股指多头替代

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金融期货早班车-20251010
Zhao Shang Qi Huo· 2025-10-10 01:42
金融研究 2025年10月10日 星期五 金融期货早班车 招商期货有限公司 股指期货 市场表现:10 月 9 日,A 股四大股指全线上行,其中上证指数上涨 1.32%,报收 3933.97 点;深成 指上涨 1.47%,报收 13725.56 点;创业板指上涨 0.73%,报收 3261.82 点;科创 50 指数上涨 2.93%, 报收 1539.08 点。市场成交 26,718 亿元,较前日增加 4,746 亿元。行业板块方面,有色金属(+7.6%), 钢铁(+3.38%),煤炭(+3%)涨幅居前;传媒(-1.43%),房地产(-1.39%),社会服务(-1.03%)跌幅居前。 从市场强弱看,IC>IF>IH>IM,个股涨/平/跌数分别为 3,109/135/2,184。沪深两市,机构、主力、大 户、散户全天资金分别净流入-136、-120、96、159 亿元,分别变动+70、+3、+9、-81 亿元。 基差:IM、IC、IF、IH 次月合约基差分别为 121.25、90.92、12.68 与-2.4 点,基差年化收益率分别 为-12.39%、-9.41%、-2.1%与 0.62%,三年期历史分位数分别为 ...
金融期货早班车-20250930
Zhao Shang Qi Huo· 2025-09-30 02:19
金融研究 2025年9月30日 星期二 金融期货早班车 招商期货有限公司 市场表现:9 月 29 日,A 股四大股指全线上行,其中上证指数上涨 0.9%,报收 3862.53 点;深成指 上涨 2.05%,报收 13479.43 点;创业板指上涨 2.74%,报收 3238.01 点;科创 50 指数上涨 1.35%, 报收 1470.41 点。市场成交 21,781 亿元,较前日增加 120 亿元。行业板块方面,非银金融(+3.84%), 有色金属(+3.78%),电力设备(+3.07%)涨幅居前;煤炭(-0.84%),银行(-0.46%),社会服务(-0.24%) 跌幅居前。从市场强弱看,IF>IC>IM>IH,个股涨/平/跌数分别为 3,574/201/1,654。沪深两市,机构、 主力、大户、散户全天资金分别净流入 79、-113、-113、147 亿元,分别变动+507、+161、-254、 股指期货 -414 亿元。 基差:IM、IC、IF、IH 次月合约基差分别为 94.03、73.16、10.45 与-3.16 点,基差年化收益率分别 为-9.22%、-7.32%、-1.66%与 0.78%, ...
金融期货早班车-20250926
Zhao Shang Qi Huo· 2025-09-26 01:00
金融研究 2025年9月26日 星期五 金融期货早班车 金融研究 (一) 股指期现货市场表现 表 1:股指期现货市场表现 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 成交量 | 成交额 | 持仓量 | 日增仓量 | 结算价 | 基差 | 基差年化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | | | | | 收益率% | | IC2510 | 中证 2510 | 0.45 | 7293.2 | 32.8 | 34250 | 5000875 | 62996 | -1401 | 7311 | 48.1 | -14.9 | | IC2511 | 中证 2511 | 0.39 | 7218.4 | 28.0 | 4320 | 624563 | 6140 | -470 | 7240.2 | 122.9 | -11.6 | | IC2512 | 中证 2512 | 0.43 | 7166.6 | 30.8 | 76629 | 10996177 | 132726 | -36 ...
金融期货早班车-20250925
Zhao Shang Qi Huo· 2025-09-25 00:56
金融研究 2025年9月25日 星期四 (一) 股指期现货市场表现 表 1:股指期现货市场表现 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 成交量 | 成交额 | 持仓量 | 日增仓量 | 结算价 | 基差 | 基差年化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | | | | | 收益率% | | IC2510 | 中证 2510 | 3.51 | 7280.6 | 246.6 | 47587 | 6834153 | 64397 | -6488 | 7260.4 | 43.1 | -12.3 | | IC2511 | 中证 2511 | 3.47 | 7213.8 | 241.8 | 6869 | 978185 | 6610 | 3269 | 7190.4 | 109.9 | -10.1 | | IC2512 | 中证 2512 | 3.90 | 7157.0 | 268.8 | 103608 | 14614185 | 136396 | -2404 | 71 ...
金融期货早班车-20250918
Zhao Shang Qi Huo· 2025-09-18 01:44
Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, the short - term outlook is bullish as the implied interest rate of ultra - long bonds is considered cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summaries According to Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On September 17th, the four major A - share stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16% to 13215.46 points, the ChiNext Index rose 1.95% to 3147.35 points, and the Science and Technology Innovation 50 Index rose 0.91% to 1370.43 points. The market turnover was 24,029 billion yuan, an increase of 359 billion yuan from the previous day. Among industry sectors, power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%) led the gains, while agriculture, forestry, animal husbandry, and fishery (-1.02%), commerce and retail (-0.98%), and social services (-0.86%) led the losses. In terms of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 2,504, 168, and 2,754 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 151, - 177, 9, and 319 billion yuan respectively, with changes of - 145, - 18, +76, and +87 billion yuan [2]. - **Basis and Annualized Basis Yield**: The basis of IM, IC, IF, and IH next - month contracts was 74.61, 63.04, 9.22, and - 2.82 points respectively, and the annualized basis yields were - 14.52%, - 12.77%, - 2.98%, and 1.41% respectively. Their three - year historical quantiles were 16%, 10%, 29%, and 62% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - position view on the economy and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On September 17th, the yields of treasury bond futures declined across the board. Among active contracts, the implied interest rate of the 2 - year bond was 1.346, down 2.65 bps from the previous day; the 5 - year bond was 1.534, down 2.15 bps; the 10 - year bond was 1.711, down 3.18 bps; and the 30 - year bond was 2.147, down 1.47 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.61%. For the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 2.15 bps, a corresponding net basis of 0.008, and an IRR of 1.51%. For the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 2 bps, a corresponding net basis of 0.027, and an IRR of 1.42%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.5 bps, a corresponding net basis of 0.083, and an IRR of 1.3% [2]. - **Funding Situation**: In open - market operations, the central bank injected 418.5 billion yuan and withdrew 304 billion yuan, resulting in a net injection of 114.5 billion yuan [2]. - **Trading Strategy**: Short - term bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic mid - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and imports and exports is analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a decline, and zero scores indicate little change [8][10][11]
金融期货早班车-20250915
Zhao Shang Qi Huo· 2025-09-15 03:42
1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Views 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; in the short - term, the market shows signs of cooling [2]. - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On September 12, most of the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.12% to 3870.6 points, the Shenzhen Component Index fell 0.43% to 12924.13 points, the ChiNext Index fell 1.09% to 3020.42 points, and the STAR 50 Index rose 0.9% to 1338.02 points. Market trading volume was 25,483 billion yuan, an increase of 837 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+1.96%), real estate (+1.51%), and steel (+1.41%) led the gains; communication (-2.13%), comprehensive (-1.95%), and beauty care (-1.52%) led the losses. From the perspective of market strength, IC>IM>IH>IF, and the number of rising/flat/falling stocks was 1,926/130/3,370 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 21.1 billion, - 16.2 billion, 6.3 billion, and 31 billion yuan respectively, with changes of - 47.1 billion, - 0.5 billion, +31.1 billion, and +16.5 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 96.88, 58.55, 5, and - 0.46 points respectively, and the annualized basis yields were - 16.32%, - 10.24%, - 1.38%, and 0.19% respectively, with three - year historical quantiles of 11%, 16%, 43%, and 46% 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; in the short - term, the market shows signs of cooling [2]. (2) Treasury Bond Futures - **Yield Changes**: On September 12, the yields of treasury bond futures rose and fell differently. Among the active contracts, the implied interest rate of the two - year bond was 1.396, up 2.79 bps from the previous day; the implied interest rate of the five - year bond was 1.603, up 0.24 bps; the implied interest rate of the ten - year bond was 1.778, down 0.53 bps; and the implied interest rate of the thirty - year bond was 2.177, down 1.63 bps [2]. - **Cash Bond Situation**: Currently, the active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.024 and an IRR of 1.55%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 0.75 bps, corresponding to a net basis of 0.06 and an IRR of 1.23%; for the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 1.25 bps, corresponding to a net basis of 0.1 and an IRR of 1.07%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 2.7 bps, corresponding to a net basis of - 0.038 and an IRR of 1.59% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 230 billion yuan and withdrew 188.3 billion yuan, with a net injection of 41.7 billion yuan [2]. - **Trading Strategy**: With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [8].
金融期货早班车-20250902
Zhao Shang Qi Huo· 2025-09-02 07:32
Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on September 2, 2025, covering the performance of stock index and treasury bond futures on September 1, 2025, as well as market trading strategies and economic data analysis [1][2] Market Performance Stock Index Futures and Spot Market - On September 1, the four major A - share stock indexes oscillated strongly. The Shanghai Composite Index rose 0.46% to 3875.53 points, the Shenzhen Component Index rose 1.05% to 12828.95 points, the ChiNext Index rose 2.29% to 2956.37 points, and the STAR 50 Index rose 1.18% to 1357.15 points. Market turnover was 2777.6 billion yuan, a decrease of 52.6 billion yuan from the previous day [2] - In terms of industry sectors, communication (+5.22%), comprehensive (+4.27%), and non - ferrous metals (+3.46%) led the gains; non - bank finance (-1.28%), banks (-1.03%), and household appliances (-0.54%) led the losses [2] - From the perspective of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 3206, 133, and 2085 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -23.3 billion, 800 million, and 35.6 billion yuan respectively, with changes of +11.6 billion, +4.8 billion, -10.8 billion, and -5.5 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 186.95, 147.09, 20.71, and 3.2 points respectively, and the annualized basis yields were -21.49%, -17.83%, -3.95%, and -0.93% respectively, with three - year historical quantiles of 3%, 2%, 21%, and 35% respectively [2] Treasury Bond Futures and Spot Market - On September 1, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.359, a decrease of 0.53 bps from the previous day; the five - year bond was 1.604, a decrease of 1.8 bps; the ten - year bond was 1.734, a decrease of 2.5 bps; and the thirty - year bond was 2.097, a decrease of 1.6 bps [3] - For the current active contract 2512, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.028, and an IRR of 1.54%; the five - year was 250003.IB, with a yield change of -1 bps, a corresponding net basis of 0.026, and an IRR of 1.36%; the ten - year was 220017.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.006, and an IRR of 1.41%; the thirty - year was 210014.IB, with a yield change of -1 bps, a corresponding net basis of 0.028, and an IRR of 1.39% [3] Capital Situation - In terms of open - market operations, the central bank injected 182.7 billion yuan and withdrew 288.4 billion yuan, resulting in a net withdrawal of 105.7 billion yuan [4] Trading Strategies - For the medium - and long - term, maintain the judgment of going long on the economy. Currently, using stock indexes as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, there are signs of market cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts at high levels for the medium - and long - term [4] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11]
金融期货早班车-20250826
Zhao Shang Qi Huo· 2025-08-26 08:16
Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Long - term**: Maintain a bullish view on the economy, recommend long - term allocation of forward contracts of various stock index varieties; suggest medium - and long - term hedging for T and TL contracts when prices are high due to rising risk appetite and economic recovery expectations [2][3]. - **Short - term**: The market shows signs of cooling [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - **Market Movement**: On August 25, the four major A - share stock indices all rose, with the Shanghai Composite Index up 1.51% to 3883.56 points, the Shenzhen Component Index up 2.26% to 12441.07 points, the ChiNext Index up 3% to 2762.99 points, and the STAR 50 Index up 3.2% to 1287.73 points. Market turnover was 31,769 billion yuan, an increase of 5,981 billion yuan from the previous day. In terms of industry sectors, communication (+4.85%), non - ferrous metals (+4.63%), and real estate (+3.32%) led the gains; beauty care (+0.01%), textile and apparel (+0.17%), and petroleum and petrochemicals (+0.39%) led the losses. The strength order was IH>IF>IC>IM, with the number of rising/flat/falling stocks being 3,349/178/1,896 respectively. Institutional, main, large - scale, and retail investors had net inflows of - 139, - 304, 53, and 390 billion yuan respectively, with changes of - 280, - 135, +252, and +163 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 112.73, 75.1, - 2.38, and - 3.15 points respectively, and the annualized basis yields were - 11.08%, - 7.94%, 0.39%, and 0.77% respectively, with three - year historical quantiles of 30%, 24%, 63%, and 53% respectively [1]. (2) Treasury Bond Futures and Spot Market Performance - **Yield Movement**: On August 25, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.372, down 4.78 bps from the previous day; the five - year bond was 1.62, down 3.47 bps; the ten - year bond was 1.755, down 2.83 bps; and the thirty - year bond was 2.102, down 4 bps [2]. - **CTD Bond Information**: For the 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.015, and an IRR of 1.57%; the five - year was 250003.IB, with a yield change of - 1.2 bps, a net basis of 0.023, and an IRR of 1.45%; the ten - year was 220017.IB, with a yield change of - 3 bps, a net basis of 0.099, and an IRR of 1.25%; the thirty - year was 210005.IB, with a yield change of - 3.5 bps, a net basis of 0.286, and an IRR of 0.84% [2]. (3) Economic Data - **High - frequency Data**: High - frequency data shows that the recent social activity sentiment is weak [11]. - **Funding**: In open - market operations, the central bank injected 2,884 billion yuan and withdrew 2,665 billion yuan, resulting in a net injection of 219 billion yuan [3].
金融期货早班车-20250822
Zhao Shang Qi Huo· 2025-08-22 02:57
Report Overview - The report is a financial research on financial futures, including stock index futures and treasury bond futures, released by China Merchants Futures Co., Ltd. on August 22, 2025 [1][2] 1. Market Performance Stock Index Futures - On August 21, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.13% to 3771.1 points, the Shenzhen Component Index fell 0.06% to 11919.76 points, the ChiNext Index fell 0.47% to 2595.47 points, and the STAR 50 Index rose 0.09% to 1149.15 points. Market turnover was 2.4603 trillion yuan, an increase of 11.9 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+1.5%), petroleum and petrochemicals (+1.39%), and beauty care (+0.98%) led the gains, while machinery (-1.08%), power equipment (-0.98%), and composites (-0.73%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2169/164/3087 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -20.9 billion, -30.8 billion, 5.6 billion, and 46.1 billion yuan respectively, with changes of -8.4 billion, -9.7 billion, +6.7 billion, and +11.4 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 99.94, 87.37, 14.27, and -2.02 points respectively, with annualized basis yields of -9.57%, -9.05%, -2.31%, and 0.49% respectively, and three - year historical quantiles of 39%, 18%, 36%, and 50% respectively [2] Treasury Bond Futures - On August 21, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.426, down 0.13 bps from the previous day; the five - year bond was 1.639, down 1.32 bps; the ten - year bond was 1.728, down 0.99 bps; and the thirty - year bond was 2.135, down 1.96 bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of -0.25 bps, a corresponding net basis of 0.019, and an IRR of 1.24%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.096, and an IRR of 1.22%; the CTD bond of the ten - year treasury bond futures was 250007.IB, with a yield change of -2 bps, a corresponding net basis of 0.098, and an IRR of 0.16%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of -3 bps, a corresponding net basis of 0.401, and an IRR of 0.58% [2] - In terms of the money market, the central bank's net injection was 124.3 billion yuan through open market operations [2] 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - Given the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL in the medium - to - long term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic medium - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, with negative scores indicating weakening sentiment [9][11][12]
金融期货早班车-20250815
Zhao Shang Qi Huo· 2025-08-15 06:51
金融研究 2025年8月15日 星期五 金融期货早班车 招商期货有限公司 市场表现:8 月 14 日,A 股四大股指有所回调,其中上证指数下跌 0.46%,报收 3666.44 点;深成 指下跌 0.87%,报收 11451.43 点;创业板指下跌 1.08%,报收 2469.66 点;科创 50 指数上涨 0.75%, 报收 1085.74 点。市场成交 23,063 亿元,较前日增加 1,311 亿元。行业板块方面,非银金融(+0.59%) 涨幅居前;综合(-2.66%),国防军工(-2.15%),通信(-2.12%)跌幅居前。从市场强弱看,IH>IF>IC>IM, 个股涨/平/跌数分别为 734/41/4,644。沪深两市,机构、主力、大户、散户全天资金分别净流入-254、 -289、62、481 亿元,分别变动-331、-190、+185、+335 亿元。 股指期货 基差:IM、IC、IF、IH 次月合约基差分别为 47.29、49.65、9.51 与-0.13 点,基差年化收益率分别 为-6.28%、-7.15%、-2.11%与 0.04%,三年期历史分位数分别为 57%、31%、37%及 45%。 ...