金融期货早班车-20260303

Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - For stock index futures, the report maintains a long - term view of being bullish on the economy. It suggests that using stock indices as a long - term substitute can achieve certain excess returns, and recommends allocating various futures contracts on dips. For short - term trading, the stock index futures' trend is unclear, so it's advisable to wait and see. - For treasury bond futures, the short - term trend is unclear, and it's recommended to wait and see. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it's recommended to conduct hedging operations on T and TL contracts at high prices [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On March 2, A - share major indices showed mixed performance. The Shanghai Composite Index rose 0.47%, the Shenzhen Component Index fell 0.2%, the ChiNext Index fell 0.49%, and the Science and Technology Innovation 50 Index fell 1.56%. The market turnover was 30,458 billion yuan, an increase of 5,403 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+7.95%), coal (+3.77%), and non - ferrous metals (+3.17%) performed well, while media (-3.98%), computer (-2.88%), and social services (-2.68%) performed poorly. From the perspective of market strength, IF>IH>IC>IM. The number of rising, flat, and falling stocks was 1,141, 61, and 4,277 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors' net inflows of funds were - 37.1 billion, - 31.4 billion, 15.4 billion, and 53.1 billion yuan respectively, with changes of - 30.9 billion, - 13.1 billion, +14 billion, and +30 billion yuan respectively [2] - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 96.76, 55.33, 26.07, and 2.67 points respectively, and the annualized basis yields were - 8.39%, - 4.7%, - 4.05%, and - 0.64% respectively, with three - year historical quantiles of 52%, 54%, 27%, and 42% respectively [2] - Trading Strategy: In the medium - to - long - term, maintain a bullish view on the economy. Currently, using stock indices as a long - term substitute can achieve certain excess returns, and it's recommended to allocate various futures contracts on dips [2] 3.2 Treasury Bond Futures - Market Performance: On March 2, treasury bond futures strengthened. Among the active contracts, TS rose 0.02%, TF rose 0.09%, T rose 0.13%, and TL rose 0.55% [2] - Cash Bond and Basis: The current active contract is the 2606 contract. The CTD bond of the 2 - year treasury bond futures is 250024.IB, with a yield change of - 0.75bps, corresponding to a net basis of 0.018 and an IRR of 1.4%; the CTD bond of the 5 - year treasury bond futures is 250014.IB, with a yield change of - 1.75bps, corresponding to a net basis of - 0.004 and an IRR of 1.48%; the CTD bond of the 10 - year treasury bond futures is 250025.IB, with a yield change of - 1.7bps, corresponding to a net basis of - 0.031 and an IRR of 1.57%; the CTD bond of the 30 - year treasury bond futures is 210014.IB, with a yield change of - 2.5bps, corresponding to a net basis of - 0.059 and an IRR of 1.64% [2] - Funding Situation: In terms of open - market operations, the central bank injected 19 billion yuan and withdrew 0 billion yuan, with a net injection of 19 billion yuan [2] - Trading Strategy: The short - term trend is unclear, so it's recommended to wait and see. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it's recommended to conduct hedging operations on T and TL contracts at high prices [2] 3.3 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities exceeds the same period in previous years, while the prosperity of infrastructure and import - export is similar to the same period in previous years [10]