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 - term contracts of various varieties on dips. In the short term, the market shows signs of cooling [2]. - For bond futures, be bullish in the short term as the implied yield 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 advisable to conduct hedging on T and TL contracts on rallies [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On September 16, A - share four major stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.04% to 3861.87 points, the Shenzhen Component Index rose 0.45% to 13063.97 points, the ChiNext Index rose 0.68% to 3087.04 points, and the STAR 50 Index rose 1.32% to 1358.05 points. Market turnover was 23,671 billion yuan, an increase of 639 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.63%), machinery and equipment (+2.06%), and computer (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.29%), banks (-1.15%), and non - ferrous metals (-0.99%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 3,627/111/1,688 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 6 billion, - 160 billion, - 67 billion, and 233 billion yuan respectively, with changes of +183 billion, - 8 billion, - 154 billion, and - 21 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 91.63, 83.59, 15.94, and - 3.58 points respectively, and the annualized basis yields were - 17.01%, - 16.15%, - 4.89%, and 1.69% respectively, with three - year historical quantiles of 10%, 5%, 20%, and 67% respectively [1]. - The report also provides detailed data on various stock index futures contracts such as IC, IF, IH, and IM, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On September 16, the yields of treasury bond futures declined across the board. Among the active contracts, the implied yield of the two - year bond was 1.373, down 2.79 bps from the previous day; the implied yield of the five - year bond was 1.556, down 2.87 bps; the implied yield of the ten - year bond was 1.747, down 1.29 bps; and the implied yield of the thirty - year bond was 2.166, down 0.2 bps [2]. - 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 provided [2]. - In terms of the money market, the central bank's net injection was 400 billion yuan through open market operations [2]. - The report also provides detailed data on various treasury bond futures contracts, including price, trading volume, open interest, net basis, and CTD bond implied yield [7]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. The report also presents a chart of domestic meso - level data tracking, which is based on the comparison of meso - level data in each module with the same period in the past five years [10][11].