from the previous day [2] - In terms of industry sectors, non-ferrous metals (+3.69%), power equipment (+1.4%), and steel (+1.34%) led the gains, while electronics (-0.71%), light manufacturing (-0.61%), and communications (-0.6%) led the losses [2] - In terms of market strength, IC > IH > IM > IF, and the number of rising/flat/falling stocks was 1,865/186/3,406 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -1.7 billion, -22.5 billion, -5.7 billion, and 30 billion yuan respectively, with changes of +4 billion, -7.8 billion, -1.1 billion, and +4.9 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 75.53, 43.44, 15.24, and -1.8 points respectively, and the basis annualized yields were -7.09%, -4.16%, -2.34%, and 0.42% respectively. The three - year historical quantiles were 55%, 57%, 42%, and 53% 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 - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3] 2. Treasury Bond Futures Market Performance - On December 25, 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% [3] Cash Bond - 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 -0.8 bps, a corresponding net basis of -0.018, and an IRR of 1.56%. For the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +1.25 bps, a corresponding net basis of -0.062, and an IRR of 1.76%. For the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0.55 bps, a corresponding net basis of -0.038, and an IRR of 1.65%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.267, and an IRR of 0.56% [3] Fundamentals - In terms of 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 [3] Trading Strategy - In the medium to long term, with the upward shift of risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, import and export, and social activities is temporarily lower than in previous periods, while the prosperity of infrastructure is similar to previous periods [11]