金融期货早班车-20260324

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - 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 using stock index as a long - term substitute has certain excess returns [2] - 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 upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3. Summaries According to Relevant Catalogs 3.1 Stock Index Futures - Market Performance: On March 23, A - share four major stock indexes continued to correct. The Shanghai Composite Index fell 3.63% to 3813.28 points, the Shenzhen Component Index fell 3.76% to 13345.51 points, the ChiNext Index fell 3.49% to 3235.22 points, and the Science and Technology Innovation 50 Index fell 4.31% to 1261.44 points. Market turnover was 24,481 billion yuan, an increase of 1,453 billion yuan from the previous day. Coal (+0.2%) and petroleum and petrochemicals (+0.06%) performed well, while social services (-6.41%), beauty care (-6.02%), and agriculture, forestry, animal husbandry and fishery (-5.56%) performed poorly. From the perspective of market strength, IH>IF>IC>IM. The number of rising/flat/falling stocks was 305/14/5,170 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - investor, and retail investors' net inflows of funds throughout the day were - 402, - 393, 192, and 603 billion yuan respectively, with changes of - 284, - 111, +219, +177 billion yuan respectively [2] - Basis and Annualized Yield: The basis of IM, IC, IF, and IH next - month contracts was 111.11, 103.15, 32.8, and 0.73 points respectively, and the annualized basis yields were - 10.41%, - 9.63%, - 5.16%, and - 0.18% respectively. Their three - year historical quantiles were 42%, 24%, 24%, and 49% respectively [2] - Transaction 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 [2] 3.2 Treasury Bond Futures - Market Performance: On March 23, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.02%, TF fell 0.05%, T fell 0.09%, and TL rose 0.07% [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 +0.8bps, a corresponding net basis of 0.041, and an IRR of 1.25%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0.75bps, a corresponding net basis of 0.045, and an IRR of 1.24%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of +1bps, a corresponding net basis of 0.039, and an IRR of 1.26%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.35, and an IRR of 0.21% [2] - Funding Situation: In terms of open - market operations, the central bank injected 8 billion yuan and withdrew 137.3 billion yuan, with a net withdrawal of 129.3 billion yuan [2] - Transaction Strategy: The short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the upward 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 the prosperity of various sectors has declined [8]