1. Report Industry Investment Rating There is no information provided about the report industry investment rating in the given content. 2. Core Viewpoints - In the medium to long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. In the short - term, the market shows signs of cooling [2]. - For the bond market, it is short - term bullish, and the implied interest rate of ultra - long bonds at 2.2 is cost - effective; in the medium to long - term, due to the rising risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On October 22, the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.07% to 3913.76 points, the Shenzhen Component Index fell 0.62% to 12996.61 points, the ChiNext Index fell 0.79% to 3059.32 points, and the Science and Technology Innovation 50 Index fell 0.06% to 1405.41 points. Market trading volume was 1690.3 billion yuan, a decrease of 202.4 billion yuan from the previous day [1]. - In terms of industry sectors, petroleum and petrochemicals (+1.58%), banks (+0.97%), and household appliances (+0.82%) led the gains; non - ferrous metals (-1.36%), power equipment (-1.29%), and agriculture, forestry, animal husbandry and fishery (-1.19%) led the losses [1]. - From the perspective of market strength, IH > IF > IM > IC, and the number of rising/flat/falling stocks was 2278/194/2963 respectively. Institutional, main, large - scale, and retail investors' net capital inflows in the Shanghai and Shenzhen stock markets were - 14.2 billion, - 17.3 billion, 8.9 billion, and 22.6 billion yuan respectively, with changes of - 30 billion, - 11.3 billion, +24.9 billion, and +16.4 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 149.01, 116.88, 29.17, and 4.5 points respectively, and the annualized basis yields were - 11.85%, - 9.53%, - 3.69%, and - 0.87% respectively, with three - year historical quantiles of 29%, 20%, 25%, and 37% respectively [2]. 3.2 Treasury Bond Futures and Spot Market Performance - On October 22, the bond market was relatively strong. Among the active contracts, TS remained flat, TF rose 0.04%, T rose 0.02%, and TL rose 0.1% [2]. - For the current active 2512 contract, the CTD bond of the 2 - year treasury bond futures was 250012.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.027, and an IRR of 1.61%; the CTD bond of the 5 - year treasury bond futures was 250003.IB, with a flat yield, a corresponding net basis of - 0.058, and an IRR of 1.82%; the CTD bond of the 10 - year treasury bond futures was 250018.IB, with a yield change of +0.4bps, a corresponding net basis of - 0.045, and an IRR of 1.73%; the CTD bond of the 30 - year treasury bond futures was 210005.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.029, and an IRR of 1.29% [2]. - In terms of the money market, the central bank's currency injection was 138.2 billion yuan, currency withdrawal was 43.5 billion yuan, and the net injection was 94.7 billion yuan [3]. 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 [9].

Report Summary 1. Market Performance - On October 16, the four major A-share stock indices showed mixed performance, with the Shanghai Composite Index rising 0.1% to 3916.23 points, the Shenzhen Component Index falling 0.25% to 13086.41 points, the ChiNext Index rising 0.38% to 3037.44 points, and the STAR 50 Index falling 0.94% to 1416.58 points. Market turnover was 1948.7 billion yuan, a decrease of 141.7 billion yuan from the previous day. In the industry sector, coal (+2.35%), banks (+1.35%), and food and beverage (+0.97%) led the gains, while steel (-2.14%), non-ferrous metals (-2.06%), and building materials (-1.86%) led the losses. In terms of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1172/89/4168 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -19.7 billion, -18.9 billion, 14.5 billion, and 24.1 billion yuan respectively, with changes of -18.8 billion, -10.4 billion, +24.9 billion, and +4.4 billion yuan respectively [2]. - For long - term bonds on October 16, the active contracts showed that TS fell 0.01%, TF fell 0.01%, T rose 0.06%, and TL rose 0.42% [3]. 2. Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 108.64, 105.13, 18.82, and - 0.4 points respectively, and the annualized basis yields were -13.59%, -13.46%, -3.77%, and 0.12% respectively, with three - year historical quantiles of 20%, 10%, 24%, and 46% respectively [2]. - For the current active 2512 contracts, the CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of +0.25bps, a corresponding net basis of -0.008, and an IRR of 1.47%; the CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of -0.4bps, a corresponding net basis of -0.013, and an IRR of 1.5%; the CTD bond of the 10 - year Treasury bond futures was 220019.IB, with a yield change of -1bps, a corresponding net basis of -0.038, and an IRR of 1.65%; the CTD bond of the 30 - year Treasury bond futures was 220008.IB, with a yield change of -1.5bps, a corresponding net basis of -0.049, and an IRR of 1.67% [3]. 3. Trading Strategies - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - In the short term, be bullish on the market. The implied interest rate of ultra - long bonds 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 [4]. 4. Funds - In open - market operations, the central bank injected 236 billion yuan and withdrew 612 billion yuan, resulting in a net withdrawal of 376 billion yuan [4]. 5. 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 Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - Medium to long - term, maintain the judgment of going long on the economy, recommend allocating long - term contracts of various varieties on dips; short - term, the market shows signs of cooling [3] - For the bond market, short - term is bullish as the implied interest rate of ultra - long bonds at 2.2 is cost - effective; medium to long - term, with increasing 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 October 13, A - share four major stock indexes adjusted, with Shanghai Composite Index down 0.19% to 3889.5 points, Shenzhen Component Index down 0.93% to 13231.47 points, ChiNext Index down 1.11% to 3078.76 points, and STAR 50 Index up 1.4% to 1473.02 points. Market turnover was 23,742 billion yuan, a decrease of 1,599 billion yuan from the previous day [2] - In terms of industry sectors, non - ferrous metals (+3.35%), environmental protection (+1.65%), and steel (+1.49%) led the gains; automobiles (-2.33%), household appliances (-1.74%), and beauty care (-1.58%) led the losses [2] - In terms of market strength, IM > IH > IC > IF, and the number of rising/flat/falling stocks was 1,682/118/3,628 respectively. In Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 151, - 248, - 2, and 400 billion yuan respectively, with changes of +429, +102, - 268, and - 263 billion yuan respectively [2] - For stock index futures, the basis of IM, IC, IF, and IH next - month contracts were 124.76, 98.56, 21.58, and 4.61 points respectively, and the annualized basis yields were - 13.83%, - 11.13%, - 3.91%, and - 1.29% respectively, with three - year historical quantiles of 19%, 14%, 23%, and 33% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On October 13, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.403, down 0.93 bps from the previous day; five - year bonds was 1.583, down 0.24 bps; ten - year bonds was 1.762, down 1.32 bps; thirty - year bonds was 2.218, down 1.74 bps [3] - For treasury bond futures, the current active contract is the 2512 contract. The CTD bond of the two - year treasury bond futures is 250012.IB, with a yield change of +0 bps, corresponding net basis of - 0.002, and IRR of 1.46%; for five - year, the CTD bond is 250003.IB, yield change of - 0.5 bps, net basis of - 0.011, and IRR of 1.51%; for ten - year, the CTD bond is 220019.IB, yield change of +0 bps, net basis of - 0.008, and IRR of 1.5%; for thirty - year, the CTD bond is 210014.IB, yield change of - 1.62 bps, net basis of - 0.11, and IRR of 1.94% [3] - In terms of the money market, the central bank's open - market operations had a currency injection of 1,378 billion yuan and no currency withdrawal, with a net injection of 1,378 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure prosperity are lower than in previous periods [10]

Report Industry Investment Rating - Not mentioned in the report 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 treasury bond futures, short - term is bullish as the implied interest rate of ultra - long bonds is cost - effective; for medium - and 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 10, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.94% to 3897.03 points, the Shenzhen Component Index dropped 2.7% to 13355.42 points, the ChiNext Index declined 4.55% to 3113.26 points, and the Science and Technology Innovation 50 Index decreased 5.61% to 1452.68 points. Market trading volume was 25,341 billion yuan, a decrease of 137.7 billion yuan from the previous day [2] - In terms of industry sectors, building materials (+1.92%), coal (+1.37%), and textile and apparel (+1.3%) led the gains; electronics (-4.71%), power equipment (-4.46%), and computers (-3.7%) led the losses [2] - From the perspective of market strength, IM>IH>IF>IC. The number of rising/flat/falling stocks was 2,772/127/2,529 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 57.9 billion, - 35.1 billion, 26.6 billion, and 66.3 billion yuan respectively, with changes of - 44.3 billion, - 23.1 billion, +17 billion, and +50.4 billion yuan respectively [2] - The basis of IM, IC, IF, and IH next - month contracts was 112.02, 87.02, 16.43, and 1.25 points respectively, and the annualized basis yields were - 11.99%, - 9.49%, - 2.87%, and - 0.34% respectively, with three - year historical quantiles of 28%, 19%, 30%, and 40% respectively [3] - Detailed performance data of various stock index futures contracts (including IC, IF, IH, IM series) are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 2. Treasury Bond Futures and Spot Market Performance - On October 10, the bond market weakened. The implied interest rates of active contracts such as two - year, five - year, ten - year, and thirty - year bonds all increased compared to the previous day [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 as follows: 2 - year CTD bond is 250012.IB, yield change +1bps, net basis 0.009, IRR 1.38%; 5 - year CTD bond is 250003.IB, yield change +0.75bps, net basis 0.005, IRR 1.39%; 10 - year CTD bond is 220019.IB, yield change +0bps, net basis - 0.002, IRR 1.43%; 30 - year CTD bond is 210014.IB, yield change +1bps, net basis 0.067, IRR 1.17% [4] - In terms of the money market, the central bank's currency injection was 409 billion yuan, currency withdrawal was 600 billion yuan, and the net withdrawal was 191 billion yuan [4] - Detailed performance data of various treasury bond futures contracts (including TS, TF, T, TL series) and some treasury bond spot bonds are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rates [7] 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] - Based on the changes in domestic medium - term data compared with the same period in the past five years (year - on - year month - on - month), the prosperity scores of manufacturing, real estate, social activities, infrastructure, and imports and exports are shown in Figure 2 [11][12]

Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Viewpoints of the Report - For the IH2512 variety, the short - term view is oscillation, the medium - term view is upward, and the intraday view is oscillating upward, with an overall view of wide - range oscillation. The core logic is the game between short - term capital profit - taking willingness and the fermentation of medium - and long - term policy favorable expectations [1]. - For IF, IH, IC, and IM varieties, the intraday view is oscillating upward, the medium - term view is upward, and the reference view is wide - range oscillation. The core logic is that on September 30, all stock indices oscillated upward. The full - day trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 219.72 billion yuan, an increase of 19.1 billion yuan from the previous day. The manufacturing PMI in September continued to recover, indicating strong resilience in the domestic macro - economy. Coupled with the expectation of favorable policies from important meetings in October, market risk appetite continued to rise. However, in the short term, due to the significant increase in the stock valuation, especially when the index rebounded near the previous high, there was still a demand for profit - taking by profitable funds. It is necessary to pay attention to the game between the subsequent profit - taking rhythm of funds and the fermentation of policy expectations. In general, since the index is close to the previous high, the stock index is expected to be mainly in wide - range oscillation in the short term [5]. Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - The time - cycle is defined as short - term within one week, medium - term from two weeks to one month. For the IH2512 variety, short - term is oscillation, medium - term is upward, intraday is oscillating upward, with a view of wide - range oscillation, and the core logic is the game between short - term capital profit - taking and long - term policy expectations [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties are IF, IH, IC, and IM. The intraday view is oscillating upward, the medium - term view is upward, the reference view is wide - range oscillation. The trading volume on September 30 increased, the manufacturing PMI continued to recover, and there are policy expectations in October, but short - term profit - taking demand exists, so the short - term stock index is expected to oscillate widely [5].

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Views - Medium - and long - term, maintain the judgment of going long on the economy, recommend allocating long - term contracts of various varieties on dips; short - term, the market shows signs of cooling [3] - For the bond market, short - term is bullish as the implied interest rate of ultra - long bonds at 2.2 has sufficient cost - effectiveness; medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On September 26, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.65% to 3828.11 points, the Shenzhen Component Index fell 1.76% to 13209 points, the ChiNext Index fell 2.6% to 3151.53 points, and the Science and Technology Innovation 50 Index fell 1.6% to 1450.82 points. Market turnover was 21,661 billion yuan, a decrease of 2,257 billion yuan from the previous day [2] - In terms of industry sectors, petroleum and petrochemicals (+1.17%), environmental protection (+0.38%), and public utilities (+0.35%) led the gains; computers (-3.26%), electronics (-2.75%), and media (-2.65%) led the losses [2] - From the perspective of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 1,801/216/3,412 respectively. Institutional, main, large - scale, and retail investors' net capital inflows in the Shanghai and Shenzhen stock markets were - 428, - 274, 141, and 561 billion yuan respectively, with changes of - 371, - 95, +103, and +362 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 126.39, 105.11, 17.65, and - 2.18 points respectively, and the annualized basis yields were - 12.2%, - 10.37%, - 2.77%, and 0.53% respectively, with three - year historical quantiles of 26%, 16%, 31%, and 50% respectively [2] - Details of various stock index futures contracts' performance are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 3.2 Treasury Bond Futures and Spot Market Performance - On September 26, the bond market rebounded. The implied interest rates of the active contracts of two - year, five - year, ten - year, and thirty - year bonds decreased compared with the previous day [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 provided [3] - Details of various treasury bond futures contracts' performance are shown in Table 2, including price, trading volume, open interest, net basis, etc. [8] - The figure shows the term structure of treasury bond spot [9][10] 3.3 Short - term Fund Interest Rate Market Changes - The table shows the changes in short - term fund interest rates, including SHIBOR overnight rates' current prices, previous prices, prices a week ago, and prices a month ago [12] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [12] - The figure shows the 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 [13][14]

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]