金融期货早班车-20260320

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - 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 as using stock index as a long - term alternative has certain excess returns [1] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [1] 3. Summary by Directory (1) Stock Index Futures Market Performance - On March 19th, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.39% to 4006.55 points, the Shenzhen Component Index fell 2.02% to 13901.57 points, the ChiNext Index fell 1.11% to 3309.1 points, and the Science and Technology Innovation 50 Index fell 2.44% to 1339.03 points. The market turnover was 2127.3 billion yuan, an increase of 66.2 billion yuan from the previous day [1] - In terms of industry sectors, coal (+1.82%), petroleum and petrochemicals (+1.34%), and public utilities (+0.34%) performed well; non - ferrous metals (-6.1%), steel (-4.08%), and basic chemicals (-3.75%) performed poorly. In terms of market strength, IH>IF>IM>IC, and the number of rising/flat/falling stocks was 504/30/4953 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 34.3 billion, - 31.3 billion, 13.1 billion, and 52.5 billion yuan respectively, with changes of - 46.2 billion, - 21.4 billion, +32 billion, and +35.5 billion yuan respectively [1] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 45.83, 54.89, 24.25, and 8.83 points respectively, and the basis annualized yields were - 6.9%, - 8.3%, - 6.3%, and - 3.61% respectively, with the three - year historical quantiles being 59%, 30%, 18%, and 25% respectively [1] Trading Strategy - 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 [1] (2) Treasury Bond Futures Market Performance - On March 19th, treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.03%, TF rose 0.06%, T rose 0.07%, and TL rose 0.1% [1] Cash Bonds - 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 - 0.25bps, a corresponding net basis of 0.021, and an IRR of 1.34%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0bps, a corresponding net basis of - 0.041, and an IRR of 1.59%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.055, and an IRR of 1.65%; for the 30 - year treasury bond futures, the CTD bond is 220008.IB, with a yield change of +1.25bps, a corresponding net basis of - 0.164, and an IRR of 1.99% [1] Funding Situation - In terms of open - market operations, the central bank injected 1.3 billion yuan and withdrew 2.45 billion yuan, with a net withdrawal of 1.15 billion yuan [1] Trading Strategy - The short - term trend is unclear, so it is recommended to wait and see; in the medium - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [1] (3) Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [7]