市场表现：8 月 25 日，A 股四大股指全线上行，其中上证指数上涨 1.51%，报收 3883.56 点；深成 指上涨 2.26%，报收 12441.07 点；创业板指上涨 3%，报收 2762.99 点；科创 50 指数上涨 3.2%， 报收 1287.73 点。市场成交 31,769 亿元，较前日增加 5,981 亿元。行业板块方面，通信(+4.85%)， 有色金属(+4.63%)，房地产(+3.32%)涨幅居前；美容护理(+0.01%)，纺织服饰(+0.17%)，石油石化 (+0.39%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 3,349/178/1,896。沪深两 市，机构、主力、大户、散户全天资金分别净流入-139、-304、53、390 亿元，分别变动-280、-135、 +252、+163 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 112.73、75.1、-2.38 与-3.15 点，基差年化收益率分别 股指期货 金融研究 2025年8月26日 星期二 金融期货早班车 招商期货有限公司 敬请阅读末页的重要说明 金融研究 为-11.08%、-7.9 ...

敬请阅读末页的重要说明 2025年8月22日 星期五 金融研究 金融期货早班车 招商期货有限公司 | | 市场表现：8 月 日，A 股四大股指涨跌不一，其中上证指数上涨 0.13%，报收 21 3771.1 | | | 点；深成指 | | | --- | --- | --- | --- | --- | --- | | | 下跌 0.06%，报收 11919.76 点；创业板指下跌 0.47%，报收 2595.47 点；科创 50 指数上涨 | 0.09%， | | | | | | 报收 1149.15 点。市场成交 24,603 亿元，较前日增加 119 亿元。行业板块方面，农林牧渔(+1.5%)， | | | | | | | 石油石化(+1.39%)，美容护理(+0.98%)涨幅居前；机械设备(-1.08%)，电力设备(-0.98%)，综合 | | | | | | | (-0.73%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 2,169/164/3,087。沪深两 | | | | | | | 市，机构、主力、大户、散户全天资金分别净流入-209、-308、56、461 亿元，分 ...

金融研究 2025年8月15日 星期五 金融期货早班车 招商期货有限公司 市场表现：8 月 14 日，A 股四大股指有所回调，其中上证指数下跌 0.46%，报收 3666.44 点；深成 指下跌 0.87%，报收 11451.43 点；创业板指下跌 1.08%，报收 2469.66 点；科创 50 指数上涨 0.75%， 报收 1085.74 点。市场成交 23,063 亿元，较前日增加 1,311 亿元。行业板块方面，非银金融(+0.59%) 涨幅居前；综合(-2.66%)，国防军工(-2.15%)，通信(-2.12%)跌幅居前。从市场强弱看，IH>IF>IC>IM， 个股涨/平/跌数分别为 734/41/4,644。沪深两市，机构、主力、大户、散户全天资金分别净流入-254、 -289、62、481 亿元，分别变动-331、-190、+185、+335 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 47.29、49.65、9.51 与-0.13 点，基差年化收益率分别 为-6.28%、-7.15%、-2.11%与 0.04%，三年期历史分位数分别为 57%、31%、37%及 45%。 ...

2025年8月14日 星期四 金融期货早班车 招商期货有限公司 市场表现：8 月 13 日，A 股四大股指全线上行，其中上证指数上涨 0.48%，报收 3683.46 点；深成 指上涨 1.76%，报收 11551.36 点；创业板指上涨 3.62%，报收 2496.5 点；科创 50 指数上涨 0.74%， 报收 1077.7 点。市场成交 21,752 亿元，较前日增加 2,700 亿元。行业板块方面，通信(+4.91%)， 有色金属(+2.37%)，电子(+2.01%)涨幅居前；银行(-1.06%)，煤炭(-0.81%)，食品饮料(-0.42%)跌幅 居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 2,730/233/2,456。沪深两市，机构、主 力、大户、散户全天资金分别净流入 76、-99、-123、146 亿元，分别变动+165、+44、-111、-98 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 62.53、56.3、5.78 与-5.82 点，基差年化收益率分别为 -7.9%、-7.72%、-1.24%与 1.85%，三年期历史分位数分别为 49% ...

金融研究 2025年8月13日 星期三 金融期货早班车 招商期货有限公司 市场表现：8 月 12 日，A 股四大股指全线上行，其中上证指数上涨 0.5%，报收 3665.92 点；深成指 上涨 0.53%，报收 11351.63 点；创业板指上涨 1.24%，报收 2409.4 点；科创 50 指数上涨 1.91%， 报收 1069.81 点。市场成交 19,052 亿元，较前日增加 553 亿元。行业板块方面，通信(+2.24%)，电 子(+1.88%)，煤炭(+1.01%)涨幅居前；国防军工(-1.03%)，钢铁(-0.83%)，建筑材料(-0.46%)跌幅居 前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 2,083/172/3,162。沪深两市，机构、主力、 大户、散户全天资金分别净流入-89、-143、-12、244 亿元，分别变动-207、-97、+160、+145 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 80.01、75.56、12.63 与-2.59 点，基差年化收益率分别 为-9.91%、-10.15%、-2.63%与 0.79%，三年期历史分位 ...

招商期货有限公司 市场表现：8 月 5 日，A 股四大股指全线上行，其中上证指数上涨 0.96%，报收 3617.6 点；深成指 上涨 0.59%，报收 11106.96 点；创业板指上涨 0.39%，报收 2343.38 点；科创 50 指数上涨 0.4%， 报收 1053.65 点。市场成交 16,158 亿元，较前日增加 976 亿元。行业板块方面，综合(+1.98%)，银 行(+1.59%)，钢铁(+1.45%)涨幅居前；医药生物(+0.12%)，计算机(+0.25%)，建筑材料(+0.3%)跌幅 居前。从市场强弱看，IF>IH>IM>IC，个股涨/平/跌数分别为 3,901/189/1,325。沪深两市，机构、主 力、大户、散户全天资金分别净流入-19、-107、-14、140 亿元，分别变动-38、-48、+71、+15 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 105.48、104.64、21.45 与-0.27 点，基差年化收益率分 别为-11.43%、-12.21%、-3.84%与 0.07%，三年期历史分位数分别为 29%、10%、24%及 46%。 金融研究 ...

金融研究 2025年8月5日 星期二 金融期货早班车 招商期货有限公司 | 点；深成指 | 市场表现：8 月 4 日，A 股四大股指低开高走，其中上证指数上涨 0.66%，报收 3583.31 | | | | | | --- | --- | --- | --- | --- | --- | | 1.22%， | 上涨 0.46%，报收 11041.56 点；创业板指上涨 0.5%，报收 2334.32 点；科创 50 指数上涨 | | | | | | | 报收 1049.41 点。市场成交 15,182 亿元，较前日减少 1,017 亿元。行业板块方面，国防军工(+3.06%)， | | | | | | | | | | 机械设备(+1.93%)，有色金属(+1.87%)涨幅居前；商贸零售(-0.46%)，石油石化(-0.36%)，社会服务 | | | | (-0.21%)跌幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 3,875/230/1,310。沪深两 | | | | | | | 市，机构、主力、大户、散户全天资金分别净流入 20、-58、-86、124 亿元，分别变动+151、+5 ...

Report Overview - The report is a financial futures morning briefing released by China Merchants Futures Co., Ltd. on July 30, 2025, covering A-share market performance, stock index futures, treasury bond futures, and economic data [1][2] Market Performance A-share Market - On July 29, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.33% to 3,609.71 points, the Shenzhen Component Index up 0.64% to 11,289.41 points, the ChiNext Index up 1.86% to 2,406.59 points, and the STAR 50 Index up 1.45% to 1,070.45 points [2] - Market turnover was 1.8293 trillion yuan, an increase of 63.2 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.29%), steel (+2.59%), and pharmaceutical biology (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.36%), banking (-1.19%), and beauty care (-0.71%) led the losses [2] - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 2,240/176/2,999 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -13.7 billion, -13.5 billion, 3.2 billion, and 24 billion yuan respectively, with changes of -10.9 billion, -5.1 billion, +1.6 billion, and +14.3 billion yuan respectively [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 111.88, 93.13, 10.62, and -5.41 points respectively, with annualized basis yields of -10.59%, -9.39%, -1.64%, and 1.23% respectively, and three - year historical quantiles of 33%, 16%, 42%, and 61% respectively [3] - The trading strategy is to maintain a long - term bullish view on the economy and recommend buying forward contracts of each variety on dips [3] Treasury Bond Futures - On July 29, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.441, up 4.12 bps from the previous day; the implied interest rate of the five - year bond was 1.612, up 4.11 bps; the implied interest rate of the ten - year bond was 1.712, up 4.27 bps; and the implied interest rate of the thirty - year bond was 2.057, up 4.31 bps [3] - For the current active contract 2509, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +2.75 bps, a corresponding net basis of 0.012, and an IRR of 1.47%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +4.5 bps, a corresponding net basis of 0.014, and an IRR of 1.46%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of +4 bps, a corresponding net basis of 0.024, and an IRR of 1.38%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +4.25 bps, a corresponding net basis of 0.121, and an IRR of 0.89% [3] - The trading strategy is to recommend hedging T and TL contracts on rallies in the medium - to - long term due to rising risk appetite and economic recovery expectations [4] Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with industrial added value in June exceeding the same period [10] - Short - term capital interest rates have changed. For example, SHIBOR overnight is at 1.37, down from 1.47 the previous day; DR001 is at 1.36, down from 1.46 the previous day [10]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in various forward contracts on dips as stock index long - position substitution has certain excess returns [3]. - With the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On July 28, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.12% to 3597.94 points, the Shenzhen Component Index rose 0.44% to 11217.58 points, the ChiNext Index rose 0.96% to 2362.6 points, and the STAR 50 Index rose 0.09% to 1055.11 points. Market turnover was 17,662 billion yuan, a decrease of 493 billion yuan from the previous day [2]. - In terms of industry sectors, national defense and military industry (+1.86%), non - bank finance (+1.51%), and pharmaceutical biology (+1.47%) led the gains; coal (-2.6%), steel (-1.41%), and transportation (-1.38%) led the losses [2]. - From the perspective of market strength, IC>IM>IH>IF. The number of rising, flat, and falling stocks was 2,781, 197, and 2,436 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 28 billion, - 85 billion, 16 billion, and 97 billion yuan respectively, with changes of +116 billion, +81 billion, - 16 billion, and - 181 billion yuan respectively [2]. - For stock index futures, the basis of the next - month contracts of IM, IC, IF, and IH were 127.98, 101.42, 13.82, and - 3.03 points respectively. The annualized basis yields were - 11.89%, - 10.02%, - 2.09%, and 0.68% respectively, and the three - year historical quantiles were 26%, 14%, 38%, and 53% respectively [2]. (2) Treasury Bond Futures and Spot Market Performance - On July 28, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.402, down 2.53 bps from the previous day; the five - year bond was 1.57, down 3.26 bps; the ten - year bond was 1.668, down 3.09 bps; and the thirty - year bond was 2.014, down 3.21 bps [3]. - For the current active 2509 contract, the CTD bond of the 2 - year treasury bond futures was 250006.IB, with a yield change of - 1.25 bps, a corresponding net basis of 0, and an IRR of 1.58%; the 5 - year was 240020.IB, with a yield change of - 2.5 bps, a net basis of 0.023, and an IRR of 1.42%; the 10 - year was 250007.IB, with a yield change of - 1.75 bps, a net basis of 0.026, and an IRR of 1.39%; the 30 - year was 210005.IB, with a yield change of - 2.25 bps, a net basis of 0.068, and an IRR of 1.2% [3]. - In terms of the money supply, the central bank injected 4,958 billion yuan and withdrew 1,707 billion yuan in the open market, with a net injection of 3,251 billion yuan [4]. (3) Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with the industrial added value in June exceeding the same period [12]. - Based on the domestic medium - term data tracking chart, positive scores represent an improvement in prosperity, negative scores represent a weakening of prosperity, and zero scores represent little change in prosperity [14][15].

Report Summary 1. Market Performance - **Stock Index**: On July 21, the four major A-share stock indexes were all strong. The Shanghai Composite Index rose 0.72% to close at 3,559.79 points, the Shenzhen Component Index rose 0.86% to close at 11,007.49 points, the ChiNext Index rose 0.87% to close at 2,296.88 points, and the STAR 50 Index rose 0.04% to close at 1,007.89 points. Market turnover was 1.7271 trillion yuan, an increase of 133.8 billion yuan from the previous day. In terms of industry sectors, building materials (+6.06%), building decoration (+3.79%), and steel (+3.44%) led the gains; banks (-0.77%), composites (-0.34%), and computers (-0.31%) led the losses. From the perspective of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,002/121/1,291 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9, -127, -46, and 18.2 billion yuan respectively, with changes of +12.6, -0.6, -8.2, and -3.8 billion yuan respectively [1]. - **Stock Index Futures Basis**: The basis of the next - month contracts of IM, IC, IF, and IH were 149.06, 105.71, 20.81, and 1.04 points respectively, and the annualized basis yields were -12.52%, -9.53%, -2.83%, and -0.21% respectively, with three - year historical quantiles of 23%, 16%, 32%, and 45% respectively [1]. - **Treasury Bond Futures**: On July 21, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.363, up 1.19 bps from the previous day; the implied interest rate of the five - year bond was 1.513, up 1.69 bps; the implied interest rate of the ten - year bond was 1.613, up 1.21 bps; and the implied interest rate of the thirty - year bond was 1.958, up 2.78 bps [2]. - **Cash Bonds**: 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 -0.023, and an IRR of 1.63%; for the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of +1.25 bps, a corresponding net basis of -0.031, and an IRR of 1.68%; for the 10 - year treasury bond futures, the CTD bond is 250007.IB, with a yield change of +1.8 bps, a corresponding net basis of -0.041, and an IRR of 1.75%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +2.25 bps, a corresponding net basis of 0.033, and an IRR of 1.33% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 170.7 billion yuan and withdrew 226.2 billion yuan, resulting in a net withdrawal of 55.5 billion yuan [2]. 2. Trading Strategies - **Stock Index Futures**: 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 each variety on dips [1]. - **Treasury Bond Futures**: It is recommended to hedge T and TL contracts on rallies for medium - and long - term investors [2]. 3. Economic Data - High - frequency data shows that the real - estate market has recently contracted in terms of prosperity, while the manufacturing industry has seen a recovery in prosperity as the industrial added value in June exceeded the same period [11]. 4. Tables and Figures - **Table 1**: Shows the performance of stock index futures and spot markets, including details such as code, name, price change percentage, current price, price change, trading volume, trading value, open interest, daily position change, settlement price, basis, and annualized basis yield [6]. - **Table 2**: Displays the performance of treasury bond futures and spot markets, including information on code, name, price change percentage, current price, trading volume, trading value, open interest, daily position change, settlement price, net basis, and CTD bond implied interest rate [7]. - **Table 3**: Presents the changes in the short - end funding rate market, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007 rates compared with yesterday, one week ago, and one month ago [11]. - **Figure 1**: Illustrates the term structure of treasury bond spot prices [8][9]. - **Figure 2**: Tracks domestic medium - level economic data, based on the comparison of medium - level data in each module with the same period in the past five years (year - on - year month - on - month), scored according to the degree of change [12][13].