研究报告 2026 年 2 月股指期货市场运行报告 | 华龙期货投资咨询部 | | | | | --- | --- | --- | --- | | 投资咨询业务资格： | | | | | 证监许可【2012】1087 号 | | | | | 金融板块研究员：邓夏羽 | | | | | 期货从业资格证号：F0246320 | | | | | 投资咨询资格证号：Z0003212 | | | | | 电话：13519655433 | | | | | 邮箱：383566967@qq.com | | | | | 报告日期：2026 年 2 | 3 | 月 | 日星期一 | 的免责声明。 摘要： 【行情复盘】 2 月份，国内股指期货市场整体呈现震荡上行走势，但结 构分化特征贯穿全月。全月走势以春节为界可分为两个阶段： 春节前受长假效应影响，市场交投逐步清淡，成交额持续萎缩， 指数层面以缩量震荡为主，中小盘指数期货（IC,IM）表现相对 强势，大盘蓝筹期货（IF,IH）则表现疲弱。节后随着资金回流， 市场成交活跃度大幅回升，中小盘指数期货（IC, IM）延续强 势，涨幅领先于大盘蓝筹期货（IF, IH）。从全月表现看，中 ...

国债衍生品周报 2026/2/27 咨询业务资格：沪证监许可【2012】1515号 国债到期收益率 source： wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/06 24/12 25/06 25/12 2 3 资金利率 source： wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率：7天 23/12 24/06 24/12 25/06 25/12 1 2 3 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（ ...

1. Report Industry Investment Rating - No information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - The domestic commodity futures market closed with mixed results, with base metals leading the gains. The A - share market is expected to continue its moderate upward trend after the opening, but the slope will be slower than in January. The RMB is expected to continue to strengthen in the second quarter. Most varieties in the market are expected to show an oscillatory trend in the short - term [16]. 3. Summary by Relevant Catalogs 3.1 Financial Market Fluctuations - **Stock Index Futures**: On February 25, 2026, the CSI 300 futures price was 4731.4, with a daily increase of 0.9%, a weekly increase of 2.26%, a monthly increase of 0.43%, a quarterly increase of 2.86%, and an annual increase of 2.86%. The Shanghai - Shenzhen 50 futures, CSI 500 futures, and CSI 1000 futures also showed different degrees of increase [2]. - **Treasury Bond Futures**: The 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures showed different degrees of decline on February 25, 2026, with the 30 - year treasury bond futures having the largest daily decline of 0.48% [2]. - **Foreign Exchange**: The US dollar index was 97.6594 on February 25, 2026, with a daily decline of 0.24%, a weekly decline of 0.09%, a monthly increase of 0.56%, and an annual decline of 0.62%. The US dollar intermediate price decreased by 202 pips daily [2]. - **Interest Rates**: The 10 - year US Treasury bond yield was 4.05 bp on February 25, 2026, with a daily increase of 1 bp, a weekly decline of 3 bp, a monthly decline of 21 bp, and an annual decline of 13 bp [2]. 3.2 Fluctuations of Popular Industries - On February 26, 2026, the defense and military industry had a daily increase of 1.62%, a weekly increase of 4.8%, a monthly increase of 6.07%, a quarterly increase of 10.92%, and an annual increase of 10.92%. The consumer services industry had a daily decline of 1.41%, a weekly decline of 5.6%, a monthly decline of 4.96%, a quarterly decline of 4.37%, and an annual decline of 4.37% [5]. 3.3 Fluctuations of Overseas Commodities - On February 25, 2026, NYMEX WTI crude oil was priced at 65.57, with a daily decline of 0.09%, a weekly decline of 1.12%, a monthly decline of 0.26%, a quarterly increase of 14.21%, and an annual increase of 14.21%. COMEX gold was priced at 5183.7, with a daily increase of 0.14%, a weekly increase of 1.05%, a monthly increase of 5.63%, a quarterly increase of 19.66%, and an annual increase of 19.66% [8]. 3.4 Macroeconomic Summary - **Domestic Macroeconomy**: During the Spring Festival, travel and consumption performed well, while real - estate sales were at a seasonal low. The social financing at the beginning of January was stable, with strong government - sector financing and private - sector financing in line with expectations [16]. - **Overseas Macroeconomy**: The US economy showed a slowdown in overall expansion and structural differentiation in multiple fields. In February 2026, the US economic sentiment and consumer confidence weakened, and the private - sector expansion slowed down [16]. - **Major Asset Classes**: The US - Iran geopolitical situation and Trump's tariff policy may support the prices of gold and silver in the short - term. The A - share market is expected to continue its moderate upward trend, while the black - metal sector and the domestic bond market may continue to oscillate. The RMB is expected to strengthen in the second quarter [16]. 3.5 Viewpoint Highlights - **Financial Sector**: Stock index futures are expected to be oscillating and bullish, stock index options are expected to oscillate, and treasury bond futures are expected to oscillate [17]. - **Precious Metals**: Gold and silver are expected to be oscillating and bullish [17]. - **Shipping**: The container shipping route to Europe is expected to oscillate [17]. - **Black Building Materials**: Most varieties in this sector, such as steel, iron ore, and coke, are expected to oscillate [17]. - **Non - ferrous Metals and New Materials**: Most non - ferrous metals and new materials, such as copper, aluminum, and nickel, are expected to oscillate, with some showing an oscillating and bullish trend [17]. - **Energy and Chemicals**: Most energy and chemical products, such as crude oil, LPG, and asphalt, are expected to oscillate [20]. - **Agriculture**: Most agricultural products, such as natural rubber, cotton, and sugar, are expected to oscillate, with some showing an oscillating and bullish or bearish trend [20].

（文章来源：每日经济新闻） 每经AI快讯，2月11日，国债期货盘中拉升，30年期主力合约涨0.20%，现报112.960元；10年期涨 0.11%，现报108.585元；5年期涨0.07%，现报106.075元；2年期涨0.01%，现报102.482元。 ...

Core Viewpoint - The main observation is that government bond futures have shown a slight increase, influenced by tightening liquidity and heightened demand for safe-haven assets as the holiday approaches, although the upward potential is limited due to a slowdown in Federal Reserve rate cut expectations and a focus on structural monetary easing by the central bank [1][2]. Group 1: Government Bond Futures Performance - As of the close on February 10, the 30-year government bond futures (TL2603) closed at 112.680 yuan, up 0.010 yuan, a rise of 0.01% [1][2]. - The 10-year government bond futures (T2603) closed at 108.485 yuan, up 0.015 yuan, also a rise of 0.01% [1][2]. - The 5-year government bond futures (TF2603) closed at 106.015 yuan, up 0.005 yuan, with a negligible change of 0.00% [1][2]. - The 2-year government bond futures (TS2603) closed at 102.482 yuan, up 0.004 yuan, reflecting a minimal increase of 0.00% [1][2]. Group 2: Market Analysis and Outlook - According to Baocun Futures' report, the tightening liquidity and increased demand for government bonds as a safe haven are contributing to a strong but volatile market for government bond futures [1][2]. - The expectation for a comprehensive rate cut by the central bank is deemed unnecessary in the short term, as the focus remains on structural easing rather than broad reductions [1][2]. - Overall, the outlook for government bond futures indicates a continuation of volatility and consolidation in the near term [1][2].

美元新债发行总量达238亿美元，其中大部分来自Alphabet的发行。互换利差总体持稳，全线较周五收 盘水平略有收窄。 美国短期和中期国债在早盘交易跑赢，此前白宫国家经济委员会主任凯文·哈塞特暗示未来几个月美国 就业市场可能走软。盘中美国国债大致维持了涨势，尽管早些时候的趋陡势头在日间晚些时候缓解，投 资者仍在等待Alphabet的200亿美元债券发行定价。 哈塞特称随着美国人口增长放缓，未来几个月就业人数应会减少，他补充说这不应引发恐慌，随后短债 获得提振。此前推迟发布的1月非农就业报告将于周三出炉。 纽约时间下午3点刚过，美国国债收益率接近盘中低点，全线走低至多1.5个基点。Alphabet宣布发行巨 额债券后，美国早盘长期国债表现略微滞后。 早盘的上涨主要受5年期国债期货的大宗买盘提振，但该趋陡势头晚些时候减弱。 哈塞特称随着美国人口增长放缓，未来几个月就业人数应会减少，他补充说这不应引发恐慌，随后短债 获得提振。此前推迟发布的1月非农就业报告将于周三出炉。 截至纽约时间下午3：41，美国2年期国债收益率报3.4851%； 美国5年期国债收益率报3.7429%； 美国10年期国债收益率报4.1981%； ...

Report Core View - The central bank's reverse repurchase scale reached 1180.9 billion yuan this week, with abundant liquidity. Moderate inflation, negative PPI growth, and a reasonable and abundant capital supply support Treasury bond futures. However, the net supply of 10-year Treasury bonds has increased, and the bond supply bears have rebounded. The market is highly sensitive to negative factors, with rumors of a downward adjustment of the growth target and the central bank providing MLF funds to city commercial banks. It is recommended to pay attention to changes in the capital supply and the impact of the flattening of the yield curve on asset allocation [2] Data Charts - The report presents data charts on Treasury bond yields, capital rates, Treasury bond term spreads, Treasury bond futures positions, Treasury bond futures trading volumes, Treasury bond futures basis, Treasury bond futures inter - period spreads, and Treasury bond futures cross - variety spreads, covering different time ranges and maturities such as 2 - year, 5 - year, 10 - year, and 30 - year Treasury bonds [3][5][7]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Overseas macro: Kevin Warsh's nomination as a candidate for the new Fed Chair is expected to have limited impact on the market. His policy stance on quantitative tightening may be difficult to implement. The market's expectations for the US monetary policy path are unlikely to change significantly, and investors should also monitor the US-Iran situation and the US government shutdown [9]. - Domestic macro: The domestic market is expected to continue with positive policy expectations. In Q1, there is a growing expectation that policies will be intensified to achieve a good start for the economy in the 15th Five-Year Plan. The overall policy environment is favorable, which supports a bullish view on risk assets in Q1 [9]. - Asset views: Structured opportunities in portfolio allocation are emphasized. It is recommended to overweight IC and non-ferrous metals (copper, aluminum, tin). The domestic policy expectations, loose liquidity, and inflation recovery expectations can support the upward movement of the equity market. Treasury bonds are neutral, with better short - end opportunities but limited odds. The precious metals sector has high short - term volatility, and it is recommended to wait for volatility to decline. Non - ferrous metals are relatively strong and can be considered for right - side allocation after a pullback. Black commodities are range - bound, and crude oil has high uncertainty, so it is advisable to stay on the sidelines [9]. Summary by Related Catalogs 1. Market Price and Performance Data Index Futures and Treasury Bonds - On February 5, 2026, most index futures showed declines, such as the CSI 500 futures with a daily decline of - 1.59% and a weekly decline of - 2.9%. Treasury bond futures generally rose, with the 30 - year Treasury bond futures having a daily increase of 0.32% and a weekly increase of 0.22% [2]. Foreign Exchange - The US dollar index rose by 0.27% on February 5, 2026, and the US dollar intermediate price decreased by 25 pips. The 7 - day inter - bank pledged repo rate decreased by 0.95 bp [2]. Interest Rates - The 10Y US Treasury yield increased by 1 bp on February 5, 2026, and the US Treasury 10Y - 2Y spread increased by 1 bp [2]. Industry Index - On February 5, 2026, industries such as consumer services, textile and apparel, and food and beverage showed increases, while industries like non - ferrous metals, steel, and machinery showed declines [4]. Domestic Commodities - On February 5, 2026, commodities such as shipping (container shipping to Europe) and fuel oil showed increases, while precious metals (silver) and non - ferrous metals (nickel) showed significant declines [5]. Overseas Commodities - On February 4, 2026, overseas energy commodities such as NYMEX WTI crude oil and ICE Brent crude oil rose, while NYMEX natural gas fell. Precious metals like COMEX gold and COMEX silver also rose [6]. 2. Sector Analysis Financial Sector - Stock index futures: The stock market closed down with shrinking trading volume, and the consumer sector strengthened seasonally. The short - term outlook is for a range - bound increase [10]. - Stock index options: The implied volatility showed a differentiated trend, indicating a range - bound game sentiment. The short - term outlook is range - bound [10]. - Treasury bond futures: Treasury bond futures rose across the board. The short - term outlook is range - bound, and factors to watch include the implementation of monetary policy, risk appetite, and government bond issuance [10]. Precious Metals Sector - Gold: Geopolitical tensions eased, and the "Warsh trade" suppressed liquidity expectations. The short - term outlook is range - bound, and factors to watch include the US economic fundamentals, Fed monetary policy, and geopolitical trends [10]. - Silver: The structural tightness in the spot market eased, and the "Warsh trade" suppressed liquidity expectations. The short - term outlook is range - bound, and factors to watch are similar to those for gold [10]. Shipping Sector - Container shipping to Europe: Spot freight rates were under pressure, and shipping companies cut prices to attract cargo before the festival. The short - term outlook is range - bound, and factors to watch include spot market freight rate changes, geopolitical sentiment, and the risk of price wars among shipping companies [10]. Black Building Materials Sector - Steel products: Cost support weakened, and the futures market was under pressure. The short - term outlook is range - bound, and factors to watch include the progress of special bond issuance, steel exports, and hot metal production [10]. - Iron ore: Hot metal production increased slightly, and inventories continued to accumulate. The short - term outlook is range - bound, with factors such as overseas mine production and shipping, domestic hot metal production, weather conditions, port ore inventories, and policy dynamics to be monitored [10]. - Coke: Profits recovered, supply increased, and the demand from hot metal production provided support. The short - term outlook is range - bound, and factors to watch include steel mill production, coking costs, and mid - downstream restocking [10]. - Coking coal: Restocking was nearly completed, and the futures and spot markets were range - bound. The short - term outlook is range - bound, and factors to watch include coal mine resumption, Mongolian coal imports, and mid - downstream restocking [10]. Non - ferrous Metals and New Materials Sector - Nickel: There was a game between expected policies and weak reality, and nickel prices were range - bound. The short - term outlook is for a range - bound increase, and factors to watch include unexpected macro and geopolitical changes, Indonesian policy risks, and insufficient supply release [10]. - Tin: Market sentiment was weak, and tin prices continued to adjust. The short - term outlook is for a range - bound increase, and factors to watch include the expected resumption of production in Wa State and changes in demand improvement expectations [10]. - Copper: The US dollar index continued to rise, and copper prices were under short - term pressure. The short - term outlook is for a range - bound increase, and factors to watch include supply disruptions, unexpected domestic policies, less - than - expected dovish stance of the Fed, and less - than - expected domestic demand recovery [10]. - Aluminum: Inventories continued to accumulate, and aluminum prices declined. The short - term outlook is for a range - bound increase, and factors to watch include macro risks, supply disruptions, and less - than - expected demand [10]. Energy and Chemical Sector - Crude oil: Supply pressure remained, and geopolitics dominated the rhythm. The short - term outlook is range - bound, and factors to watch include OPEC+ production policies and geopolitical situations [12]. - LPG: Chemical demand weakened, and attention should be paid to Iranian risks. The short - term outlook is range - bound, and factors to watch include cost - side developments such as crude oil and overseas propane [12]. Agricultural Sector - Natural rubber: Short - term support was still effective. The short - term outlook is range - bound, and factors to watch include production area weather, raw material prices, and macro changes [12]. - Synthetic rubber: The futures market had high elasticity, and attention should be paid to the lower - bound support. The short - term outlook is range - bound, and factors to watch include significant fluctuations in crude oil prices [12]. - Cotton: It was range - bound and lacked a unilateral trend before the festival. The short - term outlook is for a range - bound increase, and factors to watch include production and demand [12]. - Sugar: Brazilian sugar exports still had potential, and the medium - to - long - term outlook was for a range - bound decline. The short - term outlook is for a range - bound decline, and factors to watch include Brazilian port logistics, lower - than - expected northern hemisphere production, and macroeconomic fluctuations [12].

Group 1 - The bond market showed a mixed trend on Monday, with long-term rates declining and 30-year treasury futures rising, while 10-year and 5-year treasury futures experienced varying degrees of decline [1] - By the end of the trading session, the TL main contract rose by 0.18%, while the T main contract fell by 0.03%, and the TF main contract decreased by 0.02%, with the TS main contract remaining unchanged from the previous trading day [1] - The total open interest in treasury futures significantly decreased, with a reduction of 7,325 contracts, bringing the total open interest down to 740,736 contracts [1] Group 2 - The changes in the top 20 positions for each treasury futures variety varied from the previous trading day, indicating differing market sentiments [3] - Specifically, the TL long positions decreased by 1,950 contracts, while the T long positions increased by 2,187 contracts, reflecting a shift in market dynamics [3] - The overall view suggests that the treasury futures market is expected to continue a high-level consolidation trend, driven by ongoing expectations of monetary easing [4]

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - In January 2026, the domestic stock index futures market showed significant structural differentiation. The large - cap blue - chip futures were relatively resilient, while the small and medium - cap index futures generally declined. The market experienced a process from high - sentiment and high - volume trading at the beginning of the month to style switching and shock convergence under the influence of macro - data in the second half of the month. The market was affected by short - term economic data disturbances and high overall valuations. In the future, the market is expected to shift from emotional fluctuations to a fundamental verification stage, and market opportunities may be more in a structural form [6][34][35] - The decline in macro - data suppressed the overall risk appetite of the market, which was the direct catalyst for the style switching and the adjustment of small and medium - cap index futures. High valuations amplified market volatility, and more unexpected positive factors were needed to drive the market up [35] 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Futures**: In January, large - cap blue - chip futures were resilient, with the Shanghai 50 futures (IH) rising slightly monthly. Small and medium - cap index futures generally declined, with the CSI 500 futures (IC) and CSI 1000 futures (IM) having significant monthly declines. The specific data of the main futures contracts are as follows: the closing price of the CSI 300 futures (IF) on January 30 was 4,711.0, with a monthly increase of 0.04% (1.8); the closing price of the Shanghai 50 futures (IH) was 3,074.0, with a monthly increase of 1.19% (36.2); the closing price of the CSI 500 futures (IC) was 8,362.4, with a monthly decrease of 3.42% (- 295.8); the closing price of the CSI 1000 futures (IM) was 8,260.6, with a monthly decrease of 3.01% (- 256.0) [6] - **Bond Futures**: In January, all bond futures declined. The closing price of the 30 - year Treasury bond futures on January 30 was 111.920, with a monthly decrease of 0.33% (- 0.37); the closing price of the 10 - year Treasury bond futures was 108.310, with a monthly increase of 0.10% (0.110); the closing price of the 5 - year Treasury bond futures was 105.890, with a monthly decrease of 0.01% (- 0.015); the closing price of the 2 - year Treasury bond futures was 102.394, with a monthly decrease of 0.02% (- 0.022) [7] 3.2 Fundamental Analysis - In January, the manufacturing purchasing managers' index (PMI) was 49.3%, a decrease of 0.8 percentage points from the previous month, indicating a decline in the manufacturing prosperity level [8] - In January, the non - manufacturing business activity index was 49.4%, a decrease of 0.8 percentage points from the previous month [12] - In January, the composite PMI output index was 49.8%, a decrease of 0.9 percentage points from the previous month, indicating that the overall production and business activities of Chinese enterprises slowed down compared with the previous month [13] 3.3 Valuation Analysis - As of January 30, the PE of the CSI 300 index was 14.18 times, the percentile was 85.88%, and the PB was 1.49 times; the PE of the Shanghai 50 index was 11.72 times, the percentile was 85.1%, and the PB was 1.29 times; the PE of the CSI 500 index was 37.93 times, the percentile was 87.65%, and the PB was 2.61 times; the PE of the CSI 1000 index was 50.27 times, the percentile was 82.94%, and the PB was 2.68 times [15] 3.4 Other Data - **Stock - Bond Yield Spread**: The stock - bond yield spread is the difference between the stock market return rate and the Treasury bond yield rate. There are two formulas for calculating the stock - bond yield spread: one is based on the reciprocal of the price - earnings ratio, and the other is based on the dividend yield [27] - **China - Buffett Index**: On January 30, 2026, the ratio of the total market value to GDP was 91.71%. The current "total market value/GDP" percentile in historical data was 91.68%, and in the data of the past 10 years, it was 95.67% [31] 3.5 Comprehensive Analysis - Macro - economically, the macro - economic data released in January affected market sentiment. The decline of PMI indices in manufacturing, non - manufacturing, and the composite index below the critical point indicated a short - term slowdown in economic activities, which triggered market concerns about the fundamentals and led to a shift of funds from high - elasticity sectors to defensive sectors. However, there were positive differentiations in the data: the PMI of high - tech manufacturing remained in a high - prosperity range, and the raw material and ex - factory price indices rebounded, indicating possible marginal improvement in corporate profit expectations [34] - In terms of valuation, although the market adjusted, the valuation pressure of major indices was still obvious. The valuation percentiles of the CSI 300 index and the Shanghai 50 index were at relatively high historical levels, the valuation percentile of the CSI 500 index was close to the historical high, and the ratio of the total market value to GDP was also in a high - percentile range. High overall valuations made the market more sensitive to negative information and limited the space for further rapid valuation increase [34] 3.6 Operational Suggestions - **Unilateral Trading**: It is recommended to be cautious and wait and see. Before the macro - signals and valuation pressure are significantly improved, wait patiently for clearer stabilization signals and avoid blindly chasing up or bottom - fishing [36] - **Arbitrage**: Pay attention to the spread - convergence strategy of going long on IH and shorting IM. If the market's expectation of economic recovery turns moderate, the large - cap style with stable profits and relatively reasonable valuations may continue to show its defensive allocation value [36] - **Options**: For investors holding spot stocks, they can use the covered - call strategy to increase returns. At the same time, to prevent uncertain risks, they can consider buying an appropriate amount of out - of - the - money put options for downside protection [36]