金融期货早班车-20260109

Report Summary 1. Market Performance - On January 8th, the four major A-share stock indexes showed slight corrections. The Shanghai Composite Index dropped 0.07% to close at 4082.98 points, the Shenzhen Component Index fell 0.51% to 13959.48 points, and the ChiNext Index declined 0.82% to 3302.31 points. The STAR 50 Index rose 0.82% to 1455.17 points. The market turnover was 28,263 billion yuan, a decrease of 553 billion yuan from the previous day [2]. - In terms of industry sectors, National Defense and Military Industry (+4.18%), Media (+2%), and Building Decoration (+1.76%) led the gains, while Non-bank Finance (-2.81%), Non-ferrous Metals (-1.56%), and Communication (-0.95%) led the losses. In terms of market strength, IM > IC > IH > IF, with the number of rising, flat, and falling stocks being 3,730, 144, and 1,588 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large, and retail investors had net capital inflows of -145, -229, 22, and 352 billion yuan respectively, with changes of +69, +29, -49, and -48 billion yuan respectively [2]. 2. Stock Index Futures - The basis of the next-month contracts of IM, IC, IF, and IH were 91.19, 45.34, 11.45, and 1.26 points respectively, with annualized basis yields of -10.21%, -5.13%, -2.16%, and -0.36%, and three-year historical quantiles of 41%, 51%, 43%, and 44% respectively [3]. - The trading strategy is to maintain a long - term view of being bullish on the economy. Currently, using stock index futures as a long - position alternative has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. 3. Treasury Bond Futures - On January 8th, interest rate bonds rebounded. Among the active contracts, TS rose 0.02%, TF rose 0.09%, T rose 0.15%, and TL rose 0.37% [3]. - For the current active 2603 contract: the CTD bond of the 2 - year Treasury bond futures is 250017.IB, with a yield change of -1bps, a corresponding net basis of 0.019, and an IRR of 1.37%; the CTD bond of the 5 - year Treasury bond futures is 2500801.IB, with a yield change of -3bps, a corresponding net basis of 0.015, and an IRR of 1.39%; the CTD bond of the 10 - year Treasury bond futures is 250018.IB, with a yield change of -1.65bps, a corresponding net basis of -0.002, and an IRR of 1.48%; the CTD bond of the 30 - year Treasury bond futures is 210005.IB, with a yield change of -2bps, a corresponding net basis of -0.04, and an IRR of 1.65% [4]. - In terms of the money supply, the central bank injected 99 billion yuan and had no money withdrawal, resulting in a net injection of 99 billion yuan [4]. - The medium - to long - term trading strategy suggests hedging T and TL contracts on rallies, considering the upward risk appetite and the expectation of economic recovery [4]. 4. Economic Data - High - frequency data shows that the prosperity levels of manufacturing, real estate, import - export, and social activities are currently lower than in previous periods, while the prosperity level of infrastructure is similar to that of previous periods [11].