金融期货早班车-20251231

1. Report's Investment Rating - No investment rating information is provided in the report. 2. Core Views - In the medium to long term, maintain a bullish view on the economy, and suggest buying long - term contracts of various varieties on dips as stock index long - position substitution offers certain outperformance [3] - In the medium to long term, with a rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [3] 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - On December 30th, most of the four major A - share stock indexes rose, with the Shanghai Composite Index flat at 3965.12 points, the Shenzhen Component Index up 0.49% at 13604.07 points, the ChiNext Index up 0.63% at 3242.9 points, and the STAR 50 Index up 1.01% at 1359.87 points. Market trading volume was 21,615 billion yuan, an increase of 38 billion yuan from the previous day [2] - In terms of industry sectors, the top gainers were petroleum and petrochemicals (+2.63%), automobiles (+1.35%), and non - ferrous metals (+1.31%); the top losers were commerce and retail (-1.56%), real estate (-1.22%), and public utilities (-1.14%) [2] - In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 1,837/148/3,473 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 94, - 144, - 14, and 253 billion yuan respectively, with changes of +117, +128, - 101, and - 144 billion yuan respectively [2] - The basis of IM, IC, IF, and IH next - month contracts was 77.3, 41.54, 21.28, and 3.15 points respectively, with annualized basis yields of - 7.71%, - 4.22%, - 3.47%, and - 0.79% respectively, and three - year historical quantiles of 54%, 57%, 31%, and 41% respectively [2] 3.2 Treasury Bond Futures and Spot Market Performance - On December 30th, interest - rate bonds showed mixed performance. Among the active contracts, TS rose 0.01%, TF fell 0.01%, T fell 0.02%, and TL rose 0.17% [3] - For the current active 2603 contract: the CTD bond of the 2 - year Treasury bond futures was 250017.IB, with a yield change of +1 bps, a corresponding net basis of 0.017, and an IRR of 1.61%; the CTD bond of the 5 - year Treasury bond futures was 2500801.IB, with a yield change of +1.25 bps, a corresponding net basis of - 0.031, and an IRR of 1.83%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of +0.95 bps, a corresponding net basis of 0.056, and an IRR of 1.43%; the CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of +0 bps, a corresponding net basis of - 0.065, and an IRR of 1.94% [3] - In terms of the money market, the central bank injected 312.5 billion yuan and withdrew 59.3 billion yuan, resulting in a net injection of 253.2 billion yuan [3] 3.3 Economic Data - High - frequency data shows that the prosperity levels of manufacturing, real estate, imports and exports, and social activities are currently lower than in previous periods, while the infrastructure prosperity level is similar to that of previous periods [11]