| 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | IH2512 | 震荡 | 上涨 | 震荡偏强 | 宽幅震荡 | 短期资金止盈意愿 VS 中长期政策 利好预期发酵 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 投资咨询业务资格：证监许可【2011】1778 号 宝城期货股指期货早报（2025 年 10 月 9 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 品种：IF、IH、IC、IM 日内观点：震荡偏强 中期观点：上涨 参考观点：宽幅震荡 核心逻辑：9 月 30 日，各股指均震荡上涨。沪深京三市全天成交额 21972 亿元，较上日放量 191 亿 元。9 月制造业 PMI ...

金融研究 2025年9月29日 星期一 金融期货早班车 招商期货有限公司 市场表现：9 月 26 日，A 股四大股指有所回调，其中上证指数下跌 0.65%，报收 3828.11 点；深成 指下跌 1.76%，报收 13209 点；创业板指下跌 2.6%，报收 3151.53 点；科创 50 指数下跌 1.6%， 报收 1450.82 点。市场成交 21,661 亿元，较前日减少 2,257 亿元。行业板块方面，石油石化(+1.17%)， 环保(+0.38%)，公用事业(+0.35%)涨幅居前；计算机(-3.26%)，电子(-2.75%)，传媒(-2.65%)跌幅居 前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,801/216/3,412。沪深两市，机构、主力、 大户、散户全天资金分别净流入-428、-274、141、561 亿元，分别变动-371、-95、+103、+362 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 126.39、105.11、17.65 与-2.18 点，基差年化收益率分 别为-12.2%、-10.37%、-2.77%与 0.53%，三年期 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - For the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long positions in forward contracts of various varieties on dips. In the short term, the market shows signs of cooling [2]. - For the short - term, be bullish on bonds, as the implied interest rate of ultra - long bonds at 2.2 is cost - effective; for the medium to 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 [3]. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On September 23, A - share four major stock indexes had a mild adjustment. The Shanghai Composite Index fell 0.18% to 3821.83 points, the Shenzhen Component Index fell 0.29% to 13119.82 points, the ChiNext Index rose 0.21% to 3114.55 points, and the Science and Technology Innovation 50 Index fell 0.1% to 1407.3 points. Market turnover was 25,185 billion yuan, an increase of 3,760 billion yuan from the previous day [1]. - In terms of industry sectors, banks (+1.52%), coal (+1.11%), and power equipment (+0.43%) led the gains; social services (-3.11%), commerce and retail (-2.9%), and computer (-2.39%) led the losses [1]. - In terms of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,107/58/4,264 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -416, -345, 135, and 627 billion yuan respectively, with changes of -404, -209, +150, and +462 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 199.47, 184.31, 24.38, and -4.49 points respectively, and the annualized basis yields were -17.71%, -16.89%, -3.55%, and 1.01% respectively, with three - year historical quantiles of 9%, 5%, 25%, and 57% respectively [1]. - The performance details of various stock index futures contracts are shown in Table 1, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On September 23, the bond market performed weakly. The implied interest rates of the active contracts of two - year, five - year, ten - year, and thirty - year bonds increased compared with the previous day [2]. - For the current active 2512 contract, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - The performance details of various treasury bond futures contracts are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. - The figure shows the term structure of treasury bond spot [7][8]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]. - The short - term capital interest rate market changes are shown in Table 3, including SHIBOR overnight rates [9]. - The figure shows the domestic meso - level data tracking, which is based on the comparison of meso - level data of each module with the same period in the past five years, scored according to the degree of change [10][11][12].

Report Summary 1. Report Industry Investment Rating No specific industry investment rating is provided in the report. 2. Core Views - For stock index futures, maintain a long - term view of going long on the economy, recommend buying long - term contracts on dips; short - term market shows signs of cooling [2] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds is attractive; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On September 22, the four major A - share stock indexes adjusted, with the Shanghai Composite Index up 0.22% to 3828.58, the Shenzhen Component Index up 0.67% to 13157.97, the ChiNext Index up 0.55% to 3107.89, and the Science and Technology Innovation 50 Index up 3.38% to 1408.64. Market turnover was 21,425 billion yuan, a decrease of 2,070 billion yuan from the previous day [1] - In terms of industry sectors, electronics (+3.71%), computer (+1.7%), and non - ferrous metals (+0.98%) led the gains; social services (-2.04%), beauty care (-1.36%), and commercial retail (-1.31%) led the losses [1] - From the perspective of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 2,175/102/3,151 respectively. Institutional, main, large - scale, and retail investors' net inflows were - 13, - 137, - 16, and 165 billion yuan respectively, with changes of +193, +88, - 33, and - 249 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 177.08, 146.93, 29.21, and 0.18 points respectively, and the annualized basis yields were - 15.16%, - 13.04%, - 4.14%, and - 0.04% respectively, with three - year historical quantiles of 14%, 10%, 21%, and 43% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On September 22, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of two - year bonds was 1.384, down 2.52 bps from the previous day; the implied interest rate of five - year bonds was 1.562, down 3.1 bps; the implied interest rate of ten - year bonds was 1.775, down 2.79 bps; the implied interest rate of thirty - year bonds was 2.203, up 0.86 bps [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 0.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.58%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 1 bps, a corresponding net basis of - 0.048, and an IRR of 1.69%; the CTD bond of the ten - year treasury bond futures was 250018.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.063, and an IRR of 1.76%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.12 bps, a corresponding net basis of 0.201, and an IRR of 0.82% [3] - In terms of the money market, the central bank injected 5,405 billion yuan and withdrew 2,800 billion yuan, resulting in a net injection of 2,605 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10]

Group 1: Report Industry Investment Rating - Not provided in the report Group 2: Core Viewpoints of the Report - For stock index futures, maintain a long - term view of going long on the economy, recommend allocating long - term contracts of various varieties on dips, and note short - term market cooling signs [1] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Group 3: Summary by Relevant Catalogs Stock Index Futures - **Market Performance**: On September 18, A - share major indices adjusted, with the Shanghai Composite Index down 1.15% to 3831.66 points, the Shenzhen Component Index down 1.06% to 13075.66 points, the ChiNext Index down 1.64% to 3095.85 points, and the STAR 50 Index up 0.72% to 1380.35 points. Market turnover was 31,666 billion yuan, an increase of 7,637 billion yuan from the previous day. In terms of industry sectors, electronics, communication, and social services led the gains, while non - ferrous metals, comprehensive, and non - bank finance led the losses. From the perspective of market strength, IC>IM>IF>IH. Institutional, main, large - scale, and retail investors' net inflows were - 332, - 428, 112, and 649 billion yuan respectively, with changes of - 181, - 251, + 103, and + 329 billion yuan respectively [1] - **Basis and Basis Annualized Yield**: IM, IC, IF, and IH next - month contract bases were 106.2, 85.48, 22.11, and 1.03 points respectively, with basis annualized yields of - 22.2%, - 18.55%, - 7.68%, and - 0.55% respectively, and three - year historical quantiles of 2%, 2%, 14%, and 38% respectively [1] - **Trading Strategy**: In the medium - to long - term, maintain the view of going long on the economy, and using stock indices as long - term substitutes has certain excess returns. Recommend allocating long - term contracts of various varieties on dips. In the short - term, the market shows signs of cooling [1] Treasury Bond Futures - **Market Performance**: On September 18, treasury bond futures yields rose. Among active contracts, the implied interest rate of two - year bonds was 1.376, up 2.38bps from the previous day; five - year bonds was 1.55, up 1.31bps; ten - year bonds was 1.76, up 4.82bps; and thirty - year bonds was 2.179, up 2.66bps [1] - **Cash Bonds**: The current active contract is the 2512 contract. For 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of + 1bps, a corresponding net basis of 0.014, and an IRR of 1.5%; for 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of + 2.65bps, a corresponding net basis of - 0.027, and an IRR of 1.67%; for 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of + 1.5bps, a corresponding net basis of - 0.049, and an IRR of 1.76%; for 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of + 1bps, a corresponding net basis of 0.139, and an IRR of 1.13% [1] - **Funding Situation**: In open - market operations, the central bank injected 487 billion yuan and withdrew 292 billion yuan, with a net injection of 195 billion yuan [1] - **Trading Strategy**: Be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [7]

1. Report Industry Investment Rating - Not provided 2. Core Viewpoints - In the medium to long term, maintain the judgment of going long on the economy and recommend allocating long - term contracts of various varieties on dips; in the short term, the market shows signs of cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Directory 3.1 Market Performance - On September 15, most of the four major A - share stock indexes moved up, with the Shanghai Composite Index down 0.26% at 3860.5 points, the Shenzhen Component Index up 0.63% at 13005.77 points, the ChiNext Index up 1.51% at 3066.18 points, and the STAR 50 Index up 0.18% at 1340.4 points. Market turnover was 2303.2 billion yuan, a decrease of 245.1 billion yuan from the previous day. In the industry sector, power equipment (+2.22%), media (+1.94%), and agriculture, forestry, animal husbandry and fishery (+1.79%) led the gains; comprehensive (-1.8%), communication (-1.52%), and national defense and military industry (-1.05%) led the losses. In terms of market strength, IF>IM>IC>IH. The number of rising/flat/falling stocks was 1914/138/3374 respectively. The net inflows of institutional, main, large - scale and retail investors in the Shanghai and Shenzhen stock markets were - 18.9 billion, - 15.1 billion, 8.7 billion and 25.4 billion yuan respectively, with changes of +2.2 billion, +1 billion, +2.3 billion and - 5.6 billion yuan respectively [2] - On September 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.399, down 0.26 bps from the previous day; the implied interest rate of the five - year bond was 1.59, down 1.91 bps; the implied interest rate of the ten - year bond was 1.764, down 2.43 bps; and the implied interest rate of the thirty - year bond was 2.17, down 1.57 bps [3] 3.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 114.57, 87.16, 13.26, and - 0.18 points respectively, with annualized basis yields of - 20.33%, - 16.07%, - 3.85%, and 0.08% respectively, and three - year historical quantiles of 3%, 5%, 23%, and 45% respectively [3] - The performance data of various stock index futures contracts such as IC2509, IC2510, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 1 [6] 3.3 Treasury Bond Futures - The current active contract is the 2512 contract. The CTD bond, yield change, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. For example, the CTD bond of the 2 - year treasury bond futures is 250012.IB, with a yield change of - 0.5 bps, a corresponding net basis of - 0.005, and an IRR of 1.5% [4] - In terms of the money supply, the central bank injected 280 billion yuan and withdrew 191.5 billion yuan, resulting in a net injection of 88.5 billion yuan [4] - The performance data of various treasury bond futures contracts such as TS2512, TS2603, etc. including their code, name, daily change rate, current price, trading volume, etc. are presented in Table 2 [8] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11] - Based on the comparison of medium - term data of each module with the same period in the past five years (year - on - year month - on - month), the sentiment of manufacturing, real estate, social activities, infrastructure, and import and export is scored. Positive scores indicate an improvement in sentiment, negative scores indicate a weakening, and zero scores indicate little change [13][14]

Report Summary 1. Market Performance - On September 10, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.13% to 3,812.22 points, the Shenzhen Component Index up 0.38% to 12,557.68 points, the ChiNext Index up 1.27% to 2,904.27 points, and the STAR 50 Index up 1.09% to 1,259.1 points. Market turnover was 2.004 trillion yuan, a decrease of 148.1 billion yuan from the previous day [2]. - In terms of industry sectors, communication (+3.49%), electronics (+1.78%), and media (+1.68%) led the gains, while power equipment (-1.18%), comprehensive (-1.09%), and basic chemicals (-0.94%) led the losses [2]. - From the perspective of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 2,440, 219, and 2,767 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 4.5 billion, - 5.8 billion, - 6.8 billion, and 8 billion yuan respectively, with changes of +32 billion, +17.3 billion, - 17 billion, and - 32.2 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 141.57, 129.11, 22.56, and 3.39 points respectively, and the basis annualized yields were - 22.25%, - 21.16%, - 5.77%, and - 1.31% respectively, with three - year historical quantiles of 2%, 1%, 18%, and 32% respectively [3]. - **Trading Strategy**: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indices 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 [3]. 3. Treasury Bond Futures - **Market Performance**: On September 10, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.416, up 2.78 bps from the previous day; the five - year bond was 1.645, up 3.23 bps; the ten - year bond was 1.812, up 4.25 bps; and the thirty - year bond was 2.202, up 4.38 bps [3]. - **Cash Bonds**: The current active contract is the 2512 contract. For the two - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, a corresponding net basis of 0.007, and an IRR of 1.45%. For the five - year, ten - year, and thirty - year treasury bond futures, the relevant data are also provided [4]. - **Funding Situation**: In open - market operations, the central bank injected 304 billion yuan and withdrew 229.1 billion yuan, resulting in a net injection of 74.9 billion yuan [4]. - **Trading Strategy**: With the upward shift in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak momentum [11].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips. The short - term market shows signs of cooling [2]. - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [2]. 3. Summary by Related Catalogs 3.1 Stock Index Futures - **Market Performance**: On September 4th, the four major A - share stock indexes had a significant correction. The Shanghai Composite Index fell 1.25% to 3765.88 points, the Shenzhen Component Index fell 2.83% to 12118.7 points, the ChiNext Index fell 4.25% to 2776.25 points, and the Science and Technology Innovation 50 Index fell 6.08% to 1226.98 points. Market turnover was 2581.9 billion yuan, an increase of 186.2 billion yuan from the previous day. In terms of industry sectors, commerce and retail (+1.63%), beauty care (+1.19%), and banks (+0.79%) led the gains; communications (-8.48%), electronics (-5.08%), and composites (-4.49%) led the losses. From the perspective of market strength, IH > IF > IM > IC. The number of rising/flat/falling stocks was 2295/139/2990 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -39.3 billion, -28.4 billion, 400 million, and 67.3 billion yuan respectively, with changes of -19 billion, -700 million, -2.8 billion, and +22.5 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 97.15, 109.05, 23.21, and 10.67 points respectively, and the annualized basis yields were -13.27%, -15.65%, -5.11%, and -3.53% respectively. The three - year historical percentiles were 20%, 6%, 19%, and 24% respectively [2]. - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips; the short - term market shows signs of cooling [2]. 3.2 Bond Futures - **Market Performance**: On September 4th, the yields of bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.362, a decrease of 0 bps from the previous day; the implied interest rate of the five - year bond was 1.566, a decrease of 1.31 bps; the implied interest rate of the ten - year bond was 1.708, a decrease of 0.96 bps; and the implied interest rate of the thirty - year bond was 2.076, a decrease of 1.79 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the two - year bond futures, the CTD bond is 250012.IB, with a yield change of +1.75 bps, a corresponding net basis of -0.032, and an IRR of 1.56%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of +1.15 bps, a corresponding net basis of -0.048, and an IRR of 1.62%; for the ten - year bond futures, the CTD bond is 220017.IB, with a yield change of -1.75 bps, a corresponding net basis of 0.048, and an IRR of 1.31%; for the thirty - year bond futures, the CTD bond is 210005.IB, with a yield change of -1 bps, a corresponding net basis of 0.276, and an IRR of 0.73% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 212.6 billion yuan and withdrew 416.1 billion yuan, resulting in a net withdrawal of 203.5 billion yuan [2]. - **Trading Strategy**: With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [2]. 3.3 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - For stock index futures, maintain a long - term view of being bullish on the economy. It is recommended to allocate long - term contracts of various varieties on dips, but there are signs of short - term market cooling [1]. - For bond index futures, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies for the medium and long term [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On September 3, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.16% to 3813.56 points, the Shenzhen Component Index fell 0.65% to 12472 points, the ChiNext Index rose 0.95% to 2899.37 points, and the STAR 50 Index fell 1.64% to 1306.48 points. Market turnover was 23,957 billion yuan, a decrease of 5,167 billion yuan from the previous day [1]. - In terms of industry sectors, the comprehensive, communication, and power equipment sectors led the gains, while national defense and military industry, non - bank finance, and computer sectors led the losses [1]. - From the perspective of market strength, IF>IH>IC>IM. The number of rising, flat, and falling stocks was 822, 44, and 4,559 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 203, - 276, 32, and 447 billion yuan respectively, with changes of +517, +201, - 222, and - 496 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH were 131.48, 129.66, 40.03, and 14.19 points respectively, and the annualized basis yields were - 16.89%, - 17.48%, - 8.31%, and - 4.44% respectively, with three - year historical quantiles of 10%, 3%, 11%, and 21% respectively [1]. (2) Bond Index Futures and Spot Market Performance - On September 3, the yields of bond index futures declined. Among the active contracts, the implied interest rate of the two - year bond fell 1.99bps to 1.351, the five - year bond fell 3.35bps to 1.573, the ten - year bond fell 2.88bps to 1.71, and the thirty - year bond fell 4.11bps to 2.085 [1]. - The CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year bond index futures are provided. For example, the CTD bond of the 2 - year bond index futures is 250012.IB, with a yield change of - 1.25bps, a corresponding net basis of - 0.019, and an IRR of 1.51% [1]. - In terms of the money market, the central bank's currency injection was 2,291 billion yuan, currency withdrawal was 3,799 billion yuan, and the net withdrawal was 1,508 billion yuan [1]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak [11].

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, but note short - term market cooling signs [2] - For treasury bond futures, with the upward shift in risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies for the medium and long term [2] 3. Summary According to Related Catalogs 3.1 Stock Index Futures and Spot Market Performance - On September 2nd, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.45% to 3858.13 points, the Shenzhen Component Index dropped 2.14% to 12553.84 points, the ChiNext Index decreased 2.85% to 2872.22 points, and the STAR 50 Index declined 2.13% to 1328.28 points. Market turnover was 29,124 billion yuan, an increase of 1,348 billion yuan from the previous day [2] - In terms of industry sectors, banks (+1.95%), public utilities (+0.99%), and household appliances (+0.91%) led the gains, while communication (-5.73%), computer (-4.06%), and electronics (-3.85%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising, flat, and falling stocks was 1,257, 113, and 4,055 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of - 720, - 477, 254, and 943 billion yuan respectively, with changes of - 588, - 244, +245, and +587 billion yuan [2] - For the next - month contracts of IM, IC, IF, and IH, the basis was 111.68, 110.49, 14.85, and 1.68 points respectively, and the annualized basis yields were - 13.63%, - 14.17%, - 2.95%, and - 0.5% respectively. The three - year historical quantiles were 18%, 8%, 29%, and 39% respectively [2] 3.2 Treasury Bond Futures and Spot Market Performance - On September 2nd, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.375, up 1.19 bps from the previous day; the five - year bond was 1.61, up 0.96 bps; the ten - year bond was 1.741, up 0.84 bps; and the thirty - year bond was 2.129, up 3.43 bps [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of +0 bps, a corresponding net basis of - 0.007, and an IRR of 1.46%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 0.5 bps, a corresponding net basis of 0.069, and an IRR of 1.2%; the CTD bond of the ten - year treasury bond futures was 220017.IB, with a yield change of - 0.5 bps, a corresponding net basis of 0.082, and an IRR of 1.15%; the CTD bond of the thirty - year treasury bond futures was 210014.IB, with a yield change of +1 bps, a corresponding net basis of 0.185, and an IRR of 0.95% [2] - In terms of the money market, the central bank injected 2,557 billion yuan and withdrew 4,058 billion yuan, resulting in a net withdrawal of 1,501 billion yuan [2] 3.3 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10] - Based on the comparison of medium - term data of each module with the same period in the past five years, positive scores indicate an improvement in sentiment, negative scores indicate a weakening in sentiment, and zero scores indicate little change in sentiment [13]