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 ...

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'].

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].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - For the stock index futures market, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position substitute can achieve certain excess returns, and recommends buying long - term contracts of various varieties on dips. However, the short - term market shows signs of cooling [2]. - For the bond market, in the short term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is attractive. In the medium - to - long term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge at high prices for T and TL contracts [3]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On October 21, the four major A - share stock indexes rose. The Shanghai Composite Index rose 1.36%, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, and the STAR 50 Index rose 2.81%. The market turnover was 189.27 billion yuan, an increase of 14.14 billion yuan from the previous day. In terms of industry sectors, communication (+4.9%), electronics (+3.5%), and building decoration (+2.36%) led the gains, while coal (-1.02%), food and beverage (+0.23%), and transportation (+0.29%) led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 4,624, 82, and 729 respectively. Institutional, main, large - scale, and retail investors had net inflows of 15.8 billion, - 6 billion, - 15.9 billion, and 6.2 billion yuan respectively, with changes of +12.7 billion, +5.6 billion, - 5.8 billion, and - 12.4 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 161.25, 132.82, 30.27, and 2.46 points respectively, and the annualized basis yields were - 12.48%, - 10.5%, - 3.73%, and - 0.47% respectively. The three - year historical quantiles were 25%, 17%, 25%, and 39% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On October 21, the bond market rose. Among the active contracts, TS rose 0.05%, TF rose 0.05%, T rose 0.04%, and TL rose 0.16% [2]. - The current active contracts are 2512 contracts. The CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2][3]. - The central bank's open - market operations had a net injection of 6.85 billion yuan, with a currency injection of 15.95 billion yuan and a currency withdrawal of 9.1 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure sectors are less prosperous than in previous periods [9]. - The chart of domestic mid - level data tracking shows the comparison of the prosperity of manufacturing, real estate, social activities, infrastructure, and imports and exports based on the changes compared with the same period in the past five years [10][11].

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Stock Index Futures**: Maintain a long - term bullish view on the economy. It is recommended to allocate long - term contracts of various varieties on dips. The short - term market shows signs of cooling [3]. - **Treasury Bond Futures**: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium and 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 Directory (1) Stock Index Spot and Futures Market Performance - **Market Performance on October 20**: The four major A - share stock indexes showed a callback, with the Shanghai Composite Index rising 0.63% to 3863.89 points, the Shenzhen Component Index rising 0.98% to 12813.21 points, the ChiNext Index rising 1.98% to 2993.45 points, and the STAR 50 Index rising 0.35% to 1367.9 points. Market turnover was 17,513 billion yuan, a decrease of 2,031 billion yuan from the previous day. In terms of industry sectors, communication (+3.21%), coal (+3.04%), and power equipment (+1.53%) led the gains, while non - ferrous metals (-1.34%), agriculture, forestry, animal husbandry and fishery (-0.88%), and beauty care (-0.38%) led the losses. In terms of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,064/121/1,248 respectively. Institutional, main, large - scale, and retail investors had net inflows of 32, - 116, - 101, and 186 billion yuan respectively, with changes of +497, +217, - 274, and - 440 billion yuan respectively [2]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 179.98, 160.44, 31.42, and 4.46 points respectively, and the basis annualized yields were - 13.81%, - 12.61%, - 3.85%, and - 0.83% respectively, with three - year historical quantiles of 20%, 11%, 24%, and 37% respectively [2]. (2) Treasury Bond Spot and Futures Market Performance - **Market Performance on October 20**: The bond market adjusted. Among the active contracts, TS fell 0.04%, TF fell 0.11%, T fell 0.14%, and TL fell 0.37% [3]. - **Cash Bonds**: For the currently active 2512 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year Treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1.5bps, a corresponding net basis of - 0.003, and an IRR of 1.45%; for the 5 - year Treasury bond futures, the CTD bond is 250003.IB, with a yield change of +2bps, a corresponding net basis of - 0.02, and an IRR of 1.56%; for the 10 - year Treasury bond futures, the CTD bond is 220017.IB, with a yield change of +3.25bps, a corresponding net basis of - 0.047, and an IRR of 1.73%; for the 30 - year Treasury bond futures, the CTD bond is 220024.IB, with a yield change of +1.88bps, a corresponding net basis of 0.085, and an IRR of 1.03% [3]. - **Funding Situation**: The central bank injected 189 billion yuan and withdrew 253.8 billion yuan in open - market operations, resulting in a net withdrawal of 64.8 billion yuan [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 [10].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, and note short - term market cooling signs [3] - For bond futures, be short - term bullish, consider the implied interest rate of ultra - long bonds at 2.2 to be cost - effective; for the medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4] 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - On October 14, A - share four major stock indexes declined. The Shanghai Composite Index fell 0.62% to 3865.23 points, the Shenzhen Component Index dropped 2.54% to 12895.11 points, the ChiNext Index decreased 3.99% to 2955.98 points, and the STAR 50 Index declined 4.26% to 1410.3 points. Market turnover was 25,966 billion yuan, an increase of 2,224 billion yuan from the previous day [2] - In terms of industry sectors, banks (+2.51%), coal (+2.18%), and food and beverage (+1.69%) led the gains; communication (-4.98%), electronics (-4.64%), and non - ferrous metals (-3.66%) led the losses [2] - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 1,733, 148, and 3,547 respectively. Net capital inflows of institutions, main funds, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 392, - 238, 187, and 443 billion yuan respectively, with changes of - 241, + 10, + 189, and + 43 billion yuan [2] - The basis of IM, IC, IF, and IH next - month contracts was 143.15, 128.85, 23.86, and - 0.3 points respectively, with annualized basis yields of - 16.74%, - 15.44%, - 4.53%, and 0.09%, and three - year historical quantiles of 11%, 8%, 20%, and 45% [3] 3.2 Treasury Bond Futures and Spot Market Performance - On October 14, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.393, down 1.33bps from the previous day; that of five - year bonds was 1.561, down 2.39bps; that of ten - year bonds was 1.721, down 4.57bps; and that of thirty - year bonds was 2.202, down 1.84bps [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are detailed. The central bank had a net currency injection of 910 billion yuan through open - market operations [4] 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 [11]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts on dips, and note short - term market cooling signs [2]. - For bond futures, short - term is bullish as the implied yield of ultra - long bonds is cost - effective; for medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4]. Summary by Related Catalogs Stock Index Futures - **Market Performance**: On October 9, A - share four major stock indexes all rose, with the Shanghai Composite Index up 1.32% to 3933.97 points, the Shenzhen Component Index up 1.47% to 13725.56 points, the ChiNext Index up 0.73% to 3261.82 points, and the Science and Technology Innovation 50 Index up 2.93% to 1539.08 points. Market turnover was 2.6718 trillion yuan, an increase of 474.6 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+7.6%), steel (+3.38%), and coal (+3%) led the gains; media (-1.43%), real estate (-1.39%), and social services (-1.03%) led the losses. In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 3109/135/2184 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were - 13.6 billion, - 12 billion, 9.6 billion, and 15.9 billion yuan respectively, with changes of +7 billion, +300 million, +900 million, and - 8.1 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 121.25, 90.92, 12.68, and - 2.4 points respectively, and the annualized basis yields were - 12.39%, - 9.41%, - 2.1%, and 0.62% respectively, with three - year historical quantiles of 25%, 20%, 36%, and 51% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of each variety on dips. In the short - term, the market shows signs of cooling [2]. Bond Futures - **Market Performance**: On October 9, the bond market strengthened. Among active contracts, the implied yield of the two - year bond fell 2.39bps to 1.387, the five - year bond fell 2.27bps to 1.572, the ten - year bond fell 0.01bps to 1.765, and the thirty - year bond fell 4.42bps to 2.213 [3]. - **Cash Bond Situation**: For the currently active 2512 contract, the CTD bonds and their corresponding yield changes, net basis, and IRR are as follows: for the two - year bond futures, the CTD bond is 250012.IB, with a yield change of - 2bps, a net basis of 0.002, and an IRR of 1.5%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of - 2.5bps, a net basis of - 0.024, and an IRR of 1.63%; for the ten - year bond futures, the CTD bond is 220019.IB, with a yield change of - 2.85bps, a net basis of - 0.015, and an IRR of 1.59%; for the thirty - year bond futures, the CTD bond is 210014.IB, with a yield change of - 2.25bps, a net basis of - 0.089, and an IRR of 1.91% [3]. - **Funding Situation**: In open - market operations, the central bank injected 612 billion yuan and withdrew 2.0633 trillion yuan, resulting in a net withdrawal of 1.4513 trillion yuan [3]. - **Trading Strategy**: In the short - term, it is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; in the medium - to - long - term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

Report Summary 1. Market Performance - On September 29, A-share major indices all rose, with the Shanghai Composite Index up 0.9% to 3862.53, the Shenzhen Component Index up 2.05% to 13479.43, the ChiNext Index up 2.74% to 3238.01, and the STAR 50 Index up 1.35% to 1470.41. Market turnover was 2178.1 billion yuan, an increase of 12 billion yuan from the previous day [2]. - In the bond market, the implied yields of 2-year, 5-year, 10-year, and 30-year bonds showed different changes, with the 2-year up 0.8bps, the 5-year up 0.48bps, the 10-year down 3.42bps, and the 30-year up 5.89bps [3]. 2. Trading Strategies - In the medium to long term, maintain a bullish view on the economy, and recommend buying long-term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - For bond futures, short-term is bullish as the implied yield of ultra-long bonds at 2.2 is cost-effective; in the medium to long term, with rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. 3. Index Futures and Spot Market Performance - Table 1 shows the performance of various index futures and spot indices, including their price changes, trading volumes, and open interests [6]. 4. Treasury Futures and Spot Market Performance - Table 2 presents the performance of various treasury futures and spot bonds, including price changes, trading volumes, and net basis [8]. 5. Short - term Funding Rate Market Changes - Table 3 shows the changes in short - term funding rates, such as SHIBOR overnight rates [12]. 6. Economic Data - High - frequency data indicates that the recent social activity sentiment is weak [12].