Report Summary 1. Market Performance - On June 17th, the four major A-share stock indexes pulled back. The Shanghai Composite Index dropped 0.04% to 3387.4 points, the Shenzhen Component Index declined 0.12% to 10151.43 points, the ChiNext Index fell 0.36% to 2049.94 points, and the STAR 50 Index decreased 0.8% to 963.08 points. Market turnover was 1237.1 billion yuan, 6.5 billion yuan less than the previous day [2]. - In the industry sector, coal (+0.89%), public utilities (+0.82%), and petroleum and petrochemicals (+0.72%) led the gains, while pharmaceutical biology (-1.44%), beauty care (-1.24%), and media (-1.22%) led the losses [2]. - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 2250, 247, and 2916 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -7.6 billion, -11.9 billion, 2 billion, and 17.6 billion yuan respectively, with changes of -9.6 billion, -7.3 billion, +11.2 billion, and +5.6 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 102.87, 70.11, 42.78, and 40.75 points respectively, with basis annualized yields of -17.45%, -12.7%, -11.51%, and -15.82%. Their three - year historical quantiles were 9%, 10%, 3%, and 1% respectively [3]. - **Trading Strategy**: Recently, small - cap stock indexes have a deep discount, presumably due to the expansion of neutral product scale this year. Since 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, leading to market fluctuations. Short - cycle band strategies are advisable. In the medium - to - long term, it is recommended to go long on the economy. Buying IF, IC, and IM forward contracts on dips is recommended. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indexes, so caution is advised [3]. 3. Treasury Bond Futures - **Market Performance**: On June 17th, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.283, down 4.91bps from the previous day; the five - year bond was 1.43, down 3.61bps; the ten - year bond was 1.553, down 2.09bps; and the thirty - year bond was 1.919, down 1.2bps [3]. - **Cash Bonds**: The current active contract is the 2509 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [4]. - **Funding Situation**: In open - market operations, the central bank injected 197.3 billion yuan and withdrew 198.6 billion yuan, resulting in a net withdrawal of 1.3 billion yuan [4]. - **Trading Strategy**: The cash bond market has a characteristic of strong supply and weak demand recently, but this pattern is expected to change. It is recommended to go short in the long - term and long in the short - term. Buy T and TL contracts on dips in the short - term and hedge T and TL contracts on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [12]. - Short - end funding rates: SHIBOR overnight, DR001, SHIBOR one - week, and DR007 have shown certain changes compared to yesterday, a week ago, and a month ago [12].

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].