金融期货早班车-20260203

1. Report Industry Investment Rating No relevant content provided. 2. Core Views - For stock index futures, in the medium - long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [3]. - For treasury bond futures, in the medium - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On February 2nd, the four major A - share stock indexes declined. The Shanghai Composite Index fell 2.48% to 4015.75 points, the Shenzhen Component Index fell 2.69% to 13824.35 points, the ChiNext Index fell 2.46% to 3264.11 points, and the Science and Technology Innovation 50 Index fell 3.88% to 1450.9 points. Market trading volume was 26,066 billion yuan, a decrease of 2,558 billion yuan from the previous day [2]. - In terms of industry sectors, food and beverage (+1.11%) and banks (+0.17%) led the gains, while non - ferrous metals (-7.62%), steel (-5.93%), and basic chemicals (-5.69%) led the losses [2]. - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 770, 54, and 4,647 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -384, -155, 222, and 318 billion yuan respectively, with changes of -81, +137, +204, and -260 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 103.63, 133.85, 28.58, and -1.06 points respectively. The annualized basis yields were -11.2%, -14.36%, -5.35%, and 0.31% respectively, and the three - year historical quantiles were 35%, 9%, 22%, and 53% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [6]. (2) Treasury Bond Futures and Spot Market Performance - On February 2nd, treasury bond futures were basically flat. Among the active contracts, TS rose 0%, TF fell 0.02%, T fell 0.03%, and TL rose 0.18% [3]. - For the current active 2603 contract, the CTD bond of the 2 - year treasury bond futures was 250017.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.036, and an IRR of 1.19%; the CTD bond of the 5 - year treasury bond futures was 2500801.IB, with a yield change of +0.75 bps, a corresponding net basis of 0.003, and an IRR of 1.46%; the CTD bond of the 10 - year treasury bond futures was 250018.IB, with a yield change of +1 bps, a corresponding net basis of -0.004, and an IRR of 1.52%; the CTD bond of the 30 - year treasury bond futures was 210005.IB, with a yield change of +0 bps, a corresponding net basis of 0.163, and an IRR of 0.41% [3]. - In terms of the money market, the central bank injected 750 billion yuan and withdrew 1,505 billion yuan, resulting in a net withdrawal of 755 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [8]. (3) Economic Data - High - frequency data shows that the import and export sentiment exceeded expectations, while the sentiment of the real estate and social activities sectors was lower than in previous periods, and the sentiment of the manufacturing and infrastructure sectors was similar to previous periods [11].