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% ...

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].

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on December 29, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures [1] 1. Stock Index Futures Market Performance - On December 26, most of the four major A-share stock indexes rose, with the Shanghai Composite Index up 0.1% to 3,963.68 points, the Shenzhen Component Index up 0.54% to 13,603.89 points, and the ChiNext Index up 0.14% to 3,243.88 points. The STAR 50 Index fell 0.24% to 1,345.83 points [2] - Market turnover was 2.1811 trillion yuan, an increase of 237.2 billion yuan from the previous day [2] - In terms of industry sectors, non-ferrous metals (+3.69%), power equipment (+1.4%), and steel (+1.34%) led the gains, while electronics (-0.71%), light manufacturing (-0.61%), and communications (-0.6%) led the losses [2] - In terms of market strength, IC > IH > IM > IF, and the number of rising/flat/falling stocks was 1,865/186/3,406 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -1.7 billion, -22.5 billion, -5.7 billion, and 30 billion yuan respectively, with changes of +4 billion, -7.8 billion, -1.1 billion, and +4.9 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 75.53, 43.44, 15.24, and -1.8 points respectively, and the basis annualized yields were -7.09%, -4.16%, -2.34%, and 0.42% respectively. The three - year historical quantiles were 55%, 57%, 42%, and 53% respectively [2] Trading Strategy - 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 [3] 2. Treasury Bond Futures Market Performance - On December 25, the trend of interest - rate bonds was weak. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T fell 0.02%, and TL fell 0.24% [3] Cash Bond - 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 -0.8 bps, a corresponding net basis of -0.018, and an IRR of 1.56%. For the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +1.25 bps, a corresponding net basis of -0.062, and an IRR of 1.76%. For the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0.55 bps, a corresponding net basis of -0.038, and an IRR of 1.65%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.267, and an IRR of 0.56% [3] Fundamentals - In terms of open - market operations, the central bank injected 177.1 billion yuan and withdrew 88.3 billion yuan, with a net injection of 88.8 billion yuan [3] Trading Strategy - In the medium to long term, with the upward shift of risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, import and export, and social activities is temporarily lower than in previous periods, while the prosperity of infrastructure is similar to previous periods [11]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long term, and recommend allocating long - term contracts of each variety on dips [2] - 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 [2] 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On December 25th, most of the four major A - share stock indexes rose. The Shanghai Composite Index rose 0.47% to 3959.62 points; the Shenzhen Component Index rose 0.33% to 13531.41 points; the ChiNext Index rose 0.3% to 3239.34 points; the Science and Technology Innovation 50 Index fell 0.23% to 1349.06 points. Market turnover was 19,439 billion yuan, an increase of 467 billion yuan from the previous day. Defense industry (+2.91%), light industry manufacturing (+1.59%), and machinery equipment (+1.51%) led the gains; comprehensive (-1.12%), non - ferrous metals (-0.77%), and commercial retail (-0.47%) led the losses. In terms of market strength, IM>IC>IH>IF. The numbers of rising/flat/falling stocks were 3,768/220/1,469 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 57, - 147, - 47, and 251 billion yuan respectively, with changes of - 171, - 38, +104, and +104 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 105.78, 54.11, 23.94, and 0.04 points respectively, and the annualized basis yields were - 9.69%, - 5.07%, - 3.58%, and - 0.01% respectively. Their three - year historical quantiles were 44%, 51%, 30%, and 48% respectively [2] - **Trading Strategy**: 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, and it is recommended to allocate long - term contracts of each variety on dips [2] (2) Treasury Bond Futures - **Market Performance**: On December 25th, the trend of interest - rate bonds was weak. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T fell 0.02%, and TL fell 0.24% [2] - **Cash Bonds**: The current active contract is the 2603 contract. The CTD bond of the 2 - year treasury bond futures is 250017.IB, with a yield change of - 0.8bps, a corresponding net basis of - 0.018, and an IRR of 1.56%; the CTD bond of the 5 - year treasury bond futures is 2500801.IB, with a yield change of +1.25bps, a corresponding net basis of - 0.062, and an IRR of 1.76%; the CTD bond of the 10 - year treasury bond futures is 250018.IB, with a yield change of +0.55bps, a corresponding net basis of - 0.038, and an IRR of 1.65%; the CTD bond of the 30 - year treasury bond futures is 210005.IB, with a yield change of +0.5bps, a corresponding net basis of 0.267, and an IRR of 0.56% [2] - **Funding**: In open - market operations, the central bank injected 177.1 billion yuan and withdrew 88.3 billion yuan, with a net injection of 88.8 billion yuan [2] - **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 [2] (3) Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities is temporarily lower than in previous periods, and further observation is needed [8]

Group 1: Report Overview - Report date: December 16, 2025 [1] - Report issuer: China Merchants Futures Co., Ltd. [1] Group 2: Market Performance A-share Market - On December 15, the four major A-share indexes pulled back. The Shanghai Composite Index fell 0.55% to 3867.92 points, the Shenzhen Component Index dropped 1.1% to 13112.09 points, the ChiNext Index declined 1.77% to 3137.8 points, and the STAR 50 Index decreased 2.22% to 1318.91 points. Market turnover was 1.7944 trillion yuan, a decrease of 324.6 billion yuan from the previous day [2]. - In terms of industry sectors, non-bank finance (+1.59%), commerce and trade retail (+1.49%), and agriculture, forestry, animal husbandry and fishery (+1.24%) led the gains, while electronics (-2.42%), communication (-1.89%), and media (-1.63%) led the losses [2]. - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2313/176/2965 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -16.8 billion, -19.2 billion, 3.8 billion, and 32.2 billion yuan respectively, with changes of -14 billion, -13.1 billion, +16.2 billion, and +10.9 billion yuan respectively [2]. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 73.88, 53.16, 24.26, and 8.47 points respectively. The annualized basis yields were -10.99%, -8.12%, -5.79%, and -3.08% respectively, and the three - year historical quantiles were 36%, 30%, 20%, and 26% respectively [3]. Bond Futures - On December 15, interest - rate bonds performed weakly. Among the active contracts, TS fell 0.01%, TF dropped 0.03%, T declined 0.12%, and TL decreased 0.99% [3]. Short - term Capital Market - In open - market operations, the central bank injected 130.9 billion yuan and withdrew 122.3 billion yuan, resulting in a net injection of 8.6 billion yuan [3]. Group 3: Trading Strategies Stock Index Futures - In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indexes as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. Bond Futures - In the medium - to - long term, with the upward shift of risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. Group 4: Market Data Tables Stock Index Futures and Spot Market Performance - The table shows detailed data such as the code, name, change percentage, current price, trading volume, and basis of various stock index futures and spot products [6]. Bond Futures and Spot Market Performance - The table presents data including the code, name, change percentage, current price, trading volume, and net basis of various bond futures and spot products [8]. Short - term Capital Interest Rate Market Changes - The table shows the current price, previous price, price one week ago, and price one month ago of SHIBOR overnight [11]. Group 5: Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities is currently lower than in previous periods, and further observation is needed [11].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] - For treasury bond futures, in the short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On December 1st, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.65%, the Shenzhen Component Index rose 1.25%, the ChiNext Index rose 1.31%, and the Sci - Tech Innovation 50 Index rose 0.72%. Market trading volume was 1889.4 billion yuan, an increase of 291.7 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+2.85%), communications (+2.81%), and electronics (+1.58%) led the gains; agriculture, forestry, animal husbandry and fishery (-0.43%), environmental protection (-0.23%), and real estate (-0.06%) led the losses. From the perspective of market strength, IF>IC>IH>IM. The number of rising, flat, and falling stocks was 3396, 184, and 1868 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 4 billion, - 4.4 billion, - 1.5 billion, and 1.9 billion yuan respectively, with changes of - 5.2 billion, - 2 billion, + 6.5 billion, and + 0.7 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 171.28, 127.83, 35.49, and 14.08 points respectively, with annualized basis yields of - 17.57%, - 13.64%, - 5.87%, and - 3.56% respectively, and three - year historical quantiles of 10%, 10%, 19%, and 24% respectively [2] - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On December 1st, most interest - rate bonds rose. Among the active contracts, TS rose 0.03%, TF rose 0.1%, T rose 0.12%, and TL fell 0.08% [2] - **Cash Bonds**: The current active contracts and corresponding CTD bonds are as follows: for the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of + 0bps, a corresponding net basis of - 0.049, and an IRR of 1.62%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.75bps, a corresponding net basis of - 0.1, and an IRR of 1.8%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.85bps, a corresponding net basis of - 0.075, and an IRR of 1.71%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.078, and an IRR of 1.26% [2] - **Funding Situation**: In terms of open - market operations, the central bank's currency injection was 107.6 billion yuan, currency withdrawal was 338.7 billion yuan, and the net withdrawal was 231.1 billion yuan [2] - **Trading Strategy**: In the short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3.3 Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while the infrastructure sentiment is worse than the same period [10]

Report Information - Report Date: December 1, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] - Report Type: Financial Futures Morning Report [1] Market Performance A-share Market - On November 28, the four major A-share stock indexes rose across the board, with the Shanghai Composite Index up 0.34%, closing at 3,888.6 points; the Shenzhen Component Index up 0.85%, closing at 12,984.08 points; the ChiNext Index up 0.7%, closing at 3,052.59 points; and the Science and Technology Innovation 50 Index up 1.25%, closing at 1,327.15 points [2]. - Market turnover was 1.5977 trillion yuan, a decrease of 125.4 billion yuan from the previous day [2]. - In terms of industry sectors, steel (+1.59%), agriculture, forestry, animal husbandry and fishery (+1.59%), and commerce and retail (+1.46%) led the gains; banks (-0.83%), coal (-0.14%), and beauty care (+0.07%) led the losses [2]. - In terms of market strength, IC > IM > IF > IH, and the number of stocks rising/flat/falling were 4,122/139/1,187 respectively [2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 9.2 billion, - 2.4 billion, - 8 billion, and 1.2 billion yuan respectively, with changes of +17.3 billion, +8.1 billion, - 8.3 billion, and - 17.1 billion yuan respectively [2]. Interest Rate Bond Market - On November 28, interest rate bonds showed mixed performance. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T rose 0.03%, and TL rose 0.05% [3]. Futures Market Stock Index Futures - Basis: The basis of the next - month contracts of IM, IC, IF, and IH were 148.61, 113.55, 36.06, and 10.22 points respectively, with annualized basis yields of - 14.9%, - 11.87%, - 5.86%, and - 2.53% respectively, and three - year historical quantiles of 16%, 14%, 19%, and 26% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3]. Treasury Bond Futures - Cash Bonds: The current active contract is the 2603 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are as follows: for 2 - year, the CTD bond is 250017.IB, yield change is - 1.25bps, net basis is - 0.012, IRR is 1.51%; for 5 - year, the CTD bond is 2500801.IB, yield change is + 0.75bps, net basis is - 0.041, IRR is 1.6%; for 10 - year, the CTD bond is 250018.IB, yield change is - 0.9bps, net basis is - 0.03, IRR is 1.57%; for 30 - year, the CTD bond is 210005.IB, yield change is + 0bps, net basis is - 0.176, IRR is 1.93% [4]. - Funding Situation: In open - market operations, the central bank injected 301.3 billion yuan and withdrew 375 billion yuan, resulting in a net withdrawal of 73.7 billion yuan [4]. - Trading Strategy: In the short term, it is volatile, and the valuation of interest rate bonds has reached a reasonable level; 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 on rallies [4]. Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while infrastructure sentiment is worse than the same period [12]

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].