昨日，资金利率涨跌互现。上海银行间同业拆放利率(Shibor)隔夜下行0.4个基点报1.316%，7天Shibor上 行3个基点报1.447%。截至收盘，DR007加权平均利率上升至1.4703%。上交所1天国债逆回购利率 (GC001)上升至1.438%。 华西证券研报称，考虑到三季度基本面压力显现，央行宽货币态度延续，央行或同步加大短期逆回购资 金投放，缓解资金压力，预计跨月期间隔夜、7天资金成本高点或在1.60%附近。 (责任编辑：谭梦桐) 人民银行11月25日公告称，以固定利率、数量招标方式开展了3021亿元7天期逆回购操作，操作利率为 1.4%。此外今日央行还将开展10000亿元MLF操作。因今日有4075亿元7天期逆回购到期，9000亿元 MLF到期，实现净回笼54亿元。 ...

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-11-25 股市跌速放缓，债市集体收涨 股指期货：沪指跌速放缓，对冲⼒量⽌盈 股指期权：情绪降波回暖，关注下⽅⽀撑 国债期货：国债期货集体收涨 股指期货方面，沪指跌速放缓，对冲力量止盈。周一沪指高开震荡， 市场整体止跌，对冲情绪有所缓解，但向上仍等待进一步催化。上周五美 股出现反弹，科技股跌速放缓，连带国内映射，流动性踩踏压力缓和，进 入估值修正的阴跌状态，投资者缓慢调仓。国内出现超跌反弹，高beta领 涨，如军工、传媒、计算机行业和港股恒科，对应防守的石化、煤炭、银 行领跌，且期货端IM环比减仓超2万手，或是空单止盈主导，推动基差贴 水收敛。后续二次上攻仍等待事件或主线信号，一方面观察中央经济工作 会议之前的政策博弈信号，另一方面观察科技或反内卷形成主线的持续 性。战术上，短线继续哑铃配置，观察布局切换窗口。 股指期权方面，情绪降波回暖，关注下方支撑。昨日标的市场开盘延 续上周防御情绪，但午盘后小微盘发力回稳，中证1000收涨1.26%，上周 我们提到期权端并未过度悲观的观点兑现。流动性方面，期权市场成交额 83.4 ...

证券研究报告|宏观研究报告 [Table_Date] 2025 年 11 月 23 日 [Table_Title] 等待风口 [Table_Summary] 11 月中上旬，四季度第一批基本面落地，尽管数据难言乐观，但 央行对进一步实施"宽货币"的态度仍偏谨慎。"弱现实"与"货币慢 发力"之间，市场选择定价后者，债市博弈降息的热情相应下降，10 年国债收益率暂未脱离 1.80%的中枢水平。 ►为什么涨不动 缺乏增量资金以及成交结构改变或是两个重要因素。增量资金维 度，三季度以来的存款脱媒过程中，资金主要流向了理财与保险。然 而，这两类机构并没有显著增加债券的配置。理财并非利率债的常规 买盘，且其债券持仓比例也在逐季压缩，取而代之的是存款类资产的 增加；而保险三季度债券投资占比由 49.3%下滑至 48.5%，12 个季度 以来首次压降债券仓位，而股票持仓占比相应提升，这意味着保险对 于债券配置的刚需也不强。 成交结构方面，10 年国债、10 年国开债活跃券的单日成交笔数均 较 10 月中下旬成交高点几乎砍半。此外，作为债市行情重要的发动 机，公募基金、资管产品当前的交易重心逐渐由利率板块迁移至信用 板块，银行 ...

研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 行业 国债日报 日期 2025 年 11 月 20 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | | 表1：国债期货11月19日交易数据汇总 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2512 | 116.570 | 116.430 | 116.090 | 116.110 | -0.480 | -0.4 ...

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-11-20 股指期货：防御配置应对。 股指期权：备兑防御为主。 国债期货：市场分歧或仍较⼤。 股市防御配置，债市仍存分歧 股指期货方面，防御配置应对。周三权益市场延续弱势为主的状态， 全A指数虽仅跌0.3%，但下跌个股超4000家，盘面唯有涨价链以及银行抗 跌，地产及综合金融弱势。近期资金涌入涨价链的趋势相对明确，煤炭、 钢铁、油气、化工、建材、有色板块的成交额占比来到30%附近，显示资 金由科技流入周期，但需要注意的是，近日涨价链成交额占比出现上行放 缓的迹象，在股价中枢抬升之后，风格层面面临再平衡，故目前处在强势 板块是否轮动的观察期，而主线的快速切换反而诱发了风险偏好的下移， 故缺少催化因素的前提下，短线维持谨慎配置思路。 股指期权方面，备兑防御为主。昨日权益指数震荡分化，沪指翻红收 涨0.18%。期权方面，各个品种成交额小幅提升1.08%，流动性连续4个交 易日上行，但成交额涨幅已有所放缓；叠加情绪指标持仓量PCR回暖，以 及隐含波动率平均回落1.14%，表征市场情绪企稳。策略方面，市场风格 轮转，暂未形成资金 ...

行业 国债日报 日期 2025 年 11 月 19 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | | 表1：国债期货11月18日交易数据汇总 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2512 | 116.460 | 116.560 | 116.530 | 116.570 | 0.070 | 0.06 ...

Core Viewpoint - The bond market is experiencing narrow fluctuations in interest rates, with increasing speculation about potential interest rate cuts and reserve requirement ratio reductions, yet the central bank's monetary policy remains steadfast without immediate changes [1][2]. Economic Data and Market Response - In early November, the first batch of fourth-quarter fundamental data was released, showing inflation exceeding expectations while other indicators, such as credit, fixed asset investment, and real estate sales, fell short [2]. - The central bank has communicated a cautious "loose monetary" signal, indicating that future funding conditions may be more optimistic than the market anticipates, despite downplaying the importance of total financial volume [2][3]. Interest Rate Trends - As of November 17, the interbank bond market showed mixed yield movements, with the 3-month government bond yield rising by 3 basis points to 1.38%, the 2-year yield stable around 1.43%, and the 10-year yield at approximately 1.81% [2]. - Analysts suggest that the bond market may need to adapt to a slower monetary policy response, with expectations for potential interest rate cuts in the future [3]. Future Monetary Policy Expectations - There is optimism among industry insiders regarding the possibility of interest rate cuts, particularly if upcoming economic indicators, such as the November PMI data, do not meet expectations [3][4]. - The central bank's emphasis on "cross-cycle adjustment" and the potential for further easing of monetary policy are seen as supportive of domestic economic recovery [4]. Investment Strategies - Short-term strategies in the bond market are likely to focus on yield spreads and the relative value of different bond types, with a preference for short-term securities due to their higher certainty compared to long-term bonds [5]. - Analysts recommend a "barbell strategy" for bond market positioning, balancing short-term safety with long-term trading opportunities to manage potential market volatility [5]. Year-End Market Dynamics - There is an expectation of profit-taking pressure as the year-end approaches, with institutions advised to maintain positions while being vigilant for signs of market adjustments [6]. - The bond market is characterized by low interest rates, low spreads, and low volatility, which may hinder active trading strategies [6].

为什么宏观里的"钱"越来越宽，微观里的"心"却越来越重？目光投向这一"以债（券）补贷（款）"阶段 的中国货币新结构。 当上证指数于11月13日触及10年来新高，A股总市值再创纪录的同时，中国10月的金融数据却并不"亢 奋"：人民币新增贷款大幅低于预期，信贷增长处于历史低位。社会融资规模和M2（广义货币）虽保持 在"合理偏宽"区间，但拆开结构看，越来越多的增量来自政府债与其他债券工具。 再回头解读中国人民银行（下称"央行"）近日发布的《2025年第三季度中国货币政策执行报告》，特别 是对"直接融资"表述的反复强化，似乎能看到一条清晰的主线：我们正从"信贷驱动的宽货币"，迈 向"以债补贷、股债并举"的新型货币信用结构。 当直接融资占比提升、资本市场升温，实体经济的体感会被这种新结构捂"热"或有效缓解吗？ 01 数据先说话："以债补贷"托起社融 先看总量。10月末，M2余额335.13万亿元，同比增长8.2%；社会融资规模存量为437.72万亿元，同比增 长8.5%。放在名义经济增速的坐标系里，这组数字可以被视为"合理偏宽"。 一方面，现实层面，信贷增速问题已无法回避。如地方政府专项再融资债券替代平台贷款、房地产相 ...

再看结构。落到"信用"这条线，10月末，本外币贷款余额274.54万亿元，同比仅6.3%，其中人民币贷款余额270.61万亿元，同比6.5%，已经处在有统计以来 的低位区间；前10个月人民币贷款增加14.97万亿元，比上年同期少增1.16万亿元；10月单月新增人民币贷款2200 亿元，环比大幅回落，也明显低于市场此 前对"信用修复"的期待。 拆解社会融资规模的结构来看，10月末，对实体经济发放的人民币贷款余额占社会融资规模存量的61%，同比下降1.3个百分点；同期政府债券余额同比增 长19.2%，余额占比升至21.3%，同比上升2个百分点；前10个月，社会融资规模增量合计30.9万亿元，其中政府债券净融资11.95万亿元，比上年同期多增 3.72万亿元。 欧阳晓红/文 为什么宏观里的"钱"越来越宽，微观里的"心"却越来越重？目光投向这一"以债（券）补贷（款）"阶段的中国货币新结构。 当上证指数于11月13日触及10年来新高，A股总市值再创纪录的同时，中国10月的金融数据却并不"亢奋"：人民币新增贷款大幅低于预期，信贷增长处于历 史低位。社会融资规模和M2（广义货币）虽保持在"合理偏宽"区间，但拆开结构看，越来 ...

Report Industry Investment Rating - Not provided in the document Core Viewpoints of the Report - The marginal improvement in prices and the expectation of a loose macro - policy environment may jointly drive the A - share market into a stage of "shock upward, structure - dominated". The moderate rise in CPI and the bottom - rebound of PPI mean that the economic downward pressure has eased, but the demand recovery has not formed a strong trend. In the short term, the market is more likely to present a market feature dominated by liquidity and structured opportunities [9]. - The cyclical sector is expected to remain strong, but its sustainability depends on the resonance of external demand and the real - estate chain. The technology - growth sector will still be the medium - term main line, and the service consumption will remain relatively stable, while the real - estate chain still needs further policy implementation [9]. - The current market does not need to be pessimistic. It is recommended to maintain a relatively positive position structure, but not blindly chase the index. The optimal strategy is to conduct structured allocation around the dual main lines of "anti - involution + AI application" [9]. Summary by Relevant Catalogs Market Review - Most of the major market indices fell last week, while the Shanghai 50 remained stable. Among the major industries, the healthcare and daily - consumption indices performed relatively well, with weekly changes of 3.27% and 2.72% respectively; the information - technology and industrial indices performed weakly, with weekly changes of - 4.27% and - 1.28% respectively [10][11][16]. - Among the 30 Shenwan primary industries, 19 industries rose. The industries with larger increases were textile and apparel, commercial retail, and beauty care, with increases of 4.41%, 4.06%, and 3.75% respectively; the industries with larger declines were communication, electronics, and computer, with declines of 4.77%, 4.77%, and 3.03% respectively [10][19]. - The average daily trading volume of Wind All - A last week was 20438.27 billion yuan (the previous value was 20123.50 billion yuan), at a relatively high historical level (89.50% of the three - year historical quantile) [22]. - As of November 14, 2025, the valuation (PE_TTM) of Wind All - A was 22.20, unchanged from last week, at the 90.70% quantile of the past five - year history. Among the 30 Shenwan primary industries, 19 industries' valuations (PE_TTM) recovered [27]. Market Observation - The inflation data in October showed an overall upward trend, confirming the continuation of the weak inflation pattern macroscopically. The CPI rose moderately, and the PPI bottomed out and rebounded. The improvement in industrial product prices may boost the overall market risk appetite [6]. - After the release of inflation data, most of the A - share consumer and cyclical industries rose last week, while the technology sector corrected significantly. The industry adjustment logic was consistent with the inflation data [6]. Investment Suggestions - The cyclical sector may maintain a certain strength, but its sustainability depends on external demand and the real - estate chain. The technology - growth sector will still be the medium - term main line, and service consumption will remain relatively stable, while the real - estate chain still needs further policy implementation [9]. - The risk preferences of different capital channels and sectors are differentiated, reflecting the increasing market uncertainty. The market may maintain a shrinking and volatile market, with sector rotation [9]. - It is recommended to maintain a relatively positive position structure, but not blindly chase the index. The optimal strategy is to conduct structured allocation around the dual main lines of "anti - involution + AI application" [9]. Economic Calendar - This week, domestic economic data to be concerned about include the October bank settlement and sales of foreign exchange data and the China Loan Prime Rate (LPR) for 1 - year and 5 - year terms. Overseas economic data include the November New York Fed Manufacturing Index, initial and continued jobless claims, GDP, price data, September and October unemployment rates, and the change in non - farm payrolls in October [30].