金融期货早班车-20260106

Report Summary 1. Market Performance - On January 5th, A-share's four major stock indices all rose, with the Shanghai Composite Index up 1.38% to close at 4023.42 points, the Shenzhen Component Index up 2.24% to 13828.63 points, the ChiNext Index up 2.85% to 3294.55 points, and the STAR 50 Index up 4.41% to 1403.41 points. Market turnover was 2567.2 billion yuan, an increase of 501.5 billion yuan from the previous day [2]. - In terms of industry sectors, Media (+4.12%), Medicine and Biology (+3.85%), and Electronics (+3.69%) led the gains, while Petroleum and Petrochemicals (-1.29%), Banks (-0.34%), and Transportation (-0.3%) led the losses [2]. - In terms of market strength, IC > IH > IM > IF. The number of rising, flat, and falling stocks was 4180, 116, and 1162 respectively. Institutional, main, large - investor, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were 9.1 billion, - 15.4 billion, - 11.9 billion, and 18.2 billion yuan respectively, with changes of +15.5 billion, +5.3 billion, - 12.3 billion, and - 8.5 billion yuan [2]. 2. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 56.08, 26.4, 15.15, and 0.15 points respectively, with annualized basis yields of - 5.83%, - 2.78%, - 2.59%, and - 0.04% respectively, and three - year historical quantiles of 62%, 70%, 40%, and 48% 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 - dated contracts of each variety on dips [3]. 3. Treasury Bond Futures - On January 5th, interest - rate bonds remained flat. Among the active contracts, TS fell 0.03%, TF fell 0.02%, T rose 0.03%, and TL fell 0.05% [3]. - For the current active contract 2603: The CTD bond of the 2 - year Treasury bond futures was 250017.IB, with a yield change of +1.25bps, a corresponding net basis of 0.002, and an IRR of 1.42%; the CTD bond of the 5 - year Treasury bond futures was 2500801.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.051, and an IRR of 1.69%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of +0.9bps, a corresponding net basis of 0.012, and an IRR of 1.37%; the CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of +2.75bps, a corresponding net basis of - 0.091, and an IRR of 1.81% [3]. - In the open - market operations, the central bank injected 1.35 billion yuan and回笼 48.23 billion yuan, resulting in a net回笼 of 46.88 billion yuan [3]. - Trading strategy: In the medium - to - long term, with the upward shift in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [3]. 4. Economic Data - High - frequency data shows that the manufacturing, real estate, import - export, and social activity sectors' prosperity is currently lower than the previous period, while the infrastructure sector's prosperity is similar to the previous period [10].