徐亚光 从业资格证号：F03093235 投资咨询证号：Z0017169 棉花核心观点 | 因素 | 价格 | 逻辑观点 | | --- | --- | --- | | 供应 | 中性 | 据美国农业部（USDA）最新发布的4月份全球棉花供需预测报告，2024/25年度全球棉花总产预期2632.1万吨，全球消费下调11.4万吨， 全球进出口小幅下调，全球期末库存上调11.5万吨。目前北半球主产国中国和美国，新年度种植供应端方面，截至2025年5月5日，全疆 | | | | 棉花播种已基本结束，整体播种进度约99.9%，较前一周增加0.2个百分点，出苗率86.2%，较前一周增加24.5个百分点。 | | 需求 | 中性 | 本周纯棉纱期货价格跟随郑棉走强，纱价修复性上涨。节后市场整体表现平稳，受淡季影响，市场成交放缓，新增订单减少，大部分中 小纺企以短单、散单、低利润单为主，大单、中长线单相对偏少，大中型纺企开机维持高位，但部分企业已适度减产，局部区域中小企 | | | | 业开工降到5成。 | | 库存 | 中性 | 棉纺织企业棉花工业库存呈下降态势。截至3月底棉花商业库存483.96万吨，纺织企业在库棉花工 ...

量化金工|专题报告 2025 年一季度公募基金股指期货持仓分析报告 | 国联期货研究所 | 摘 要 | | --- | --- | | 号 证监许可[2011]1773 | 截至 2025 年一季度末，公募基金共持有股指期货 18390 手，环比上季 | | | 度末大幅下降 27.9%，总持仓在连续五个季度增长后大幅回落，其中持仓减 | | | 少主要来自于多头减仓。 | | | 具体而言，多头和空头分别持仓 14579 手和 3811 手，环比减少 31.4% | | 分析师： | 和 14.6%；持仓净多头 10768 手，环比减少 4015 手。多头减仓主要集中在 | | 黎伟 | IF 和 IH 合约，且主要为被动指数型基金减仓所致；IM 空头增仓则主要在 | | 从业资格证号：F0300172 | 偏股混合型和灵活配置型产品，主动管理型产品对 IM 空头的增仓表明公募 | | 投资咨询证书号：Z0011568 | 基金对中小盘指数更显谨慎。 | | | 持仓月份上，空头持仓在当月合约占比有明显提升，而在当季合约占 | | | 比则有明显下降；多头持仓则有从下季合约向当月合约转移迹象。当月多 | | ...

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]

宏观|专题报告 2025 年政府工作报告解读 2025 年 3 月 5 日 国联期货研究所 证监许可[2011]1773 号 王娜 从业资格证号：F3055965 投资咨询证书号：Z0001999 吴昕玥 从业资格证号：F03124129 多维突破稳增长 分析师： 2025 年政府工作报告出台正值我国经济复苏基础尚不稳固、外部 环境更趋复杂严峻之际。在此背景下，报告确立了"稳中求进"总基调， 核心目标是统筹高质量发展与安全，通过政策协同发力实现经济质的 有效提升和量的合理增长，为"十四五"圆满收官与"十五五"良好开局 奠定基础。 联系人： 报告在延续"稳预期、激活力"政策主线的同时，更加强调政策工 具的主动性与结构性突破。通过"财政货币双宽松+产业创新深改革+ 民生保障强托底"的政策组合，既着力破解短期需求不足困境，又为 中长期高质量发展构建制度性框架，展现出在复杂变局中驾驭经济航 向的战略定力。 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 指基差的影响 【专题报告】美国通胀拐点 将现，加息临近尾 ...

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].