1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips, and be aware of the basis regression risk of near - term contracts near the delivery date [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On July 16, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.03% to 3503.78 points, the Shenzhen Component Index fell 0.22% to 10720.81 points, and the ChiNext Index fell 0.22% to 2230.19 points. The STAR 50 Index rose 0.14% to 997.63 points. Market turnover was 1461.7 billion yuan, a decrease of 173.3 billion yuan from the previous day. In terms of industry sectors, social services, automobiles, and pharmaceutical biology led the gains, while steel, banks, and non - ferrous metals led the losses. From the perspective of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3276, 211, and 1928 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 6.9 billion, - 6.5 billion, 200 million, and 13.2 billion yuan respectively, with changes of +3 billion, +9.1 billion, - 3.1 billion, and - 8.9 billion yuan respectively [2]. - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 89.26, 67.59, 22.6, and 9.7 points respectively, and the basis annualized yields were - 15.01%, - 12.21%, - 6.13%, and - 3.85% respectively. The three - year historical quantiles were 14%, 10%, 20%, and 26% respectively [2]. - **Trading Strategy**: Near the delivery date, pay attention to the basis regression risk of near - term contracts. In the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips [2]. 3.2 Treasury Bond Futures - **Market Performance**: On July 16, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.36, a decrease of 1.06 bps from the previous day; the implied interest rate of the five - year bond was 1.502, a decrease of 0.12 bps; the implied interest rate of the ten - year bond was 1.602, an increase of 0.05 bps; the implied interest rate of the thirty - year bond was 1.924, an increase of 0.09 bps [2]. - **Cash Bonds**: The current active contract is the 2509 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 [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 520.1 billion yuan and withdrew 75.5 billion yuan, with a net injection of 444.6 billion yuan [2]. - **Trading Strategy**: It is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3.3 Economic Data - High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [12].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, in the short - term, the stock index premium has returned to an extreme position; in the medium - to long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of each variety on dips as there is a certain excess return when using stock index long - position substitution [3] - For treasury bond futures, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4] 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On July 15, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.42% to close at 3505 points, the Shenzhen Component Index rose 0.56% to close at 10744.56 points, the ChiNext Index rose 1.73% to close at 2235.05 points, and the Science and Technology Innovation 50 Index rose 0.39% to close at 996.25 points. Market turnover was 1635 billion yuan, an increase of 154.1 billion yuan from the previous day. In terms of industry sectors, communication (+4.61%), computer (+1.42%), and electronics (+0.79%) led the gains, while coal (-1.92%), agriculture, forestry, animal husbandry and fishery (-1.62%), and public utilities (-1.6%) led the losses. From the perspective of market strength, IF>IC>IM>IH. The number of rising, flat, and falling stocks was 1332, 68, and 4015 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 9.9 billion, - 15.6 billion, 3.3 billion, and 22.2 billion yuan respectively, with changes of +4.9 billion, - 3.8 billion, - 4.5 billion, and +3.4 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 90.03, 69.76, 25.86, and 12.23 points respectively, and the annualized basis yields were - 14.56%, - 12.07%, - 6.7%, and - 4.64% respectively. The three - year historical quantiles were 15%, 10%, 19%, and 24% respectively [3] 3.2 Treasury Bond Futures - **Market Performance**: On July 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 1.364, down 2.4 bps from the previous day; the five - year bond was 1.496, down 3.13 bps; the ten - year bond was 1.597, down 2.53 bps; and the thirty - year bond was 1.921, down 2.64 bps [3] - **Cash Bond Situation**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.009, and an IRR of 1.62%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 2.25 bps, a net basis of - 0.022, and an IRR of 1.69%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of - 2.1 bps, a net basis of - 0.009, and an IRR of 1.6%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 1.75 bps, a net basis of 0.01, and an IRR of 1.52% [4] - **Funding Situation**: In open - market operations, the central bank injected 342.5 billion yuan and withdrew 69 billion yuan, resulting in a net injection of 273.5 billion yuan [4] 3.3 Economic Data - High - frequency data shows that the recent real - estate market sentiment has contracted, while the other four indicators are similar to the same period [12]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of various varieties at low prices [1]. - For treasury bond futures, as there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. 3. Summary by Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On July 11, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.01% to 3510.18 points, the Shenzhen Component Index rose 0.61% to 10696.1 points, the ChiNext Index rose 0.8% to 2207.1 points, and the Science and Technology Innovation 50 Index rose 1.48% to 994.45 points. Market turnover was 1736.6 billion yuan, an increase of 221.5 billion yuan from the previous day. Non - bank finance, computer, and steel sectors led the gains, while bank, building materials, and coal sectors led the losses. In terms of market strength, IM>IC>IF>IH, and the number of rising, flat, and falling stocks were 2959, 252, and 2204 respectively. Net capital inflows of institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 6 billion, - 134 billion, - 68 billion, and 209 billion yuan respectively, with changes of + 55 billion, + 16 billion, - 59 billion, and - 12 billion yuan respectively [1]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 72.3, 53.68, 14.81, and 5.77 points respectively, and the basis annualized yields were - 10.76%, - 8.56%, - 3.55%, and - 2.01% respectively, with three - year historical quantiles of 31%, 19%, 27%, and 33% respectively [1]. - **Trading Strategy**: In the short - term, the stock index discount has returned to an extreme level. 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 at low prices [1]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On July 11, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.366, up 0.4 bps from the previous day; the implied interest rate of the five - year bond was 1.503, up 0.72 bps; the implied interest rate of the ten - year bond was 1.603, up 0.6 bps; and the implied interest rate of the thirty - year bond was 1.928, up 0.18 bps [1]. - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of + 0.25 bps, a corresponding net basis of - 0.024, and an IRR of 1.6%; for the five - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of + 0.5 bps, a corresponding net basis of - 0.042, and an IRR of 1.69%; for the ten - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of + 1.25 bps, a corresponding net basis of - 0.068, and an IRR of 1.84%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of + 0.2 bps, a corresponding net basis of - 0.085, and an IRR of 1.8% [1]. - **Funding Situation**: In open - market operations, the central bank injected 84.7 billion yuan and withdrew 34 billion yuan, resulting in a net injection of 50.7 billion yuan [1]. - **Trading Strategy**: As there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. (3) Economic Data - **High - Frequency Data**: High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [8].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, the report maintains the judgment of going long on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts on rallies for medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On July 10, most of the four major A - share stock indices rose. The Shanghai Composite Index rose 0.48% to 3509.68 points, the Shenzhen Component Index rose 0.47% to 10631.13 points, the ChiNext Index rose 0.22% to 2189.58 points, and the Sci - tech Innovation 50 Index fell 0.32% to 979.99 points. Market turnover was 15,151 billion yuan, a decrease of 124 billion yuan from the previous day. In terms of industry sectors, real estate (+3.19%), petroleum and petrochemicals (+1.54%), and steel (+1.44%) led the gains; automobiles (-0.62%), media (-0.54%), and national defense and military industry (-0.41%) led the losses. From the perspective of market strength, IH>IC>IF>IM. The number of rising, flat, and falling stocks was 2,945, 192, and 2,278 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 61, - 150, - 9, and 221 billion yuan respectively, with changes of +57, +17, - 43, and - 31 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 102.57, 78.65, 30.82, and 14.93 points respectively, and the annualized basis yields were - 14.82%, - 12.17%, - 7.12%, and - 5.02% respectively. The three - year historical quantiles were 14%, 10%, 18%, and 23% respectively [2]. - **Trading Strategy**: Allocate long positions in forward contracts of various varieties on dips [2]. (2) Treasury Bond Futures - **Market Performance**: On July 10, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.367, up 2.53 bps from the previous day; the implied interest rate of the five - year bond was 1.505, up 3.13 bps; the implied interest rate of the ten - year bond was 1.601, up 2.16 bps; and the implied interest rate of the thirty - year bond was 1.932, up 1.9 bps [2]. - **Cash Bonds**: The current active contract is the 2509 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 [2]. - **Funding Situation**: The central bank injected 900 billion yuan and withdrew 572 billion yuan in open - market operations, with a net injection of 328 billion yuan [2]. - **Trading Strategy**: Hedge T and TL contracts on rallies for medium - to - long - term [2]. (3) Economic Data - **High - Frequency Data**: Recent high - frequency data shows that the real estate market has contracted, while the other four indicators are similar to the same period [10]. - **Domestic Meso - level Data Tracking**: Based on the comparison of meso - level data of each module with the same period in the past five years (year - on - year and month - on - month), a scoring system shows the real estate market's contraction [11][13].

Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on July 9, 2025, covering the market performance of stock index futures and treasury bond futures on July 8, 2025, along with trading strategies [1][2][3] 1. Report Industry Investment Rating - No industry investment rating is provided in the report 2. Core View of the Report - In the short - term, the discount of stock index futures has returned to extreme levels; in the long - and medium - term, it is recommended to go long on the economy by buying long - term contracts of IF, IC, and IM at low prices. For near - term contracts, due to the potential decline of micro - cap stocks, caution is advised for IC and IM indices. For treasury bond futures, it is recommended to take short - term long positions and long - term short positions, buying T and TL contracts at low prices in the short - term and hedging at high prices in the long - term [3][4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - **Market Performance**: On July 8, A - share major indices all rose, with the Shanghai Composite Index up 0.7% to 3497.48 points, the Shenzhen Component Index up 1.47% to 10588.39 points, the ChiNext Index up 2.39% to 2181.08 points, and the STAR 50 Index up 1.4% to 991.95 points. Market turnover was 1474.6 billion yuan, an increase of 247.5 billion yuan from the previous day. Among industry sectors, communication (+2.89%), power equipment (+2.3%), and electronics (+2.27%) led the gains; public utilities (-0.37%), banks (-0.24%), and household appliances (+0.21%) led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4282/155/979 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 10.5 billion, - 3.9 billion, - 11.3 billion, and 4.8 billion yuan respectively, with changes of +14.7 billion, +5.9 billion, - 9.6 billion, and - 11.1 billion yuan respectively [2] - **Futures Basis and Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 98.1, 71.34, 34.05, and 19.59 points respectively, with annualized basis yields of - 13.2%, - 10.29%, - 7.34%, and - 6.15% respectively, and three - year historical quantiles of 20%, 14%, 17%, and 20% respectively [2] - **Contract - Specific Data**: Detailed data on various stock index futures contracts such as IC2507, IC2508, etc., including price, trading volume, open interest, basis, and annualized basis yield, are provided [6] 3.2 Treasury Bond Futures and Spot Market Performance - **Yield Changes**: On July 8, the yields of treasury bond futures declined. Among active contracts, the implied interest rates of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 1.332%, 1.503%, 1.578%, and 1.914% respectively, with increases of 1.99bps, 5.57bps, 1.96bps, and 1.51bps from the previous day [3] - **CTD Bond Data**: For the current active 2509 contract, data on the cheapest - to - deliver (CTD) bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including yield changes, net basis, and implied repo rate (IRR), are provided [3][4] - **Funding Situation**: The central bank injected 6.9 billion yuan and withdrew 13.1 billion yuan through open - market operations, resulting in a net withdrawal of 6.2 billion yuan [4] - **Contract - Specific Data**: Detailed data on various treasury bond futures contracts such as TS2509, TS2512, etc., including price, trading volume, open interest, net basis, and CTD bond implied interest rate, are provided [7] 3.3 Economic Data - **High - Frequency Data**: High - frequency data shows that the real - estate market has recently contracted, while the other four areas are similar to the same period [10] - **Short - Term Interest Rate Changes**: Data on short - term capital interest rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007, including current prices, previous - day prices, prices one week ago, and prices one month ago, are provided [10]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Short - term: The regression of the stock index discount is occurring, and the current direction is unclear. A neutral strategy can be considered. In the near - term, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised. For bond futures, long - end bulls are strong, and a strategy of short - term long and long - term short is recommended [3][4]. - Medium - to long - term: The report maintains the judgment of going long on the economy. Buying the IF, IC, and IM forward contracts at low prices is recommended [3]. Summaries by Related Catalogs 1. Stock Index Futures and Spot Market Performance - On June 27, the Shanghai Composite Index fell 0.7% to close at 3424.23 points; the Shenzhen Component Index rose 0.34% to close at 10378.55 points; the ChiNext Index rose 0.47% to close at 2124.34 points; the STAR 50 Index fell 0.18% to close at 988.21 points. Market turnover was 15,757 billion yuan, a decrease of 475 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+2.17%), communications (+1.79%), and textile and apparel (+1.23%) led the gains; banks (-2.95%), public utilities (-1.01%), and food and beverages (-0.8%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 3,379/267/1,771 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 37, - 117, - 23, and 177 billion yuan respectively, with changes of +68, +49, - 55, and - 62 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH were 102.94, 73.93, 39.36, and 27.57 points respectively, and the annualized basis yields were - 11.39%, - 8.76%, - 6.97%, and - 7.07% respectively, with three - year historical quantiles of 28%, 19%, 18%, and 17% respectively [2]. - The table shows the performance of various stock index futures contracts, including price changes, trading volume, open interest, basis, and annualized basis yields [6]. 2. Treasury Bond Futures and Spot Market Performance - On June 26, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.355, down 1.5 bps from the previous day; the implied interest rate of the five - year bond was 1.465, down 1.75 bps; the implied interest rate of the ten - year bond was 1.578, down 0.55 bps; and the implied interest rate of the thirty - year bond was 1.91, down 0.50 bps [3]. - For the current active 2509 contracts, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures had yield changes of - 1.5 bps, - 1.75 bps, - 0.55 bps, and - 0.50 bps respectively [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price changes, trading volume, open interest, and other information [8]. - The figure shows the term structure of treasury bond spot prices [9][10] 3. Short - term Funding Rate Market Changes - The table shows the changes in short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, comparing the current price, yesterday's price, one - week ago, and one - month ago [12] 4. Economic Data - High - frequency data shows that recent social activities and real estate sentiment have contracted [12]

Report Summary 1. Market Performance - **Stock Indexes**: On June 26, the four major A-share stock indexes adjusted moderately. The Shanghai Composite Index fell 0.22% to close at 3448.45 points, the Shenzhen Component Index dropped 0.48% to 10343.48 points, the ChiNext Index declined 0.66% to 2114.43 points, and the STAR 50 Index decreased 0.57% to 989.97 points. Market turnover was 1623.2 billion yuan, a decrease of 16.3 billion yuan from the previous day [2]. - **Industry Sectors**: Banking (+1.01%), communication (+0.77%), and national defense and military industry (+0.55%) led the gains, while the automobile (-1.37%), non-bank finance (-1.2%), and pharmaceutical biology (-1.05%) sectors led the losses [2]. - **Stock Index Futures Basis**: The basis of the next-month contracts of IM, IC, IF, and IH were 91.19, 67.45, 37.82, and 29.27 points respectively, with annualized basis yields of -9.86%, -7.81%, -6.48%, and -7.22% respectively, and three-year historical quantiles of 35%, 24%, 20%, and 17% respectively [2]. - **Treasury Bond Futures**: On June 26, the yields of treasury bond futures showed mixed changes. Among the active contracts, the implied interest rate of the two-year bond was 1.303, down 0.14 bps from the previous day; the five-year bond was 1.461, up 0.36 bps; the ten-year bond was 1.585, up 0.37 bps; and the thirty-year bond was 1.923, down 0.37 bps [3]. - **Funding Situation**: In open market operations, the central bank injected 509.3 billion yuan and withdrew 203.5 billion yuan, resulting in a net injection of 305.8 billion yuan [4]. 2. Trading Strategies - **Stock Index Futures**: In the short term, the stock index discount is expected to converge, and the current direction is unclear. A neutral strategy can be considered. In the medium to long term, the report maintains a bullish view on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Regarding near-month contracts, there is a risk of a decline in micro-cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. - **Treasury Bond Futures**: On the futures side, the long-term bullish force is strong, possibly betting on a further decline in future policy interest rates. It is recommended to take short-term long positions and long-term short positions. Buy T and TL contracts on dips in the short term and hedge at high levels in the medium to long term [4]. 3. Economic Data - High-frequency data shows that recent social activities and real estate market sentiment have contracted [12].

Report Overview - The report is titled "Financial Futures Morning Express" and is dated June 26, 2025, prepared by China Merchants Futures Co., Ltd [1] Market Performance A-share Market - On June 25, the four major A-share stock indices all rose. The Shanghai Composite Index increased by 1.04% to close at 3455.97 points, the Shenzhen Component Index rose 1.72% to 10393.72 points, the ChiNext Index climbed 3.11% to 2128.39 points, and the STAR 50 Index went up 1.73% to 995.61 points. Market turnover was 1639.5 billion yuan, an increase of 191.4 billion yuan from the previous day [2] - In terms of industry sectors, non-bank finance (+4.46%), national defense and military industry (+3.36%), and computer (+2.99%) led the gains, while coal (-1%), petroleum and petrochemical (-0.57%), and transportation (-0.21%) saw declines [2] - In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3916, 217, and 1284 respectively. Institutional, main, large - scale, and retail investors had net inflows of 63, -117, -61, and 115 billion yuan respectively, with changes of -26, -91, +45, and +72 billion yuan [2] Treasury Bond Futures Market - On June 25, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 0.39 bps from the previous day; the five - year bond was 1.457, up 0.36 bps; the ten - year bond was 1.578, up 0.9 bps; and the thirty - year bond was 1.925, up 1.57 bps [3] Futures Analysis Stock Index Futures - **Base Spread**: The base spreads of the next - month contracts of IM, IC, IF, and IH were 97.16, 65.15, 35.07, and 27.33 points respectively, with annualized base spread yields of -10.19%, -7.31%, -5.83%, and -6.54%. The three - year historical quantiles were 33%, 28%, 21%, and 19% respectively. The base spread of the mid - cap index has moved away from the bottom [3] - **Trading Strategy**: The deep discount of small - cap stock indices may continue due to the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products. Short - cycle band strategies are recommended. In the medium - to - long term, a long - economic view is maintained, and it is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indices, so caution is advised [3] Treasury Bond Futures - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.35 bps, a corresponding net base spread of -0.032, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, relevant data of CTD bonds are also provided [4] - **Funding Situation**: The central bank's open - market operations had a net injection of 209 billion yuan, with a currency injection of 365.3 billion yuan and a currency withdrawal of 156.3 billion yuan [4] - **Trading Strategy**: The cash bond market currently shows strong supply and weak demand, but this pattern may change. It is recommended to take a short - term long and long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4] Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [13]

Group 1: Core Views - The current stock index futures market shows a pattern of "strong small-cap and stable large-cap". With positive news from the US Commerce Secretary, domestic stock indices may fluctuate strongly [1] - On Tuesday, the bond market continued to fluctuate, with a bullish bias. Fundamentals and other factors are favorable to the bond market in the long run, but the market may experience short-term fluctuations. However, the scope and time of market pullbacks are limited [3] Group 2: Strategy Recommendations - For stock indices, the strategy is to expect a fluctuating and upward trend [2] - For government bonds, the strategy is to allocate on dips [4] Group 3: Market Review - The main contracts of CSI 300, SSE 50, CSI 500, and CSI 1000 stock index futures fell by 0.69%, 0.53%, 0.88%, and 0.89% respectively [6] - The main contracts of 10-year, 5-year, 30-year, and 2-year government bond futures rose by 0.01%, 0.01%, 0.07%, and 0.00% respectively [9] Group 4: Technical Analysis - The KDJ indicator of the Shanghai Composite Index suggests a possible fluctuating trend [7] - The KDJ indicator of the T main contract of government bonds shows a fluctuating trend [10] Group 5: Futures Data | Date | Futures Variety | Closing Price (yuan/piece) | Change (%) | Trading Volume (lots) | Open Interest (lots) | | --- | --- | --- | --- | --- | --- | | 2025-06-10 | CSI 300 Continuous | 3841.00 | -0.69 | 64495 | 112083 | | 2025-06-10 | SSE 50 Continuous | 2660.00 | -0.53 | 38481 | 46099 | | 2025-06-10 | CSI 500 Continuous | 5718.20 | -0.88 | 52147 | 93852 | | 2025-06-10 | CSI 1000 Continuous | 6113.80 | -0.89 | 132573 | 158926 | | 2025-06-10 | 10-year Government Bond Continuous | 109.00 | 0.01 | 47942 | 184969 | | 2025-06-10 | 5-year Government Bond Continuous | 106.14 | 0.01 | 47953 | 147190 | | 2025-06-10 | 30-year Government Bond Continuous | 120.16 | 0.07 | 62753 | 103965 | | 2025-06-10 | 2-year Government Bond Continuous | 102.44 | 0.00 | 25053 | 118657 | [12] Group 6: Figures - Figures related to stock index futures include trends, PE ratios, trading volume, open interest, trading volume to open interest ratio, basis, basis rate, annualized basis rate, and inter - period spreads [13][17][22][24][26][29][31][33][34] - Figures related to government bond futures include trends, trading volume, open interest, trading volume to open interest ratio, trading amount, basis, and spot - futures price difference [37][42][47][49]

股指或震荡偏强，国债观 望为主 2025-06-09 长江期货股份有限公司交易咨询业务资格：鄂证监期货字[2014]1号 长江期货股份有限公司研究咨询部 研究员：彭 博 执业编号：F3090600 投资咨询号：Z0021839 研究员：张志恒 执业编号：F03102085 投资咨询号：Z0021210 金融期货策略建议 重点数据跟踪 目 录 0102 01 金融期货策略建议 01 股指策略建议 资料来源：iFinD、华尔街见闻、长江期货 p 股指走势回顾：周五沪深300股指主力合约期货跌0.02%，上证50股指主力合约期货跌0.09%，中证 500股指主力合约期货跌0.02%，中证1000股指主力合约期货跌0.01%。 p 核心观点：美国5月非农好于预期，特朗普仍呼吁降息1个百分点，指责鲍威尔让美国"损失惨重" ，并 称将很快公布下一任美联储主席人选。国务院副总理何立峰于6月8-13日访问英国，其间，与美方举行 中美经贸磋商机制首次会议。中国商务部就中重稀土出口管制措施答记者问：实施出口管制符合国际通 行做法，已依法批准一定数量的合规申请。中美经贸磋商机制首次会议将举行，股指或震荡偏强运行。 p 技术分析：K ...