2025年6月1日 杨磊 从业资格证号：F03128841 投资咨询证号：Z0020255 沪锌周报 消费渐入淡季； 锌锭产量仍增 核心要点及策略 | | 逻辑观点 | | --- | --- | | 行情回顾 | 本周沪锌主力2507合约周五下午收于22225元/吨，周环比涨0.05%。本周沪锌盘面延续震荡：周 | | | 初欧盟与美关税摩擦有缓和预期，阻止美关税的裁决一度提振乐观情绪，但美联储会议纪要显示 | | | 降息预期谨慎，宏观驱动有限；锌锭产量预计仍增、社库偏低，基本面短期僵持，沪锌震荡。 | | | 宏观，关税摩擦反复、美联储降息预期谨慎，宏观难乐观。供给，5月国内部分冶炼厂提产，目 | | | 进口锌锭流入，供给高。受进口锌精矿补充，6月加工费续涨，冶炼厂生产积极性高，前期投产 | | 运行逻辑 | 治炼厂产出、部分检修冶炼厂复产，6月产量预计仍增。需求，本周下游开工降低：镀锌开工降, | | | 端午多数企业放假，黑色价格跌、镀锌管走货不佳，镀锌结构件需求偏弱，铁塔订单尚可，镀锌 | | | 下周开工预计回升；压铸锌合金开工降，下游逐步进入淡季、消费偏弱，下周开工预计有所回升； | | | ...

Group 1: Report Investment Rating - There is no information about the industry investment rating in the report. Group 2: Core Views - According to the USDA's April 2024/25 global cotton supply - demand forecast, global cotton production is expected to be 26.321 million tons, consumption is down 114,000 tons, imports and exports are slightly down, and ending stocks are up 115,000 tons. The overall sowing progress of cotton in Xinjiang as of May 5, 2025, is about 99.9%, and the emergence rate is 86.2% [3]. - This week, the futures price of pure - cotton yarn strengthened following Zhengzhou cotton, and the yarn price rose in a restorative manner. After the holiday, the market was stable overall. Affected by the off - season, market transactions slowed down, and new orders decreased. Most small and medium - sized textile enterprises mainly had short, scattered, and low - profit orders, while large and medium - sized enterprises maintained high operating rates, but some had moderately reduced production [3]. - The industrial inventory of cotton in cotton textile enterprises is decreasing. As of the end of March, the commercial inventory of cotton was 4.8396 million tons, and the industrial inventory of cotton in textile enterprises was 959,300 tons. The total industrial and commercial inventory is still at a high level [3]. - As of May 9, 2025, the registered warehouse receipts of Zhengzhou cotton were 11,282 (4.85 million tons), with 853 valid forecasts (370,000 tons), and the total of warehouse receipts and valid forecasts was 5.22 million tons, down from 5.31 million tons on April 30 [3]. - The basis of Class 31 double - 28 Xinjiang new cotton against the May contract is 800 - 850 yuan/ton, and that of double - 29 cotton is 900 - 950 yuan/ton [3]. - Xinjiang's ginneries this season purchase cotton according to the futures price. After the sharp decline of cotton futures after the National Day, the purchase price of seed cotton decreased, and the overall average cost converted to the official standard is 14,700 - 14,800 yuan [3]. - The Fed kept the federal funds rate target range unchanged at 4.25% - 4.5%. Domestically, on May 7, the central bank cut the reserve requirement ratio and interest rates and introduced a package of financial policies. As of May 10, the China - US economic and trade high - level talks started in Geneva, but no more information was released about the tariff negotiations [3]. - Given the global trade contraction, the rebound of cotton prices is expected to have limited amplitude and sustainability. The September contract faces significant hedging pressure at 13,200 - 13,400 yuan. The strategy is to short on rallies, mainly using the idea of short - term shorting and covering at lows [3]. Group 3: Summary by Directory Global Supply and Demand - The USDA estimates that the world will continue to accumulate cotton stocks in the 2024/25 season. Global ending stocks are expected to be 17.17 million tons, with an inventory - to - use ratio of 67.97%, up 3.10 percentage points year - on - year [6]. - In April, the USDA increased China's cotton production forecast for the 2024/25 season to 6.967 million tons, a year - on - year increase of 16.99%. Global production is expected to be 26.321 million tons, a 7.00% increase [9]. - The new - season global cotton market is still expected to have a supply surplus [11]. US Exports - As of April 24, 2025, the US had cumulatively signed net export contracts for 2.58 million tons of 2024/25 cotton, reaching 108.71% of the annual expected export volume, and had shipped 1.827 million tons, with a shipment rate of 70.84% [17]. Overseas and Domestic Conditions - Overseas cotton mill operating rates are relatively stable [22]. - In China, the downstream operating rate has slightly rebounded, with the weaving factory operating rate steadily increasing. However, downstream enterprises mainly replenish inventory on a just - in - time basis, and the initiative to replenish inventory is insufficient. The raw material inventory of weaving factories has decreased, while the finished - product inventory has continued to accumulate [25][31][34]. - The immediate profit of Chinese spinning mills has slightly rebounded as the futures price declined. The industrial and commercial cotton inventories in China are at their highest levels in recent years, and the total amount of new cotton warehouse receipts is still high [36][39][42].

Report Industry Investment Rating - No relevant information provided Core Viewpoints of the Report - As of the end of Q1 2025, the total holdings of public funds in stock index futures dropped significantly by 27.9% quarter-on-quarter after five consecutive quarters of growth, mainly due to long position reduction. The increase in short positions of IM by active management products indicates that public funds are more cautious about small and medium-cap indexes. The changes in the proportion of long and short positions in different contract months show that public funds have differences in the short-term target market and are still optimistic about the long-term market [2][6][40]. Summary by Relevant Catalog Market Overall Situation - Significant Reduction in Long Positions of Stock Index Futures - As of the end of Q1 2025, public funds held 18,390 lots of stock index futures, a significant 27.9% decrease quarter-on-quarter. Long positions were 14,579 lots, down 31.4% quarter-on-quarter, and short positions were 3,811 lots, down 14.6% quarter-on-quarter. In terms of market value, the total market value of stock index futures held was 20.64 billion yuan, a 27.4% decrease quarter-on-quarter. The long position market value was 16.19 billion yuan, down 30.9% quarter-on-quarter, and the short position market value was 4.45 billion yuan, down 14.4% quarter-on-quarter. The net long position was 10,768 lots, a decrease of 4,015 lots from the end of the previous quarter, and the net long market value was 11.74 billion yuan, a decrease of 4.37 billion yuan from the end of the previous quarter. There were 68 public fund companies participating in stock index futures, an increase of 6 from the end of the previous quarter, and 394 participating products, a significant increase of 44 from the end of the previous quarter [6][7][9]. Analysis of Holdings by Variety and Month Holdings by Variety Indicate Public Funds' Caution about the Future Market - In this quarter, the reduction of long positions by public funds was mainly concentrated in IF and IH contracts, with the reduction in market value reaching 4.867 billion yuan and 746 million yuan respectively, a significant 86.8% and 39.4% decrease quarter-on-quarter. The reduction of short positions was mainly in the IF contract, with a reduction in market value of 570 million yuan, a 19.05% decrease quarter-on-quarter. Meanwhile, both long and short positions in the IM contract increased significantly, with the former increasing by 15.6% quarter-on-quarter and the latter by 20.56% quarter-on-quarter. The main hedging variety continued to shift from IF to IM, but IF remained the main short hedging variety, with its proportion in all short hedging dropping to around 54.9% [10]. Holdings by Month Indicate Public Funds' Significant Differences in the Short-Term Market - In terms of the contract month of holdings, the proportion of short positions of public funds in the current-month contract increased significantly, while the proportion in the current-quarter contract decreased significantly. Long positions showed a sign of shifting from the next-quarter contract to the current-month contract. The increase in the proportion of both long and short positions in the current month indicates that public funds have differences in the short-term target market. The significant decrease in the proportion of short positions in the current-quarter contract while the proportion of long positions changed little indicates that they are still optimistic about the long-term market. Specifically, the proportions of long positions in the current-month, next-month, current-quarter, and next-quarter contracts were 30.86%, 0.22%, 65.59%, and 3.31% respectively, with a quarter-on-quarter increase of 7.89 percentage points, -0.4 percentage points, 0.1 percentage points, and -7.57 percentage points respectively. The proportions of short positions were 42.13%, 0.97%, 54.16%, and 2.73% respectively, with a quarter-on-quarter increase of 20.13 percentage points, 0.63 percentage points, -22.51 percentage points, and 1.75 percentage points respectively [16]. Holdings of Various Fund Products Significant Decrease in the Long Position Market Value of Passive Index Funds - In this quarter, the total number of public fund products participating in stock index futures increased significantly to 394, a quarter-on-quarter increase of 54. The products with the largest increase were passive index products, index enhancement products, and flexible allocation products, with the number increasing from 132, 93, and 27 to 148, 108, and 35 respectively. Although the number of passive index products increased significantly, the long position market value decreased significantly from 18.458 billion yuan to 13.223 billion yuan. Passive index products remained the main participants in the long positions of stock index futures, followed by index enhancement products. Neutral products were still the main participants in short positions, and the hedging ratio increased significantly from 88.88% in the previous quarter to 91.44% in this quarter [18][19]. Significant Reduction in Long Positions of Passive Index Products in IF - Among different products' holdings of stock index futures varieties, passive index products, which are the main force in long positions of public funds, significantly reduced their positions in IF this quarter and increased their positions in IM to some extent. The long positions in IF decreased significantly from 9.771 billion yuan to 4.89 billion yuan, and the long positions in IM increased from 2.196 billion yuan to 2.656 billion yuan. Neutral products, the main force in short positions of public funds, reduced their short positions in IF, IC, and IM to some extent. The short positions in these three varieties were 2.38 billion yuan, 136 million yuan, and 447 million yuan respectively, a decrease of 465 million yuan, 487 million yuan, and 174 million yuan respectively compared with the end of the previous quarter. In addition, the increase in short positions of IM was mainly in partial stock hybrid and flexible allocation products, increasing from 720 million yuan and 454 million yuan in the previous quarter to 3.51 billion yuan and 7.1 billion yuan respectively, indicating that active management products of stock funds are generally more cautious about IM [26][31]. Most of the Top Ten Managers Reduced Their Holdings to Varying Degrees - In this quarter, the total holdings of the top ten managers reached 14,917 lots, with a total market value of 16.62 billion yuan, a significant decrease of 5,375 lots and 6.024 billion yuan respectively compared with the end of the previous quarter. Most managers showed varying degrees of position reduction, with Huatai-PineBridge and China Asset Management reducing their positions most significantly, with their holdings in stock index futures decreasing by 3,093 lots and 1,548 lots respectively. Specifically, the long positions of the top ten managers were 12,203 lots, with a long position market value of 13.446 billion yuan, a decrease of 4,832 lots and 5.374 billion yuan respectively compared with the end of the previous quarter. The short positions were 2,714 lots, with a short position market value of 3.157 billion yuan, a decrease of 543 lots and 663 million yuan respectively compared with the end of the previous quarter [33]. Summary - Overall, in this quarter, the total holdings of public funds in stock index futures dropped significantly after five consecutive quarters of growth, mainly due to long position reduction. Long positions were 14,579 lots, a 31.4% decrease quarter-on-quarter, with a market value of 16.19 billion yuan, a 30.9% decrease quarter-on-quarter. Short positions were 3,811 lots, a 14.6% decrease quarter-on-quarter, with a market value of 4.45 billion yuan, a 14.4% decrease quarter-on-quarter. The net long position was 10,768 lots, a decrease of 4,015 lots from the end of the previous quarter, and the net long market value was 11.74 billion yuan, a decrease of 4.37 billion yuan from the end of the previous quarter. In terms of holdings by variety, the reduction of long positions was mainly concentrated in IF and IH contracts, mainly due to the reduction of positions by passive index funds, with the reduction in market value reaching 4.867 billion yuan and 746 million yuan respectively, a significant 86.8% and 39.4% decrease quarter-on-quarter. The increase in short positions of IM was mainly in partial stock hybrid and flexible allocation products, increasing from 720 million yuan and 454 million yuan in the previous quarter to 3.51 billion yuan and 7.1 billion yuan respectively. The increase in short positions of IM by active management products indicates that public funds are more cautious about small and medium-cap indexes. In terms of holdings by month, the proportion of short positions in the current-month contract increased significantly, while the proportion in the current-quarter contract decreased significantly. Long positions showed a sign of shifting from the next-quarter contract to the current-month contract. The increase in the proportion of both long and short positions in the current month indicates that public funds have differences in the short-term target market. The significant decrease in the proportion of short positions in the current-quarter contract while the proportion of long positions changed little indicates that they are still optimistic about the long-term market [40][41].

宏观|专题报告 2025 年 4 月 10 日 国联期货研究所 中国对美出口产业链期货品种图谱 当地时间 4 月 9 日，特朗绝决定将对不采取报复措施的国家推迟 "对等关税"90 天，同时宣布将中国输美商品总体关税税率进一步提 升至 125%，对中国的强硬态度更凸显其针对性打压意图。 除直接关税之外，更值得关注的是，美国可能通过构建"关税同 盟"策略——例如以豁免部分对美关税为条件，要求相关国家配合对 华贸易限制——这将迫使东南亚国家在产业链合作中重新进行战略 选择，从而进一步封堵中国通过第三方市场的出口通道。 本文系统梳理了中国对美国直接/间接（主要为越南、泰国等东 盟国家）出口的核心商品结构，并刻画相关商品涉及的期货品种，旨 在为市场参与者提供价格波动风险的前瞻性研判参考。 证监许可[2011]1773 号 分析师： 王娜 从业资格证号：F3055965 投资咨询证书号：Z0001999 联系人： 吴昕玥 从业资格证号：F03124129 相关研究报告： 股指衍生品：估值修复，磨 底等待启动契机 股指衍生品：稳增长政策渐 明朗 期待基本面拐点 【专题报告】国联期货股指 分红观察（一）：分红对股 指基差的影 ...

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The current situation of the cotton market remains weak. The short - term focus is on the change of additional tariffs imposed by the US on April 2nd. There is a view that after the negative news is out on that day, risk assets may have a trend - based rebound. The disk has downstream point - price support below 13,500, but the rebound amplitude is limited by actual demand. In the medium - term, if the US economic downward pressure increases and inflation drops significantly, and the Fed's interest - rate cut expectation is further strengthened, one can consider buying Zhengzhou cotton at low prices in combination with supply - side themes [3]. 3. Summary by Directory 3.1 Global Situation - **Supply and Demand Forecast**: According to the USDA's February report, in the 2024/25 cotton year, the global initial inventory is 1614.7 million tons, the output is 2600.7 million tons, the consumption is 2523.3 million tons, and the final inventory is 1696.3 million tons. The inventory - to - sales ratio is 67.23%, showing a continuous inventory accumulation trend. The global output is expected to increase by 5.72% year - on - year, and the consumption is expected to increase by 1.37% year - on - year. The new year is still expected to have a supply surplus [6][8][11]. - **Production Changes in Major Countries**: In 2024/25, China's cotton production is expected to be 653.2 million tons, a year - on - year increase of 9.69%; the US production is expected to be 313.8 million tons, a year - on - year increase of 19.45%; India's production is expected to be 544.3 million tons, a year - on - year decrease of 1.57% [8]. - **Consumption Changes in Major Countries**: In 2024/25, China's cotton consumption is expected to be 816.5 million tons, a year - on - year decrease of 2.59%; India's consumption is expected to be 566.1 million tons, a year - on - year increase of 1.96%; Turkey's consumption is expected to increase by 6.05% year - on - year; Vietnam's consumption is expected to increase by 7.59% year - on - year [11]. - **Overseas开机率**: Overseas cotton mill operating rates have slightly rebounded [17]. 3.2 China's Situation - **Import and Inventory**: In 2024, China's cumulative cotton imports increased significantly year - on - year, but the inventory pressure in the bonded area is large. In December 2024, China imported about 14 million tons of cotton, a month - on - month increase of about 3 million tons and a year - on - year decrease of about 48.7%. From January to December 2024, China imported about 262 million tons of cotton, a year - on - year increase of about 33.8%. As of the end of February, the industrial inventory of cotton in textile enterprises was 93.13 million tons, a decrease of 4.9 million tons from the end of last month; the disposable cotton inventory was 126.55 million tons, a decrease of 6.21 million tons from the end of last month [20][34]. - **Profit and Operating Rates**: China's cotton - spinning industry profit remains stable. The operating rate of cotton mills has increased slightly, while the operating rate of weaving mills is still insufficient. Downstream enterprises maintain just - in - time replenishment, and the initiative to replenish inventory is insufficient [24][28][31]. - **Warehouse Receipts**: As of March 28th, the registered warehouse receipts of Zhengzhou cotton were 9,275, with 3,487 valid forecasts. The total amount of warehouse receipts and valid forecasts was 512,400 tons, compared with 495,900 tons on March 21st, indicating an increasing warehouse receipt pressure [37].

目录 CONTENTS 01 股指期权数据追踪 3 主要指标概况 股指期权数据观察 逢低卖出I O和 H O虚值看跌期权 2025年3月14日 王娜 从业资格证号：F3055965 投资咨询证号：Z0001999 黎伟 从业资格证号：F0300172 投资咨询证号：Z0011568 项麒睿 从业资格号：F03124488 投资咨询证号：Z0019956 核心观点 主要观点 • 本周前半周各期权隐含波动率整体表现为震荡走势，但周五市场的拉涨带动IO和HO期权隐波出现明显上行，当 前3月IO、HO和MO平值看涨看跌期权隐波均值分别在18.32%、18%和23.29%左右，与30日历史波动率相比分别溢 价4.2个百分点、3个百分点和0.75个百分点，尽管IO和HO隐波溢价回升至偏高水平，但绝对数值上整体并不高 估，后期隐波仍具有冲高动能。 • IO和HO期权标的上涨隐波同步上涨，沪深300和上证50指数市场迎来久违的价波共振情形，期权市场在逐步定价 股指期权 两者上方波动率的放大，市场情绪整体偏乐观；与此同时，MO期权隐波变化不大，周五市场的上涨隐波甚至有 小幅回落，表明市场对中证1000指数上方波动率的放大仍偏谨 ...

中国经济 高频数据跟踪 （20250313） 王娜 从业资格证号：F3055965 投资咨询证号：Z0001999 吴昕玥 从业资格证号：F03124129 宏观高频数据动向 | 板 块 | 指标变化 | | --- | --- | | 出行及消费 | • 单周环比上升：乘用车日均零售销量同比(+3.75%)；乘用车日均批发销量同比(+2.6%)；中国轻纺城日均成交量 | | | （+0.58%） | | | 单周环比下降：14城地铁客运量(-6.08%)；中国执行航班数量(-1.08%)；中国日均票房收入（-29.18%）；中国 • | | | 日均观影人次（-26.56%）；义乌小商品总价格指数（-1%） | | | 单周环比上升：30大中城市一线城市商品房成交面积(+3.38%)；深圳二手房成交面积(+6.07%) • | | 地 产 | 单周环比下降：30大中城市商品房成交面积(-14.72%)；十大城市商品房成交面积(-7.63%)；30大中城市二线城 • | | | 市商品房成交面积(-26.52%)；30大中城市三线城市商品房成交面积(-11.08%)；中国二手房出售挂牌价指数(- | | | ...

Economic Outlook - The 2025 government work report sets a GDP growth target of approximately 5% and aims for a CPI increase of around 2%[3] - The fiscal deficit is projected at 4% of GDP, with a total deficit scale of 5.66 trillion yuan, an increase of 1.6 trillion yuan from the previous year[3] - The report emphasizes a more proactive fiscal policy, including the issuance of 1.3 trillion yuan in special bonds to stimulate consumption and investment[3][4] Market Stability Measures - The report highlights the importance of stabilizing both the real estate and stock markets, marking the first time such measures are included in overall requirements[15][17] - Specific measures include targeted easing of restrictions in the real estate market and promoting the acquisition of existing housing stock to stabilize prices[17] Consumption and Investment - A special action plan to boost consumption will be implemented, including measures to increase income for low- and middle-income groups[4] - Central budget investment is proposed at 735 billion yuan to support effective investment and enhance service sector investment[4] Monetary Policy - The monetary policy will remain "appropriately loose," with potential for interest rate cuts and maintaining liquidity to support economic growth[16][29] - The central bank plans to expand the scale of re-lending for technological innovation and reduce re-lending rates to support strategic sectors[29] International Trade and Currency - The US dollar index has fallen below 104, influenced by rising concerns over the US economic outlook and strengthening of the euro and yen[18][20] - The US economy is facing a potential contraction of 2.8% in Q1 2025, with significant layoffs and rising unemployment claims indicating economic weakness[19][31] Inflation and Gold Market - The US is experiencing a dual pressure of economic slowdown and rising inflation, contributing to a stagflation scenario[20][22] - Gold prices remain high due to increased demand as a safe-haven asset amid trade tensions and geopolitical risks, with current trading ranges between 2800-2974 USD/oz[25][24]

Economic Growth Target - The economic growth target for 2025 is set at around 5%, consistent with the 2024 target, reflecting market expectations amid a complex external environment[6] - Achieving this target is challenging due to the unstable recovery foundation domestically and increasing external pressures[6] Consumer Price Index (CPI) - The CPI target for 2025 is adjusted to around 2%, marking the first downward adjustment in nearly a decade, from 3% in 2024[7] - This adjustment aims to enhance policy credibility and align market expectations with achievable price levels[7] Total Policy Framework - The government emphasizes a proactive approach in total policy, advocating for early and sufficient policy implementation to counter uncertainties[9] - The report includes a focus on stabilizing the real estate and stock markets, reflecting a commitment to maintaining social expectations and preventing systemic risks[10] Fiscal Policy - The fiscal policy tone shifts to "more proactive," with a total new government debt scale of 11.86 trillion yuan, resulting in a broad deficit ratio of 8.4%, up by 1.8 percentage points from 2024[11] - The deficit target for 2025 is set at 4%, breaking the implicit 3% constraint, with a significant increase in infrastructure and social spending[13] Monetary Policy - The monetary policy remains "moderately loose," with expectations for preemptive actions to address external shocks and domestic growth pressures[15] - The government plans to maintain liquidity and align monetary supply growth with economic growth and price level expectations[16] Consumption Promotion - Consumption is prioritized in the 2025 report, with initiatives to enhance consumer capacity and diversify service supply in health, elderly care, and digital sectors[19] - A special bond of 300 billion yuan is allocated to support the replacement of consumer goods, aiming to stimulate demand[20] Technological Innovation - The report emphasizes high-level self-reliance in technology, listing new focus areas such as embodied intelligence, 6G, and artificial intelligence[23] - The strategy aims to strengthen the innovation ecosystem through improved education and talent cultivation[23]

Market Style Definition - Growth style is associated with high-growth potential sectors like pharmaceuticals and technology, while value style is linked to more defensive sectors like finance[7]. - The CSI 300 Index leans towards value style with nearly one-third market capitalization in finance, whereas the CSI 1000 Index shows a diverse sector distribution with 27% in information technology, indicating a stronger growth style[8]. Style Rotation Framework - In the interest rate cycle, holding growth stocks is favorable during declining rates, while value stocks are better during rising rates due to their defensive characteristics[16]. - The term spread cycle indicates that when economic changes are more pronounced than liquidity changes, small-cap growth stocks perform better; conversely, large-cap growth stocks excel when liquidity changes dominate[18]. - In the credit spread cycle, rising credit spreads favor large-cap value stocks due to their stronger financial stability, while falling spreads benefit small-cap growth stocks by easing their financing conditions[19]. Factor Timing Backtesting - Backtesting results show that the dual interest rate strategy effectively timed the market during years when value and growth styles outperformed, particularly in 2017 and 2020 for value, and 2019 and 2021 for growth[24]. - The backtesting from December 31, 2015, to January 17, 2025, indicates that the term spread factor has a notable ability to time styles effectively[28]. Summary of Findings - The report establishes a clear distinction between the CSI 300 Index (value style) and the CSI 1000 Index (growth style) based on industry composition and growth/value factors[30]. - The constructed style rotation models based on interest rates, term spreads, and credit spreads provide insights into market behavior and investment strategies[30].