金融期货早班车-20260114

Report Overview - The report is a financial futures early morning newsletter released by China Merchants Futures Co., Ltd. on January 14, 2026, covering stock index futures and treasury bond futures [1][2][3] 1. Stock Index Futures Market Performance - On January 13, the four major A - share stock indices pulled back. The Shanghai Composite Index fell 0.64% to 4138.76 points, the Shenzhen Component Index dropped 1.37% to 14169.4 points, the ChiNext Index declined 1.96% to 3321.89 points, and the Science and Technology Innovation 50 Index decreased 2.8% to 1469.57 points. Market turnover was 36,988 billion yuan, an increase of 542 billion yuan from the previous day [2] - In terms of industry sectors, petroleum and petrochemicals (+1.62%), pharmaceutical biology (+1.21%), and non - ferrous metals (+0.91%) led the gains; national defense and military industry (-5.5%), electronics (-3.3%), and communications (-2.88%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1,619/119/3,726 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -718, -568, 256, and 1030 billion yuan respectively, with changes of -772, -302, +341, and +733 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of IM, IC, IF, and IH next - month contracts were 2.73, -7.32, -1.97, and 0.53 points respectively, and the basis annualized yields were -0.33%, 0.9%, 0.41%, and -0.17% respectively. The three - year historical quantiles were 93%, 92%, 67%, and 46% respectively [2] Trading Strategy - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [2] 2. Treasury Bond Futures Market Performance - On January 13, interest - rate bonds strengthened slightly. Among the active contracts, TS remained flat, TF rose 0.04%, T rose 0.06%, and TL rose 0.28% [2] Cash Bond Situation - The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.033, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.014, and an IRR of 1.63%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of -0.1 bps, a corresponding net basis of 0.047, and an IRR of 1.28%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -0.75 bps, a corresponding net basis of 0.091, and an IRR of 1.14% [3] Fundamentals - In open - market operations, the central bank injected 3,586 billion yuan and withdrew 162 billion yuan, with a net injection of 3,424 billion yuan [3] Trading Strategy - In the medium - to - long term, with the upward shift of risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Economic Data - High - frequency data shows that the prosperity of manufacturing, imports and exports, and social activities is temporarily lower than in previous periods, while the prosperity of infrastructure and real estate is similar to previous periods [11]