金融期货早班车-20260310

Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term. It is recommended to allocate long - term contracts of various varieties on dips as there is certain excess return in using stock index as a long - position substitute [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see. In the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [2] 3. Summary by Related Catalogs 3.1 Stock Index Futures - Market Performance: On March 9, A - share four major stock indexes adjusted. The Shanghai Composite Index fell 0.67%, the Shenzhen Component Index fell 0.74%, the ChiNext Index fell 0.64%, and the Science and Technology Innovation 50 Index fell 1.69%. Market trading volume was 26,706 billion yuan, an increase of 4,513 billion yuan from the previous day. Coal, comprehensive, and computer sectors performed well, while communication, transportation, and beauty care sectors performed poorly. From the perspective of market strength, IM>IF>IC>IH. The number of rising/flat/falling stocks was 1,422/102/3,960. Net inflows of institutional, main force, large - scale, and retail investors' funds in the Shanghai and Shenzhen stock markets were - 112, - 253, 55, and 310 billion yuan respectively, with changes of - 201, - 119, +214, and +105 billion yuan respectively [2] - Basis and Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts were 73.67, 59.48, 35.26, and 4.99 points respectively, and the annualized basis yields were - 7.74%, - 6.19%, - 6.58%, and - 1.45% respectively. The three - year historical quantiles were 54%, 45%, 17%, and 35% respectively [2] - Trading Strategy: In the medium - and long - term, maintain the view of going long on the economy. It is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - Market Performance: On March 9, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.04%, TF fell 0.14%, T fell 0.21%, and TL fell 1.11% [2] - Cash Bonds: For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of +1.75bps, a corresponding net basis of 0.019, and an IRR of 1.38%; for the 5 - year treasury bond futures, the CTD bond was 250014.IB, with a yield change of +2.8bps, a corresponding net basis of 0.012, and an IRR of 1.4%; for the 10 - year treasury bond futures, the CTD bond was 250025.IB, with a yield change of +2.65bps, a corresponding net basis of - 0.004, and an IRR of 1.46%; for the 30 - year treasury bond futures, the CTD bond was 210014.IB, with a yield change of +6bps, a corresponding net basis of 0.08, and an IRR of 1.22% [2] - Funding Situation: In open - market operations, the central bank injected 485 billion yuan and withdrew 1,350 billion yuan, resulting in a net withdrawal of 865 billion yuan [2] - Trading Strategy: The short - term trend is unclear, so it is recommended to wait and see. In the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [2] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [8]