Report Information - Report Date: October 24, 2025 [1] - Report Type: Financial Research - Financial Futures Morning Report - Report Company: China Merchants Futures Co., Ltd. Report Industry Investment Rating - Not provided in the report Report Core Views - For stock index futures, maintain a long - term view of going long on the economy, recommend buying long - term contracts of various varieties on dips, and note that the short - term market shows signs of cooling [3] - For bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds is cost - effective; for the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [4] Summary by Directory (1) Stock Index Futures and Spot Market Performance - On October 23, most of the four major A - share stock indexes rose. The Shanghai Composite Index rose 0.22% to 3922.41 points, the Shenzhen Component Index rose 0.22% to 13025.45 points, the ChiNext Index rose 0.09% to 3062.16 points, and the Science and Technology Innovation 50 Index fell 0.3% to 1401.26 points. Market turnover was 1660.7 billion yuan, a decrease of 29.5 billion yuan from the previous day [2] - In terms of industry sectors, coal (+1.75%), petroleum and petrochemicals (+1.52%), and social services (+1.07%) led the gains; communication (-1.51%), real estate (-0.99%), and building materials (-0.91%) led the losses [2] - In terms of market strength, IH>IF>IC>IM. The number of rising/flat/falling stocks was 2991/143/2301 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 12.3 billion, - 13.5 billion, 0.9 billion, and 24.9 billion yuan respectively, with changes of +1.9 billion, +3.8 billion, - 8.1 billion, and +2.4 billion yuan respectively [2] - The basis of IM, IC, IF, and IH next - month contracts were 129.1, 102.95, 25.54, and 3.1 points respectively, and the annualized basis yields were - 10.52%, - 8.58%, - 3.3%, and - 0.61% respectively, with three - year historical quantiles of 36%, 23%, 27%, and 38% respectively [3] (2) Treasury Bond Futures and Spot Market Performance - On October 23, the bond market pulled back. Among the active contracts, TS fell 0.02%, TF fell 0.07%, T fell 0.12%, and TL fell 0.34% [3] - For the current active 2512 contract, the CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of - 0.25 bps, a corresponding net basis of 0.002, and an IRR of 1.41%; the CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of +1 bps, a corresponding net basis of - 0.015, and an IRR of 1.52%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of +1.1 bps, a corresponding net basis of 0.024, and an IRR of 1.26%; the CTD bond of the 30 - year Treasury bond futures was 210014.IB, with a yield change of +1.25 bps, a corresponding net basis of - 0.038, and an IRR of 1.63% [4] - In terms of the money market, the central bank's currency injection was 212.5 billion yuan, currency withdrawal was 236 billion yuan, and the net withdrawal was 23.5 billion yuan [4] (3) Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [11]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - For the stock index futures market, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position substitute can achieve certain excess returns, and recommends buying long - term contracts of various varieties on dips. However, the short - term market shows signs of cooling [2]. - For the bond market, in the short term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is attractive. In the medium - to - long term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge at high prices for T and TL contracts [3]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On October 21, the four major A - share stock indexes rose. The Shanghai Composite Index rose 1.36%, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, and the STAR 50 Index rose 2.81%. The market turnover was 189.27 billion yuan, an increase of 14.14 billion yuan from the previous day. In terms of industry sectors, communication (+4.9%), electronics (+3.5%), and building decoration (+2.36%) led the gains, while coal (-1.02%), food and beverage (+0.23%), and transportation (+0.29%) led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 4,624, 82, and 729 respectively. Institutional, main, large - scale, and retail investors had net inflows of 15.8 billion, - 6 billion, - 15.9 billion, and 6.2 billion yuan respectively, with changes of +12.7 billion, +5.6 billion, - 5.8 billion, and - 12.4 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 161.25, 132.82, 30.27, and 2.46 points respectively, and the annualized basis yields were - 12.48%, - 10.5%, - 3.73%, and - 0.47% respectively. The three - year historical quantiles were 25%, 17%, 25%, and 39% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On October 21, the bond market rose. Among the active contracts, TS rose 0.05%, TF rose 0.05%, T rose 0.04%, and TL rose 0.16% [2]. - The current active contracts are 2512 contracts. 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][3]. - The central bank's open - market operations had a net injection of 6.85 billion yuan, with a currency injection of 15.95 billion yuan and a currency withdrawal of 9.1 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure sectors are less prosperous than in previous periods [9]. - The chart of domestic mid - level data tracking shows the comparison of the prosperity of manufacturing, real estate, social activities, infrastructure, and imports and exports based on the changes compared with the same period in the past five years [10][11].

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Stock Index Futures**: Maintain a long - term bullish view on the economy. It is recommended to allocate long - term contracts of various varieties on dips. The short - term market shows signs of cooling [3]. - **Treasury Bond Futures**: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium and 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]. 3. Summary by Directory (1) Stock Index Spot and Futures Market Performance - **Market Performance on October 20**: The four major A - share stock indexes showed a callback, with the Shanghai Composite Index rising 0.63% to 3863.89 points, the Shenzhen Component Index rising 0.98% to 12813.21 points, the ChiNext Index rising 1.98% to 2993.45 points, and the STAR 50 Index rising 0.35% to 1367.9 points. Market turnover was 17,513 billion yuan, a decrease of 2,031 billion yuan from the previous day. In terms of industry sectors, communication (+3.21%), coal (+3.04%), and power equipment (+1.53%) led the gains, while non - ferrous metals (-1.34%), agriculture, forestry, animal husbandry and fishery (-0.88%), and beauty care (-0.38%) led the losses. In terms of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,064/121/1,248 respectively. Institutional, main, large - scale, and retail investors had net inflows of 32, - 116, - 101, and 186 billion yuan respectively, with changes of +497, +217, - 274, and - 440 billion yuan respectively [2]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 179.98, 160.44, 31.42, and 4.46 points respectively, and the basis annualized yields were - 13.81%, - 12.61%, - 3.85%, and - 0.83% respectively, with three - year historical quantiles of 20%, 11%, 24%, and 37% respectively [2]. (2) Treasury Bond Spot and Futures Market Performance - **Market Performance on October 20**: The bond market adjusted. Among the active contracts, TS fell 0.04%, TF fell 0.11%, T fell 0.14%, and TL fell 0.37% [3]. - **Cash Bonds**: For the currently active 2512 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year Treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1.5bps, a corresponding net basis of - 0.003, and an IRR of 1.45%; for the 5 - year Treasury bond futures, the CTD bond is 250003.IB, with a yield change of +2bps, a corresponding net basis of - 0.02, and an IRR of 1.56%; for the 10 - year Treasury bond futures, the CTD bond is 220017.IB, with a yield change of +3.25bps, a corresponding net basis of - 0.047, and an IRR of 1.73%; for the 30 - year Treasury bond futures, the CTD bond is 220024.IB, with a yield change of +1.88bps, a corresponding net basis of 0.085, and an IRR of 1.03% [3]. - **Funding Situation**: The central bank injected 189 billion yuan and withdrew 253.8 billion yuan in open - market operations, resulting in a net withdrawal of 64.8 billion yuan [3]. (3) Economic Data High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [10].

Report Summary 1. Investment Ratings - No industry investment ratings are provided in the report. 2. Core Views - For stock index futures, maintain a long - term view of going long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips. In the short term, the market shows signs of cooling [2]. - For bond futures, it is advisable to go long 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, considering the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Directory Stock Index Futures and Spot Market Performance - On October 17, the four major A - share indexes declined. The Shanghai Composite Index fell 1.95% to 3839.76 points, the Shenzhen Component Index dropped 3.04% to 12688.94 points, the ChiNext Index decreased 3.36% to 2935.37 points, and the Science and Technology Innovation 50 Index declined 3.77% to 1363.17 points. Market turnover was 19,544 billion yuan, an increase of 57 billion yuan from the previous day. In terms of industry sectors, power equipment (-4.99%), electronics (-4.17%), and machinery and equipment (-3.69%) led the decline. In terms of market strength, IH>IF>IM>IC, with the number of rising/flat/falling stocks being 598/53/4,781 respectively. Net capital inflows from institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 45.9 billion, - 33.6 billion, 16.5 billion, and 63 billion yuan respectively, with changes of - 26.2 billion, - 14.7 billion, + 2 billion, and + 38.9 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH were 85.48, 93.67, 18.43, and 3.57 points respectively, with annualized basis yields of - 11.44%, - 12.84%, - 3.93%, and - 1.16% respectively, and three - year historical quantiles of 31%, 11%, 23%, and 34% respectively [2]. Treasury Bond Futures and Spot Market Performance - On October 17, long - term bonds continued to rebound. Among the active contracts, TS rose 0.01%, TF rose 0.07%, T rose 0.12%, and TL rose 0.74% [3]. - For the current active 2512 contract, the CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of + 0bps, a corresponding net basis of - 0.026, and an IRR of 1.56%; the CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of - 0.75bps, a corresponding net basis of - 0.055, and an IRR of 1.74%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of - 1.25bps, a corresponding net basis of - 0.079, and an IRR of 1.89%; the CTD bond of the 30 - year Treasury bond futures was 210014.IB, with a yield change of - 3.5bps, a corresponding net basis of - 0.224, and an IRR of 2.46% [3]. - In terms of the money market, the central bank injected 164.8 billion yuan and withdrew 409 billion yuan through open market operations, resulting in a net withdrawal of 244.2 billion yuan [3]. Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [11].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - **Stock Index Futures**: Maintain a long - term view of going long on the economy. It is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. - **Treasury Bond Futures**: Short - term bias is bullish as the implied yield of ultra - long bonds at 2.2 is cost - effective. For the medium - to - long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 3. Summary by Relevant Catalogs (1) Stock Index Futures Spot and Futures Market Performance - **Market Performance on October 15**: A - share four major stock indexes rebounded. The Shanghai Composite Index rose 1.22% to 3912.21 points, the Shenzhen Component Index rose 1.73% to 13118.75 points, the ChiNext Index rose 2.36% to 3025.87 points, and the Science and Technology Innovation 50 Index rose 1.4% to 1430 points. Market turnover was 2.0904 trillion yuan, a decrease of 506.2 billion yuan from the previous day. In terms of industry sectors, power equipment (+2.72%), automobiles (+2.37%), and electronics (+2.29%) led the gains; steel (-0.21%), petroleum and petrochemicals (-0.14%), and agriculture, forestry, animal husbandry and fishery (+0.01%) led the losses. In terms of market strength, IM>IF>IC>IH, and the number of rising/flat/falling stocks was 4332/153/944 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 8 billion, - 85 billion, - 104 billion, and 197 billion yuan respectively, with changes of +38.4 billion, +15.3 billion, - 29.1 billion, and - 24.6 billion yuan respectively [1]. - **Basis and Annualized Basis Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 120.85, 97.8, 19.69, and 3.15 points respectively, and the annualized basis yields were - 14.42%, - 11.97%, - 3.82%, and - 0.94% respectively. The three - year historical quantiles were 18%, 13%, 24%, and 35% respectively [1]. - **Trading Strategy**: In the medium - to - long - term, maintain the view of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. (2) Treasury Bond Futures Spot and Futures Market Performance - **Market Performance on October 15**: The bond market weakened. Among the active contracts, the implied yield of the two - year bond was 1.395, up 0.93 bps from the previous day; the implied yield of the five - year bond was 1.572, up 1.19 bps; the implied yield of the ten - year bond was 1.752, up 3.83 bps; and the implied yield of the thirty - year bond was 2.211, up 1.29 bps [1]. - **Cash Bond Situation**: 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 +0.25 bps, a corresponding net basis of - 0.024, and an IRR of 1.56%; for the 5 - year Treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0.4 bps, a corresponding net basis of - 0.038, and an IRR of 1.64%; for the 10 - year Treasury bond futures, the CTD bond is 220019.IB, with a yield change of +0 bps, a corresponding net basis of - 0.04 and an IRR of 1.65%; for the 30 - year Treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.38 bps, a corresponding net basis of - 0.156, and an IRR of 2.13% [1]. - **Funding Situation**: In terms of open - market operations, the central bank injected 43.5 billion yuan and withdrew 0 yuan, with a net injection of 43.5 billion yuan [1]. - **Trading Strategy**: Short - term bias is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; for the medium - to - long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. (3) Economic Data High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [10]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, and note short - term market cooling signs [3] - For bond futures, be short - term bullish, consider the implied interest rate of ultra - long bonds at 2.2 to be cost - effective; for the medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4] 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - On October 14, A - share four major stock indexes declined. The Shanghai Composite Index fell 0.62% to 3865.23 points, the Shenzhen Component Index dropped 2.54% to 12895.11 points, the ChiNext Index decreased 3.99% to 2955.98 points, and the STAR 50 Index declined 4.26% to 1410.3 points. Market turnover was 25,966 billion yuan, an increase of 2,224 billion yuan from the previous day [2] - In terms of industry sectors, banks (+2.51%), coal (+2.18%), and food and beverage (+1.69%) led the gains; communication (-4.98%), electronics (-4.64%), and non - ferrous metals (-3.66%) led the losses [2] - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 1,733, 148, and 3,547 respectively. Net capital inflows of institutions, main funds, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 392, - 238, 187, and 443 billion yuan respectively, with changes of - 241, + 10, + 189, and + 43 billion yuan [2] - The basis of IM, IC, IF, and IH next - month contracts was 143.15, 128.85, 23.86, and - 0.3 points respectively, with annualized basis yields of - 16.74%, - 15.44%, - 4.53%, and 0.09%, and three - year historical quantiles of 11%, 8%, 20%, and 45% [3] 3.2 Treasury Bond Futures and Spot Market Performance - On October 14, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.393, down 1.33bps from the previous day; that of five - year bonds was 1.561, down 2.39bps; that of ten - year bonds was 1.721, down 4.57bps; and that of thirty - year bonds was 2.202, down 1.84bps [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are detailed. The central bank had a net currency injection of 910 billion yuan through open - market operations [4] 3.3 Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [11]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts on dips, and note short - term market cooling signs [2]. - For bond futures, short - term is bullish as the implied yield of ultra - long bonds is cost - effective; for medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4]. Summary by Related Catalogs Stock Index Futures - **Market Performance**: On October 9, A - share four major stock indexes all rose, with the Shanghai Composite Index up 1.32% to 3933.97 points, the Shenzhen Component Index up 1.47% to 13725.56 points, the ChiNext Index up 0.73% to 3261.82 points, and the Science and Technology Innovation 50 Index up 2.93% to 1539.08 points. Market turnover was 2.6718 trillion yuan, an increase of 474.6 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+7.6%), steel (+3.38%), and coal (+3%) led the gains; media (-1.43%), real estate (-1.39%), and social services (-1.03%) led the losses. In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 3109/135/2184 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were - 13.6 billion, - 12 billion, 9.6 billion, and 15.9 billion yuan respectively, with changes of +7 billion, +300 million, +900 million, and - 8.1 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 121.25, 90.92, 12.68, and - 2.4 points respectively, and the annualized basis yields were - 12.39%, - 9.41%, - 2.1%, and 0.62% respectively, with three - year historical quantiles of 25%, 20%, 36%, and 51% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of each variety on dips. In the short - term, the market shows signs of cooling [2]. Bond Futures - **Market Performance**: On October 9, the bond market strengthened. Among active contracts, the implied yield of the two - year bond fell 2.39bps to 1.387, the five - year bond fell 2.27bps to 1.572, the ten - year bond fell 0.01bps to 1.765, and the thirty - year bond fell 4.42bps to 2.213 [3]. - **Cash Bond Situation**: For the currently active 2512 contract, the CTD bonds and their corresponding yield changes, net basis, and IRR are as follows: for the two - year bond futures, the CTD bond is 250012.IB, with a yield change of - 2bps, a net basis of 0.002, and an IRR of 1.5%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of - 2.5bps, a net basis of - 0.024, and an IRR of 1.63%; for the ten - year bond futures, the CTD bond is 220019.IB, with a yield change of - 2.85bps, a net basis of - 0.015, and an IRR of 1.59%; for the thirty - year bond futures, the CTD bond is 210014.IB, with a yield change of - 2.25bps, a net basis of - 0.089, and an IRR of 1.91% [3]. - **Funding Situation**: In open - market operations, the central bank injected 612 billion yuan and withdrew 2.0633 trillion yuan, resulting in a net withdrawal of 1.4513 trillion yuan [3]. - **Trading Strategy**: In the short - term, it is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; in the medium - to - long - term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

Report Summary 1. Market Performance - On September 29, A-share major indices all rose, with the Shanghai Composite Index up 0.9% to 3862.53, the Shenzhen Component Index up 2.05% to 13479.43, the ChiNext Index up 2.74% to 3238.01, and the STAR 50 Index up 1.35% to 1470.41. Market turnover was 2178.1 billion yuan, an increase of 12 billion yuan from the previous day [2]. - In the bond market, the implied yields of 2-year, 5-year, 10-year, and 30-year bonds showed different changes, with the 2-year up 0.8bps, the 5-year up 0.48bps, the 10-year down 3.42bps, and the 30-year up 5.89bps [3]. 2. Trading Strategies - In the medium to long term, maintain a bullish view on the economy, and recommend buying long-term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - For bond futures, short-term is bullish as the implied yield of ultra-long bonds at 2.2 is cost-effective; in the medium to long term, with rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. 3. Index Futures and Spot Market Performance - Table 1 shows the performance of various index futures and spot indices, including their price changes, trading volumes, and open interests [6]. 4. Treasury Futures and Spot Market Performance - Table 2 presents the performance of various treasury futures and spot bonds, including price changes, trading volumes, and net basis [8]. 5. Short - term Funding Rate Market Changes - Table 3 shows the changes in short - term funding rates, such as SHIBOR overnight rates [12]. 6. Economic Data - High - frequency data indicates that the recent social activity sentiment is weak [12].

Report Overview - The report is a financial futures early morning report released by China Merchants Futures Co., Ltd. on September 26, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on September 25, 2025 [1][2] 1. Stock Index Futures Market Performance - On September 25, most of the four major A - share stock indices rose, with the Shanghai Composite Index down 0.01% to 3853.3 points, the Shenzhen Component Index up 0.67% to 13445.9 points, the ChiNext Index up 1.58% to 3235.76 points, and the STAR 50 Index up 1.24% to 1474.49 points. Market turnover was 23,918 billion yuan, an increase of 446 billion yuan from the previous day [2] - In terms of industry sectors, media (+2.23%), communication (+1.99%), and non - ferrous metals (+1.87%) led the gains; textile and apparel (-1.45%), comprehensive (-1.3%), and agriculture, forestry, animal husbandry and fishery (-1.22%) led the losses [2] - In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,474/80/3,875 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 57, - 179, 38, and 198 billion yuan respectively, with changes of - 167, - 66, +214, and +19 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 146.51, 122.92, 22.29, and 1.14 points respectively, and the basis annualized yields were - 13.55%, - 11.63%, - 3.37%, and - 0.27% respectively, with three - year historical quantiles of 20%, 13%, 26%, and 41% respectively [2] Trading Strategy - In the medium - to - long term, maintain the judgment of going long on the economy. Using stock index futures as a long - term substitute currently has certain excess returns. 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 Market Performance - On September 25, the bond market performed weakly. Among the active contracts, the implied interest rate of the two - year bond was 1.44, up 1.59 bps from the previous day; the implied interest rate of the five - year bond was 1.621, up 1.56 bps; the implied interest rate of the ten - year bond was 1.829, up 1.18 bps; and the implied interest rate of the thirty - year bond was 2.252, up 1.93 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 +0 bps, a corresponding net basis of 0.055, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0 bps, a corresponding net basis of 0.022, and an IRR of 1.5%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0 bps, a corresponding net basis of 0.025, and an IRR of 1.49%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.326, and an IRR of 0.47% [2] Fundamentals - In terms of open - market operations, the central bank injected 4,835 billion yuan and withdrew 4,870 billion yuan, resulting in a net withdrawal of 35 billion yuan [2] Trading Strategy - In the short term, be bullish. The implied interest rate of the ultra - long - term bond at 2.2 is already cost - effective. In 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 [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - **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. There are signs of short - term market cooling [1]. - **Treasury Bond Futures**: In the short term, it is recommended to be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summary by Directory Stock Index Futures - **Market Performance**: On September 24, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.83% to 3853.64 points, the Shenzhen Component Index rose 1.8% to 13356.14 points, the ChiNext Index rose 2.28% to 3185.57 points, and the Science and Technology Innovation 50 Index rose 3.49% to 1456.47 points. Market turnover was 23,472 billion yuan, a decrease of 1,713 billion yuan from the previous day. In terms of industry sectors, power equipment, electronics, and media led the gains, while banks, coal, and communications led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising, flat, and falling stocks was 4,457, 120, and 852 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 111, - 113, - 177, and 179 billion yuan respectively, with changes of +527, +232, - 311, and - 448 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 149.82, 109.91, 24.67, and - 0.29 points respectively, and the annualized basis yields were - 13.44%, - 10.14%, - 3.65%, and 0.07% respectively. The three - year historical quantiles were 20%, 17%, 24%, and 44% respectively [1]. - **Trading Strategy**: In the medium - to - long term, maintain a bullish view on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. Treasury Bond Futures - **Market Performance**: On September 24, the bond market was weak. Among the active contracts, the implied interest rate of the two - year bond rose 1.86bps to 1.435, the five - year bond rose 2.51bps to 1.611, the ten - year bond rose 1.99bps to 1.823, and the thirty - year bond rose 2.74bps to 2.236 [1]. - **Cash Bonds**: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [1]. - **Funding Situation**: In the open - market operations, the central bank injected 4,015 billion yuan and withdrew 4,185 billion yuan, resulting in a net withdrawal of 170 billion yuan [1]. - **Trading Strategy**: In the short term, be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that the recent social activity sentiment is weak [8].