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 Overview - The report is a financial research on financial futures, including stock index futures and treasury bond futures, released by China Merchants Futures Co., Ltd. on August 22, 2025 [1][2] 1. Market Performance Stock Index Futures - On August 21, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.13% to 3771.1 points, the Shenzhen Component Index fell 0.06% to 11919.76 points, the ChiNext Index fell 0.47% to 2595.47 points, and the STAR 50 Index rose 0.09% to 1149.15 points. Market turnover was 2.4603 trillion yuan, an increase of 11.9 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+1.5%), petroleum and petrochemicals (+1.39%), and beauty care (+0.98%) led the gains, while machinery (-1.08%), power equipment (-0.98%), and composites (-0.73%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2169/164/3087 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -20.9 billion, -30.8 billion, 5.6 billion, and 46.1 billion yuan respectively, with changes of -8.4 billion, -9.7 billion, +6.7 billion, and +11.4 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 99.94, 87.37, 14.27, and -2.02 points respectively, with annualized basis yields of -9.57%, -9.05%, -2.31%, and 0.49% respectively, and three - year historical quantiles of 39%, 18%, 36%, and 50% respectively [2] Treasury Bond Futures - On August 21, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.426, down 0.13 bps from the previous day; the five - year bond was 1.639, down 1.32 bps; the ten - year bond was 1.728, down 0.99 bps; and the thirty - year bond was 2.135, down 1.96 bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of -0.25 bps, a corresponding net basis of 0.019, and an IRR of 1.24%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.096, and an IRR of 1.22%; the CTD bond of the ten - year treasury bond futures was 250007.IB, with a yield change of -2 bps, a corresponding net basis of 0.098, and an IRR of 0.16%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of -3 bps, a corresponding net basis of 0.401, and an IRR of 0.58% [2] - In terms of the money market, the central bank's net injection was 124.3 billion yuan through open market operations [2] 2. Trading Strategies Stock Index Futures - 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. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - Given the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL in the medium - to - long term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic medium - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, with negative scores indicating weakening sentiment [9][11][12]

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