敬请阅读末页的重要说明 2026年3月3日 星期二 金融研究 金融期货早班车 招商期货有限公司 | | 市场表现：3 月 日，A 股四大股指涨跌不一，其中上证指数上涨 0.47%，报收 点；深成指 2 4182.59 | | --- | --- | | | 下跌 0.2%，报收 14465.79 点；创业板指下跌 0.49%，报收 3294.16 点；科创 50 指数下跌 1.56%， | | | 报收 1464.77 点。市场成交 30,458 亿元，较前日增加 5,403 亿元。行业板块方面，石油石化(+7.95%)， | | | 煤炭(+3.77%)，有色金属(+3.17%)表现较好；传媒(-3.98%)，计算机(-2.88%)，社会服务(-2.68%)表 | | | 现一般。从市场强弱看，IF>IH>IC>IM，个股涨/平/跌数分别为 1,141/61/4,277。沪深两市，机构、 | | | 主力、大户、散户全天资金分别净流入-371、-314、154、531 亿元，分别变动-309、-131、+140、 | | 股指期货 | +300 亿元。 | | | 为-8.39%、-4.7%、-4.05%与 ...

金融研究 2026年3月2日 星期一 金融期货早班车 招商期货有限公司 市场表现：2 月 27 日，A 股四大股指涨跌不一，其中上证指数上涨 0.39%，报收 4162.88 点；深成 指下跌 0.06%，报收 14495.09 点；创业板指下跌 1.04%，报收 3310.3 点；科创 50 指数上涨 0.15%， 报收 1488.02 点。市场成交 25,055 亿元，较前日减少 512 亿元。行业板块方面，钢铁(+3.37%)，煤 炭(+3.2%)，有色金属(+3.1%)表现较好；建筑材料(-1.45%)，通信(-1.38%)，电子(-0.71%)表现一般。 从市场强弱看，IC>IM>IH>IF，个股涨/平/跌数分别为 3,267/146/2,066。沪深两市，机构、主力、大 户、散户全天资金分别净流入-62、-183、15、231 亿元，分别变动+45、+10、-73、+18 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 74.64、38.25、4.25 与-7.57 点，基差年化收益率分别 为-6.23%、-3.16%、-0.64%与 1.78%，三年期历史分位数分别为 61% ...

市场表现：2 月 24 日，A 股四大股指全线上涨，其中上证指数上涨 0.87%，报收 4117.41 点；深成 指上涨 1.36%，报收 14291.57 点；创业板指上涨 0.99%，报收 3308.26 点；科创 50 指数下跌 0.34%， 报收 1465.37 点。市场成交 22,182 亿元，较前日增加 2,192 亿元。行业板块方面，石油石化(+5.53%)， 建筑材料(+3.71%)，基础化工(+3.45%)表现较好；传媒(-3.2%)，计算机(-1.81%)，商贸零售(-1.46%) 表现一般。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 4,003/87/1,388。沪深两市，机构、 主力、大户、散户全天资金分别净流入 5、-110、-54、160 亿元，分别变动+146、+93、-122、-116 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 28.77、21.31、24.14 与 3.92 点，基差年化收益率分别 为-4.56%、-3.34%、-6.75%与-1.7%，三年期历史分位数分别为 71%、66%、17%及 34%。 金融研究 交易策略： ...

1. Report Investment Rating - No relevant information provided 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, and suggest buying long - term contracts of various varieties on dips [2] - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Directory (1) Stock Index Futures - **Market Performance**: On February 12, the four major A - share stock indexes rose across the board. The Shanghai Composite Index rose 0.05%, the Shenzhen Component Index rose 0.86%, the ChiNext Index rose 1.32%, and the Science and Technology Innovation 50 Index rose 1.78%. The market turnover was 2.1608 trillion yuan, an increase of 0.1597 trillion yuan from the previous day. In terms of industry sectors, the comprehensive, electronics, and power equipment sectors performed well, while the beauty care, commercial retail, and textile and apparel sectors performed poorly. From the perspective of market strength, IC>IM>IF>IH, and the number of rising, flat, and falling stocks was 2,107, 96, and 3,273 respectively. The net inflows of institutional, main, large - investor, and retail funds in the Shanghai and Shenzhen stock markets were 10.1 billion yuan, - 11.3 billion yuan, - 15.3 billion yuan, and 16.5 billion yuan respectively, with changes of + 32.2 billion yuan, + 10 billion yuan, - 19.4 billion yuan, and - 22.8 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was - 23.17, - 25.23, 2.78, and - 3.27 points respectively, with annualized basis yields of 3.32%, 3.57%, - 0.7%, and 1.27% respectively, and three - year historical quantiles of 99%, 98%, 58%, and 66% respectively [2] - **Trading Strategy**: In the medium and 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 [2] (2) Treasury Bond Futures - **Market Performance**: On February 12, treasury bond futures fluctuated slightly. Among the active contracts, TS decreased by 0.02%, TF remained flat, T increased by 0.02%, and TL decreased by 0.03% [2] - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond was 250017.IB, with a yield change of + 0bps, corresponding net basis of 0.02, and IRR of 1.3%. For the 5 - year treasury bond futures, the CTD bond was 2500801.IB, with a yield change of - 0.25bps, corresponding net basis of - 0.014, and IRR of 1.68%. For the 10 - year treasury bond futures, the CTD bond was 250018.IB, with a yield change of - 1.1bps, corresponding net basis of 0.027, and IRR of 1.23%. For the 30 - year treasury bond futures, the CTD bond was 210005.IB, with a yield change of + 0bps, corresponding net basis of 0.028, and IRR of 1.29% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 566.5 billion yuan and withdrew 118.5 billion yuan, with a net injection of 448 billion yuan [2] - **Trading Strategy**: In the medium and long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] (3) Economic Data - High - frequency data shows that except for infrastructure, the prosperity of all data exceeds the same period in previous years, and the infrastructure prosperity is similar to the same period in previous years [8]

金融研究 2026年2月11日 星期三 金融期货早班车 招商期货有限公司 | | 市场表现：2 月 日，A 股四大股指全线上涨，其中上证指数上涨 0.13%，报收 点；深成 10 4128.37 | | --- | --- | | | 指上涨 0.02%，报收 14210.63 点；创业板指下跌 0.37%，报收 3320.54 点；科创 50 指数上涨 0.91%， | | | 报收 1471.5 点。市场成交 21,247 亿元，较前日减少 1,454 亿元。行业板块方面，传媒(+4.27%)， | | | 综合(+2.15%)，家用电器(+1.11%)涨幅居前；房地产(-1.4%)，食品饮料(-1.31%)，商贸零售(-0.87%) | | | 跌幅居前。从市场强弱看，IM>IH>IF>IC，个股涨/平/跌数分别为 2,192/159/3,122。沪深两市，机构、 | | | 主力、大户、散户全天资金分别净流入-115、-207、28、294 亿元，分别变动-331、-108、+194、 | | 股指期货 | +245 亿元。 | | | 基差：IM、IC、IF、IH 次月合约基差分别为 21.3、15 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views - For stock index futures, in the medium - 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 [3]. - For treasury bond futures, in the medium - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On February 2nd, the four major A - share stock indexes declined. The Shanghai Composite Index fell 2.48% to 4015.75 points, the Shenzhen Component Index fell 2.69% to 13824.35 points, the ChiNext Index fell 2.46% to 3264.11 points, and the Science and Technology Innovation 50 Index fell 3.88% to 1450.9 points. Market trading volume was 26,066 billion yuan, a decrease of 2,558 billion yuan from the previous day [2]. - In terms of industry sectors, food and beverage (+1.11%) and banks (+0.17%) led the gains, while non - ferrous metals (-7.62%), steel (-5.93%), and basic chemicals (-5.69%) led the losses [2]. - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 770, 54, and 4,647 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -384, -155, 222, and 318 billion yuan respectively, with changes of -81, +137, +204, and -260 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 103.63, 133.85, 28.58, and -1.06 points respectively. The annualized basis yields were -11.2%, -14.36%, -5.35%, and 0.31% respectively, and the three - year historical quantiles were 35%, 9%, 22%, and 53% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [6]. (2) Treasury Bond Futures and Spot Market Performance - On February 2nd, treasury bond futures were basically flat. Among the active contracts, TS rose 0%, TF fell 0.02%, T fell 0.03%, and TL rose 0.18% [3]. - For the current active 2603 contract, the CTD bond of the 2 - year treasury bond futures was 250017.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.036, and an IRR of 1.19%; the CTD bond of the 5 - year treasury bond futures was 2500801.IB, with a yield change of +0.75 bps, a corresponding net basis of 0.003, and an IRR of 1.46%; the CTD bond of the 10 - year treasury bond futures was 250018.IB, with a yield change of +1 bps, a corresponding net basis of -0.004, and an IRR of 1.52%; the CTD bond of the 30 - year treasury bond futures was 210005.IB, with a yield change of +0 bps, a corresponding net basis of 0.163, and an IRR of 0.41% [3]. - In terms of the money market, the central bank injected 750 billion yuan and withdrew 1,505 billion yuan, resulting in a net withdrawal of 755 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [8]. (3) Economic Data - High - frequency data shows that the import and export sentiment exceeded expectations, while the sentiment of the real estate and social activities sectors was lower than in previous periods, and the sentiment of the manufacturing and infrastructure sectors was similar to previous periods [11].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [3] - 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 [3] 3. Summary by Relevant Catalogs 3.1 Market Performance - On January 30th, the four major A - share stock indexes showed mixed performance. The Shanghai Composite Index fell 0.96% to close at 4117.95 points; the Shenzhen Component Index fell 0.66% to close at 14205.89 points; the ChiNext Index rose 1.27% to close at 3346.36 points; the Science and Technology Innovation 50 Index rose 0.12% to close at 1509.4 points. The market turnover was 28,624 billion yuan, a decrease of 3,970 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.44%), electronics (+0.68%), and agriculture, forestry, animal husbandry and fishery (+0.65%) led the gains; non - ferrous metals (-7.8%), steel (-2.83%), and food and beverage (-2.78%) led the losses [2] - From the perspective of market strength, IM>IF>IH>IC. The number of rising/flat/falling stocks was 2,449/128/2,894 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale and retail investors had net inflows of - 303, - 293, 18, and 578 billion yuan respectively, with changes of - 7, +13, - 50, and +44 billion yuan respectively [2] - On January 30th, the Treasury bond futures showed a weak trend. Among the active contracts, TS fell 0%, TF rose 0.01%, T rose 0.06%, and TL fell 0.23% [3] 3.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was - 5.74, 8.12, - 4.66, and - 7.5 points respectively. The annualized basis yields were 0.58%, - 0.81%, 0.83%, and 2.04% respectively, and the three - year historical quantiles were 96%, 84%, 70%, and 73% respectively [3] - The report provides detailed data on the performance of various stock index futures contracts such as IC, IF, IH, and IM, including price, trading volume, open interest, etc. [6] 3.3 Treasury Bond Futures - The current active contract is the 2603 contract. For the 2 - year Treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 1bps, a corresponding net basis of 0.05, and an IRR of 1.2%; for the 5 - year Treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.25bps, a corresponding net basis of 0.018, and an IRR of 1.45%; for the 10 - year Treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.65bps, a corresponding net basis of 0.018, and an IRR of 1.45%; for the 30 - year Treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.053, and an IRR of 1.27% [3] - The report provides detailed data on the performance of various Treasury bond futures contracts such as TS, TF, T, and TL, including price, trading volume, open interest, etc. [8] 3.4 Economic Data - High - frequency data shows that the import and export sentiment exceeded expectations, the real estate and social activity sentiment was lower than in previous periods, and the manufacturing and infrastructure sentiment was similar to previous periods [11]

1. Report Industry Investment Rating - No information provided in the given content. 2. Core Viewpoints of the Report - **Stock Index Futures**: The report maintains a long - term bullish view on the economy. It suggests that currently, using stock index futures as a long - position substitute can yield certain excess returns, and recommends buying long - dated contracts of various varieties on dips [2]. - **Treasury Bond Futures**: In the long - run, considering the rising risk appetite and the expectation of economic recovery, it is advisable to conduct hedging operations when the prices of T and TL contracts are high [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On January 29th, most of the four major A - share stock indexes declined. The Shanghai Composite Index rose 0.16% to close at a certain point, the Shenzhen Component Index fell 0.3% to 14,300.08, the ChiNext Index fell 0.57% to 3,304.51, and the Science and Technology Innovation 50 Index dropped 3.03% to 1,507.64. Market turnover reached 32,594 billion yuan, an increase of 2,671 billion yuan from the previous day. In terms of industry sectors, food and beverage (+6.57%), media (+3.53%), and real estate (+2.65%) led the gains, while electronics (-3.56%), national defense and military industry (-1.79%), and power equipment (-1.78%) led the losses. In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 1,801, 108, and 3,562 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - investor, and retail investors had net inflows of - 296, - 306, 68, and 534 billion yuan respectively, with changes of - 178, - 150, +12, and +315 billion yuan [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 3.21, 0.24, - 30.13, and - 19.49 points respectively, and the annualized basis yields were - 0.31%, - 0.02%, 5.11%, and 5.05% respectively, with the three - year historical quantiles being 93%, 88%, 98%, and 98% respectively [2]. - **Trading Strategy**: In the medium to long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns, and it is recommended to allocate long - dated contracts of various varieties on dips [2]. (2) Treasury Bond Futures - **Market Performance**: On January 29th, treasury bond futures were basically flat. Among the active contracts, TS remained unchanged, TF rose 0.01%, T rose 0.06%, and TL rose 0.07% [2]. - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.034, and an IRR of 1.33%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +0.5bps, a corresponding net basis of 0.022, and an IRR of 1.42%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.3bps, a corresponding net basis of 0.055, and an IRR of 1.17%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.75bps, a corresponding net basis of - 0.121, and an IRR of 2.34% [2]. - **Funding Situation**: In terms of open market operations, the central bank injected 3,540 billion yuan and withdrew 2,102 billion yuan, resulting in a net injection of 1,438 billion yuan [2]. - **Trading Strategy**: In the medium to long - term, considering the rising risk appetite and the expectation of economic recovery, it is recommended to conduct hedging operations when the prices of T and TL contracts are high [2]. (3) Economic Data - High - frequency data shows that the prosperity of the real estate and social activities sectors is lower than in previous periods, while the prosperity of the manufacturing, import - export, and infrastructure sectors is similar to that of previous periods [9].

Report Summary Investment Rating - No investment rating for the industry is provided in the report. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position substitute can bring certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, in the medium - to long - term, considering the rising risk appetite and the expectation of economic recovery, it is recommended to conduct hedging operations on T and TL contracts when the prices are high [2]. Summary by Directory (1) Stock Index Futures Spot and Futures Market Performance - **Stock Market**: On January 22, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.14% to close at 224122.58 points, the Shenzhen Component Index rose 0.5% to close at 14327.05 points, the ChiNext Index rose 1.01% to close at 3328.65 points, and the STAR 50 Index rose 0.41% to close at 1541.64 points. The market turnover was 27,164 billion yuan, an increase of 927 billion yuan compared with the previous day. Among industry sectors, building materials (+4.09%), national defense and military industry (+3.23%), and petroleum and petrochemicals (+3.07%) led the increase, while beauty care (-0.76%), banks (-0.43%), and pharmaceutical and biological (-0.42%) led the decline. In terms of market strength, IM > IC > IF > IH. The number of rising, flat, and falling stocks was 3,576, 119, and 1,774 respectively. The net inflows of institutional, main, large - scale, and retail investors in Shanghai and Shenzhen stock markets were - 10 billion, - 95 billion, - 37 billion, and 141 billion yuan respectively, with changes of - 164 billion, +4 billion, +64 billion, and +97 billion yuan respectively [2]. - **Stock Index Futures**: The basis of IM, IC, IF, and IH next - month contracts was 16.75, - 12.41, 4.31, and - 8.07 points respectively, with annualized basis yields of - 1.4%, 1.03%, - 0.63%, and 1.84% respectively, and three - year historical quantiles of 89%, 92%, 58%, and 71% respectively [2]. (2) Treasury Bond Futures Spot and Futures Market Performance - **Treasury Bond Futures**: On January 22, interest - rate bonds weakened slightly. Among active contracts, TS fell 0.02%, TF fell 0.04%, T fell 0.05%, and TL fell 0.07% [2]. - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.013, and an IRR of 1.42%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.008, and an IRR of 1.46%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0.8 bps, a corresponding net basis of - 0.005, and an IRR of 1.54%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0 bps, a corresponding net basis of - 0.044, and an IRR of 1.75% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 2,102 billion yuan and withdrew 1,793 billion yuan, resulting in a net injection of 309 billion yuan [2]. (3) Economic Data - High - frequency data show that the prosperity of the real estate and social activity sectors is lower than in the previous period, while the prosperity of the manufacturing, import - export, and infrastructure sectors is similar to that of the previous period [8].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - For stock index futures, 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 [3] - For treasury bond futures, 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 [3] 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On January 15th, the four major A - share stock indexes showed mixed performance. The Shanghai Composite Index fell 0.33% to 4112.6 points, the Shenzhen Component Index rose 0.41% to 14306.73 points, the ChiNext Index rose 0.56% to 3367.92 points, and the Science and Technology Innovation 50 Index fell 0.46% to 1493.95 points. Market trading volume was 29,385 billion yuan, a decrease of 10,484 billion yuan from the previous day. In terms of industry sectors, electronics (+1.67%), basic chemicals (+1.4%), and non - ferrous metals (+1.37%) led the gains; comprehensive (-3.35%), national defense and military industry (-2.8%), and media (-2.7%) led the losses. In terms of market strength, IF > IC > IM > IH, and the number of rising/flat/falling stocks was 2,226/120/3,121 respectively. Net capital inflows of institutions, main forces, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 265, - 244, 60, and 450 billion yuan respectively, with changes of - 175, +171, +106, and - 101 billion yuan respectively [2] - **Basis**: The basis of the next - month contracts of IM, IC, IF, and IH was - 0.02, 3.27, - 0.17, and 1.18 points respectively, and the annualized basis yields were 0%, - 0.43%, 0.04%, and - 0.41% respectively, with three - year historical quantiles of 94%, 85%, 64%, and 44% respectively [2] - **Trading Strategy**: 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 [3] 3.2 Treasury Bond Futures - **Market Performance**: On January 15th, interest - rate bonds strengthened slightly. Among the active contracts, TS rose 0.04%, TF rose 0.09%, T rose 0.11%, and TL fell 0.08% [3] - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 1.75bps, a corresponding net basis of 0.021, and an IRR of 1.38%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.5bps, a corresponding net basis of - 0.067, and an IRR of 1.9%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0.1bps, a corresponding net basis of - 0.063, and an IRR of 1.87%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.27bps, a corresponding net basis of 0.373, and an IRR of - 0.3% [3] - **Funding Situation**: In terms of open - market operations, the central bank injected 179.3 billion yuan and withdrew 9.9 billion yuan, with a net injection of 169.4 billion yuan [3] - **Trading Strategy**: 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 [3] 3.3 Economic Data - High - frequency data shows that the prosperity of manufacturing, import and export, and social activities is temporarily lower than in previous periods, while the prosperity of infrastructure and real estate is similar to previous periods [11]