金融研究 2025年5月12日 星期一 金融期货早班车 招商期货有限公司 市场表现：5 月 9 日，A 股四大股指有所回调，其中上证指数下跌 0.3%，报收 3342 点；深成指下 跌 0.69%，报收 10126.83 点；创业板指下跌 0.87%，报收 2011.77 点；科创 50 指数下跌 1.96%， 报收 1006.32 点。市场成交 12,224 亿元，较前日减少 994 亿元。行业板块方面，美容护理(+1.41%)， 银行(+1.36%)，纺织服饰(+0.72%)涨幅居前；电子(-2.07%)，计算机(-1.96%)，国防军工(-1.87%)跌 幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,212/135/4,061。沪深两市，机构、 主力、大户、散户全天资金分别净流入-174、-192、62、304 亿元，分别变动-244、-103、+156、 +191 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 136.88、116.92、37.56 与 17.81 点，基差年化收益率 分别为-18.75%、-17.03%、-8.14%与-5.53%，三年期历史分 ...

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The A-share market is expected to stabilize from four perspectives, and it is recommended to buy index futures on dips. Short-term IC and IM have more elasticity, while medium- and long-term IH and IF are more attractive in terms of valuation [4]. - The short-term funds are neutral. After the unexpected implementation of US tariffs, there are signs of easing. Although global trade uncertainties still exist, government bonds have gradually returned to pricing based on economic fundamentals. In the short term, government bond prices are expected to fluctuate; in the long term, the timing and intensity of fiscal/monetary policies will affect the price trend of government bond futures [5]. 3. Summary by Relevant Catalogs (1) Economic Data - High-frequency data shows that the recent infrastructure boom has slightly increased, while the import and export boom has decreased [7]. (2) Stock Index Futures and Spot Market Performance - On May 7th, the four major A-share stock indexes all rose. The Shanghai Composite Index rose 0.8% to close at 3342.67 points; the Shenzhen Component Index rose 0.22% to close at 10104.13 points; the ChiNext Index rose 0.51% to close at 1996.51 points; the Science and Technology Innovation 50 Index rose 0.36% to close at 1030.19 points. The market turnover was 15,051 billion yuan, an increase of 140.6 billion yuan from the previous day [2]. - The basis and basis annualized yields of IM, IC, IF, and IH next-month contracts are 156.29, 130.09, 46.63, and 24.3 points, and -19.98%, -17.67%, -9.51%, and -7.11% respectively. The three-year historical quantiles are 3%, 2%, 6%, and 14% respectively. The futures-spot price difference has been repaired but is still at a low level [3]. (3) Government Bond Futures and Spot Market Performance - On May 7th, most government bond futures declined. The 2-year government bond futures fell 0.01% to close at 102.31 points; the 5-year government bond futures fell 0.08% to close at 106 points; the 10-year government bond futures fell 0.19% to close at 108.85 points; the 30-year government bond futures fell 0.62% to close at 120.14 points [4]. - In terms of the current bond, the CTD bonds of 2-year, 5-year, 10-year, and 30-year government bond futures have corresponding net basis and IRR. In terms of the money market, the central bank's net withdrawal was 33.53 billion yuan. In the short term, government bond prices are expected to fluctuate; in the long term, the timing and intensity of fiscal/monetary policies will affect the price trend of government bond futures [5].