金融期货周报-20260109

1. Report Information - Report Title: Financial Futures Weekly Report [1] - Date: January 9, 2026 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] 2. Report Industry Investment Rating No relevant information provided. 3. Core Viewpoints - For the stock index, the A - share market showed a "good start" at the beginning of the year. With the strengthening of the domestic economic improvement expectation, the slow - bull pattern of A - shares is gradually stabilizing. Long - term bullish thinking should be maintained, and the strategy is to buy on dips. IF and IC may perform relatively better [7][10]. - For treasury bonds, in January, bond yields may first rise and then fall. In the short term, the rebound sustainability of the bond market may be weak, and the release of fundamental data next week may provide new information and guidance [78][81][82]. - For shipping indices, the spot high may be approaching. Considering the increasing expectation of Red Sea route resumption after the Spring Festival, attention should be paid to the short - selling opportunity of the April contract in the off - season and the positive spread arbitrage opportunity between the 02 and 04 contracts [99]. 4. Summary by Directory Stock Index Market Review - The A - share market had a "good start" at the beginning of the year, with the Shanghai Composite Index breaking through 4100 points and the total market turnover exceeding 3 trillion yuan. From January 5th to 9th, 2026, the A - share market rose with increased volume. Small and medium - cap stocks performed more strongly, and the futures market was stronger than the spot market [7]. - The US economic data shows resilience, and the Fed official Milan expects about 150 basis points of interest rate cuts in 2026. Domestically, CPI and PPI data are positive, and the policies to expand domestic demand and promote consumption are taking effect. The performance of high - growth sectors such as military industry and high - end manufacturing is strong, while some traditional industries face pressure [10]. 成交持仓分析 - The trading volume of stock index futures increased. The average daily trading volumes of IF, IH, IC, and IM increased by 2.82, 1.02, 3.90, and 2.77 million lots respectively compared with last week [11]. - The open interest of stock index futures generally increased. The average daily open interests of IF, IH, IC, and IM increased by 1.05, 0.49, 2.33, and 0.99 million lots respectively compared with last week [11]. 基差、跨期价差及跨品种价差分析 - The basis narrowed. The annualized basis rates of all major contracts increased compared with the previous week [16]. - The spreads between the next - month and current - month contracts of IF, IH, IC, and IM were negative, and the spreads between the current - quarter and current - month contracts generally narrowed [24]. - The CSI 300 was stronger than the SSE 50, and small and medium - cap stocks performed better [25]. 行业板块概况 - In the CSI 300, the materials, medicine, and information sectors led the gains, while only the communication sector declined. In the CSI 500, the communication, information, and industrial sectors led the gains, and the financial sector had the smallest increase [27]. - At the first - level industry level, the comprehensive, national defense and military industry, and media sectors led the gains, and only the banking sector declined [32]. 估值比较 - As of January 9th, the rolling price - to - earnings ratios of the CSI 300, SSE 50, CSI 500, and CSI 1000 were at relatively high historical levels [34]. Treasury Bonds This Week's Market Review - Treasury Bond Futures Market: Due to the implementation of the new public fund fee regulations and concerns about the supply peak of interest - rate bonds, treasury bond futures fell from Monday to Wednesday and rebounded on Thursday. The long - term futures performed stronger than the spot in the long - end, while the short - end was the opposite. Currently, there is no positive arbitrage space for all major contracts, and attention should be paid to shorting the 30 - year basis. It is not recommended to participate in the inter - period strategy, and the flattening strategy is recommended [40][41][44]. - Bond Spot Market: The yields of most treasury bond spots increased this week. The A - share strength and supply concerns suppressed the bond market. The US bond yields first decreased and then increased, with little change overall [64]. - Funding Situation: After the New Year, the central bank withdrew funds, and the funding situation remained stable. The funding rates declined across the board [70][73]. - Interest Rate Derivatives: The yields of most interest rate swap varieties declined this week, and the liquidity expectation was stable [76]. Market Analysis - Recent Market Logic: In December, the bond market was weakly volatile. In January, as the negative factors gradually materialized, the bond market may first face pressure and then have a chance of low - level recovery [78]. - This Week's Fundamental Situation: The December inflation data was better than expected. CPI and PPI showed a positive trend, indicating a mild recovery of inflation [79]. - Next Week's Bond Market Outlook: In the short term, the bond market lacks clear direction, and the rebound sustainability may be weak. The release of fundamental data next week may provide new guidance [81][82]. Next Week's Open - Market Maturities and Important Economic Calendar - There are a large amount of reverse repurchase and other open - market operations maturing next week, and important economic data such as December social financing and import - export data will be released [84]. Shipping Index Market Review - Shipping companies lowered their quotes for late January, causing the EC futures to rise first and then fall significantly in the second half of the week [85]. 集运市场情况 - Spot Market: The price increase in December was well - implemented, and the quotes remained stable in the first half of January. However, shipping companies' price cuts for late January may indicate an inflection point in the spot market [90]. - Supply - Demand Fundamentals: In terms of supply, the European container capacity is still higher than the same period in previous years. With the potential delivery of new ships, the capacity may continue to grow. In the Red Sea area, the resumption of routes by major shipping companies may lead to short - term port congestion and long - term over - supply. In terms of demand, the European demand is expected to improve slowly, and the boost to shipping prices may be limited [95][96]. Market Outlook - The spot high may be approaching. Attention should be paid to the short - selling opportunity of the April contract in the off - season and the positive spread arbitrage opportunity between the 02 and 04 contracts [99].