金融期货早班车-20260107

1. Industry Investment Rating - No information provided in the report about the industry investment rating 2. Core Viewpoints - For stock index futures, maintain a long - term view of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips as using stock indices as a long - position substitute currently has certain excess returns [3] - For treasury bond futures, in the medium - to - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs 3.1 Market Performance - On January 6th, A - share four major stock indices all rose. The Shanghai Composite Index rose 1.5% to close at 4083.67 points, the Shenzhen Component Index rose 1.4% to close at 14022.55 points, the ChiNext Index rose 0.75% to close at 3319.29 points, and the STAR 50 Index rose 1.84% to close at 1429.3 points. Market trading volume was 28,323 billion yuan, an increase of 2,650 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+4.26%), non - bank finance (+3.73%), and basic chemicals (+3.12%) led the gains; communication (-0.77%), beauty care (+0.2%), and banks (+0.48%) led the losses [2] - In terms of market strength, IC > IH > IF > IM. The number of rising/flat/falling stocks was 4,101/140/1,218 respectively. In Shanghai and Shenzhen stock markets, institutional, main, large - scale investor, and retail investor funds had net inflows of 34, - 210, - 50, and 227 billion yuan respectively, with changes of - 57, - 57, +69, and +44 billion yuan [2] 3.2 Stock Index Futures - Basis and Basis Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts was 51.3, 8.54, 5.89, and - 0.44 points respectively, and the basis annualized yields were - 5.44%, - 0.91%, - 1.03%, and 0.12% respectively. The three - year historical quantiles were 65%, 83%, 55%, and 50% respectively [3] - Trading Strategy: In the medium - to - long term, maintain a long - position view on the economy. It is recommended to allocate long - term contracts of each variety on dips [3] 3.3 Treasury Bond Futures - Market Performance: On January 6th, interest - rate bonds weakened. Among the active contracts, TS fell 0.05%, TF fell 0.11%, T fell 0.13%, and TL fell 0.31% [3] - Cash Bonds: The current active contract is the 2603 contract. For the 2 - year treasury bond futures CTD bond 250017.IB, the yield changed +1.75bps, corresponding to a net basis of 0.02 and an IRR of 1.33%; for the 5 - year treasury bond futures CTD bond 2500801.IB, the yield changed +3bps, corresponding to a net basis of - 0.047 and an IRR of 1.68%; for the 10 - year treasury bond futures CTD bond 250018.IB, the yield changed +2.6bps, corresponding to a net basis of 0.01 and an IRR of 1.38%; for the 30 - year treasury bond futures CTD bond 210005.IB, the yield changed +1.75bps, corresponding to a net basis of - 0.196 and an IRR of 2.25% [3] - Funding Situation: In open - market operations, the central bank injected 162 billion yuan and withdrew 3,125 billion yuan, resulting in a net withdrawal of 2,963 billion yuan [3] - Trading Strategy: In the medium - to - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts on rallies [3] 3.4 Stock Index Futures Spot Market Performance - Details of the rise and fall, current price, trading volume, trading value, open interest, daily position change, settlement price, basis, and basis annualized yield of various stock index futures contracts (such as IC2601, IF2601, etc.) and corresponding spot indices (such as CSI 500, SSE Composite Index) are provided in Table 1 [6] 3.5 Treasury Bond Futures Spot Market Performance - Details of the rise and fall, current price, trading volume, trading value, open interest, daily position change, settlement price, net basis, CTD bond implied interest, and cash bond yield of various treasury bond futures contracts (such as TS2603, TF2603, etc.) and corresponding cash bonds (such as 22 - attached coupon treasury bond 22, 25 - attached coupon treasury bond 03) are provided in Table 2 [7] 3.6 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, import and export, and social activities is currently lower than in previous periods, while the prosperity of infrastructure is similar to that in previous periods [11]