金融期货早班车-20260317

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - For stock index futures, in the medium to 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 as there is certain excess return when using stock index as a long - position substitute [3] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium to 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 [3] 3. Summary According to Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On March 16, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.26% to 4084.79 points, the Shenzhen Component Index rose 0.19% to 14307.58 points, the ChiNext Index rose 1.41% to 3357.02 points, and the Science and Technology Innovation 50 Index rose 0.83% to 1384.99 points. Market trading volume was 23,399 billion yuan, a decrease of 774 billion yuan from the previous day. In terms of industry sectors, food and beverage (+1.99%), electronics (+1.77%), and commerce and retail (+0.99%) performed well; steel (-3.16%), non - ferrous metals (-2.67%), and basic chemicals (-2.15%) performed averagely. From the perspective of market strength, IF>IM>IH>IC. The number of rising/flat/falling stocks were 2,843/152/2,490 respectively. In the Shanghai and Shenzhen stock markets, institutional, main force, large - scale investor, and retail investor funds had net inflows of - 83, - 85, - 44, and 212 billion yuan respectively, with changes of +74, +160, - 47, and - 187 billion yuan respectively [2] - Basis: The basis of the next - month contracts of IM, IC, IF, and IH were 90.35, 48.35, 26.96, and 5.29 points respectively. The annualized basis yields were - 11.46%, - 6.15%, - 6.01%, and - 1.86% respectively, and the three - year historical quantiles were 34%, 45%, 20%, and 33% respectively [2] - Trading Strategy: In the medium to 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] 3.2 Treasury Bond Futures - Market Performance: On March 16, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.04%, TF fell 0.08%, T fell 0.11%, and TL fell 0.43% [3] - Cash Bonds: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, the yield changed by +0.5bps, the corresponding net basis is 0.055, and the IRR is 1.24%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, the yield changed by +1.5bps, the corresponding net basis is 0.02, and the IRR is 1.37%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, the yield changed by +1.5bps, the corresponding net basis is 0.032, and the IRR is 1.33%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, the yield changed by +1.75bps, the corresponding net basis is 0.099, and the IRR is 1.14% [3] - Funding Situation: In terms of open - market operations, the central bank投放 137.3 billion yuan and withdrew 48.5 billion yuan, with a net injection of 88.8 billion yuan [3] - Trading Strategy: The short - term trend is unclear, so it is recommended to wait and see; in the medium to 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 [3] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9]