Group 1: Investment Ratings - No investment ratings provided in the report Group 2: Core Views - Gold's price has corrected on the chart. In January, precious metals are expected to maintain high volatility due to uncertainties such as the impact of US economic data on Fed policies and geopolitical situations in South America. It is recommended to pay attention to volatility changes and for long - position investors to buy at low prices [1] - For silver, there may be a correction risk due to potential passive selling from the global commodity index rebalancing in the short term. In a high - volatility market, it is advisable to keep a light long - position and use options to lock in profits [1] - The trends of platinum and palladium may gradually stabilize. With the strong performance of the outer - market, the price center of platinum is gradually rising, and a low - buying strategy is recommended. Palladium's fundamentals are relatively weaker and it tends to follow the market. The platinum - palladium ratio is expected to rise further, and investors can choose the right time for hedging arbitrage [1] Group 3: Market Data Summaries Domestic Futures Closing Prices - AU2602 contract closed at 977.56 yuan/gram on December 31, down 0.74% from the previous day [1] - AG2602 contract closed at 17,074 yuan/kilogram on December 31, down 5.88% from the previous day [1] - PT2606 contract closed at 527.25 yuan/gram on December 31, down 10.61% from the previous day [1] - PD2606 contract closed at 425.20 yuan/gram on December 31, down 4.97% from the previous day [1] Foreign Futures Closing Prices - COMEX gold主力 contract closed at 4341.90 on January 2, up 0.23% from December 31 [1] - COMEX silver主力 contract closed at 72.27 on January 2, up 1.81% from December 31 [1] - NYMEX platinum主力 contract closed at 2161.80 dollars/ounce on January 2, up 4.43% from December 31 [1] - NYMEX palladium主力 contract closed at 1695.50 on January 2, up 2.08% from December 31 [1] Spot Prices - London gold was at 4332.51 on the current day, up 0.33% from the previous day [1] - London silver was at 72.82 on the current day, up 1.74% from the previous day [1] - Spot platinum was at 2132.00 dollars/ounce on the current day, down 4.22% from the previous day [1] - Spot palladium was at 1641.00 on the current day, down 1.14% from the previous day [1] - Shanghai Gold Exchange's gold T + D was at 974.39 yuan/gram on the current day, down 0.80% from the previous day [1] - Shanghai Gold Exchange's silver T + D was at 17,059 yuan/kilogram on the current day, down 5.85% from the previous day [1] - Shanghai Gold Exchange's platinum 9995 was at 512 yuan/gram on the current day, down 9.49% from the previous day [1] Basis - The basis of gold TD - Shanghai gold主力 was - 3.17, with a historical 1 - year quantile of 46.10% [1] - The basis of silver TD - Shanghai silver主力 was - 15, with a historical 1 - year quantile of 60.60% [1] - The basis of London gold - COMEX gold was - 0.39, with a historical 1 - year quantile of 77.40% [1] - The basis of London silver - COMEX silver was 0.56, with a historical 1 - year quantile of 97.00% [1] Ratios - COMEX gold/silver ratio was 60.08, down 1.56% from the previous day [1] - Shanghai Futures Exchange's gold/silver ratio was 57.25, up 5.46% from the previous day [1] - NYMEX platinum/silver ratio was 1.28, up 2.31% from the previous day [1] - Guangzhou Futures Exchange's platinum/palladium ratio was 1.24, down 5.94% from the previous day [1] Interest Rates and Exchange Rates - 10 - year US Treasury yield was 4.19%, up 0.2% from the previous day [1] - 2 - year US Treasury yield was 3.47%, unchanged from the previous day [1] - 10 - year TIPS Treasury yield was 1.94%, up 0.5% from the previous day [1] - US dollar index was 98.46, up 0.21% from the previous day [1] - Offshore RMB exchange rate was 6.9699, down 0.15% from the previous day [1] Inventory and Positions - Shanghai Futures Exchange's gold inventory was 97,704, unchanged from the previous day [1] - Shanghai Futures Exchange's silver inventory was 691,638 kilograms, down 8.48% from the previous day [1] - COMEX gold inventory was 36,402,970, up 0.41% from the previous day [1] - COMEX silver inventory was 449,773,368, up 0.08% from the previous day [1] - COMEX gold registered warehouse receipts were 19,361,515, unchanged from the previous day [1] - COMEX silver registered warehouse receipts were 127,264,198, down 0.70% from the previous day [1] - SPRD gold ETF position was 1065, down 0.51% from the previous day [1] - SLV silver ETF position was 16,444, unchanged from the previous day [1]

股指期货持仓日度跟踪 投资咨询业务资格： 广发期货研究所 电 话：020-88818051 E-Mail：yeqianning@gf.com.cn 目录： 股指期货： IF、IH、IC、IM | 品种 | | 主力合 约 | 总持仓点评 | 前二十席位重要变动 | | --- | --- | --- | --- | --- | | 沪深 | 300 | IF2603 | 总持仓明显下降 | 海通多空头加仓 1000 手以上 | | 上证 | 50 | IH2603 | 总持仓保持平稳 | 国君多头加仓超千手 | | 中证 | 500 | IC2603 | 总持仓大幅下降 | 国君多空头各减仓 3000 手左右 | | 中证 | 1000 | IM2603 | 总持仓大幅下降 | 中信多空头各减仓超 3000 手 | 股指期货持仓日度变动简评 联系信息： 叶倩宁（投资咨询资格：Z0016628） 电话：020-88818051 邮箱：yeqianning@gf.com.cn 本报告中所有观点仅供参考，请务必阅读正文之后的免责声明。 2026 年 1 月 5 日星期一广 发期货早评 [股指期货] ◆ IF：总持仓 ...

1. Report Industry Investment Ratings No industry investment ratings are provided in the reports. 2. Core Views of the Reports Steel Industry - The steel market is expected to remain range - bound. The current production cuts limit the downward drive, but weak demand expectations for the May contracts suppress the upside potential. The upward price elasticity depends on changes in the raw material supply side. The reference range for the May contract of rebar is 3050 - 3250 yuan, and for hot - rolled coil is 3200 - 3350 yuan [1]. Iron Ore Industry - The iron ore market will gradually transition from a supply - demand surplus to a situation of weak supply and demand. High inventory restricts the upside of prices, while the expectation of steel mills' restocking at low inventory levels provides support. Short - term focus is on the trend of hot metal production and the restocking rhythm of steel mills, and long - term attention is on negotiation situations [4]. Coking Coal and Coke Industry - For coke, the supply - demand situation has weakened. The futures price has fallen in advance, and the spot price is gradually adjusting. It is recommended to short the Coke 2605 contract on rallies and consider the strategy of going long on coking coal and short on coke. For coking coal, the overall inventory is moderately increasing, and it is also recommended to short on rallies [7]. Ferrosilicon and Ferromanganese Industry - For ferrosilicon, the supply - demand contradiction has been alleviated, and the price lacks upward momentum. The short - term price is expected to fluctuate in the range of 5650 - 5900 yuan. For ferromanganese, it is in a state of self - supply surplus but overall balance of manganese elements. The price is expected to oscillate in the range of 5700 - 6000 yuan [8]. 3. Summary by Relevant Catalogs Steel Industry Steel Prices and Spreads - Rebar and hot - rolled coil spot prices in different regions remained unchanged on January 5, 2026. Rebar futures contracts declined slightly, and hot - rolled coil futures contracts also showed some drops [1]. Cost and Profit - Steel billet and slab prices were stable. The cost of Jiangsu electric - arc furnace rebar decreased by 8 yuan, and the profit of East China hot - rolled coil decreased by 20 yuan [1]. Production and Inventory - The daily average hot metal production remained at 226.5 tons. The production of five major steel products increased by 2.3% to 815.2 tons. The inventory of five major steel products decreased by 2.1% to 1232.2 tons [1]. Iron Ore Industry Price and Spread - The warehouse receipt costs of some iron ore varieties changed slightly, and the basis of 05 contracts and price spreads between different contracts also showed certain fluctuations [4]. Supply and Demand - The 45 - port arrival volume decreased by 1.7%, and the global shipment volume increased by 6.1%. The daily average hot metal production of 247 steel mills remained unchanged, and the national pig iron and crude steel monthly production decreased [4]. Inventory - The 45 - port inventory increased by 1.1%, and the imported ore inventory of 247 steel mills increased by 1.6% [4]. Coking Coal and Coke Industry Price and Spread - Coke prices generally declined, with the Shanxi quasi - first - grade wet - quenched coke (warehouse receipt) dropping by 3.2%. Coking coal prices were relatively stable, with the Shanxi medium - sulfur primary coking coal (warehouse receipt) remaining unchanged [7]. Supply and Demand - Coke production remained stable, and the iron water production also showed no change. The supply of coking coal faced pressure, and the demand for coke was weak due to steel mill losses and maintenance [7]. Inventory - The overall inventory of coke and coking coal increased moderately. The coke total inventory increased by 0.3%, and the coking coal inventory also showed different degrees of increase in various sectors [7]. Ferrosilicon and Ferromanganese Industry Price and Spread - The closing price of the ferrosilicon main contract decreased by 1.4%, and the ferromanganese main contract decreased by 0.4%. The spot prices of ferrosilicon and ferromanganese in different regions were mostly stable [8]. Cost and Profit - The production costs of ferrosilicon and ferromanganese in different regions changed slightly, and the production profits remained relatively stable [8]. Supply and Demand - Ferrosilicon production and demand remained stable, and ferromanganese production increased slightly. The demand for both was affected by the steel market [8]. Inventory - The inventory of 60 sample ferrosilicon enterprises decreased slightly, and the inventory of 63 sample ferromanganese enterprises increased slightly [8].

1. Report Industry Investment Ratings No investment ratings are provided in the reports. 2. Core Views Natural Rubber - Market sentiment has declined, and the overall fundamentals are weak. Hold short positions around 15,700 [1]. Pure Benzene - The short - term supply - demand pattern is weak, and the price is expected to continue to fluctuate at a low level. BZ2603 may fluctuate in the range of 5,300 - 5,600 [4]. Styrene - The rebound space is limited. EB02/03 should be treated bearishly above 6,800, and short the EB processing margin on rallies [4]. Glass and Soda Ash - Soda ash: The supply - demand situation is still in surplus, and the price rebound space is limited. It is recommended to wait and see and focus on the inventory inflection point. - Glass: The upward space of the disk is limited, and it is necessary to be vigilant about the weakening of demand [5]. Methanol - The supply - demand balance sheet is expected to turn to destocking in the first quarter of the next year, which will support the 05 contract [7][8][9]. LLDPE and PP - PP: The pressure on the 05 contract is still large if there are few planned maintenance; PE: The overall pressure is still large in January [13]. PX, PTA, MEG, Short - Fiber, and Bottle Chip - PX: The upstream PX price is expected to adjust before the festival. It is recommended to go long at a low level in the medium - term and conduct positive spread trading for the 5 - 9 month spread. - PTA: It follows raw material fluctuations. It is recommended to trade in the high - level range of 4,800 - 5,200 and conduct positive spread trading for the 5 - 9 month spread. - MEG: The price is under pressure. It is recommended to short at a high level near 4,000 for EG2605 and conduct relevant spread trading. - Short - fiber: The absolute price follows raw material fluctuations. Short the processing margin on rallies. - Bottle chip: It follows the cost side. Short the processing margin on rallies [14]. LPG No specific overall view is provided, just price and inventory data. Crude Oil - The price is expected to fluctuate in the range of 60 - 65 US dollars per barrel. Continued attention should be paid to geopolitical conflicts [18]. 3. Summaries by Catalog Natural Rubber - **Spot Prices and Basis**: The prices of some varieties remained unchanged, while the basis of whole milk and non - standard prices changed significantly [1]. - **Inter - monthly Spreads**: The 9 - 1 spread decreased by 1000.00%, and the 1 - 5 and 5 - 9 spreads increased [1]. - **Fundamental Data**: The production of some countries decreased in November, and the tire production and export increased [1]. - **Inventory Changes**: The bonded area inventory increased, while the factory - warehouse futures inventory of natural rubber decreased [1]. Pure Benzene and Styrene - **Upstream Prices and Spreads**: The prices of some upstream products remained stable, and the spreads of pure benzene - naphtha and ethylene - naphtha increased [4]. - **Benzene - related Prices and Spreads**: The prices of pure benzene and styrene changed slightly, and the processing margins of some products improved [4]. - **Inventory and Operating Rates**: The inventory of pure benzene in Jiangsu ports increased, and the operating rates of some products changed [4]. Glass and Soda Ash - **Glass - related Prices and Spreads**: The prices of glass in different regions remained unchanged, and the 01 contract price decreased slightly [5]. - **Soda Ash - related Prices and Spreads**: The prices of soda ash in different regions decreased, and the 01 and 05 contract prices decreased [5]. - **Supply, Inventory, and Real - Estate Data**: The operating rate and production of soda ash decreased, and the inventory of soda ash decreased [5]. Methanol - **Prices and Spreads**: The prices of methanol contracts and spot prices changed slightly, and the basis and spreads changed [7]. - **Inventory**: The inventory of methanol enterprises and ports increased [8]. - **Operating Rates**: The upstream and downstream operating rates of methanol changed, and the supply - demand situation is expected to improve [9]. LLDPE and PP - **Prices and Spreads**: The contract prices of LLDPE and PP changed, and the spreads and basis changed [13]. - **Inventory**: The enterprise inventory of LLDPE and PP decreased [13]. - **Operating Rates**: The operating rates of LLDPE and PP devices and downstream industries changed [13]. PX, PTA, MEG, Short - Fiber, and Bottle Chip - **Upstream Prices and Spreads**: The prices of upstream products such as PX and ethylene changed, and the spreads changed [14]. - **PTA - related Prices and Spreads**: The prices of PTA and related spreads changed, and the processing margins improved [14]. - **MEG - related Prices and Spreads**: The prices of MEG and related spreads changed, and the inventory increased [14]. - **Inventory and Operating Rates**: The inventory and operating rates of polyester products changed [14]. LPG - **Prices and Spreads**: The prices of LPG contracts and spot prices increased slightly, and the spreads and basis decreased [16]. - **Inventory and Operating Rates**: The refinery storage ratio of LPG increased, and the port inventory decreased [16]. Crude Oil - **Prices and Spreads**: The prices of Brent and WTI crude oil decreased slightly, and the spreads changed [18]. - **Refined Oil Prices and Spreads**: The prices of refined oil products decreased, and the spreads changed [18].

Report Industry Investment Ratings No relevant content provided. Core Views of the Reports 1. Oils and Fats - Palm oil futures may test the support at 4050 ringgit, and there is a risk of further decline. In the Chinese market, it may start a downward trend. If it effectively breaks below 8500 yuan, a new round of decline may be triggered [1]. - For soybean oil, the decrease in the US bio - fuel soybean oil consumption in October dragged down the CBOT market. In the Chinese market, the spot basis quote is supported in the short - term, but the increase in oil mill profit weakens their price - holding intention, and the basis quote will fluctuate slightly [1]. - Rapeseed oil futures are relatively resistant to decline due to inventory reduction and postponed startup plans. The market is mixed with positive and negative factors, and the spot price follows the futures, with the basis quote maintaining a high - level consolidation [1]. 2. Cotton - The cotton market lacks clear negative factors. The downstream yarn market has not fully recovered. The improvement in US cotton exports and the weakening dollar boost the price, but the supply is still loose, and global consumption is weak. The short - term cotton price will maintain a strong - side oscillation [2]. 3. Sugar - Internationally, the raw sugar price is under pressure due to the expected supply surplus, showing a weakening oscillation. In the Chinese market, the price is supported by pre - Spring Festival stocking, but the expected increase in production limits the upward movement, and it is expected to maintain a low - level weakening oscillation [3]. 4. Red Dates - The raw material acquisition of Xinjiang red dates is almost finished, with most processed inland. The market sentiment is weak, and the upward momentum of the futures is insufficient. Attention should be paid to the Spring Festival stocking and inventory reduction [4]. 5. Apples - Apple prices are polarized. The good - quality apple price is firm, while the ordinary and inferior apples have few transactions. The inventory pressure is high. The market is in a game between the scarcity of delivery fruits and the inventory pressure of ordinary fruits. If the Spring Festival consumption does not improve, the price may fall after the Spring Festival [9]. 6. Corn - During the holiday, the corn supply in the producing areas is light, and the price is stable with some fluctuations. The overall supply is average, but there is selling pressure before the Spring Festival. The demand side has some support, and the policy supplements the supply. In the short - term, the price is supported, but there may be a callback in January [13]. 7. Pigs - The spot pig price is strengthening. The seasonal demand for curing and the reduction in group supply, along with farmers' reluctance to sell, support the market. The futures may be affected by the expected increase in supply in January, with a potential for a callback [15]. 8. Meal - US soybeans are in a bottom - oscillation pattern, with weak market transactions. The domestic spot market remains loose. The cost of the 05 contract is under pressure, and the supply in the first quarter is uncertain. The soybean meal price will oscillate in the short - term [18]. 9. Eggs - In January, the laying - hen存栏 may decrease, relieving the supply pressure. The demand will gradually increase during the Spring Festival stocking period. The egg price is expected to rise gradually but will maintain a low - level oscillation due to limited supply reduction [20]. Summary by Related Catalogs 1. Oils and Fats - **Price Changes**: - Soybean oil: The spot price in Jiangsu remained at 8410 yuan on December 31, and the futures price of Y2605 decreased by 0.20% to 7862 yuan. The basis increased by 3.01% to 548 yuan [1]. - Palm oil: The spot price in Guangdong was 8590 yuan, the futures price of P2605 decreased by 0.85% to 8584 yuan, and the basis increased by 108.82% to 6 yuan. The import profit decreased by 31.17% [1]. - Rapeseed oil: The spot price in Jiangsu decreased by 0.99% to 10030 yuan, the futures price of OI605 increased by 0.01% to 9087 yuan, and the basis decreased by 9.67% [1]. - **Spread Changes**: - The soybean oil 05 - 09 spread increased by 6.56% to 130 yuan, the palm oil 05 - 09 spread decreased by 1.61% to 122 yuan, and the rapeseed oil 05 - 09 spread decreased by 11.94% [1]. 2. Cotton - **Futures Market**: - The price of cotton 2605 increased by 0.17% to 14585 yuan/ton, and the price of cotton 2609 increased by 0.20% to 14760 yuan/ton. The ICE US cotton main contract decreased by 0.45% to 64.01 cents/pound [2]. - The 5 - 9 spread decreased by 2.94% to - 175 yuan/ton. The main - contract open interest decreased by 1.81% [2]. - **Spot Market**: - The Xinjiang arrival price of 3128B increased by 0.21% to 15424 yuan/ton, and the CC Index: 3128B increased by 0.19% to 15585 yuan/ton [2]. - **Industry Situation**: - The inventory in warehouses increased by 14.2%, the industrial inventory increased by 4.7%, and the import volume increased by 33.3%. The textile industry's inventory decreased by 500.0% year - on - year [2]. 3. Sugar - **Futures Market**: - The price of sugar 2605 decreased by 0.13% to 5252 yuan/ton, and the price of sugar 2609 decreased by 0.17% to 5266 yuan/ton. The ICE raw sugar main contract decreased by 2.34% to 14.60 cents/pound [3]. - The 5 - 9 spread increased by 11.76% to - 14 yuan/ton. The main - contract open interest decreased by 2.34% [3]. - **Spot Market**: - The Nanning price remained at 5350 yuan/ton, and the Kunming price decreased by 0.29% to 5210 yuan/ton [3]. - **Industry Situation**: - The national cumulative sugar production decreased by 23.24%, and the cumulative sales decreased by 42.53%. The Guangxi cumulative production decreased by 73.87%, and the monthly sales decreased by 68.63% [3]. 4. Red Dates - **Futures Market**: - The price of red dates 2601 decreased by 2.15% to 9085 yuan/ton, the price of red dates 2605 (main contract) decreased by 0.61% to 8962 yuan/ton [4]. - The 1 - 5 spread decreased by 54.72% to 120 yuan/ton, and the 5 - 9 spread decreased by 8.16% to - 265 yuan/ton [4]. - **Spot Market**: - The Cangzhou special - grade price remained at 9520 yuan/ton, the first - grade price decreased by 1.20% to 8200 yuan/ton, and the second - grade price decreased by 2.78% to 7000 yuan/ton [4]. 5. Apples - **Futures Market**: - The price of apple 2605 (main contract) decreased by 0.87% to 9120 yuan/ton. The basis increased by 8.00% to - 920 yuan [6]. - The 1 - 5 spread increased by 81.22% to 830 yuan, and the 5 - 10 spread decreased by 2.14% to 1004 yuan [6]. - **Industry Situation**: - The arrivals at the Chalong, Jiangmen, and Xiaqiao fruit wholesale markets decreased. The national cold - storage inventory decreased by 1.41% to 733.56 tons [6]. 6. Corn - **Corn**: - The price of corn 2603 decreased by 0.18% to 2226 yuan/ton. The Jinzhou Port flat - hatch price remained at 2330 yuan/ton [13]. - The basis increased by 4.00% to 104 yuan. The 3 - 5 spread decreased by 11.54% to - 29 yuan [13]. - **Corn Starch**: - The price of corn starch 2603 decreased by 0.44% to 2515 yuan/ton [13]. - The basis increased by 25.00% to 55 yuan. The 3 - 5 spread decreased by 11.11% to - 50 yuan [13]. 7. Pigs - **Futures Market**: - The price of the main - contract pig 2605 decreased by 0.08% to 12175 yuan/ton. The 3 - 5 spread increased by 3.90% to - 370 yuan [15]. - **Spot Market**: - The spot prices in Henan, Shandong, Sichuan, and other regions increased. The sample - point slaughter volume decreased by 0.39%, and the self - breeding profit increased by 73.41% [15]. 8. Meal - **Soybean Meal**: - The Jiangsu spot price decreased by 0.64% to 3100 yuan, and the futures price of M2605 remained at 2749 yuan. The basis decreased by 5.39% to 351 yuan [18]. - The Brazilian 2 - month shipping - date crushing profit increased by 33.1% to 173 yuan [18]. - **Rapeseed Meal**: - The Jiangsu spot price remained at 2430 yuan, and the futures price of RM2605 remained at 2365 yuan [18]. - The Canadian 1 - month shipping - date crushing profit decreased by 8.61% to 573 yuan [18]. 9. Eggs - **Futures Market**: - The price of the egg 03 contract decreased by 0.37% to 2951 yuan/500KG, and the price of the egg 04 contract decreased by 0.89% to 3214 yuan/500KG [20]. - The 3 - 4 spread increased by 6.41% to - 263 yuan [20]. - **Industry Situation**: - The egg - laying chicken feed - to - egg ratio decreased by 2.08% to 2.35, and the breeding profit increased by 13.96% to - 22.70 yuan/feather [20].

Report Industry Investment Ratings No information provided regarding the report industry investment ratings. Core Views Tin - Market sentiment has fluctuated recently, causing significant volatility in tin prices. Operation should be cautious, and subsequent attention should be paid to macro - economic conditions and supply - side recovery [2]. Zinc - The lower support for zinc prices comes from the tightening domestic zinc ore supply and low zinc ingot inventory, while the upper pressure comes from the expected supply of imported ores. Short - term prices are likely to fluctuate, and attention should be paid to import profit and loss, TC inflection points, and changes in refined zinc inventory [5]. Copper - The medium - to - long - term fundamentals of copper are good, but in the short term, prices are over - estimated irrationally, yet may remain strong due to high market speculation. Attention should be paid to overseas inventory changes and CL premium changes [7]. Nickel - Recently, the nickel market has been driven by Indonesia's tightening expectations, but the actual fundamentals are weak, restricting the upside of prices. The short - term market is expected to remain strong, and attention should be paid to potential price corrections [10]. Stainless Steel - The fundamentals of stainless steel show slightly eased supply pressure and strengthened cost support, but demand in the off - season is still insufficient. The short - term market is expected to fluctuate strongly, and attention should be paid to news from the ore end and downstream inventory replenishment [12]. Alumina - The market still faces severe oversupply pressure, and alumina prices are expected to fluctuate widely around the industry's cash cost line. The key to a trend - based rebound lies in whether there are specific capacity control policies or large - scale production cuts [14]. Aluminum - Strong macro and policy expectations support aluminum prices, but weakening supply - demand fundamentals and inventory accumulation pressure will limit the upside. Short - term prices are expected to fluctuate widely at high levels [14]. Aluminum Alloy - The cost is the main driving factor for the price of aluminum alloy. The market is in a tight - balance state with both supply and demand being weak. Prices are expected to fluctuate in a high - level range in the short term [15]. Lithium Carbonate - The fundamentals of lithium carbonate remain largely unchanged, with a slight increase in supply expected. The downstream demand has certain resilience but weakens in the off - season. The market is expected to fluctuate strongly, and price volatility may intensify [16]. Industrial Silicon - In January, industrial silicon is expected to maintain a pattern of weak supply and demand. Prices are expected to fluctuate at a low level, and attention should be paid to the implementation of production cuts [17]. Polysilicon - Polysilicon spot prices are stable, and futures are oscillating at a high level. In January, demand is weak, and prices are expected to remain in a high - level oscillation. Attention should be paid to production cuts and price adjustment acceptance [18]. Summary by Related Catalogs Tin - **Price and Spread**: SMM 1 tin price increased by 0.91%, and the SMM 1 tin premium increased by 142.86%. The import loss increased by 9.86%, and some month - to - month spreads changed significantly [2]. - **Fundamentals**: In November, tin ore imports increased by 29.81%, and in December, SMM refined tin production decreased slightly by 0.06%. Exchange inventories decreased [2]. Zinc - **Price and Spread**: SMM 0 zinc ingot price increased slightly by 0.09%, and the import loss decreased by 5.78%. Some month - to - month spreads changed [5]. - **Fundamentals**: In December, refined zinc production decreased by 7.24%, and in November, exports increased significantly by 402.59%. Social inventories decreased [5]. Copper - **Price and Spread**: SMM 1 electrolytic copper price increased by 1.23%, and the import loss decreased by 46.83%. Some month - to - month spreads changed [7]. - **Fundamentals**: In December, electrolytic copper production increased by 6.80%, and in November, imports decreased by 3.90%. Social inventories increased [7]. Nickel - **Price and Spread**: SMM 1 electrolytic nickel price increased by 3.77%, and the import profit increased by 175.35%. Some month - to - month spreads changed [10]. - **Fundamentals**: In December, China's refined nickel production decreased by 9.38%, and in November, imports increased by 30.08%. Some inventories increased slightly [10]. Stainless Steel - **Price and Spread**: The price of 304/2B stainless steel remained unchanged, and some month - to - month spreads changed [12]. - **Fundamentals**: In December, China's 300 - series stainless steel production decreased slightly, and exports increased by 13.18%. Social inventories decreased [12]. Alumina - **Price and Spread**: Alumina prices remained stable, the electrolytic aluminum import loss decreased, and some month - to - month spreads changed [14]. - **Fundamentals**: In December, alumina production increased by 1.08%, and electrolytic aluminum production increased by 3.97%. Some inventories increased [14]. Aluminum - **Price and Spread**: SMM A00 aluminum price increased by 1.26%, the import loss decreased, and some month - to - month spreads changed [14]. - **Fundamentals**: In December, domestic and overseas electrolytic aluminum production increased, and demand weakened. Social inventories increased [14]. Aluminum Alloy - **Price and Spread**: SMM ADC12 price increased by 0.67%, and some month - to - month spreads changed [15]. - **Fundamentals**: In November, the production of regeneration and primary aluminum alloy increased, and some inventories decreased [15]. Lithium Carbonate - **Price and Spread**: SMM battery - grade lithium carbonate price increased by 0.42%, and some month - to - month spreads changed [16]. - **Fundamentals**: In December, lithium carbonate production increased by 4.04%, and demand decreased by 2.50%. Inventories decreased [16]. Industrial Silicon - **Price and Spread**: The prices of some industrial silicon products remained unchanged, and some month - to - month spreads changed [17]. - **Fundamentals**: In December, national industrial silicon production decreased by 1.15%, and exports increased by 21.78%. Some inventories increased slightly [17]. Polysilicon - **Price and Spread**: N - type polysilicon prices increased slightly, and some month - to - month spreads changed [18]. - **Fundamentals**: In December, polysilicon production increased by 0.79%, and net exports increased significantly. Inventories increased [18].

1. Report Industry Investment Rating - No relevant information provided 2. Core Views 2.1 Stock Index Futures - The report presents the latest values, historical quantiles, and changes compared to the previous day of various stock index futures spreads, including price spreads between futures and spot, and spreads between different contract months, as well as cross - variety ratios [1] 2.2 Bond Futures - It shows the latest values, changes, and historical quantiles of basis, cross - period spreads, and cross - variety spreads of different bond futures contracts [2] 2.3 Precious Metals - Gold has seen a correction in the domestic market, while the external market has shown an increase. The future market may focus on US economic data's impact on Fed policies and geopolitical situations in South America. Platinum and palladium may gradually return to stability, with platinum's price center rising. Silver may face callback risks due to global commodity index rebalancing [3] 2.4 Container Shipping Industry - The container shipping index and freight rates have shown certain fluctuations. The European and US - bound routes have different trends in terms of price changes. The futures prices of related contracts also have corresponding changes, and various fundamental data such as shipping capacity supply, port conditions, and overseas economic indicators are presented [5] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Price Spreads between Futures and Spot**: F, H, IC, and IM futures all have corresponding price spreads between futures and spot, with different historical quantiles and changes compared to the previous day. For example, the F futures' price spread between futures and spot is - 30.14, and it has changed by - 1.06 compared to the previous day [1] - **Cross - Period Spreads**: There are various cross - period spreads for different contracts, such as between the next month and the current month, the far month and the next month, etc., with different historical quantiles and changes [1] - **Cross - Variety Ratios**: Ratios such as IC/IF, IC/IH, etc. are presented, along with their historical quantiles and changes [1] 3.2 Bond Futures - **Basis**: The basis of TS, TF, T, and TL bonds is provided, including the latest values, changes compared to the previous day, and historical quantiles [2] - **Cross - Period Spreads**: Cross - period spreads between different contract quarters, such as the current quarter and the next quarter, the current quarter and the far quarter, etc., are shown, with corresponding historical quantiles and changes [2] - **Cross - Variety Spreads**: Spreads between different bond varieties, such as TS - TF, TS - T, etc., are presented, along with their historical quantiles and changes [2] 3.3 Precious Metals - **Domestic Futures Closing Prices**: The closing prices, price changes, and price change ratios of domestic precious metal futures contracts (AU2602, AG2602, etc.) are given [3] - **External Futures Closing Prices**: The closing prices, price changes, and price change ratios of external precious metal futures contracts (COMEX gold, COMEX silver, etc.) are provided [3] - **Spot Prices**: The spot prices, price changes, and price change ratios of precious metals (London gold, London silver, etc.) are presented [3] - **Other Data**: Data such as ratios, interest rates, exchange rates, inventory, and positions are also included, along with their changes [3] 3.4 Container Shipping Industry - **Container Shipping Index**: The settlement price indices of SCFIS (European and US - bound routes) and the Shanghai export container freight rate indices (SCFI) are presented, along with their price changes and price change ratios [5] - **Futures Prices and Basis**: The prices, price changes, and price change ratios of different container shipping futures contracts (EC2602, EC2604, etc.), as well as the basis of the main contract, are given [5] - **Fundamental Data**: Data on shipping capacity supply, port conditions (port on - time rate, port calls), monthly export amount, and overseas economic indicators (PMI, consumer confidence index, etc.) are provided, along with their changes [5]

专题报告：中国 LNG 供需概况 广发期货研究所 研究通讯 2025 年 12 月 31 日星期三 电 话：020-88818009 E-Mail：zhangxiaozhen@gf.com.cn 摘要： 我们在之前的天然气专题报告里，对中国天然气国内供需情况与 进出口格局进行了详细的介绍与分析，尽管气态天然气和液化天然气 （LNG）的主要区别在于物理状态的不同，但在来源、运输以及消费 结构等方面，两者却有着显著区别，因此，本篇报告将聚焦中国液化天 然气的供需概况。 供应来看，中国 LNG 的实际供应量由国内液化天然气工厂的产量 和接收站槽批量组成，随着国内天然气产量和进口管道气持续增加， 且国内液化天然气工厂产能不断扩张，国内 LNG 产量持续增长，同时 进口 LNG 性价比降低，接收站槽批量承压，使得目前国内 LNG 产量 占据了中国 LNG 实际总供应的主导地位。目前中国液化天然气工厂分 布广泛，主要集中在西北、华北和西南地区，布局与国内资源禀赋高度 契合，且工厂气源以管道气与焦炉煤气为主。 需求来看，中国 LNG 实际消费量与实际供应量呈同向变化，主要 原因是中国 LNG 主要消费地与主要供应地高度重合 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The report introduces the LSTM time - series model to improve the prediction of Treasury bond futures inter - period spreads without expanding the original factor set, finding that introducing time - series modeling can improve return stability and risk control for some varieties, but the sensitivity to time - series information varies among different contracts [38][39][40] - The LSTM model outperforms the DNN model on T and TF contracts, while the DNN model shows stronger prediction ability on TS contracts; the performance of both models on the TL contract is limited due to the short listing time [38][39] - Using the LSTM model's prediction probability for position weighting can enhance the return - risk characteristics of strategies on T, TF, and TS contracts, but the effect is not obvious on the TL contract [38][39] 3. Summary by Relevant Catalogs 3.1 Inter - period Spread Influencing Factors and Indicator Selection - Traditional machine - learning models and DNNs have limitations in time modeling as they assume sample independence in the time dimension and rely on manual feature engineering to introduce time information, and DNNs lack explicit sequence structure [7] - LSTM is an improved form of RNN, introducing a memory unit to decouple long - term information storage and current state output, and using gate - control structures to control information flow, which can better capture long - term dependencies [7] - Treasury bond futures inter - period spreads show trend characteristics in some stages, which are difficult to capture by previous models. Therefore, the LSTM time - series model is introduced to enhance the description of the time - series structure [12] 3.2 Recurrent Neural Network Testing Process 3.2.1 Data Processing and Sample Construction Process - The data includes fundamental factors of T, TF, TS, and TL contracts, and the features are constructed by aligning and introducing capital - related indicators and creating derived spread variables. The label is the first - order difference of the inter - period spread [16][17] - Data pre - processing involves removing early - listing samples and some end - of - month trading days, filtering small - amplitude spread changes, filling missing values, and standardizing data [18] - Time - series samples are constructed using a sliding window with a 5 - trading - day historical window, and samples are divided into training, validation, and test sets by strict time segmentation [19][20] - The model is trained using a weighted cross - entropy loss function and the Adam optimizer, with learning - rate decay and early - stopping mechanisms based on validation - set loss [22] 3.2.2 Parameter Setting and LSTM Network Structure - The task is a binary - classification prediction for the next - trading - day direction change of the inter - period spread, with input as a sequence of factor values over 5 consecutive trading days and output as binary logits [24] - The LSTM network has 3 layers, a hidden - state dimension of 8, and a Dropout ratio of 0.3. It uses the hidden state at the last time - step for classification [25] - The weighted cross - entropy loss is used to address class imbalance, and the Adam optimizer with learning - rate decay is applied for parameter updates [26][27] 3.3 Model Test Results 3.3.1 Comparison of Out - of - Sample Tests between LSTM and DNN Models - On T and TF contracts, the LSTM model has higher cumulative returns, Sharpe ratios, and better drawdown control compared to the DNN model; on the TS contract, the DNN model performs better; on the TL contract, the performance of both models is limited [28][30] 3.3.2 Probability - Weighted Backtesting of the LSTM Model - The prediction probability of the LSTM model is used as the position signal, and the position is normalized and limited to control risks [33] - Probability - weighted strategies improve the out - of - sample performance on most contracts, enhancing returns and Sharpe ratios without significantly increasing drawdowns, but the effect is not obvious on the TL contract [35] 3.4 Conclusion - Introducing the LSTM time - series model can improve the prediction of Treasury bond futures inter - period spreads for some varieties, but the effectiveness depends on contract characteristics, sample coverage, and spread structure [38][39][40] - Using prediction probability for position weighting has potential in improving strategy performance, and future research can further test the applicability of time - series modeling under more complex conditions [39][40]

Report Overview - The report is a daily spread report for all varieties, dated December 31, 2025 [2] Commodity Analysis Ferrous Metals - **Silicon Iron (SF603)**: Futures price is 5750, spot price is 5678, basis is -22, basis rate is -0.37%, and historical quantile is 21.60% [1] - **Silicon Manganese (SM603)**: Futures price is 5942, spot price information is incomplete, basis rate is -0.37%, and historical quantile is 21.60% [1] - **Rebar (RB2605)**: Futures price is 3134, spot price is 3300, basis is 166, basis rate is 5.30%, and historical quantile is 66.60% [1] - **Hot - Rolled Coil (HC2605)**: Futures price information is incomplete, spot price of Q235B (4.75mm, Shanghai) is relevant, basis rate and other data are provided [1] - **Iron Ore (I2605)**: Futures price is related to 62.5% Brazilian mixed powder (BRBF) from Vale at Rizhao Port, futures price change is -0.14%, and historical quantile is 63.40% [1] - **Coke (J2605)**: Futures price is 1713, spot price (converted price of quasi - first - grade metallurgical coke) is 1715, basis is -2, basis rate is -0.14%, and historical quantile is 63.40% [1] - **Coking Coal (JM2605)**: Futures price is 1156, spot price (converted price of S1.3 G75 main coking coal (Mongolian No. 5)) is 1120, basis is 37, basis rate is 3.26%, and historical quantile is 36.70% [1] Non - Ferrous Metals - **Copper (CU2602)**: Futures price is 97620, spot price is 98090, basis is -470, basis rate is -0.48%, and historical quantile is 14.37% [1] - **Aluminum (AL2602)**: Futures price is 22180, spot price is 22565, basis is -385, basis rate is -1.71%, and historical quantile is 0.41% [1] - **Zinc (ZN2602)**: Futures price is 23230, spot price is 23380, basis is -150, basis rate is -0.64%, and historical quantile is 23.95% [1] - **Tin (SN2602)**: Futures price is 323500, spot price is 326330, basis is -2830, basis rate is 8.95%, and historical quantile is 350 [1] - **Nickel (NI2602)**: Futures price is 129300, spot price is 132390, basis is -3090, basis rate is -2.3%, and historical quantile is 0.62% [1] - **Stainless Steel (SS2602)**: Futures price is 13090, spot price is 13320, basis is 230, basis rate is 1.76%, and historical quantile is 42.91% [1] - **Lithium Carbonate (LC2605)**: Futures price is 118000, spot price is 121580, basis is -3580, basis rate is -2.94%, and historical quantile is 13.21% [1] - **Industrial Silicon (SIS605)**: Futures price is 335 (incomplete information), spot price is 9250, basis rate is 19.96%, and historical quantile is 8915 (might need clarification) [1] Precious Metals - **Gold (AU2602)**: Futures price is 982.2, spot price is 984.8, basis is -2.6, basis rate is -0.27%, and historical quantile is 29.40% [1] - **Silver (AG2604)**: Futures price is 18119.0, spot price is 18140.0, basis is -21.0, basis rate is -0.12%, and historical quantile is 49.40% [1] Agricultural Products - **Soybean Meal (M5605)**: Futures price is 2778.0, spot price is 3060, basis is 282.0, basis rate is 10.15%, and historical quantile is 67.90% [1] - **Soybean Oil (A5e02)**: Futures price is 7878.0, spot price is 8300, basis is 422.0, basis rate is 5.36%, and historical quantile is 73.30% [1] - **Palm Oil (P2605)**: Futures price is 8620, spot price is 8658.0, basis is -38.0, basis rate is -0.44%, and historical quantile is 15.50% [1] - **Rapeseed Meal (RM605)**: Futures price is 2403.0, spot price is 2550, basis is 147.0, basis rate is 6.12%, and historical quantile is 75.90% [1] - **Rapeseed Oil (Oleos)**: Futures price is 9086.0, spot price is 9820, basis is 734.0, basis rate is 8.08%, and historical quantile is 94.60% [1] - **Corn (C2603)**: Futures price is 2230.0, spot price is 2330, basis is 100.0, basis rate is 4.48%, and historical quantile is 88.70% [1] - **Corn Starch (CS2603)**: Futures price is 2526.0, spot price is 2620, basis is 94.0, basis rate is 3.72%, and historical quantile is 42.90% [1] - **Live Hogs (H2603)**: Futures price is 11790.0, spot price is 12500, basis is 710.0, basis rate is 6.02%, and historical quantile is 68.50% [1] - **Eggs (JD2602)**: Futures price is 2910, spot price is 2938.0, basis is -28.0, basis rate is -0.99%, and historical quantile is 36.80% [1] - **Cotton (CF605)**: Futures price is 14560.0, spot price is 15384, basis is 824.0, basis rate is 5.66%, and historical quantile is 34.80% [1] - **Sugar (SR605)**: Futures price is 5258.0, spot price is 5420, basis is 162.0, basis rate is 3.08%, and historical quantile is 0.00% [1] - **Apples (AP605)**: Futures price is 9200, spot price is 9200, basis is 0.0, basis rate is 23.70% [1] - **Red Dates (CJ605)**: Futures price is 8300, spot price is 9020.0, basis is -720.0, basis rate is -7.98%, and historical quantile is 58.30% [1] Energy and Chemicals - **Para - Xylene (PX603)**: Futures price is 7316.0, spot price is 7203.0, basis is -113.0, basis rate is -1.54%, and historical quantile is 9.20% [1] - **PTA (TA605)**: Futures price is 5144.0, spot price is 5100.0, basis is -44.0, basis rate is -0.80%, and historical quantile is 40.00% [1] - **Ethylene Glycol (EG2605)**: Futures price is 3710.0, spot price is 3847.0, basis is -137.0, basis rate is -3.56%, and historical quantile is 9.60% [1] - **Polyester Staple Fiber (PF602)**: Futures price is 6564.0, spot price is 6540.0, basis is -24.0, basis rate is -0.37%, and historical quantile is 34.90% [1] - **Styrene (EB2602)**: Futures price is 6860.0, spot price is 6781.0, basis is -79.0, basis rate is 1.17%, and historical quantile is 46.50% [1] - **Methanol (MA605)**: Futures price is 2182.0, spot price is 2219.0, basis is -37.0, basis rate is -1.67%, and historical quantile is 15.60% [1] - **Urea (UR605)**: Futures price is 1743.0, spot price is 1710.0, basis is -33.0, basis rate is -1.89%, and historical quantile is 7.80% [1] - **LLDPE (L2605)**: Futures price is 6461.0, spot price is 6365.0, basis is -96.0, basis rate is -1.49%, and historical quantile is 3.90% [1] - **PP (PP2605)**: Futures price is 6321.0, spot price is 6275.0, basis is -46.0, basis rate is -0.73%, and historical quantile is 14.40% [1] - **PVC (V2605)**: Futures price is 5120, spot price is 4810.0, basis is -310.0, basis rate is -6.44%, and historical quantile is 5.80% [1] - **Caustic Soda (SH603)**: Futures price is 2196.9, spot price is 2273.0, basis is -76.1, basis rate is -3.35%, and historical quantile is 31.80% [1] - **LPG (PG2602)**: Futures price is 4528.0, spot price is 4097.0, basis is 431.0, basis rate is 10.52%, and historical quantile is 61.90% [1] - **Asphalt (BU2602)**: Futures price is 3038.0, spot price is 2940.0, basis is -98.0, basis rate is -3.23%, and historical quantile is 30.50% [1] - **Butadiene Rubber (BR2602)**: Futures price is 11565.0, spot price is 11500.0, basis is -65.0, basis rate is -0.56%, and historical quantile is 22.80% [1] - **Float Glass (FG605)**: Futures price is 896.0, spot price is 1051.0, basis is -155.0, basis rate is -17.30%, and historical quantile is 8.19% [1] - **Soda Ash (SA605)**: Futures price is 1181.0, spot price is 1122.0, basis is -59.0, basis rate is -5.26%, and historical quantile is 18.69% [1] - **Natural Rubber (RU2605)**: Futures price is 15670.0, spot price is 15300.0, basis is -370.0, basis rate is -2.42%, and historical quantile is 74.89% [1] Financial Futures - **Stock Index Futures**: - **IF2603.CFF**: Futures price is 4651.3, spot price is 4622.2, basis is -29.1, basis rate is -0.63%, and historical quantile is 14.20% [1] - **IH2603.CFE**: Futures price is 3036.6, spot price is 3035.4, basis is -1.2, basis rate is -0.04%, and historical quantile is 49.70% [1] - **IC2603.CFE**: Futures price is 7458.9, spot price is 7381.0, basis is -77.9, basis rate is -1.06%, and historical quantile is 6.80% [1] - **IM2603.CFE**: Futures price is 7597.3, spot price is 7459.2, basis is -138.1, basis rate is -1.85%, and historical quantile is 10.60% [1] - **Treasury Bond Futures**: - **2 - year Bond (TS2603)**: Futures price is 100.13, spot price information involves conversion factor (0.9774), basis calculation is based on relevant formula, basis rate is -0.03%, and historical quantile is 17.80% [1] - **5 - year Bond (TF2603)**: Futures price is 105.81, spot price information involves conversion factor (0.9412), basis calculation is based on relevant formula, basis rate is -0.07%, and historical quantile is 17.90% [1] - **10 - year Bond (T2603)**: Futures price is 107.94, spot price information involves conversion factor (0.9288), basis calculation is based on relevant formula, basis rate is 0.05%, and historical quantile is 22.70% [1] - **30 - year Bond (TL2603)**: Futures price is 111.80, spot price is 126.22, basis calculation involves conversion factor (1.1263), basis rate is 0.27%, and historical quantile is 42.50% [1]