Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Report's Core View - The short - term probability of interest rate cuts is low, while there are still long - term expectations of monetary easing. Treasury bond futures have support but also face pressure, and are expected to remain in a volatile consolidation in the short term. [1][5] Group 3: Summary by Relevant Catalogs 1. Variety View Reference - Financial Futures Stock Index Sector - For TL2603, the short - term view is "volatile", the medium - term view is "volatile", and the intraday view is "weak". The reference view is "volatile consolidation". The core logic is the low short - term probability of interest rate cuts and long - term easing expectations. [1] 2. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For varieties TL, T, TF, TS, the intraday view is "weak", the medium - term view is "volatile", and the reference view is "volatile consolidation". The core logic is that last Friday, treasury bond futures fluctuated slightly up. With the moderately loose monetary policy, a more relaxed monetary environment next year, and increasing expectations of coordinated efforts between monetary and fiscal policies in Q1, treasury bond futures have strong support and the bond yields have decreased. However, the central bank is likely to be cautious about interest rate cuts, limiting the short - term rebound driven by rate - cut expectations. [5]

1. Report Industry Investment Rating - No information about the industry investment rating is provided in the report. 2. Core Viewpoints - The report presents the daily arbitrage data of various futures varieties on December 29, 2025, including power coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures. It details the basis, inter - period spreads, and inter - variety spreads of these commodities [1][5][21][27][42][53]. 3. Summary by Directory 3.1 Power Coal - The report provides the basis data of power coal from December 22 to December 26, 2025. The basis values are - 106.4, - 114.4, - 120.4, - 125.4, and - 129.4 respectively. The 5 - 1, 9 - 1, and 9 - 5 spreads are all 0.0 during this period [2]. 3.2 Energy and Chemicals - **Energy Commodities**: The basis data of fuel oil and the ratio data of crude oil to asphalt from December 22 to December 26, 2025 are presented. The basis of INE crude oil on December 26 is 6.09 [7]. - **Chemical Commodities**: - **Basis**: The basis data of rubber, methanol, PTA, LLDPE, PVC, and PP from December 22 to December 26, 2025 are provided. For example, the basis of rubber on December 26 is - 480 [9]. - **Inter - period Spreads**: The 5 - 1, 9 - 1, and 9 - 5 spreads of rubber, methanol, PTA, LLDPE, PVC, PP, and ethylene glycol are given. For instance, the 5 - 1 spread of rubber is 40 [11]. - **Inter - variety Spreads**: The inter - variety spreads of LLDPE - PVC, LLDPE - PP, PP - PVC, and PP - 3*methanol from December 22 to December 26, 2025 are shown. On December 26, the LLDPE - PVC spread is 1627 [11]. 3.3 Black Metals - **Inter - period Spreads**: The 5 - 1, 9(10) - 1, and 9(10) - 5 spreads of rebar, iron ore, coke, and coking coal are presented. For example, the 5 - 1 spread of rebar is 8.0 [20]. - **Inter - variety Spreads**: The inter - variety spreads of rebar/iron ore, rebar/coke, coke/coking coal, and rebar - hot - rolled coil from December 22 to December 26, 2025 are provided. On December 26, the rebar/iron ore ratio is 4.00 [20]. - **Basis**: The basis data of rebar, iron ore, coke, and coking coal from December 22 to December 26, 2025 are shown. On December 26, the basis of rebar is 162.0 [21]. 3.4 Non - ferrous Metals - **Domestic Market**: - The domestic basis data of copper, aluminum, zinc, lead, nickel, and tin from December 22 to December 26, 2025 are provided. On December 26, the basis of copper is - 660 [28]. - **London Market**: - The LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss data of copper, aluminum, zinc, lead, nickel, and tin on December 24, 2025 are presented. The LME spread of copper is 19.69 [36]. 3.5 Agricultural Products - **Basis**: The basis data of soybeans No. 1, soybeans No. 2, soybean meal, soybean oil, and corn from December 22 to December 26, 2025 are provided. On December 26, the basis of soybeans No. 1 is - 108 [43]. - **Inter - period Spreads**: The 5 - 1, 9 - 1, and 9 - 5 spreads of soybeans No. 1, soybeans No. 2, soybean meal, soybean oil, rapeseed meal, rapeseed oil, palm oil, corn, sugar, and cotton are given. For example, the 5 - 1 spread of soybeans No. 1 is 40 [43]. - **Inter - variety Spreads**: The inter - variety spreads of soybeans No. 1/corn, soybeans No. 2/corn, soybean oil/soybean meal, soybean meal - rapeseed meal, soybean oil - palm oil, rapeseed oil - soybean oil, and corn - corn starch from December 22 to December 26, 2025 are shown. On December 26, the soybeans No. 1/corn ratio is 1.87 [43]. 3.6 Stock Index Futures - **Basis**: The basis data of CSI 300, SSE 50, CSI 500, and CSI 1000 from December 22 to December 26, 2025 are provided. On December 26, the basis of CSI 300 is 18.84 [54]. - **Inter - period Spreads**: The next - month - current - month and next - quarter - current - quarter spreads of CSI 300, SSE 50, CSI 500, and CSI 1000 are given. The next - month - current - month spread of CSI 300 is - 13.4 [54].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - On December 26, 2025, stock indices oscillated upwards with the total stock market turnover reaching 2160.3 billion yuan, an increase of 216.5 billion yuan from the previous day. The recent increase in trading volume and consecutive rise of stock indices indicate a continuous recovery of market risk appetite. As the new year approaches, positive policy expectations are gradually fermenting. With the appreciation of the RMB, a large amount of relatively high - interest time deposits will mature next year, and their "re - allocation" may bring a large influx of incremental funds into the stock market. The positive policy expectations and the net capital inflow trend together form the medium - and long - term support for stock indices. As the stock indices approach the previous high, short - term attention should be paid to whether they can break through the technical resistance of the previous high. In general, the bullish factors are continuously fermenting, and the stock indices are expected to be oscillating strongly in the short term. For options, since the current position PCR and implied volatility are both in the normal range, a bull spread or ratio spread strategy with a mild bullish view can be adopted [3] 3. Summary by Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On December 26, 2025, the 50ETF rose 0.42% to 3.120; the 300ETF (Shanghai Stock Exchange) rose 0.38% to 4.784; the 300ETF (Shenzhen Stock Exchange) rose 0.41% to 4.860; the CSI 300 Index rose 0.32% to 4657.24; the CSI 1000 Index rose 0.35% to 7605.53; the 500ETF (Shanghai Stock Exchange) rose 0.61% to 7.580; the 500ETF (Shenzhen Stock Exchange) rose 0.57% to 2.991; the GEM ETF rose 0.12% to 3.226; the SZSE 100ETF rose 0.29% to 3.485; the SSE 50 Index rose 0.41% to 3045.40; the STAR 50ETF fell 0.21% to 1.42; the E Fund STAR 50ETF fell 0.15% to 1.37 [5] - **Volume PCR and Position PCR**: The volume PCR and position PCR of various options on December 26, 2025, showed different changes compared with the previous trading day. For example, the volume PCR of SSE 50ETF options was 87.56 (previous day: 112.71), and the position PCR was 97.69 (previous day: 96.89) [6] - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of 2026 January at - the - money options of various options were reported. For instance, the implied volatility of SSE 50ETF options was 11.49%, and the 30 - day historical volatility of the underlying was 10.75% [7] 3.2 Relevant Charts - **SSE 50ETF Options**: The report includes charts of the SSE 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [9][11][13] - **SSE 300ETF Options**: Charts of the SSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms are presented [21][23][25] - **SZSE 300ETF Options**: There are charts of the SZSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [34][36][38] - **CSI 300 Index Options**: The report provides charts of the CSI 300 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [46][48][49] - **CSI 1000 Index Options**: Charts of the CSI 1000 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms are included [54][57][59] - **SSE 500ETF Options**: The relevant charts cover the SSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [65][67][69] - **SZSE 500ETF Options**: There are charts of the SZSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [78][80][82] - **GEM ETF Options**: The report shows charts of the GEM ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [91][92][93] - **SZSE 100ETF Options**: Charts of the SZSE 100ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms are provided [104][106][108] - **SSE 50 Index Options**: The relevant charts include the SSE 50 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [116][118][120] - **STAR 50ETF Options**: There are charts of the STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [129][131][132] - **E Fund STAR 50ETF Options**: The report presents charts of the E Fund STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [137][139][141]

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 姓名：涂伟华 宝城期货投资咨询部 从业资格证号：F3060359 投资咨询证号：Z0011688 电话：0571-87006873 邮箱：tuweihua@bcqhgs.com 作者声明 本人具有中国期货业协会 授予的期货从业资格证书，期 货投资咨询资格证书，本人承 诺以勤勉的职业态度，独立、 客观地出具本报告。本报告清 晰准确地反映了本人的研究观 点。本人不会因本报告中的具 体推荐意见或观点而直接或间 接接收到任何形式的报酬。 钢材&铁矿石 | 日报 2025 年 12 月 26 日 钢材&铁矿石日报 专业研究·创造价值 商品情绪偏暖，钢矿震荡回升 核心观点 螺纹钢：主力期价震荡运行，录得 0.42%日跌幅，量增仓缩。现阶段， 螺纹钢供应低位回升，而需求在走弱，基本面表现偏弱，淡季钢价承压 运行，相对利好的是政策预期与成本支撑，后续走势延续低位震荡运 行，关注钢厂生产情况。 热轧卷板：主力期价震荡运行，录得 0.06%日跌幅，量增仓缩。目前来 看，热卷需求迎改善，而供应处于低位，供需格局有所好转，给予价格 支撑，但需求韧性存疑，且库存水平偏高 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Views - **沪铜**: The main contract of Shanghai copper increased in position and accelerated its upward movement, approaching the 100,000 mark during the session, but then declined with a reduction in positions at the end of the session. This week, copper prices fluctuated upwards with an increased intraday amplitude and intensified long - short competition. Due to the overseas Christmas holiday, there is a strong willingness for funds to take profits. High copper prices are suppressing downstream consumption, causing the basis and monthly spreads to weaken, and the social inventory of electrolytic copper has risen significantly. With overseas markets closed in the short term and significant domestic industrial pressure, pay attention to the support of the 5 - day moving average when prices decline [6]. - **沪铝**: This week, it showed a volatile trend, with the futures price reaching the high level in early December. There is a strong willingness for short - term long positions to take profits. Overseas markets are closed for Christmas. High aluminum prices are suppressing downstream consumption, and the industry is passively following. The social inventory of electrolytic aluminum has increased. Technically, pay attention to the long - short game around the 22,400 mark in the short term [7]. - **沪镍**: This week, nickel prices rebounded significantly with an increase in positions and broke through the operating center in the second half of the year. This was mainly due to the change in industrial supply - demand expectations, leading to an oversold rebound. On the industrial side, the expectation of policy disturbances in Indonesia has increased, driving up nickel prices. As the main nickel futures contract rose to the 130,000 mark, rebounding nearly 20,000 yuan/ton from the low level, there is a strong willingness for short - term long positions to take profits, and long - short competition has intensified [8]. 3. Summary by Directory 3.1 Industry Dynamics - **铜**: On December 25th, the social inventory of Mysteel electrolytic copper was 202,200 tons, an increase of 22,200 tons compared to the 22nd and 27,700 tons compared to the 18th. In the North China spot market for electrolytic copper, high copper prices have suppressed demand, and as the end of the year approaches, the pressure on holders has increased. The upstream is selling at a lower price to move goods, resulting in a continuous and significant decline in the spot premium in North China to an average discount of 600 yuan/ton, a new low in nearly three years. CSPT held its Q4 2025 general manager's office meeting in Shanghai on December 25th and decided not to set a reference figure for the spot copper concentrate processing fee for Q1 2026 [10]. - **铝**: On December 25th, the social inventory of Mysteel electrolytic aluminum was 612,000 tons, an increase of 24,000 tons compared to the 22nd and 51,000 tons compared to the 18th [11]. 3.2 Related Charts - **铜**: The report includes charts on copper basis, electrolytic copper domestic explicit inventory (social inventory + bonded area inventory), LME copper cancelled warrant ratio, overseas copper exchange inventory, Shanghai Futures Exchange warrant inventory, etc. [12][13][14] - **铝**: The report contains charts on aluminum basis, aluminum monthly spread, electrolytic aluminum domestic social inventory, electrolytic aluminum overseas exchange inventory (LME + COMEX), aluminum - to - London ratio, aluminum rod inventory, etc. [25][27][29] - **镍**: The report has charts on nickel basis, nickel monthly spread, LME inventory, Shanghai Futures Exchange inventory, nickel ore port inventory, etc. [37][39][43]

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 资讯早班车-2025-12-26 一、 宏观数据速览 | 发布日期 | 指标日期 | 指标名称 | 单位 | 当期值 | 上期值 | 去年同期值 | | --- | --- | --- | --- | --- | --- | --- | | 20251020 | 2025/09 | GDP:不变价:当季同比 | % | 4.80 | 5.20 | 4.60 | | 20251130 | 2025/11 | 制造业 PMI | % | 49.20 | 49.00 | 50.30 | | 20251130 | 2025/11 | 非制造业 PMI:商务活 动 | % | 49.50 | 50.10 | 50.00 | | 20251212 | 2025/11 | 社会融资规模增量:当 | 亿元 | | 24885.00 8161.00 | 23288.00 | | | | 月值 | | | | | | 20251212 | 2025/11 | M0(流通中的现金):同 比 | % | 10.60 | 10.60 | 12.70 | | 202512 ...

1. Report Industry Investment Rating - No specific investment rating for the industry is provided in the report. 2. Report's Core Viewpoint - The report believes that due to geopolitical risks, the domestic crude oil futures (SC) are expected to maintain a volatile and upward - trending movement. The short - term and medium - term trends are expected to be volatile, and the intraday trend is expected to be on the stronger side [1][5]. 3. Summary by Relevant Content 3.1 Price Trend and Viewpoint - For crude oil 2602, the short - term trend is volatile, the medium - term trend is volatile, the intraday trend is on the stronger side, and the overall reference view is a stronger - trending movement [1]. - The intraday view of crude oil (SC) is on the stronger side, the medium - term view is volatile, and the reference view is a stronger - trending movement [5]. 3.2 Core Logic - The sharp escalation of the US - Venezuela situation is the most direct and powerful driving force for the oil price rebound. The Trump administration in the US has increased pressure on Venezuela, including a "full and complete blockade" of sanctioned oil tankers and plans to seize more Venezuelan oil tankers. Approximately 6 million barrels of Venezuelan crude oil have been seized in total. Venezuela exported about 600,000 barrels per day in November. The decrease in the number of oil tankers going to Venezuela has led to concerns about a substantial global crude oil supply gap, pushing up the risk premium of oil prices. Additionally, the attack on Russian refineries by Ukraine has made geopolitical factors dominant in the short - term oil market [5].

期货研究报告 晨会纪要 投资咨询业务资格：证监许可【2011】1778 | 品种 | | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | --- | | 沪胶 | 2605 | 震荡 | 震荡 | 偏强 | 偏强运行 | 偏多因素主导，沪胶震荡偏强 | | 合成胶 | 2602 | 震荡 | 震荡 | 偏强 | 偏强运行 | 偏多因素主导，合成胶震荡偏强 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 宝城期货橡胶早报-2025-12-26 品种晨会纪要 时间周期说明：短期为一周以内、中期为两周至一月 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 3.偏强/偏弱只针对日内观点，短期和中期不做区分。 专业研究·创造价值 1 / 3 请务必阅读文末免责条款 期货研究报告 晨会纪要 投资咨询业务资格：证监许可【2011】1778 ---------------------------------- ...

期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 宝城期货豆类油脂早报（2025 年 12 月 26 日） 品种观点参考 ◼ 主要品种价格行情驱动逻辑—商品期货农产品板块 品种：豆粕（M） 日内观点：震荡偏强 中期观点：震荡 参考观点：震荡偏强 核心逻辑：受圣诞节假期影响，CBOT 市场休市，国际市场指引暂时缺位。国内市场，贸易商多持观 望态度，密切关注油厂大规模停机计划，普遍延续滚动拿货策略以规避库存风险。当前美豆上涨部分 抵消了人民币升值对进口成本的压制，成本驱动因素趋于多元，豆粕期价在底部区间呈现反复震荡格 局。短期来看，汇率波动、外盘节奏及国内供需节奏交织影响，市场缺乏单边趋势动力。豆粕期价仍 将维持震荡格局。 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为弱势，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为强势。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 专业研究·创造价值 1 / 3 请务必阅读文末免责条款 时间周期说明：短期为一周以内、中期为两 ...

1. Report's Industry Investment Rating - No relevant information provided 2. Core View of the Report - The steel price of rebar 2605 will be in a low - level oscillation, with a short - term, medium - term, and intraday view of oscillation, oscillation, and weak oscillation respectively, due to a weakly stable supply - demand pattern [1] 3. Summary by Related Catalogs 3.1 Variety View Reference - For rebar 2605, the short - term view is oscillation, the medium - term view is oscillation, and the intraday view is weakly oscillating, with an overall outlook of low - level oscillation. The core logic is the weakly stable supply - demand pattern, where steel prices move in an oscillating manner. The supply is at a relatively low level and rising with limited increase, while the demand is weakening [1] 3.2 Market Driving Logic - The supply - demand pattern of rebar is weakly stable. Supply is rising from a low level but with limited increase and remains at a relatively low position, providing support for steel prices, yet there is an expectation of further increase. Demand is running weakly, with high - frequency demand indicators falling and at the lowest level in recent years. Downstream industries have not improved, and demand will seasonally weaken, putting pressure on steel prices. The steel price in the off - season is under pressure, and the relatively positive factors are policy expectations and cost support, so the subsequent trend will continue to be in low - level oscillation. Attention should be paid to the production situation of steel mills [2]