金融期货早班车-20260319

1. Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term, and recommend allocating long - term contracts of various varieties on dips [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 T and TL on rallies [2] 3. Summary according to the Directory 3.1 Stock Index Futures - Market Performance: On March 18th, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.32%, the Shenzhen Component Index rose 1.05%, the ChiNext Index rose 2.02%, and the Science and Technology Innovation 50 Index rose 1.36%. Market turnover was 20,610 billion yuan, a decrease of 1,635 billion yuan from the previous day. In terms of industry sectors, communication (+5.23%), computer (+2.46%), and electronics (+2.41%) performed well; petroleum and petrochemicals (-1.47%), real estate (-1.05%), and food and beverages (-0.91%) performed mediocre. From the perspective of market strength, IC>IM>IF>IH. The number of rising/flat/falling stocks was 3,551/106/1,830 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 119, - 99, - 190, and 170 billion yuan respectively, with changes of +446, +178, - 315, and - 309 billion yuan respectively [2] - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 75.39, 65.43, 27.53, and 6.43 points respectively, and the annualized basis yields were - 10.58%, - 9.18%, - 6.72%, and - 2.47% respectively. The three - year historical quantiles were 40%, 26%, 17%, and 30% respectively [2] - Trading Strategy: In the medium - and long - term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - term substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - Market Performance: On March 18th, treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.04%, TF rose 0.08%, T rose 0.12%, and TL rose 0.23% [2] - Cash Bond Situation: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of - 1.75bps, a corresponding net basis of 0.047, and an IRR of 1.24%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of - 2bps, a corresponding net basis of 0.017, and an IRR of 1.37%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of - 1.45bps, a corresponding net basis of 0.022, and an IRR of 1.34%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 1.75bps, a corresponding net basis of 0.258, and an IRR of 0.59% [2] - Funding Situation: In terms of open - market operations, the central bank injected 20.5 billion yuan and withdrew 26.5 billion yuan, resulting in a net withdrawal of 6 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 T and TL on rallies [2] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9]