金融研究 2025年11月24日 星期一 金融期货早班车 招商期货有限公司 市场表现：11 月 21 日，A 股四大股指延续调整，其中上证指数下跌 2.45%，报收 3834.89 点；深成 指下跌 3.41%，报收 12538.07 点；创业板指下跌 4.02%，报收 2920.08 点；科创 50 指数下跌 3.19%， 报收 1285.83 点。市场成交 19,836 亿元，较前日增加 2,610 亿元。行业板块方面，传媒(-0.32%)， 家用电器(-0.4%)，食品饮料(-0.88%)涨幅居前；综合(-5.5%)，有色金属(-5.26%)，电力设备(-5.17%) 跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 351/26/5,071。沪深两市，机构、 主力、大户、散户全天资金分别净流入-522、-464、195、791 亿元，分别变动-366、-254、+161、 股指期货 +459 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 49.5、47.41、25.21 与 9.45 点，基差年化收益率分别 为-8.34%、-8.28%、-6.74%与-3.81%，三 ...

2025年11月20日 星期四 金融研究 金融期货早班车 招商期货有限公司 | | 市场表现：11 月 日，A 股四大股指涨跌不一，其中上证指数上涨 0.18%，报收 点；深 19 3946.74 | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 成指下跌 0%，报收 13080.09 点；创业板指上涨 0.25%，报收 3076.85 点；科创 50 指数下跌 | | | | | | | | | | | | 0.97%，报收 1344.8 点。市场成交 17,427 亿元，较前日减少 2,033 亿元。行业板块方面，有色金 | | | | | | | | | | | | | | | | | 属(+2.39%)，石油石化(+1.67%)，国防军工(+1.11%)涨幅居前；综合(-3.08%)，房地产(-2.09%)， | | | | | | | 1,196/76/4,173。沪 | | | | | | 传媒(-1.72%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/ ...

金融研究 2025年11月19日 星期三 金融期货早班车 招商期货有限公司 市场表现：11 月 18 日，A 股四大股指有所调整，其中上证指数下跌 0.81%，报收 3939.81 点；深成 指下跌 0.92%，报收 13080.49 点；创业板指下跌 1.16%，报收 3069.22 点；科创 50 指数上涨 0.29%， 报收 1357.93 点。市场成交 19,460 亿元，较前日增加 156 亿元。行业板块方面，传媒(+1.6%)，计 算机(+0.93%)，电子(+0.12%)涨幅居前；煤炭(-3.17%)，电力设备(-2.97%)，钢铁(-2.85%)跌幅居前。 从市场强弱看，IH>IF>IM>IC，个股涨/平/跌数分别为 1,274/67/4,103。沪深两市，机构、主力、大 户、散户全天资金分别净流入-354、-270、154、471 亿元，分别变动-307、-149、+156、+300 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 96.3、71.22、13.19 与 5.42 点，基差年化收益率分别 为-13.47%、-10.37%、-3.01%与-1.88%，三年期 ...

金融研究 2025年11月18日 星期二 金融期货早班车 招商期货有限公司 市场表现：11 月 17 日，A 股四大股指有所调整，其中上证指数下跌 0.46%，报收 3972.03 点；深成 指下跌 0.11%，报收 13202 点；创业板指下跌 0.2%，报收 3105.2 点；科创 50 指数下跌 0.53%， 报收 1354.04 点。市场成交 19,303 亿元，较前日减少 501 亿元。行业板块方面，计算机(+1.67%)， 国防军工(+1.59%)，煤炭(+1.32%)涨幅居前；医药生物(-1.73%)，银行(-1.31%)，非银金融(-1.11%) 跌幅居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 2,582/138/2,724。沪深两市，机构、 主力、大户、散户全天资金分别净流入-47、-121、-3、171 亿元，分别变动+332、+120、-133、-318 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 128.68、91.95、16.65 与 2.87 点，基差年化收益率分 别为-17.1%、-12.71%、-3.62%与-0.95%，三年期历 ...

金融研究 2025年11月17日 星期一 金融期货早班车 招商期货有限公司 市场表现：11 月 14 日，A 股四大股指有所调整，其中上证指数下跌 0.97%，报收 3990.49 点；深成 指下跌 1.93%，报收 13216.03 点；创业板指下跌 2.82%，报收 3111.51 点；科创 50 指数下跌 2.72%， 报收 1361.23 点。市场成交 19,804 亿元，较前日减少 853 亿元。行业板块方面，综合(+1.58%)，房 地产(+0.39%)，银行(+0.26%)涨幅居前；电子(-3.09%)，通信(-2.46%)，传媒(-2.16%)跌幅居前。从 市场强弱看，IH>IM>IF>IC，个股涨/平/跌数分别为 1,959/164/3,320。沪深两市，机构、主力、大户、 散户全天资金分别净流入-379、-241、131、489 亿元，分别变动-557、-188、+260、+484 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 130.76、98.06、27.74 与 8.03 点，基差年化收益率分 别为-16.76%、-13.03%、-5.76%与-2.54%，三年 ...

Report Overview - Report Date: November 11, 2025 [doc id='1'] - Report Company: China Merchants Futures Co., Ltd. [doc id='1'] 1. Market Performance Stock Index Futures and Spot Market - On November 10, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.53% to close at 4,018.6 points; the Shenzhen Component Index rose 0.18% to close at 13,427.61 points; the ChiNext Index fell 0.92% to close at 3,178.83 points; the STAR 50 Index fell 0.57% to close at 1,407.56 points. Market turnover was 2.1944 trillion yuan, an increase of 174.2 billion yuan from the previous day [doc id='2']. - In terms of industry sectors, beauty care (+3.6%), food and beverage (+3.22%), and commercial and retail (+2.69%) led the gains; power equipment (-1.09%), machinery and equipment (-0.71%), and electronics (-0.51%) led the losses [doc id='2']. - In terms of market strength, IH > IF > IM > IC. The number of rising/flat/falling stocks was 3,373/118/1,952 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -12.1 billion, -13.3 billion, 400 million, and 25.1 billion yuan respectively, with changes of -100 million, +4.4 billion, -4.2 billion, and -100 million yuan respectively [doc id='2']. - The basis of the next - month contracts of IM, IC, IF, and IH were 142.25, 108, 23.05, and -0.14 points respectively. The annualized basis yields were -15.67%, -12.26%, -4.09%, and 0.04% respectively, and the three - year historical quantiles were 13%, 12%, 23%, and 45% respectively [doc id='2']. Bond Futures Market - On November 10, interest - rate bonds rose slightly. Among the active contracts, TS remained flat, TF rose 0.02%, T rose 0.01%, and TL rose 0.22% [doc id='3']. - For the current active 2512 contracts: - The CTD bond of the 2 - year Treasury bond futures was 250012.IB, with a yield change of +0bps, a corresponding net basis of -0.011, and an IRR of 1.6% [doc id='3']. - The CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of -0.25bps, a corresponding net basis of -0.025, and an IRR of 1.75% [doc id='3']. - The CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of -0.75bps, a corresponding net basis of -0.006, and an IRR of 1.56% [doc id='3']. - The CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of -1bps, a corresponding net basis of -0.031, and an IRR of 1.75% [doc id='3']. - In terms of the money market, the central bank injected 119.9 billion yuan and withdrew 78.3 billion yuan through open - market operations, resulting in a net injection of 41.6 billion yuan [doc id='3']. 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains a bullish view 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 [doc id='3']. Bond Futures - In the short term, it is bullish. The implied interest rate of ultra - long bonds (2.2) has sufficient cost - effectiveness. In the medium - to - long term, with an upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [doc id='3']. 3. Economic Data - High - frequency data shows that at the beginning of November, the import and export business climate was better than the same period, while the infrastructure business climate was worse than the same period [doc id='10']. 4. Tables and Figures Tables - Table 1 shows the performance of stock index futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and basis [doc id='6']. - Table 2 shows the performance of Treasury bond futures and spot markets, including details such as code, name, percentage change, current price, trading volume, and net basis [doc id='7']. - Table 3 shows the changes in the short - term money market interest rates, including SHIBOR overnight rates [doc id='10']. Figures - Figure 1 shows the term structure of Treasury bond spot prices [doc id='8']. - Figure 2 shows the tracking of domestic meso - level data [doc id='11'].

Report Summary 1. Market Performance - On November 7, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.25% to 3997.56 points, the Shenzhen Component Index down 0.36% to 13404.06 points, the ChiNext Index down 0.51% to 3208.21 points, and the STAR 50 Index down 1.47% to 1415.69 points. Market turnover was 20,202 billion yuan, a decrease of 557 billion yuan from the previous day [2]. - In terms of industry sectors, basic chemicals (+2.39%), comprehensive (+1.45%), and petroleum and petrochemicals (+1.38%) led the gains; computers (-1.83%), electronics (-1.34%), and household appliances (-1.17%) led the losses [2]. - In the stock index futures market, the basis of the next-month contracts of IM, IC, IF, and IH were 129.88, 97.71, 19.39, and 0.15 points respectively, with annualized basis yields of -13.89%, -10.75%, -3.34%, and -0.04% respectively, and three-year historical quantiles of 19%, 16%, 28%, and 45% respectively [3]. - In the bond market, on November 7, interest rate bonds declined slightly. Among the active contracts, TS fell 0.02%, TF fell 0.05%, T fell 0.09%, and TL fell 0.15% [3]. 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 - term substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. - **Treasury Bond Futures**: In the short term, it is bullish. The implied interest rate of ultra - long bonds at 2.2 has sufficient cost - effectiveness; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [4]. 3. Specific Market Data Stock Index Futures and Spot Markets - The report provides detailed performance data of various stock index futures contracts (such as IC2511, IF2511, etc.), including price, trading volume, open interest, basis, and annualized basis yield [6]. Treasury Bond Futures and Spot Markets - The report presents the performance data of various treasury bond futures contracts (such as TS2512, TF2512, etc.), including price, trading volume, open interest, net basis, and CTD bond implied interest rate [7]. Short - term Fund Interest Rate Market - The current price of SHIBOR overnight is 1.327, compared with 1.313 yesterday, 1.321 a week ago, and 1.379 a month ago [10]. 4. Economic Data - High - frequency data shows that at the beginning of November, the import and export sentiment was better than the same period, while the infrastructure sentiment was worse than the same period [10].

1. Report Industry Investment Rating - No relevant content provided. 2. Core Views of the Report - For the stock index futures market, maintain a long - term bullish view on the economy. Using stock indices as long - term substitutes has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2]. - For the bond futures market, be short - term bullish. The implied interest rate of ultra - long bonds at 2.2 is 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 [3]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On November 6, the four major A - share stock indices were strong. The Shanghai Composite Index rose 0.97% to 4007.76 points, the Shenzhen Component Index rose 1.73% to 13452.42 points, the ChiNext Index rose 1.84% to 3224.62 points, and the STAR 50 Index rose 3.34% to 1436.86 points. Market turnover was 20,759 billion yuan, an increase of 1,816 billion yuan from the previous day [2]. - In terms of industry sectors, non - ferrous metals (+3.05%), electronics (+3%), and communications (+2.37%) led the gains; media (-1.35%), social services (-1.1%), and commercial retail (-1.04%) led the losses [2]. - From the perspective of market strength, IC > IF > IH > IM. The number of rising, flat, and falling stocks was 2,876, 179, and 2,384 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 44, - 82, - 53, and 91 billion yuan respectively, with changes of +71, +26, - 12, and - 84 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 146.83, 99.32, 22.6, and 3.34 points respectively, and the annualized basis yields were - 15.19%, - 10.56%, - 3.76%, and - 0.86% respectively, with three - year historical quantiles of 14%, 17%, 25%, and 37% respectively [2]. 3.2 Treasury Bond Futures and Spot Market Performance - On November 6, interest - rate bonds were basically flat. Among the active contracts, TS rose 0.01%, TF fell 0.03%, T fell 0.09%, and TL fell 0.28% [3]. - 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 - 0.036, and an IRR of 1.76%; the CTD bond of the 5 - year Treasury bond futures was 250003.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.03, and an IRR of 1.7%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of +1.25bps, a corresponding net basis of - 0.038, and an IRR of 1.73%; the CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of +2bps, a corresponding net basis of - 0.092, and an IRR of 2.07% [3]. - In terms of the money market, the central bank injected 928 billion yuan and withdrew 3,426 billion yuan, resulting in a net withdrawal of 2,498 billion yuan [3]. 3.3 Economic Data - High - frequency data shows that recently, except for the manufacturing sector, the prosperity of each sector is lower than the same period in previous years [10].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips as there is a certain excess return when using stock indices as long - term substitutes [3]. - For bond futures, in the short - term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it is suggested to hedge T and TL contracts on rallies [4]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On November 3, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index rose 0.55% to 3976.52 points, the Shenzhen Component Index rose 0.19% to 13404.06 points, the ChiNext Index rose 0.29% to 3196.87 points, and the STAR 50 Index fell 1.04% to 1400.86 points. Market turnover was 21,329 billion yuan, a decrease of 2,169 billion yuan from the previous day. In terms of industry sectors, media, coal, and petroleum and petrochemical led the gains, while non - ferrous metals, household appliances, and the comprehensive sector led the losses. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 89, - 133, 30, and 192 billion yuan respectively, with changes of + 157, + 59, + 26, and - 242 billion yuan respectively [2]. - **Basis and Trading Strategy**: The basis of the next - month contracts of IM, IC, IF, and IH were 140.12, 94, 18.6, and - 0.25 points respectively, with annualized basis yields of - 13.28%, - 9.16%, - 2.86%, and 0.06%, and three - year historical quantiles of 21%, 22%, 32%, and 45% respectively. The long - term trading strategy is to maintain a long position on the economy, and it is recommended to allocate long positions in forward contracts of various varieties on dips [3]. 3.2 Bond Futures - **Market Performance**: On November 3, interest - rate bonds were basically flat. Among the active contracts, TS fell 0.03%, TF fell 0.01%, T rose 0.01%, and TL fell 0.11% [3]. - **Cash Bond and Trading Strategy**: The current active contract is the 2512 contract. The CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided. In terms of the money market, the central bank had a net withdrawal of 2,590 billion yuan. The short - term trading strategy is to be bullish, and in the medium - to - long - term, it is recommended to hedge T and TL contracts on rallies [4]. 3.3 Economic Data High - frequency data shows that recently, except for the manufacturing sector, the prosperity of each sector is lower than the same period in previous years [10].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. - For bond futures, take a short - term bullish stance. The implied interest rate of ultra - long bonds at 2.2 is considered cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On October 27, the four major A - share stock indices continued to be strong. The Shanghai Composite Index rose 1.18% to 3996.94 points, the Shenzhen Component Index rose 1.51% to 13489.4 points, the ChiNext Index rose 1.98% to 3234.45 points, and the Science and Technology Innovation 50 Index rose 1.5% to 1484.21 points. Market turnover was 23,566 billion yuan, an increase of 3,650 billion yuan from the previous day. Communication, electronics, and comprehensive sectors led the gains, while media, food and beverage, and real estate sectors led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3,360, 217, and 1,859 respectively. Institutional, main, large - scale, and retail investors had net inflows of 4, - 80, - 4, and 79 billion yuan respectively, with changes of - 183, - 42, + 106, and + 119 billion yuan respectively [1]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 172.78, 124.99, 31.62, and 2.73 points respectively, and the basis annualized yields were - 14.41%, - 10.59%, - 4.19%, and - 0.56% respectively. The three - year historical quantiles were 18%, 17%, 21%, and 39% respectively [1]. - **Trading Strategy**: In the medium - to long - term, maintain a bullish view on the economy. Using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. 3.2 Bond Futures - **Market Performance**: On October 27, the bond market rebounded. Among the active contracts, TS rose 0.05%, TF rose 0.12%, T rose 0.15%, and TL rose 0.32% [1]. - **Cash Bonds**: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided [1]. - **Funding Situation**: The central bank injected 3,373 billion yuan into the market and withdrew 1,890 billion yuan, resulting in a net injection of 1,483 billion yuan [1]. - **Trading Strategy**: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 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, while the manufacturing prosperity is good [8].