1. Report Industry Investment Ratings No investment ratings for the entire industry are provided in the report. 2. Core Views of the Report - The Fed's hawkish remarks have dampened hopes of a December rate cut, leading to tightened global market liquidity and significant market declines on Friday. The future rate - cut path still has room for debate, and market volatility remains high [2][15]. - In October, most domestic economic indicators showed a slowdown in growth, which has affected various markets such as A - shares and the bond market [3][25]. - Different commodity markets have their own supply - demand and price trends. For example, in the copper market, short - term macro factors may limit copper prices, while fundamentals may turn into a supporting factor [7]. 3. Summary by Directory 3.1 Financial News and Reviews 3.1.1 Macro Strategy (US Stock Index Futures) - Fed officials continue to make hawkish remarks, and the market is pricing in a pause in rate cuts in December. The future rate - cut path still has room for debate with the release of economic data next week. The US stock market maintains a high - level oscillation [15]. - Investment advice: Due to high market volatility, it is recommended to observe more and act less, waiting for the market to choose a direction [16]. 3.1.2 Macro Strategy (Gold) - The US adjusts agricultural product tariffs and reduces tariffs on Swiss products. Gold prices fell significantly on Friday, remaining in a short - term consolidation range. - Investment advice: Gold prices are expected to continue to fluctuate in the short term, and attention should be paid to the risk of decline [20]. 3.1.3 Macro Strategy (Foreign Exchange Futures - US Dollar Index) - Fed officials' hawkish statements have led to tightened global market liquidity, significant market declines on Friday, and the US dollar index is oscillating. - Investment advice: The US dollar is expected to oscillate in the short term [23]. 3.1.4 Macro Strategy (Stock Index Futures) - Three factors are disturbing the A - share market: increased domestic economic pressure, tense Sino - Japanese relations, and overseas companies' demand for supply - chain localization. The probability of a high - level adjustment in the market is increasing. - Investment advice: It is recommended to evenly allocate long positions in various stock indexes [27]. 3.1.5 Macro Strategy (Treasury Bond Futures) - Economic data in October was generally weaker than expected. The bond market is in a narrow - range oscillation as it has already anticipated weak data, and there is a lack of new positive drivers. - Investment advice: It is recommended to approach the market with an oscillation mindset [31]. 3.2 Commodity News and Reviews 3.2.1 Black Metals (Steam Coal) - The price of Indonesian low - calorie steam coal was stable on November 14. The overall coal price is oscillating around 850 yuan. Supply is tight, and demand is at a seasonal high, so the price has strong support but is unlikely to break through 900 yuan. - Investment advice: The coal price is expected to be strongly supported but difficult to break through 900 yuan [34]. 3.2.2 Black Metals (Iron Ore) - Norwegian iron ore producer Rana Gruber plans to produce 67% high - grade iron ore by 2029. The iron ore market has weak demand, and the price is expected to oscillate. - Investment advice: The price is expected to remain flat in the second half of November and decline slightly in December, maintaining an oscillating market [36]. 3.2.3 Agricultural Products (Soybean Oil/Rapeseed Oil/Palm Oil) - Indonesia plans to test B50 biodiesel in December. The US is urged to finalize biofuel policies. Palm oil prices may be weak due to policy uncertainties, while soybean oil prices are expected to remain firm. - Investment advice: For palm oil, do not prematurely trade potential positive expectations. For soybean oil, wait for the result of US biofuel policies [40]. 3.2.4 Agricultural Products (Sugar) - In October, Brazilian sugar production data was higher than expected, and the Brazilian sugar - making ratio is decreasing. The domestic sugar market is expected to have a strong start to the new season, but the upside is limited. - Investment advice: Zhengzhou sugar futures are expected to be strongly oscillating in the short term, and the 1 - 5 contract long - spread can be held [45]. 3.2.5 Agricultural Products (Cotton) - The USDA November report is bearish for cotton, but the market has already priced it in. The domestic cotton market has sufficient supply and weak demand, and the price is expected to be weakly oscillating. - Investment advice: Zhengzhou cotton futures are expected to be weakly oscillating in the short term [50]. 3.2.6 Agricultural Products (Soybean Meal) - The USDA lowered the ending inventory of US soybeans in the 25/26 season. US soybean crushing demand is strong, but the improvement in exports is uncertain. The domestic soybean meal supply is sufficient, and the price is in an oscillating state. - Investment advice: The futures price is expected to oscillate, and attention should be paid to China's actual purchases of US soybeans and South American production expectations [54]. 3.2.7 Black Metals (Rebar/Hot - Rolled Coil) - In early November, the daily output of key steel enterprises increased. Steel prices are oscillating without a clear trend. The market needs more steel mill production cuts. - Investment advice: Approach steel prices with an oscillating mindset [60]. 3.2.8 Agricultural Products (Corn Starch) - The price difference between corn starch and tapioca starch has widened. The starch market has positive profits, and the inventory has slightly decreased. - Investment advice: The 01 futures price difference is expected to oscillate, and it is recommended to conduct band trading [62]. 3.2.9 Agricultural Products (Corn) - The selling progress of corn in Northeast and North China is relatively fast, but the actual supply - demand situation is still tight. The price is expected to be affected by selling pressure in the future. - Investment advice: It is recommended to wait and see in the short term, and there may be opportunities to short at high prices after the situation becomes clear [64]. 3.2.10 Agricultural Products (Red Dates) - The price of red dates in Xinjiang is weakly stable. The futures price has declined, and the inventory has increased. - Investment advice: It is recommended to observe carefully until the harvesting is completed and pay attention to price negotiations and purchase progress in the production area [67]. 3.2.11 Non - Ferrous Metals (Copper) - Polish copper producer KGHM's Q3 net profit increased by 80%. Short - term macro factors may limit copper prices, while fundamentals may turn into a supporting factor. - Investment advice: It is recommended to buy on dips for single - side trading and wait and see for arbitrage [71]. 3.2.12 Non - Ferrous Metals (Polysilicon) - The first TOPCon + perovskite tandem solar cell was launched. The polysilicon spot price is expected to be stable, and the futures price is expected to oscillate between 51,000 - 56,000 yuan/ton. - Investment advice: Pay attention to range - trading opportunities [74]. 3.2.13 Non - Ferrous Metals (Industrial Silicon) - Organic silicon monomer manufacturers are jointly raising prices and considering production cuts. Industrial silicon prices are expected to have a clear lower limit, and it is recommended to buy on dips [77]. 3.2.14 Non - Ferrous Metals (Lead) - The LME lead spread is at a discount. The supply side is in the early stage of repair, and the demand side is weak. There is a risk of low inventory in the long - term. - Investment advice: The industrial side can look for opportunities to short on rallies, and wait and see for arbitrage and cross - border trading [79]. 3.2.15 Non - Ferrous Metals (Zinc) - Peruvian zinc concentrate production decreased in September. The LME zinc market has a risk of a short - squeeze, and the domestic zinc market is expected to enter a high - level oscillating adjustment stage. - Investment advice: Hold short positions in the short - term, look for long - spread opportunities in the medium - term, and pay attention to cross - border arbitrage opportunities [83]. 3.2.16 Non - Ferrous Metals (Lithium Carbonate) - The lithium price has risen recently, but short - term upward movement is limited. In the medium - term, demand may weaken. - Investment advice: Conduct range - trading in the short - term and look for opportunities to short on rallies in the medium - term [86]. 3.2.17 Non - Ferrous Metals (Nickel) - Indonesia may restrict nickel smelting investment. The nickel market has weak fundamentals, and the price may continue to be weak in the short - term. - Investment advice: In the short - term, the price may continue to decline or rebound based on production cuts. In the medium - term, pay attention to Indonesia's policies [89]. 3.2.18 Energy and Chemicals (Carbon Emissions) - The EU carbon price is oscillating. The increase in heating demand in winter will support the carbon price. - Investment advice: The EU carbon price is expected to be oscillating and strengthening in the short - term [92]. 3.2.19 Energy and Chemicals (Crude Oil) - The number of US oil rigs has increased, and the Russian Black Sea port was attacked, affecting oil exports. Geopolitical conflicts may support oil prices in the short - term. - Investment advice: Geopolitical conflicts may support oil prices in the short - term [95]. 3.2.20 Energy and Chemicals (Methanol) - International methanol production and capacity utilization have increased. The methanol price fell due to the decline in coking coal futures. The theoretical downward space is at least 100 yuan/ton. - Investment advice: The price is expected to reach 2000 yuan/ton [99]. 3.2.21 Energy and Chemicals (Bottle Chips) - Bottle chip factories have increased export quotes. The market is in a seasonal off - season, and there is a risk of supply - demand deterioration in the future. - Investment advice: Look for opportunities to short the far - month processing margin and follow the movement of polyester raw material prices [102]. 3.2.22 Shipping Index (Container Freight Rates) - ONE has cooperated with Chinese ports to promote green shipping. The EC2602 contract's delivery date has been adjusted, and its valuation may be revised. - Investment advice: The 12 - 02 contract spread is expected to return to par or a slight premium [105].

周度报告——风险管理 根据技术分析，近期商品市场各板块呈现分化格局。贵金属 整体震荡，而有色板块中铅、不锈钢等多品种显示看跌信号， 但碳酸锂逆势周线上涨，稳居 MA60 均线之上，虽在 90000 元/吨关键位面临多头平仓压力，持仓稳定预示趋势未完全 反转，短期预期围绕 MA60 宽幅震荡。技术分析显示黑色系 中铁矿石、焦煤等看跌，但螺纹钢在低位获得支撑后技术指 标显露反弹动能，价格重返 3050-3070 元/吨支撑区间，需关 注其能否有效企稳。能源化工板块技术分析评级内部分化， 原油、短纤等看涨，PTA 虽周线上行但迫近 MA60 与下降通 道上轨双重阻力，上涨动力受限，下周预计震荡。根据农技 术分析，农产品中豆粕强势突破 MA60 均线，技术形态转多， 然而上方卖压仍存，续涨动力待观察。整体市场震荡为主， 趋势性行情不明，投资者需紧盯关键技术与仓位管理。 ★金融期货 根据期货技术指标信号分析，股指期货市场整体承压，上证 50 期货显示看跌信号，而沪深 300、中证 500 及中证 1000 期 货均呈现强烈看跌信号。其中，IC 中证 500 期货周线进入震 荡整理，布林带带宽停止扩张，MACD 柱收缩， ...

热点报告-国债期货 供需均走弱，然债市已脱敏 | [Table_Rank] 走势评级： | 国债：震荡 | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 报告日期： | 2025 | 年 | 11 | 月 | 16 | 日 | [Table_Summary] ★10 月供需两端均在放缓 经济数据与金融、PMI 等数据相互印证，10 月的经济增速有所 放缓。经济数据走弱的原因是多方面的：基数抬高、10 月节假 期相对较长、经济内生性走弱趋势尚未发生变化，而近期增量 政策相对有限，部分政策的效力也尚未充分显现。具体来看， 1）1-10 月固投累计增速为-1.7%，前值为-0.5%。下半年政策的 思路更倾向调结构，财政支出向民生、化债、科技等领域倾 斜，基建增速下降。9-10 月增量稳地产政策相对有限，地产投 资仍在寻底。终端需求走弱叠加反内卷政策推进，国内制造业 投资增速也在下滑。2）10 月社零增速录得 2.9%，前值为 3.0%。社零增速回落受高基数影响较大，结构上国补类商品社 零增速多数下降，但假期较长使得餐饮等消费增速上升。3）10 月工增 ...

Group 1: Report Information - The report is a weekly strategy report from the Dongzheng Derivatives Research Institute, covering stock index futures, treasury bond futures, and commodity CTA strategies [1][38][51] Group 2: Stock Index Futures Market Review - The market declined last week, with the electronics sector contributing the main decline in each index [3] - IH and IF trading volumes increased week-on-week, while IC and IM trading volumes decreased. The basis weakened [4] Strategy Recommendations - For the basis strategy, it is recommended to pay attention to the opportunity of calendar spread arbitrage when the discount narrows due to market sentiment. The rollover strategy recommends going long on the near - term contract and short on the far - term contract [4] - For the arbitrage strategy, in the calendar spread arbitrage, the annualized basis rate, cash - and - carry, and momentum factor strategies were profitable last week, with returns of 0.2%, 0.5%, and 0.2% respectively (6 - times leverage). The cross - variety arbitrage time - series synthesis strategy had a net profit of 0.1% last week, and the latest signal recommends 50% long IF and short IC, 100% long IM and short IC [5] - For the timing strategy, the daily timing strategy was generally profitable last week, with the Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 having returns of 0.4%, 0.6%, 1.1%, and - 0.7% respectively. The timing model's latest signal shows a significant increase in bullish sentiment [6] Group 3: Treasury Bond Futures Strategy Focus - For the basis and calendar spread, the IRR of treasury bond futures declined this week, and the calendar spread was volatile and strong. The space for cash - and - carry arbitrage is limited, and it is expected to move sideways [40] - For interest rate timing and hedging signals, the interest rate timing signal predicts a decline in interest rates, and it is recommended to choose high - duration varieties for hedging [40][41] - For the futures timing strategy, the multi - factor timing strategy signal is neutral, with the basis factor and high - frequency factor being mainly bullish, and the spread factor and volume - price factor being mainly bearish [40][44] - For the futures cross - variety arbitrage strategy, the latest signals of the treasury bond futures cross - variety arbitrage strategies TS - T and T - TL are neutral [40][47] Group 4: Commodity CTA Factor Performance - Last week, the performance of various commodity varieties in the market varied. Precious metal silver led the rise due to renewed risk - aversion sentiment, and lithium carbonate rose 7%, while coking coal, glass, and red dates led the decline. Most commodity factors had good increases, with the momentum trend and term structure factors with significant long - term logic having an average increase of over 1%, and the value factor rising nearly 2%. The position - related factor had a slight increase, the spot - futures basis factor had a slight decline, and the warehouse receipt factor was basically flat [52][54] Tracking Strategy Performance - Different tracking strategies have different performance indicators such as annualized return, Sharpe ratio, Calmar ratio, and maximum drawdown. For example, the CW FT strategy has an annualized return of 9.4%, a Sharpe ratio of 1.61, and a maximum drawdown of - 8.81% [53]

Report Investment Rating - Gold: Bearish [1] Core Viewpoints - London gold rose 2.1% to $4084 per ounce, the 10-year US Treasury yield rose to 4.14%, inflation expectation was 2.3%, real interest rate slightly rose to 1.83%, the US dollar index fell 0.3% to 99.3, the S&P 500 index rose 0.08%, the RMB appreciated, and the premium of Shanghai gold increased [2] - Gold price first rose and then fell. Initially, it was pushed up by the expectation of the Fed's balance sheet expansion. However, later, due to factors such as the end of the US government shutdown, hawkish remarks from Fed officials, and the cooling of the expectation of a Fed rate cut in December, the gold price remained in a consolidation phase [3] - The easing of the US foreign tariff policy led to a decline in risk aversion [4] - In the short term, the gold price has not escaped the consolidation pattern, and there is a risk of correction. The domestic gold maintains a small premium [5] Summary by Directory 1. Gold High-Frequency Data Weekly Changes - The domestic basis (spot - futures) decreased by 44.2% week-on-week, the domestic and foreign futures price difference (domestic - foreign) increased by 493.2% week-on-week, the Shanghai Futures Exchange gold inventory increased by 0.9% week-on-week, the COMEX gold inventory decreased by 0.92% week-on-week, the SPDR ETF holdings increased by 0.19% week-on-week, the CFTC gold speculative net long positions decreased by 1.2% week-on-week, the US Treasury yield increased by 0.7% week-on-week, the US dollar index decreased by 0.26% week-on-week, the SOFR increased by 2.3% week-on-week, the US 10-year breakeven inflation rate increased by 0.92% week-on-week, the S&P 500 index increased by 0.1% week-on-week, the VIX volatility index increased by 3.9% week-on-week, the gold cross-market arbitrage trading increased by 1.5% week-on-week, and the US 10-year real interest rate increased by 1.3% week-on-week [12] 2. Financial Market Related Data Tracking 2.1 US Financial Market - The US overnight secured financing rate was 4%, the oil price fell 0.1%, and the US inflation expectation was 2.3% [18] - The US dollar index fell 0.3%, the US Treasury yield rose to 4.14%, the S&P 500 index rose 0.08%, and the VIX index slightly rose to 19.8 [19] 2.2 Global Financial Market - Stocks, Bonds, Currencies, and Commodities - Developed country stock markets mostly rebounded, with the S&P 500 rising 0.08%, and developing country stock markets showed mixed performance, with the Shanghai Composite Index falling 0.18% [23] - The real interest rate fluctuated and closed at 1.83%, the gold price rose 2.1%, the spot commodity index closed higher, and the US dollar index fell 0.3% [25] - The euro appreciated 0.47%, the pound sterling appreciated 0.08%, the yen depreciated 0.74%, and the Swiss franc appreciated 1.39% [29] - US and German bonds rose, with a US - German yield spread of 1.42%, the UK Treasury yield was 4.5%, and the Japanese bond yield was 1.7% [30] - The US dollar index fell 0.31% to 99.3, and most non - US currencies appreciated [31] 3. Gold Trading - Level Data Tracking - The data on gold speculative net long positions was suspended due to the government shutdown, and the SPDR gold ETF holdings slightly rose to 1044 tons [34] - The RMB slightly appreciated, the premium of Shanghai gold increased, gold and silver prices rose, and the gold - silver ratio decreased to 78 [37] 4. Weekly Economic Calendar - Important data and events include Japan's Q3 GDP, the US November New York Fed manufacturing index, the US November NAHB housing market index, the UK and Eurozone October CPI, the US weekly initial jobless claims, the US November Philadelphia Fed manufacturing index, the US September non - farm payrolls, Japan's October CPI, and the US November University of Michigan consumer confidence index final value [38]

Industry Investment Rating - Alumina: Oscillation [1][5] Core Viewpoints - The alumina market is currently in an oversupply situation, with prices having theoretical downward space, but excessive speculation is not advisable. If there is a price rebound, a bearish approach can be considered [15]. Summary by Directory 1. Alumina Industry Chain Weekly Overview - **Raw Materials**: Domestic ore prices remained stable last week. After the rainy season in Shanxi and Henan, some mines are gradually resuming production, but supply improvement is short - term difficult due to strict mining control. Guinean mines are resuming shipments after the rainy season, with 430.5 million tons of new ore arriving, including 320.6 million tons from Guinea and 92.9 million tons from Australia. The reference price of Cape ships from Guinea to China dropped slightly [2][12]. - **Alumina**: Spot prices declined slightly last week. After downstream replenishment, demand decreased. The import window closed. The full - cost of domestic alumina was 2,818 yuan/ton with a real - time profit of 64 yuan/ton. Due to accumulating losses, the number of maintenance increased, with operating capacity decreasing by 1.05 million tons to 95.8 million tons and an operating rate of 83.6% [3][13]. - **Demand**: Domestic electrolytic aluminum operating capacity was stable at 44.233 million tons. Overseas, the operating capacity of electrolytic aluminum increased by 300,000 tons to 29.581 million tons [14]. - **Inventory**: As of November 13th, the national alumina inventory increased by 83,000 tons to 4.301 million tons, due to factors such as efficient shipping and import arrivals [14]. - **Warehouse Receipts**: The registered warehouse receipts of alumina on the SHFE remained unchanged at 253,654 tons [15]. 2. Key Event News Summary in the Industry Chain This Week - Alumina import profit decreased slightly. The Australian alumina quote was stable at around $320/ton, and the theoretical import profit in the north dropped to about - 31 yuan/ton [16]. - Alumina production cuts were more frequent. The operating capacity decreased by 1.05 million tons this week and 2.75 million tons compared to the maximum in 60 days [16]. - In 2026, the expected new alumina production capacity to be put into operation is 12.2 million tons (excluding potentially un - launched capacity in 2025), or 13.9 million tons if including it. Southern new capacity is more likely to be launched in the first half of the year [16]. 3. Key Data Monitoring of the Industry Chain Upstream and Downstream - **Raw Materials and Cost**: The section includes data on domestic and imported bauxite prices, port inventories, shipping volumes, and prices of other raw materials like caustic soda and thermal coal, as well as the production costs of alumina in different provinces [17][24][26]. - **Alumina Price and Supply - Demand Balance**: It shows domestic and imported alumina prices, the ratio of electrolytic aluminum to alumina futures on the SHFE, and the weekly supply - demand balance of alumina. The supply - demand balance shows the relationship between alumina and electrolytic aluminum operating capacities and the supply - demand gap over time [31][38][39]. - **Alumina Inventory and Warehouse Receipts**: This part presents data on alumina inventories in electrolytic aluminum plants, alumina plants, yards, ports, and the total social inventory, as well as the warehouse receipts and positions of alumina on the SHFE [41][44][47]

Report Industry Investment Rating - The rating for the US dollar is "Oscillating" [5] Core Viewpoints - Market risk appetite is fluctuating, with most global stock markets rebounding, most bond yields rising, and the US dollar index falling. The market is affected by factors such as the end of the US government shutdown, data uncertainties, and changes in tariff policies [1][11] - Liquidity crunch occurs repeatedly, leading to increased market volatility. The market's expectation of a December interest rate cut has changed, and asset prices are sensitive to liquidity changes [33][37] Summary by Directory 1. Global Market This Week Overview - Market risk appetite is wavering. Most stock markets rebound, most bond yields rise, the US dollar index drops 0.31% to 99.3, most non - US currencies appreciate, gold rebounds 2.1% to $4081 per ounce, the VIX index rises to 19.8, the spot commodity index closes higher, and Brent crude oil drops 0.1% to $63.74 per barrel [1][5][9] 2. Market Trading Logic and Asset Performance 2.1 Stock Market - Global stock markets mostly rebound. The S&P 500 in the US rises 0.08%, while the Shanghai Composite Index in China falls 0.18%. The end of the US government shutdown, data uncertainties, and changes in tariff policies affect the market. In China, the weak economic data in October puts pressure on the stock market [10][11] 2.2 Bond Market - Global bond yields mostly rise, with the 10 - year US Treasury yield reaching 4.14%. The end of the US government shutdown and potential fiscal deficit increase pressure on long - term bonds. Developed countries' monetary policies are on hold, and the domestic bond market in China is volatile [14][19][22] 2.3 Foreign Exchange Market - The US dollar index drops 0.31% to 99.3, and most non - US currencies appreciate. Offshore RMB rises 0.38%, the euro rises 0.47%, the British pound rises 0.08%, the Japanese yen drops 0.74%, the Swiss franc rises 1.39%, and some other currencies also show gains [25][27][28] 2.4 Commodity Market - Gold rebounds 2.1% to $4084 per ounce, affected by expectations of the Fed's policy shift. However, after the end of the US government shutdown and hawkish remarks from Fed officials, it gives back some gains. Brent crude oil drops 0.1% to $63.74 per barrel, and the supply - demand pattern for oil remains weak [29][32] 3. Hotspot Tracking - Liquidity crunch occurs repeatedly, causing increased market volatility. The market experiences a significant turnaround from the beginning to the end of the week due to data uncertainties and hawkish signals from the Fed [33][37] 4. Next Week's Important Event Reminders - Monday: Japan's Q3 GDP, US November New York Fed Manufacturing Index - Tuesday: US November NAHB Housing Market Index - Wednesday: UK and Eurozone October CPI - Thursday: US weekly initial jobless claims, November Philadelphia Fed Manufacturing Index, US September non - farm payrolls - Friday: Japan's October CPI, US November University of Michigan Consumer Confidence Index final value [39]

周度报告-国债期货 [Table_Summary] ★一周复盘：国债期货窄幅震荡 本周（11.10-11.16）国债期货窄幅震荡。周一，周末公布的 10 月通胀数据超预期，早盘现券利率上行，但由于科技股震荡调 整，国债期货震荡转涨，曲线走平。周二，市场消息面较为平 静，成交相对清淡。上午股市震荡走弱，国债期货小幅拉升， 午后股市低位震荡，市场担忧费率新规落地，国债期货转而走 弱。周三，央行昨日晚间公布的 Q3 货政报告表述整体中性，股 市中光伏、科技板块表现偏弱，红利板块走强，国债期货小幅 上涨。周四，市场消息面平静，股市持续上涨，锂电、有色等 板块涨幅靠前，国债期货震荡下跌。尾盘公布的 10 月金融数据 多数表现偏弱，但债市反应不大。周五，早盘统计局公布的 10 月经济数据普遍不及预期，股市震荡略偏弱，债市小幅走强； 午间股市跌幅扩大，但债市较为担忧买断式逆回购缩量而下 跌，尾盘债市担忧情绪有所缓解。截至 11 月 14 日收盘，两 年、五年、十年和三十年期国债期货主力合约结算价分别为 102.446、105.850、108.390 和 116.070 元，分别较上周末变动- 0.026、-0.070、-0 ...

1. Report Industry Investment Rating - The rating for stock index futures is "oscillation" [4] 2. Core Views of the Report - This week, global stock markets rose initially and then fell, with significant fluctuations. Overseas, the potential end of the US government shutdown and unannounced economic data have created uncertainty. Domestically, the A - share market saw a recovery in pharmaceutical and consumer stocks and an adjustment in technology stocks, but current fundamental pressures are increasing. The market is expected to experience intensified high - level oscillations and a higher probability of a downward trend. Attention should be paid to Sino - Japanese relations, the possibility of real - estate tax implementation, and the impact on export - chain enterprises due to Tesla's requirements [2][10] 3. Summary by Directory 3.1 One - Week View and Macro Key Event Overview 3.1.1 Next - Week View - The market's high - level oscillations will intensify, and the probability of a downward trend is increasing. Three factors need attention: Sino - Japanese relations, the possibility of real - estate tax implementation, and the impact on export - chain enterprises from Tesla's requirements [2][10] 3.1.2 This Week's Key Event Focus - On November 10th, central enterprises completed over 3 trillion yuan in fixed - asset investment in the first three quarters, with about 40% in emerging industries. The State Council issued 13 measures to promote private investment [11][12] - On November 11th, 500 billion yuan of new policy - based financial instrument funds were fully disbursed. The central bank released the Q3 monetary policy report, emphasizing a moderately loose monetary policy [13][15] - On November 12th, overseas investors' holdings of A - shares exceeded 3.5 trillion yuan [16] - On November 13th, in October, M2 increased by 8.2% year - on - year, and M1 increased by 6.2% year - on - year [17] - On November 14th, China's economic indicators in October declined. The State Council meeting studied the in - depth implementation of "two major" construction work [18][20] 3.2 One - Week Market Quotes Overview 3.2.1 Global Stock Market Weekly Overview - From November 10th to 14th, global stock markets denominated in US dollars rose. The MSCI Global Index increased by 0.41%, with frontier markets (+1.20%) > developed markets (+0.43%) > emerging markets (+0.29%). The South African stock market led the world with a 5.2% increase, while the Taiwan, China stock market had the worst performance, falling 1.88% [21] 3.2.2 Chinese Stock Market Weekly Overview - During the same period, Chinese equity assets showed mixed performance, with Hong Kong stocks > A - shares > Chinese concept stocks. The average daily trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2044 billion yuan, a decrease of 31.4 billion yuan from last week. Among A - share broad - based indices, the micro - cap stock index had the best performance, rising 3.10%, while the Sci - tech Innovation 50 Index had a decline of 3.85% [24] 3.2.3 Weekly Overview of GICS Primary Industries in Chinese and Foreign Stock Markets - This week, global GICS primary industries showed mixed performance. The healthcare sector led with a 3.94% increase, while the consumer discretionary sector performed poorly, falling 1.19%. In the Chinese market, healthcare led with a 3.27% increase, and information technology lagged with a 4.27% decline [27] 3.2.4 Weekly Overview of China A - Share CITIC Primary Industries - Among A - share CITIC primary industries this week, 20 rose (17 last week) and 10 fell (13 last week). The consumer services sector led with a 4.81% increase, and the communication sector led the decline with a 4.90% decrease [28] 3.2.5 Weekly Overview of China A - Share Styles: Large - Cap Value Prevailed - This week, value stocks outperformed growth stocks, and the market - capitalization style favored large - cap stocks [33] 3.2.6 Futures Basis Overview - Information presented through relevant charts, but no specific data summarized in text [36] 3.3 Index Valuation and Earnings Forecast Overview 3.3.1 Broad - Based Index Valuation - Provided PE and PB data for various broad - based indices this week, including their eight - year percentiles, values at the beginning of the year, and changes during the year [44] 3.3.2 Primary Industry Valuation - Provided PE and PB data for various primary industries this week, including their eight - year percentiles, values at the beginning of the year, and changes during the year [45] 3.3.3 Broad - Based Index Equity Risk Premium - The ERP of the CSI 300, CSI 500, and CSI 1000 increased slightly this week [46][51] 3.3.4 Broad - Based Index Consensus Earnings Growth Forecast - The expected earnings growth rate of the CSI 300 in 2025 was adjusted down to 8.73% and up to 9.23% in 2026; the CSI 500's 2025 rate was adjusted down to 27.88% and 2026 down to 20.68%; the CSI 1000's 2025 rate was adjusted down to 28.62% and 2026 up to 25.56% [52] 3.4 Liquidity and Fund Flow Tracking 3.4.1 Interest Rates and Exchange Rates - This week, the 10 - year yield declined, the 1 - year yield increased, and the spread narrowed. The US dollar index was 99.3, and the offshore RMB exchange rate was 7.10 [60] 3.4.2 Trading - Type Fund Tracking - This week, the average daily northbound trading volume decreased by 17.8 billion yuan compared to last week, and the margin trading balance increased by 12.6 billion yuan [64] 3.4.3 Tracking of Funds Flowing in through ETFs - There were 29 on - exchange ETFs tracking the CSI 300, 29 tracking the CSI 500, 15 tracking the CSI 1000, and 39 tracking the CSI A500. This week, the share of ETFs tracking the CSI 300 decreased by 300 million, the share of those tracking the CSI 500 increased by 120 million, the share of those tracking the CSI 1000 increased by 40 million, and the share of those tracking the CSI A500 decreased by 2.9 billion [67][72] 3.5 Tracking of Domestic Macro High - Frequency Data 3.5.1 Supply - Side: Crude Steel Production Contracted - Information presented through relevant charts, such as the national blast - furnace operating rate and domestic crude steel daily output [74] 3.5.2 Consumption - Side: Real - Estate Transactions Remained Sluggish - Information presented through relevant charts, including the transaction area of first - hand and second - hand houses in major cities, and land transaction area [82] 3.5.3 Inflation Observation: Producer Goods Prices Stabilized, and Agricultural Product Prices Rebounded - Producer goods prices gradually stabilized, and agricultural product prices continued to recover [92]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The trading volume of the commodity options market rebounded slightly this week. The average daily trading volume was 7.75 million lots, and the average daily open interest was 10.26 million lots, with a week - on - week change of +6.85% and +2.72% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][6]. - Most of the underlying futures of commodity options rose this week. The varieties with higher weekly increases include silver (+7.54%), lithium carbonate (+6.15%), and apple (+5.86%); the varieties with higher weekly decreases include glass (-5.41%), eggs (-4.60%), and red dates (-4.17%) [2][14]. - This week, the implied volatility of most commodity options in each sector increased on a weekly basis. For varieties with implied volatility at a high level in the past year, investors should be vigilant against unilateral risks and consider short - selling volatility opportunities; for varieties with implied volatility at a low level, the cost - performance of buying options is relatively high [2][14]. - Different varieties show different market sentiment in terms of trading volume PCR and open interest PCR, reflecting the market's expectations of rising or falling [2][14]. 3. Summary by Relevant Catalogs 3.1 Commodity Option Market Activity - This week, the average daily trading volume of actively traded varieties mainly includes silver (700,000 lots), glass (680,000 lots), and soda ash (520,000 lots). The varieties with significant trading volume growth are tin (+268%), LPG (+126%), and alumina (+122%); the varieties with obvious trading volume decline are polysilicon (-61%), industrial silicon (-61%), and lithium carbonate (-40%) [1][6]. - The varieties with high average daily open interest this week are glass (1 million lots), soybean meal (870,000 lots), and soda ash (810,000 lots). The varieties with rapid week - on - week growth in average daily open interest are p - xylene (+54%), styrene (+42%), and asphalt (+41%) [1][6]. 3.2 This Week's Main Data Review of Commodity Options - **Underlying price changes**: The underlying futures of commodity options mainly rose this week. The varieties with high weekly increases include silver (+7.54%), lithium carbonate (+6.15%), and apple (+5.86%); the varieties with high weekly decreases include glass (-5.41%), eggs (-4.60%), and red dates (-4.17%) [2][14]. - **Market volatility**: Most sectors' commodity options' implied volatility increased this week. 21 varieties' current implied volatility is above the 50% quantile of the past year. Varieties with implied volatility at a high level in the past year include silver, methanol, asphalt, apple, and gold; varieties with implied volatility at a low level include ferromanganese, alumina, rubber, and corn [2][14]. - **Option market sentiment**: The trading volume PCR of pulp, ferrosilicon, and cotton is at a historical high, indicating a short - term concentrated bet on a decline; the trading volume PCR of gold, aluminum, lead, and PTA is at a low level in the past year, indicating a concentrated bet on an increase. The open interest PCR of silver, p - xylene, lithium carbonate, and soybean meal is at a historical high, showing a high level of bearish sentiment; the open interest PCR of methanol, plastic, urea, and palm oil is at a low level in the past year, showing a bullish sentiment [2][14]. 3.3 Key Data Overview of Main Varieties This chapter mainly shows the key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data of other varieties can be found on the Dongzheng Fanci website (https://www.finoview.com.cn/) [19]. - **Energy**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR of crude oil, LPG, asphalt, fuel oil, etc. are presented [15][20]. - **Chemicals**: - **PTA**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR are provided [15][27]. - **Caustic soda**: Similar data for caustic soda are shown [15][36]. - **Glass**: Data related to glass options are presented [15][42]. - **Soda ash**: Key data of soda ash options are provided [15][48]. - **Precious metals**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR of silver are shown [15][54]. - **Ferrous metals**: - **Iron ore**: Data related to iron ore options are presented [15][61]. - **Ferromanganese**: Similar data for ferromanganese are provided [15][69]. - **Non - ferrous metals**: - **Copper**: Data on copper options are shown [15][75]. - **Aluminum**: Key data of aluminum options are provided [15][84]. - **Agricultural products**: - **Soybean meal**: Data related to soybean meal options are presented [15][90]. - **Palm oil**: Similar data for palm oil are provided [15][97]. - **Cotton**: Key data of cotton options are shown [15][105].