金融期货早班车-20251230

1. Report Industry Investment Rating - No relevant content provided 2. 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 recommend bargain - hunting allocation of forward contracts of various varieties [2] - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery in the medium - to - long term, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On December 29th, the four major A - share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.04%, the Shenzhen Component Index fell 0.49%, the ChiNext Index fell 0.66%, and the Science and Technology Innovation 50 Index rose 0.04%. Market turnover was 21,577 billion yuan, a decrease of 234 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+1.48%), national defense and military industry (+1.43%), and banks (+1.03%) led the gains; non - ferrous metals (-1.95%), public utilities (-1.24%), and power equipment (-1.13%) led the losses. From the perspective of market strength, IM > IH > IC > IF. The number of rising/flat/falling stocks was 1,993/139/3,325 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 21.1 billion, - 27.2 billion, 8.6 billion, and 39.6 billion yuan respectively, with changes of - 19.4 billion, - 4.7 billion, +14.4 billion, and +9.7 billion yuan respectively [2] - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH was 93.96, 51.61, 18.57, and - 2.17 points respectively, and the annualized basis yields were - 9.1%, - 5.11%, - 2.94%, and 0.52% respectively, with three - year historical quantiles of 48%, 51%, 36%, and 54% respectively [2] - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy, and it is recommended to allocate forward contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - Market Performance: On December 29th, the trend of interest - rate bonds was weak. Among the active contracts, TS fell 0.07%, TF fell 0.18%, T fell 0.28%, and TL fell 0.91% [2] - 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 +0.6 bps, a corresponding net basis of 0.024, and an IRR of 1.48%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +4.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.7%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +3.15 bps, a corresponding net basis of 0.05, and an IRR of 1.36%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +6 bps, a corresponding net basis of - 0.082, and an IRR of 1.9% [2] - Funding Situation: In terms of open - market operations, the central bank injected 482.3 billion yuan of currency and withdrew 67.3 billion yuan, with a net injection of 415 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] 3.3 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 that in previous periods [8]