2025年7月8日 星期二 金融期货早班车 招商期货有限公司 市场表现：7 月 7 日，A 股四大股指多数下行，其中上证指数上涨 0.02%，报收 3473.13 点；深成指 下跌 0.7%，报收 10435.51 点；创业板指下跌 1.21%，报收 2130.19 点；科创 50 指数下跌 0.66%， 报收 978.29 点。市场成交 12,271 亿元，较前日减少 2,275 亿元。行业板块方面，综合(+2.57%)， 公用事业(+1.87%)，房地产(+1.68%)涨幅居前；煤炭(-2.04%)，医药生物(-0.97%)，通信(-0.77%)跌 幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 3,254/185/1,977。沪深两市，机构、 主力、大户、散户全天资金分别净流入-42、-98、-18、158 亿元，分别变动+44、+52、-34、-62 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 139.14、96.01、37.77 与 23.13 点，基差年化收益率分 别为-18.33%、-13.56%、-7.94%与-7.06%，三年期历史分位数分别为 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - For stock index futures, in the short - term, the stock index discount is reverting and the direction is unclear, so a neutral strategy can be considered; in the medium - to long - term, it is recommended to buy IF, IC, IM forward contracts on dips as the judgment of a bullish economy is maintained [1]. - For bond futures, the long - end has strong bullish power, and it is suggested to take a short - long and long - short strategy, buying T and TL on dips in the short - term and hedging T and TL on rallies in the medium - to long - term [2]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On June 30, the four major A - share stock indexes all rose, with the Shanghai Composite Index up 0.59% to 3444.43 points, the Shenzhen Component Index up 0.83% to 10465.12 points, the ChiNext Index up 1.35% to 2153.01 points, and the STAR 50 Index up 1.54% to 1003.41 points. Market turnover was 1517.4 billion yuan, a decrease of 58.3 billion yuan from the previous day. Defense and military (+4.35%), media (+2.83%), and communication (+1.9%) led the gains, while non - bank finance (-0.77%), banks (-0.34%), and transportation (-0.09%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 4054/237/1126 respectively. Institutional, main, large - scale, and retail investors' net inflows were 1.7 billion, - 5.7 billion, - 2.6 billion, and 6.6 billion yuan respectively, with changes of +5.4 billion, +6.0 billion, - 0.3 billion, and - 11.2 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 135.58, 96.59, 42.88, and 22.99 points respectively, and the annualized basis yields were - 15.24%, - 11.66%, - 7.78%, and - 6.05% respectively, with three - year historical quantiles of 13%, 11%, 16%, and 20% respectively [1]. 3.2 Bond Futures - **Market Performance**: On June 30, the yields of bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.311, up 3.32bps from the previous day; the five - year bond was 1.464, up 2.88bps; the ten - year bond was 1.593, up 2.55bps; and the thirty - year bond was 1.937, up 2.49bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year bond futures, the CTD bond is 250006.IB, with a yield change of +1bps, a corresponding net basis of 0.041, and an IRR of 1.73%; for the five - year bond futures, the CTD bond is 220027.IB, with a yield change of +0.37bps, a corresponding net basis of 0.033, and an IRR of 1.77%; for the ten - year bond futures, the CTD bond is 220010.IB, with a yield change of +0.77bps, a corresponding net basis of 0.108, and an IRR of 1.42%; for the thirty - year bond futures, the CTD bond is 210005.IB, with a yield change of +2.25bps, a corresponding net basis of 0.229, and an IRR of 1.13% [2]. - **Funding Situation**: In open - market operations, the central bank injected 331.5 billion yuan and withdrew 220.5 billion yuan, resulting in a net injection of 111 billion yuan [2]. 3.3 Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [10].

1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - On June 16, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.35%, the Shenzhen Component Index up 0.41%, the ChiNext Index up 0.66%, and the STAR 50 Index down 0.21%. Market trading volume decreased by 260.4 billion yuan compared to the previous day. In the industry sector, media, communication, and computer led the gains, while agriculture, forestry, animal husbandry and fishery, beauty care, and non-ferrous metals led the losses. [2] - For stock index futures, the basis of the next-month contracts of IM, IC, IF, and IH are 110.26, 79.61, 45, and 43.41 points respectively, with annualized basis yields of -17.94%, -13.8%, -11.62%, and -16.17%. Entering the delivery week, attention should be paid to the convergence of the futures-spot price difference. In the short term, a short-cycle band strategy is advisable. In the medium and long term, it is recommended to allocate IF, IC, and IM forward contracts on dips. For near-month contracts, caution is advised due to the potential decline risk of micro-cap stocks. [3] - For bond futures, the yields of bond futures mostly declined on June 16. In the cash bond market, the current active contract is the 2509 contract. The trading strategy suggests short-term long and long-term short, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term. [3][4] - High-frequency data shows that recent social activities and real estate sentiment have contracted. [13] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - The table provides detailed data on the performance of various stock index futures and spot indices, including their codes, names, price changes, trading volumes, open interests, basis, and annualized basis yields. For example, the IC2506 contract rose 0.46% to 5756.2 points, with a trading volume of 47,548 lots and an open interest of 69,823 lots. [7] 3.2 Bond Futures and Spot Market Performance - The table presents the performance of bond futures and spot bonds, including their codes, names, price changes, trading volumes, open interests, net basis, and CTD bond implied interest rates. For instance, the TS2509 contract rose 0.02% to 102.5 points, with a trading volume of 24,997 lots and an open interest of 117,711 lots. [9] - The figure shows the term structure of bond spot prices. [10][11] - The table shows the changes in short-term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one-week, and DR007. [13] 3.3 Economic Data - High-frequency data indicates a contraction in recent social activities and real estate sentiment. The figure shows the tracking of domestic meso-level data, with positive scores representing improved sentiment, negative scores representing weakened sentiment, and zero scores representing little change in sentiment. [13][14][15]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The short - term strategy for stock index futures is short - cycle band trading, while in the long - term, it is recommended to go long on the economy by allocating IF, IC, and IM forward contracts at low prices. Near - month contracts of IC and IM need to be treated with caution due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, it is suggested to take a short - term long and long - term short position. Short - term, buy T and TL contracts at low prices, and in the long - term, hedge T and TL contracts at high prices [4]. - High - frequency data shows a recent rebound in import and export business sentiment [11]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On June 10, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.44% to 3384.82 points, the Shenzhen Component Index dropped 0.86% to 10162.18 points, the ChiNext Index decreased 1.17% to 2037.27 points, and the STAR 50 Index declined 1.47% to 982.9 points. Market turnover was 1451.4 billion yuan, an increase of 138.8 billion yuan from the previous day [2]. - In terms of industry sectors, beauty care (+1.1%), banking (+0.48%), and pharmaceutical biology (+0.33%) led the gains, while national defense and military industry (-1.97%), computer (-1.87%), and electronics (-1.65%) led the losses [2]. - The basis and basis annualized yields of IM, IC, IF, and IH next - month contracts are at relatively low levels, with three - year historical quantiles at 4%, 5%, 1%, and 1% respectively [3]. (2) Treasury Bond Futures and Spot Market Performance - On June 10, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond increased by 0.13 bps to 1.348, the five - year bond increased by 0.12 bps to 1.47, the ten - year bond decreased by 3.65 bps to 1.581, and the thirty - year bond decreased by 0.42 bps to 1.949 [3]. - The current active contract is the 2509 contract. The yields, net basis, and IRR of CTD bonds for different - term treasury bond futures are provided [4]. - In terms of the money supply, the central bank injected 198.6 billion yuan and withdrew 454.5 billion yuan, resulting in a net withdrawal of 255.9 billion yuan [4]. (3) Economic Data - High - frequency data indicates a recent rebound in import and export business sentiment [11]. - Short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, have shown certain changes compared to the previous day, one week ago, and one month ago [11].

Report Summary 1. Market Performance - On May 28th, the four major A-share stock indices declined. The Shanghai Composite Index dropped 0.02% to 3339.93 points, the Shenzhen Component Index fell 0.26% to 10003.27 points, the ChiNext Index decreased 0.31% to 1985.38 points, and the STAR 50 Index slipped 0.23% to 970.64 points. Market trading volume was 1.0339 trillion yuan, an increase of 9.8 billion yuan from the previous day. In the industry sectors, textile and apparel (+1.17%), environmental protection (+0.89%), and coal (+0.74%) led the gains, while basic chemicals (-0.79%), agriculture, forestry, animal husbandry and fishery (-0.78%), and national defense and military industry (-0.72%) led the losses. In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,750/181/3,477 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -5.8 billion, -12.8 billion, 2.1 billion, and 16.5 billion yuan respectively, with changes of -2.9 billion, -1 billion, +2.5 billion, and +1.4 billion yuan respectively [2]. - On May 28th, most yields of treasury bond futures declined. Among the actively traded contracts, the implied interest rate of the two - year bond was 1.376, unchanged from the previous day; the five - year bond was 1.497, also unchanged; the ten - year bond was 1.618, down 0.7 bps; and the thirty - year bond was 1.985, down 0.1 bps [3]. 2. Core Views - For stock index futures, it is speculated that the deep discount of small - cap stock indices recently is due to the expansion of neutral product scale since this year. As the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue. It is recommended to go long on the economy, and it is advisable to allocate IF, IC, IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [2]. - For treasury bond futures, although the current spot bonds show a pattern of strong supply and weak demand, this pattern is expected to change in the future. The government bond net supply rhythm may slow down in June, the long - term liability cost of insurance may be lowered in July, and the domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. It is recommended to go long in the short - term and short in the long - term, buy T and TL contracts on dips in the short - term, and hedge T and TL contracts on rallies in the long - term [3]. 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - The table shows the performance of stock index futures and spot markets, including details such as code, name, price changes, trading volume, open interest, and basis. For example, for IC2506, the price change was -0.26%, the current price was 5568.0 points, and the basis was 69.2 points [5]. 3.2 Treasury Bond Futures and Spot Market Performance - The table presents the performance of treasury bond futures and spot markets, including code, name, price changes, trading volume, net basis, and CTD bond implied interest rates. For instance, for TS2506, the price change was -0.01%, the current price was 102.2 points, and the net basis was 0.0 [6]. 3.3 Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities has declined, while the real estate market has improved [10].

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Regarding stock index futures, it is speculated that the deep discount of small - cap stock indexes recently is due to the scale expansion of neutral products this year. With the bond bull market not restarted, the high proportion of short positions in neutral products may keep the deep discount. The report maintains the judgment of being bullish on the economy, recommends buying IF, IC, and IM forward contracts on dips, and advises caution with near - month contracts of IC and IM due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, although the current situation of bond spot market shows strong supply and weak demand, it is expected to change. Factors include the increase in government bond maturity in June, the possible reduction of long - term liability costs of insurance in July, and the return of domestic market risk preference to a defensive style. It is suggested to take a short - term long and medium - to - 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]. 3. Summary by Relevant Catalogs (1) Stock Index Futures Spot and Futures Market Performance - On May 26, most of the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.05% to 3346.84 points, the Shenzhen Component Index dropped 0.41% to 10091.16 points, the ChiNext Index decreased 0.8% to 2005.26 points, while the Sci - tech Innovation 50 Index rose 0.17% to 982.26 points. Market trading volume was 1.0339 trillion yuan, a decrease of 148.7 billion yuan from the previous day. In terms of industry sectors, media, computer, and environmental protection led the gains, while automobile, pharmaceutical biology, and comprehensive sectors led the losses [2]. - The basis of IM, IC, IF, and IH next - month contracts were 195.39, 153.86, 68.31, and 47.22 points respectively, with annualized basis yields of - 20.77%, - 17.4%, - 11.34%, and - 11.21%. The three - year historical quantiles were 3%, 3%, 2%, and 8% respectively, indicating that the futures - spot price difference remained at a low level [2]. (2) Treasury Bond Futures Spot and Futures Market Performance - On May 26, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond decreased by 173 bps to 1.356, the five - year bond by 373 bps to 1.488, the ten - year bond remained flat at 1.638, and the thirty - year bond decreased by 79 bps to 1.968 [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. The central bank's open - market operations had a net injection of 24.7 billion yuan [4]. (3) Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities declined, while the real estate prosperity increased [12].