商 品 研 究 2025 年 7 月 31 日 LLDPE：趋势仍有压力 陈嘉昕 投资咨询从业资格号：Z0020481 chenjiaxin2@gtht.com 【基本面跟踪】 LLDPE 基本面数据 | 期 货 | | 昨日收盘价 | 日涨跌 | 昨日成交 | 持仓变动 | | --- | --- | --- | --- | --- | --- | | | L2509 | 7387 | 0.24% | 244,663 | -9463 | | 基差月差变化 | | 昨日价差 | | 前日价差 | | | | 09合约基差 | -187 | | -205 | | | | 09-01合约价差 | -55 | | -53 | | | 重要现货价格 | | 昨日价格 | （元/吨） | 前日价格 | （元/吨） | | | 华北 | 7200 | | 7180 | | | | 华东 | 7300 | | 7280 | | | | 华南 | 7400 | | 7400 | | 资料来源：卓创资讯，国泰君安期货 【现货消息】 LLDPE 市场价格部分小涨，波幅在 10-70 元/吨。期货延续高位震荡，支撑市场氛围。临近月 ...

Report Summary 1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views - **PX**: Go long on PX and short on PTA01 contract, and short PXN on rallies. Cost end strengthens significantly, and there is a marginal decrease in supply. Consider a rolling positive spread arbitrage for the monthly spread [1][6]. - **PTA**: With the new device of Sanfangxiang gradually coming into operation, the supply pressure continues to increase. Pay attention to going long on PX and short on PTA for the 01 contract. The basis maintains a weak state, and continue the reverse spread operation for the basis. The monthly spread is approaching parity. Considering the reduced inventory accumulation in August due to the maintenance of multiple Yisheng Petrochemical devices, pay attention to the positive spread arbitrage for the 9 - 1 monthly spread [1][6]. - **MEG**: Conduct basis positive spread arbitrage and monthly spread reverse spread arbitrage. The market is concerned about the supply pressure brought by non - mainstream warehouse receipts. The port inventory is continuously decreasing, but the monthly spread remains weak due to the delivery pressure of the 09 contract. The trend of ethylene glycol is weak. Pay attention to the arbitrage of shorting ethylene glycol and going long on L. The supply is slightly loose, and the profit of coal - based ethylene glycol devices has rebounded [1][7]. 3. Summary by Related Catalogs Market Overview - **PX**: On the 30th, the PX price rose, with the end - of - session spot for September at 868/871 in negotiation and October at 860/864 in negotiation, but no transactions. A 1.34 - million - ton PX device in the Middle East has produced products recently and is currently increasing its load [3]. - **PTA**: A new 3.2 - million - ton PTA device in East China has one line put into production recently and is in product debugging. A 50,000 - ton IPA device in North China is restarting and is expected to produce products next week [3]. - **MEG**: On the 30th, the average daily price of MEG spot was 4,527 yuan/ton, and the average daily price of futures for the end of August was 4,528 yuan/ton. The average spot price in Ningbo market was 4,542 yuan/ton, and the average non - coal - based spot price in South China market was 4,510 yuan/ton [4]. - **Polyester**: On the 30th, the sales of polyester yarn in Jiangsu and Zhejiang partially increased, with the average sales volume estimated at 6 - 70%. The sales of direct - spun polyester staple fiber were average, with an average sales volume of 43% as of 3:00 p.m [4][5]. Trend Intensity - The trend intensity of p - xylene is 0, the trend intensity of PTA is - 1, and the trend intensity of MEG is - 1 [5]. Futures and Spot Data | Futures | PX Main | PTA Main | MEG Main | PF Main | SC Main | | --- | --- | --- | --- | --- | --- | | Yesterday's Closing Price | 6,984 | 4,856 | 4,450 | 6,500 | 528.6 | | Change | 6,942 | 18 | - 17 | 0 | 13.6 | | Change Rate | 0.61% | 0.37% | - 0.38% | 0.00% | 2.64% | | Monthly Spread | PX9 - 1 | PTA9 - 1 | MEG9 - 1 | PF9 - 1 | SC9 - 10 | | Yesterday's Closing Price | 106 | 2 | - 28 | - 54 | 7.1 | | Previous Day's Closing Price | 108 | 6 | - 25 | - 32 | 6.6 | | Change | - 2 | - 4 | - 3 | - 22 | 0.5 | | Spot | PX CFR China ($/ton) | PTA East China (yuan/ton) | MEG Spot | Naphtha MOPJ | Dated Brent ($/barrel) | | Yesterday's Price | 866.33 | 4,858 | 4,525 | 608.25 | 73.56 | | Previous Day's Price | 857.33 | 4,830 | 4,518 | 589.25 | 71.48 | | Change | 9 | 28 | 7 | 19 | 2.08 | | Spot Processing Fee | PX - Naphtha Spread | PTA Processing Fee | Staple Fiber Processing Fee | Bottle Chip Processing Fee | MOPJ Naphtha - Dubai Crude Spread | | Yesterday's Price | 292.5 | 192.67 | 84.81 | - 22.45 | - 6.01 | | Previous Day's Price | 279.55 | 198.31 | 115.62 | - 28.79 | - 6.01 | | Change | 12.96 | - 5.64 | - 30.82 | 6.34 | 0 | [2]

Report Overview - Date: July 31, 2025 - Publisher: Guotai Junan Futures Research Institute - Scope: Black series commodities including iron ore, rebar, hot - rolled coil, ferrosilicon, silicomanganese, coke, coking coal, thermal coal, and logs 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Report's Core Views - Iron ore: Supported by macro - expectations, showing a moderately strong and volatile trend [2][4] - Rebar and hot - rolled coil: Affected by macro - sentiment, experiencing wide - range fluctuations [2][6] - Ferrosilicon and silicomanganese: Influenced by macro - sentiment, showing a moderately weak and volatile trend [2][10] - Coke and coking coal: After sentiment realization, undergoing wide - range fluctuations [2][15][16] - Thermal coal: With the recovery of daily consumption, stabilizing in a volatile manner [2][20] - Logs: Fluctuating repeatedly [2][24] 3. Summary by Commodity Iron Ore - **Fundamentals**: The futures price closed at 789.0 yuan/ton, down 9.0 yuan/ton (-1.13%). Imported ore prices decreased by 8.0 yuan/ton, while some domestic ore prices remained unchanged. The trend intensity is 0 [4]. - **News**: The Political Bureau of the CPC Central Committee held a meeting on July 30 to analyze the current economic situation and plan the second - half economic work [4]. Rebar and Hot - Rolled Coil - **Fundamentals**: RB2510 closed at 3,315 yuan/ton, up 14 yuan/ton (0.42%); HC2510 closed at 3,483 yuan/ton, up 28 yuan/ton (0.81%). Some spot prices increased, and there were changes in inventory and production data [6][8]. - **News**: The government will regulate enterprise disorderly competition and promote capacity management in key industries. There were also updates on price law amendments and steel production data [7][8]. Ferrosilicon and Silicomanganese - **Fundamentals**: Futures prices declined, while some spot prices of ferrosilicon increased, and the price of manganese ore rose. The trend intensity for both is 0 [10]. - **News**: There were price increases in ferrosilicon and silicomanganese in the market, changes in enterprise production rates in different regions, and updates on steel mills' procurement prices and manganese ore quotes [11][14]. Coke and Coking Coal - **Fundamentals**: JM2509 closed at 1,117 yuan/ton, down 3.5 yuan/ton (-0.31%); J2509 closed at 1,676.5 yuan/ton, up 43.5 yuan/ton (2.66%). Some spot prices remained stable, while others changed slightly. The trend intensity for both is 0 [16]. - **News**: There were updates on port prices and member - position changes in the futures market [16][18]. Thermal Coal - **Fundamentals**: The ZC2508 contract had no trading yesterday. There were quotes for southern port and domestic origin coal, and no changes in member - position in the futures market. The trend intensity is 0 [21][22]. Logs - **Fundamentals**: The prices, trading volumes, and positions of different contracts showed varying degrees of decline or change. Spot prices of most log products remained stable. The trend intensity is 0 [25]. - **News**: The Political Bureau of the CPC Central Committee held a meeting to plan the second - half economic work [27].

1. Report Industry Investment Ratings No information about industry investment ratings is provided in the content. 2. Core Views of the Report - The report provides daily investment analysis and trading strategies for various energy - chemical futures, including PX, PTA, MEG, rubber, etc., based on their respective fundamental data, market news, and trend intensities [2]. 3. Summaries by Related Catalogs PX, PTA, MEG - **PX**: Cost end has a significant increase, suggest a rolling long - short spread strategy. With some device changes, the supply margin decreases, and it's recommended to go long on PX and short on PTA01 contracts, and short PXN on rallies [4][9]. - **PTA**: Supported by cost, suggest a long - short spread strategy. New device launches increase supply pressure. The basis is weak, and the 9 - 1 spread is worth attention. Polyester production and sales have local surges, and the start - up rate may bottom out in the short term [4][9]. - **MEG**: The unilateral trend is still weak, suggest a reverse spread strategy. Pay attention to the supply pressure from non - mainstream warehouse receipts. Port inventory is decreasing, but the 09 contract has delivery pressure. Consider shorting MEG and going long on L [4][10]. Rubber - Rubber is expected to move in a range. The futures price, trading volume, and open interest have declined. The tire industry has high inventory and low start - up rate due to weak demand [11][12][14]. Synthetic Rubber - In the short term, it is weak, but the downside space is narrowing. The futures price, trading volume, and open interest of butadiene rubber have decreased. The inventory of sample production enterprises has decreased, and the port and production enterprise inventories of butadiene have declined significantly, providing valuation support [15][16][17]. Asphalt - It follows the strong trend of crude oil with small - step increases. The futures price has increased, and the trading volume and open interest have changed. The refinery start - up rate and inventory rate have decreased. The capacity utilization rate, device maintenance volume, and shipment volume of domestic heavy - traffic asphalt have changed [18][26][31]. LLDPE - The trend still faces pressure. The futures price has a slight increase, and the open interest has decreased. The spot price has a partial small increase. Macroscopically, pay attention to the trade - war risk in August. The cost is supported by crude oil, but the supply pressure is increasing [32][33]. PP - The spot market fluctuates narrowly, and the trading is light. The futures price has a slight decline, and the open interest has decreased. The production enterprise price is mostly stable, and the downstream is cautious [36][37]. Caustic Soda - Pay attention to the delivery pressure. The 09 - contract futures price and the spot price in Shandong are provided. The market is in the off - season, with insufficient upward momentum but strong cost support. The 08 - contract warehouse receipts may impact the market [39][40][41]. Pulp - It is expected to move weakly in a range. The futures price has decreased, and the trading volume and open interest have declined. The supply and demand fundamentals are both weak, with high port inventory and weak demand in the paper market [44][46]. Glass - The original sheet price is stable. The futures price has a slight increase, and the open interest has increased. The spot price in different regions is stable, and the market shipment is average [49][50]. Methanol - It is under pressure and moves in a range. The futures price has decreased, and the trading volume and open interest have increased. The spot price has a partial increase, but the futures decline in the afternoon weakens the market atmosphere [53][56]. Urea - The pressure is gradually increasing. The futures price has a slight decline, and the open interest has decreased. The enterprise inventory has increased due to weak domestic demand and less - than - expected exports [58][59]. Styrene - The profit is being compressed. The futures price has increased, and the non - integrated and integrated profits have decreased. The port inventory is in an accelerated accumulation stage, and it's recommended to short styrene [61][62]. Soda Ash - The spot market has little change. The futures price has a slight increase, and the open interest has increased. The enterprise device load is increasing, and downstream demand is average, with the market expected to be stable and fluctuate in the short term [63]. PVC - It is expected to move weakly in the short term. The futures price and the basis are provided. The supply and demand fundamentals are both weak, with high production, high inventory, and limited improvement from the anti - involution policy [65][66][67]. Fuel Oil and Low - Sulfur Fuel Oil - **Fuel Oil**: The upward trend continues, and it is still strong in the short term. - **Low - Sulfur Fuel Oil**: The futures price shows a strong range movement, and the high - low sulfur spread in the overseas spot market continues to rise [70]. Container Freight Index (European Line) - Hold short positions in the 10 - contract. The futures price of different contracts and the freight index of different routes are provided. The freight index of European and US - West routes has different changes, and the shipping capacity data is also presented [72].

Report Summary 1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views - **Nickel**: Macro - expectations determine the direction, while fundamentals limit the elasticity [2][4] - **Stainless Steel**: Macro - sentiment dominates the margin, and the real - world situation still needs to be repaired [2][4] - **Lithium Carbonate**: It experiences wide - range fluctuations, and the disturbances at the mine end have not materialized [2][9] - **Industrial Silicon**: Market sentiment has weakened [2][12] - **Polysilicon**: Attention should be paid to market sentiment changes [2][12] 3. Summary by Commodity Nickel and Stainless Steel - **Fundamental Data**: The closing price of the Shanghai Nickel main contract was 121,720 yuan, down 80 yuan from the previous day; the stainless - steel main contract was 12,920 yuan, unchanged from the previous day. The trading volume of the Shanghai Nickel main contract was 153,323 lots, an increase of 33,388 lots from the previous day, and the stainless - steel main contract was 153,403 lots, an increase of 14,642 lots from the previous day [4] - **Macro and Industry News**: Events include Canada's Ontario province potentially halting nickel exports to the US, the trial production of an Indonesian nickel - iron project, environmental violations in an Indonesian industrial park, changes in Indonesia's mining quota policy, and production suspensions in some Indonesian nickel - iron smelting parks [4][5][6] - **Trend Intensity**: Nickel trend intensity is 0, and stainless - steel trend intensity is 0 [8] Lithium Carbonate - **Fundamental Data**: The closing price of the 2509 contract was 70,600 yuan, down 240 yuan from the previous day; the trading volume was 792,909 lots, an increase of 48,749 lots from the previous day; the open interest was 272,753 lots, a decrease of 27,867 lots from the previous day [9] - **Macro and Industry News**: SMM's battery - grade lithium carbonate index price decreased. Greenbushes and Pilbara released their production and sales data and 2026 fiscal - year plans [9][10][11] - **Trend Intensity**: Lithium carbonate trend intensity is - 1 [11] Industrial Silicon and Polysilicon - **Fundamental Data**: The closing price of the Si2509 contract was 9,285 yuan/ton, down 65 yuan from the previous day; the trading volume was 605,161 lots; the open interest was 242,677 lots, a decrease of 34,057 lots from the previous day. The closing price of the PS2509 contract was 54,705 yuan/ton, an increase of 3,900 yuan from the previous day [12] - **Macro and Industry News**: The US will partially cancel trade tariffs on certain small - scale solar equipment imported from China [13] - **Trend Intensity**: The trend intensity of industrial silicon and polysilicon is - 1 [14]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core Viewpoints - Gold: FOMC's decline releases hawkish expectations; Gold trend intensity is -1, indicating a bearish outlook [1][6]. - Silver: Prices have fallen from recent highs; Silver trend intensity is -1, also suggesting a bearish view [1][6]. 3. Summary by Related Catalogs 3.1 Fundamentals Tracking - **Price Data**: - Gold:沪金2510昨日收盘价773.78,日涨幅0.30%,夜盘收盘价770.68,夜盘跌幅0.32%;黄金T+D昨日收盘价769.48,日涨幅0.30%,夜盘收盘价767.00,夜盘跌幅0.32%;Comex黄金2510昨日收盘价3327.90,日涨幅0.08% [2]. - Silver:沪银2510昨日收盘价9192,日跌幅0.03%,夜盘收盘价9090.00,夜盘跌幅1.32%;白银T+D昨日收盘价9166,日涨幅0.03%,夜盘收盘价9062,夜盘跌幅1.23%;Comex白银2510昨日收盘价37.175,日跌幅3.15% [2]. - **Trading Volume and Open Interest**: - Gold:沪金2510合约对2512合约价差昨日成交206,379,较前日减少13,553,持仓214,105,较前日增加1,698;Comex黄金2510昨日成交199,901,较前日增加90,801,持仓322,961,较前日增加256,168 [2]. - Silver:沪银2510昨日成交689,866,较前日增加97,939,持仓392,370,较前日减少373;Comex白银2510昨日成交71,289,较前日增加29,664,持仓121,325, unchanged from the previous day [2]. - **ETF and Inventory**: - Gold: SPDR黄金ETF持仓955.37,较前日减少1;沪金库存33,462千克,较前日增加2,199;Comex黄金库存（前日）38,166,532金衡盎司,较前日增加132,494 [2]. - Silver: SLV白银ETF持仓（前天）15,149.90,较前日减少24;沪银库存1,208,094千克,较前日增加3228;Comex白银库存（前日）502,296,559金衡盎司,较前日增加599,929 [2]. - **Price Spreads**: - Gold:黄金T+D对AU251 -价差昨日为 -4.30, unchanged from the previous day;买沪金12月抛6月跨期套利成本昨日为4.77,较前日减少0.87;黄金T+D对伦敦金的价差昨日为385.68,较前日减少0.60 [2]. - Silver:白银T+D对AG2510价差昨日为32,较前日增加6;沪银2510合约对2512合约价差昨日为 -8,441,较前日增加16;买沪银12月抛6月跨期套利成本昨日为73.41,较前日减少11.3;白银T+D对伦敦银的价差昨日为4,247,较前日减少799 [2]. - **Exchange Rates**: - 美元指数昨日为99.94,日涨幅1.05%;美元兑人民币（CNY即期）昨日为7.18,日涨幅0.04%;欧元兑美元昨日为1.15,较前日减少0.01;美元兑日元昨日为148.59,较前日增加0.05;英镑兑美元昨日为1.21, unchanged from the previous day [2]. 3.2 Macro and Industry News - **Fed Policy**: The Fed has kept rates unchanged for five consecutive meetings, with two voting members supporting rate cuts due to slowing economic growth. Powell did not provide guidance on a September rate cut, emphasizing uncertainties in tariffs and inflation and stating that the job market has not weakened [2][4]. - **China's Policies**: The Political Bureau of the CPC Central Committee held a meeting to decide on the convening of the Fourth Plenary Session of the 20th CPC Central Committee and analyzed the current economic situation and economic work. China's preliminary budget for child - rearing subsidies is 90 billion yuan, and applications will be accepted in late August [7]. - **Trade Policies**: Trump imposed a 50% tariff on imported semi - finished copper, etc. (excluding cathode copper and refined copper), causing a 20% plunge in New York copper prices. The US suspended the minimum exemption for low - value goods. Trump said the US would impose a 25% tariff and "punishment" on India, and announced a comprehensive trade agreement with South Korea, imposing a 15% tariff, with South Korea to provide $350 billion in investment to the US. Trump postponed the implementation of a 50% tariff on Brazilian goods by seven days [7]. - **Economic Data**: The US Q2 real GDP annualized quarterly growth rate was 3%, better than expected. The US ADP employment in July increased by 104,000, exceeding expectations, but employers are more cautious about hiring decisions [7]. - **Natural Disaster**: An 8.8 - magnitude earthquake struck the Kamchatka Peninsula in Russia, triggering a tsunami alert in the Pacific Rim, and China launched a second - level emergency response to marine disasters [5].

Report Date - The report is dated July 30, 2025 [1] Core Viewpoint - Stock index options: Implied volatility has declined, and there is still a significant implied volatility premium. A covered call strategy can be considered [2] Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2819.35, up 10.76; the CSI 300 Index closed at 4151.24, down 0.79; the CSI 1000 Index closed at 6718.48, down 55.40 [3] - **ETFs**: The Shanghai Composite 50 ETF closed at 2.943, up 0.009; the Huatai-PineBridge CSI 300 ETF closed at 4.232, down 0.003; etc [3] Option Market Statistics - **Volume and Open Interest**: For example, the trading volume of Shanghai Composite 50 index options was 56,146, an increase of 29,906; the open interest was 68,176, a decrease of 2,286 [3] - **PCR**: The VL-PCR and OI-PCR of different options vary, such as the VL-PCR of Shanghai Composite 50 index options was 51.35%, and the OI-PCR was 58.89% [3] Option Volatility Statistics - **ATM-IV and HV**: The ATM-IV of Shanghai Composite 50 index options (near - month) was 14.82%, down 1.32%; the same - term HV was 6.37%, up 0.05% [6] - **Skew and VIX**: The Skew of Shanghai Composite 50 index options was 9.62%, down 3.24%; the VIX was 18.64, down 0.976 [6]

体内容而规具为客户。本内容的信息来源于公开资料，本公司对这些信息的准朝性、完整性及未来变更的可能往不作任何保证。请您根据自身的风险承受微力作出投资决定并自主承担 投资风险、不应凭借本内容进行具体操作、本公司不对目使用本内容而造成的损失承担任何责任、除非劳有说职。本公司拥有本内容的组织和/流英地相关知识产权。 法坚本公司事先 书面许可。任何单位或个人不得以任何方式复制、转载、引用、刊登、发表、发行、修改、翻译此报告的全部或部分内容。 | 2025/7/30 | 有色及贵金属日度数据简报 | 莫骁雄 | 王蒙 | 李先飞 | Z0012691 | Z0019413 | Z0002529 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 国泰君安期货研究所有 | jixianfei@gtht.com | moxiaoxiong@gtht.com | wangrong2@gtht.com | 色及贵金属组 | 张再宇 | 王宗源(联系 ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core View of the Report - The driving force of the 91 spread may come from the SR2601 contract. The domestic situation is relatively strong, but the spot price is higher than the cost of out-of-quota imports, with no valuation advantage. The import volume in Q3 2025 is expected to increase significantly quarter-on-quarter, and the spot price will remain stable. Currently, the basis of the SR2509 contract is at a low level compared to previous years, with limited potential for imagination. The SR2601 contract is priced based on expectations, anchored to domestic production costs and out-of-quota import costs, and is also affected by the anti-involution sentiment. From late June onwards, driven by the anti-involution sentiment, the prices of industrial products such as polysilicon and coking coal have risen significantly, and the Zhengzhou sugar price has followed suit. In addition, the market expects that the sugar yield in Guangxi in the 25/26 sugar season is likely to decline, and the production cost will increase, supporting the price of the SR2601 contract. From August to September, the spot price is expected to remain stable, the basis of the SR2509 contract has limited potential for imagination, and the driving force of the 91 spread depends on the SR2601 contract [1][24] Group 3: Summary According to the Directory 1. Zhengzhou Sugar 91 Spread First Strengthened and Then Weakened - Since June 2025, the spread between the SR2509 contract and the SR2601 contract (hereinafter referred to as the 91 spread) has first strengthened and then weakened, generally fluctuating within the range of 100 - 200 yuan/ton, with a relatively small fluctuation range [4] - From June to July, the 91 spread strengthened, mainly because the price of the SR2509 contract was stronger. After the expiration of the New York raw sugar 2507 contract, the New York raw sugar price bottomed out and rebounded, and the suppression of the weak expectation on the SR2509 contract weakened. As the SR2507 contract expired, the SR2509 contract became the near-term contract, and as the delivery month approached, the pricing gradually shifted from expectation-based pricing to reality-based pricing. Against the background of a high basis, the price of the SR2509 contract was relatively stronger than that of the SR2601 contract [4] - Since July, the 91 spread has weakened, and the price of the SR2601 contract has been relatively stronger. Starting from July, the anti-involution sentiment in the domestic market has swept through the commodity market, and the prices of agricultural products have also been affected by this sentiment. Most of the funds trading on the macro level choose the far-term contracts. Fundamentally, the delivery of the SR2509 contract is still affected by the beet sugar warehouse receipts. On the one hand, the basis of the SR2509 contract has been repaired to a low level in recent years; on the other hand, the basis before the expiration of the SR2507 contract was still relatively high, so the room for the basis of the SR2509 contract to continue to weaken is limited [4] 2. The Basis of the SR2509 Contract is at a Low Level Compared to Previous Years, with Limited Potential for Imagination 2.1 Pricing Benchmark of the SR2509 Contract and the SR2601 Contract - The price of the SR2509 contract first declined and then increased. Since May 2025, the spot price in Nanning has fluctuated downward, with a fluctuation range of 6000 - 6200 yuan/ton. The SR2509 contract first declined and then increased, with a fluctuation range of 5600 - 5930 yuan/ton. The fluctuation range of the spot price is smaller than that of the futures price, and the basis fluctuates within the range of 150 - 400 yuan/ton, showing an overall inverted "V" shape. Since mid-June 2025, the basis of the SR2509 contract has weakened significantly. Currently, the basis of the SR2509 contract is at a low level compared to previous years, and its absolute level is lower than that before the expiration of the SR2507 contract, with limited potential for imagination [8] - The basis before the expiration of the SR2507 contract was relatively high. Since May 2025, the price of the SR2507 contract has fluctuated downward, and the basis has fluctuated within the range of 200 - 350 yuan/ton. The average basis in June was 282 yuan/ton, and the average basis in July was 279 yuan/ton. The basis before expiration was generally at a relatively high level. It is believed that the high basis before the expiration of the SR2507 contract is mainly related to the high proportion of beet sugar warehouse receipts [10] - The warehouse receipts mainly consist of beet sugar and Yunnan sugar. On July 29, 2025, the number of registered warehouse receipts for Zhengzhou sugar was 19,746. Among them, there were about 197 warehouse receipts for cane sugar from the Guangxi production area, about 2,324 warehouse receipts for cane sugar from the Yunnan production area, 1,824 warehouse receipts for credit from Yunnan factories, 5,000 warehouse receipts for credit from processing sugar factories in the sales area, about 8,706 warehouse receipts for beet sugar in the sales area, and 1,695 warehouse receipts for credit from beet sugar factories in the sales area. The warehouse receipts likely to be delivered are probably the beet sugar in the sales area and the cane sugar from the Yunnan production area, with a quantity of around 14,500 (including the possible warehouse receipts for credit from factories) [12] - The SR2601 contract is priced based on expectations, and its price increase benefits from the anti-involution sentiment. The pricing of the SR2601 contract is anchored to domestic production costs and out-of-quota import costs, and is also affected by the anti-involution sentiment. Since late June, driven by the anti-involution sentiment, the prices of industrial products such as polysilicon and coking coal have risen significantly, and the Zhengzhou sugar price has followed suit. Fundamentally, after the expiration of the New York raw sugar July contract, the news of Pakistan's import of 500,000 tons of sugar was positive. The markets in Brazil and India lacked obvious marginal information to drive prices, and the prices generally stabilized and then fluctuated within a range, with the out-of-quota import cost remaining stable [15] 2.2 International and Domestic Market Fundamentals - In the 24/25 sugar season, the global sugar supply was in a shortage of 5.47 million tons. In May 2025, the ISO released a report on the global sugar market for the 24/25 year, with a production of 174.80 million tons and a consumption of 180.26 million tons, resulting in a global supply shortage of 5.47 million tons, compared with a previous forecast of a shortage of 4.88 million tons (forecast in February 2025). In terms of the quantity of the supply shortage, the shortage is at a relatively high level in history, indicating that the overall market supply situation is relatively tight. In the 24/25 sugar season, Conab estimated that the sugar production in Brazil would be 44.12 million tons (-1.56 million tons), and Nfcsf estimated that the sugar production in India would be 26.11 million tons (-5.79 million tons) [18] - In the 25/26 sugar season, the global sugar market is expected to have a surplus. In the 25/26 sugar season, the USDA estimated that the global sugar production would be 189.32 million tons, with a surplus of 11.4 million tons. Datagro estimated a global surplus of 1.53 million tons, GreenPool estimated a surplus of 1.15 million tons, Louis Dreyfus estimated a surplus of 0.4 million tons, and Alvean estimated a surplus of 0.4 million tons [20] - The core of the domestic sugar market trading is still the total import volume and structure. According to CAOC data, in the 24/25 sugar season, China's sugar production was 11.16 million tons (+1.2 million tons), consumption was 15.8 million tons, and imports were 5 million tons. In the 25/26 sugar season, China's sugar production is expected to be 11.2 million tons (+0.04 million tons), consumption is expected to be 15.9 million tons (+0.1 million tons), and imports are expected to be 5 million tons. In Q2 2025, the Guangxi production area was threatened by drought, but the total production data from CAOC did not change significantly. In Q1 2025, the policy tightened the import of syrup and premixed powder, and in May 2025, the supervision of 4 measures of the special account book management policy for commodities was further refined. Even if the in-quota import volume remains the same, with the decrease in the import volume of syrup and premixed powder, the market needs out-of-quota imports to fill the supply gap, and the pricing anchor point switches to the out-of-quota import cost. The total import volume and structure are the core of the market trading [20] 3. The Driving Force of the 91 Spread May Come from the SR2601 Contract - In the international market, the situation is one of strong reality and weak expectation. In terms of driving factors, in the 24/25 sugar season, the short-term supply in the global market is relatively large, and the reality is still strong; in the 25/26 sugar season, the global sugar market is expected to increase production and accumulate inventory, with a weak expectation [22] - In terms of valuation, although the price of New York raw sugar has significantly declined from its high level, its valuation is still relatively high compared to other major agricultural products [23] - In the domestic market, the pricing anchor point is the out-of-quota import cost. Whether in the 24/25 sugar season or the 25/26 sugar season, even if the in-quota import volume remains the same, with the decrease in the import volume of syrup and premixed powder, the market needs out-of-quota imports to fill the supply gap, and the pricing anchor point switches to the out-of-quota import cost. The total import volume and structure are the core of the market trading [23] - The driving force of the 91 spread depends on the SR2601 contract. The domestic situation is relatively strong, but the spot price is higher than the cost of out-of-quota imports, with no valuation advantage. The import volume in Q3 2025 is expected to increase significantly quarter-on-quarter, and the spot price will remain stable. Currently, the basis of the SR2509 contract is at a low level compared to previous years, with limited potential for imagination. The SR2601 contract is priced based on expectations, anchored to domestic production costs and out-of-quota import costs, and is also affected by the anti-involution sentiment. From late June onwards, driven by the anti-involution sentiment, the prices of industrial products such as polysilicon and coking coal have risen significantly, and the Zhengzhou sugar price has followed suit. In addition, the market expects that the sugar yield in Guangxi in the 25/26 sugar season is likely to decline, and the production cost will increase, supporting the price of the SR2601 contract. From August to September, the spot price is expected to remain stable, the basis of the SR2509 contract has limited potential for imagination, and the driving force of the 91 spread depends on the SR2601 contract [24]

二 〇 二 五 年 度 2025 年 7 月 30 日 ICE Endex TTF 月度期货合约基础研究—— 天然气系列研究（一） 唐惠珽 投资咨询从业资格号：Z0021216 tanghuiting@gtht.com 报告导读： 荷兰天然气批发市场，又称所有权转移枢纽（TTF），是一个由 GTS 运营的虚拟天然气所有权交易市 场，是欧洲大陆最大的天然气市场。ICE Endex TTF 系列期货合约以实物交割为基础，通过对 TTF 所有 权的转移实现交割。TTF 月度期货合约是 ICE Endex TTF 系列期货合约中的主力合约，成交最为活跃。 本文为 ICE Endex TTF 月度期货合约基础研究篇，梳理了 ICE Endex TTF 月度期货合约的基本规 则、交割标准气、交割流程与结算方式，以及可交割供应量。 请务必阅读正文之后的免责条款部分 1 期货研究 国 泰 君 安 期 货 研 究 所 期货研究 （正文） 1. 合约基本规则 TTF 月度期货合约的交割质量标准由荷兰输气商 GTS 制定，且 GTS 运营的主干输气网络只接受 H- gas。换言之，TTF 月度期货合约的交割标准气为 H-gas。 ...