2025 年 9 月 15 日 沥青：出货平平向稳，价格南降北升 王涵西 投资咨询从业资格号：Z0019174 wanghanxi@gtht.com 【基本面跟踪】 表 1：沥青基本面数据 | | 项目 | 单位 | 昨日收盘价 | 日涨跌 | 昨夜夜盘收盘价 | 夜盘涨跌 | | --- | --- | --- | --- | --- | --- | --- | | | BU2510 | 元/吨 | 3,393 | -2.19% | 3,404 | 0.32% | | | BU2511 | 元/吨 | 3,368 | -2.74% | 3,387 | 0.56% | | 期货 | | | 昨日成交 | 成交变动 | 昨日持仓 | 持仓变动 | | | BU2510 | 手 | 43,199 | 10,098 | 25,946 | (9,141) | | | BU2511 | 手 | 238,778 | 52,341 | 252,640 | (140) | | | | | 昨日仓单 | 仓单变化 | | | | | 沥青全市场 | 手 | 68260 | 0 | | | | | | | 昨日价差 | 前日价差 ...

Report Summary 1. Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The sugar market is expected to mainly experience range-bound oscillations [1] 3. Summary by Catalog 3.1 Fundamental Tracking - The raw sugar price is 16.52 cents per pound, with a year-on-year increase of 0.05 cents; the mainstream spot price is 5,940 yuan per ton, unchanged year-on-year; the futures main contract price is 5,540 yuan per ton, a year-on-year decrease of 16 yuan [1] - The 91 spread is 0 yuan per ton, a year-on-year increase of 26 yuan; the 15 spread is 23 yuan per ton, a year-on-year decrease of 9 yuan; the mainstream spot basis is 400 yuan per ton, a year-on-year increase of 16 yuan [1] 3.2 Macro and Industry News - High-frequency information reveals that India's monsoon precipitation has strengthened again, and Brazil's exports have declined, raising concerns about global consumption. Brazil exported 3.74 million tons in August, a 5% year-on-year decrease, and 3.59 million tons in July, also a 5% year-on-year decrease [1] - Conab has lowered the forecast for Brazil's sugar production in the 25/26 season to 44.5 million tons, down from the previous estimate of 45.9 million tons [1] - China imported 740,000 tons of sugar in July, an increase of 320,000 tons [1] 3.3 Domestic Market - CAOC predicts that China's sugar production in the 24/25 season will be 11.16 million tons, consumption will be 15.8 million tons, and imports will be 5 million tons. For the 25/26 season, production is expected to be 11.2 million tons, consumption 15.9 million tons, and imports 5 million tons [2] - As of the end of May in the 24/25 season, China produced 11.16 million tons of sugar, an increase of 1.2 million tons, and sold 8.11 million tons, an increase of 1.52 million tons. The cumulative sugar sales rate was 72.7% [2] - As of the end of July in the 24/25 season, China's cumulative sugar imports were 3.24 million tons, a decrease of 340,000 tons [2] - In the 25/26 season, the market anticipates a decline in the sugar yield rate and an increase in production costs in Guangxi [2] 3.4 International Market - ISO's initial forecast indicates a global sugar supply shortage of 230,000 tons in the 25/26 season and 4.88 million tons in the 24/25 season [3] - As of August 16 in the 25/26 season, the cumulative sugarcane crushing volume in Brazil's central-southern region decreased by 6.6 percentage points year-on-year, with cumulative sugar production at 22.89 million tons, a decrease of 1.12 million tons. The cumulative MIX was 52.51%, a year-on-year increase of 3.37 percentage points [3] - ISMA/NFCSF predicts that India's total sugar production in the 25/26 season will be 34.9 million tons, up from 29.5 million tons in the 24/25 season, an increase of 5.4 million tons [3] - Thailand's cumulative sugar production in the 24/25 season was 10.08 million tons, an increase of 1.27 million tons [3] 3.5 Trend Intensity - The trend intensity of sugar is 0, indicating a neutral outlook [4]

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - At the end of the month and the beginning of the month, large - scale pig - raising groups significantly reduced supply, and the spot price rebounded as expected. However, the average weight of pigs increased again, the price difference between fat and lean pigs weakened, and the overall supply in September increased significantly. From September to October, the production capacity cycle and inventory cycle resonated, and market pressure gradually emerged. It is expected that the spot price center will further decline, and the national average price will hit new lows. The enthusiasm for purchasing piglets declined, and the price decline accelerated, corresponding to a decrease in the cost of pigs to be slaughtered in March - May. Attention should be paid to the downward - driving force of the price center in March and May. There is an expectation of further policy regulation for the July contract, which is mainly strong in the short - term. Stop - loss and take - profit should be noted. The short - term support level for the LH2511 contract is 12,500 yuan/ton, and the pressure level is 13,500 yuan/ton [3] Summary by Relevant Catalogs Fundamental Tracking - **Price**: The price of Henan's live - pig spot is 13,480 yuan/ton, a year - on - year decrease of 50 yuan/ton; Sichuan's is 13,400 yuan/ton, with no year - on - year change; Guangdong's is 14,340 yuan/ton, a year - on - year increase of 100 yuan/ton. The price of the live - pig 2511 futures is 13,255 yuan/ton, a year - on - year decrease of 65 yuan/ton; the live - pig 2601 is 13,690 yuan/ton, a year - on - year decrease of 40 yuan/ton; the live - pig 2603 is 13,060 yuan/ton, a year - on - year increase of 45 yuan/ton [1] - **Trading Volume and Open Interest**: The trading volume of the live - pig 2511 futures is 30,367 lots, an increase of 9,160 lots from the previous day, and the open interest is 79,053 lots, an increase of 3,100 lots from the previous day; the live - pig 2601 has a trading volume of 12,630 lots, an increase of 3,561 lots from the previous day, and an open interest of 54,100 lots, an increase of 1,440 lots from the previous day; the live - pig 2603 has a trading volume of 4,507 lots, an increase of 1,694 lots from the previous day, and an open interest of 37,242 lots, an increase of 577 lots from the previous day [1] - **Price Spread**: The basis of the live - pig 2511 is 225 yuan/ton, a year - on - year increase of 15 yuan/ton; the live - pig 2601 is - 210 yuan/ton, a year - on - year decrease of 10 yuan/ton; the live - pig 2603 is 420 yuan/ton, a year - on - year decrease of 95 yuan/ton. The spread between the live - pig 11 - 1 is - 435 yuan/ton, a year - on - year decrease of 25 yuan/ton; the spread between the live - pig 1 - 3 is 630 yuan/ton, a year - on - year decrease of 85 yuan/ton [1] Trend Intensity - The trend intensity is 0, with a value range of [- 2,2] for integers. The strength levels are classified as weak, relatively weak, neutral, relatively strong, and strong. - 2 represents the most bearish view, and 2 represents the most bullish view [2] Market Logic - At the end of the month and the beginning of the month, large - scale pig - raising groups significantly reduced supply, and the spot price rebounded as expected. However, the average weight of pigs increased again, the price difference between fat and lean pigs weakened, and the overall supply in September increased significantly. From September to October, the production capacity cycle and inventory cycle resonated, and market pressure gradually emerged. It is expected that the spot price center will further decline, and the national average price will hit new lows. The enthusiasm for purchasing piglets declined, and the price decline accelerated, corresponding to a decrease in the cost of pigs to be slaughtered in March - May. Attention should be paid to the downward - driving force of the price center in March and May. There is an expectation of further policy regulation for the July contract, which is mainly strong in the short - term. Stop - loss and take - profit should be noted. The short - term support level for the LH2511 contract is 12,500 yuan/ton, and the pressure level is 13,500 yuan/ton [3]

Report Overview - The report is about the lithium carbonate market, dated September 15, 2025, titled "Lithium Carbonate: Supply and Demand Both Increase, Operating Under Pressure" [1] Industry Investment Rating - No investment rating is provided in the report Core View - The lithium carbonate market shows a situation of both supply and demand increasing, and the price is under pressure. The trend strength of lithium carbonate is -1, indicating a relatively bearish view [1][3] Summary by Related Catalogs Fundamental Tracking - **Futures Market Data**: For the 2511 contract, the closing price was 71,160, with a decrease compared to previous periods (e.g., -3,100 compared to T - 5). The trading volume was 410,989, also showing a decline. The open interest was 309,402, which decreased as well. Similar trends were observed for the 2601 contract [1] - **Basis and Other Data**: The basis between spot and 2511 contract was 1,290, with fluctuations over different time intervals. The difference between electric - grade and industrial - grade lithium carbonate was 2,250, remaining stable on the latest day [1] - **Raw Material and Lithium Salt Prices**: The price of lithium spodumene concentrate (6%, CIF China) was 842, showing a downward trend. Battery - grade lithium carbonate was priced at 72,450, down 400 from the previous day [1] Macro and Industry News - SMM's battery - grade lithium carbonate index price was 72,398 yuan/ton, down 406 yuan/ton from the previous workday. Battery - grade lithium carbonate was in the range of 7.09 - 7.4 million yuan/ton, with an average of 7.245 million yuan/ton, down 400 yuan/ton. Industrial - grade lithium carbonate was in the range of 6.96 - 7.08 million yuan/ton, with an average of 7.02 million yuan/ton, down 400 yuan/ton [2] - On September 12, 2025 (Argentine local time), Zijin Mining's Lithium Industry Kesi 3Q lithium salt lake project with an annual production capacity of 20,000 tons of lithium carbonate was put into operation. The second - phase project with a planned capacity of 40,000 tons/year is in the pre - work stage. After full operation of both phases, the annual capacity is expected to reach 60,000 - 80,000 tons [3] Trend Intensity - The trend intensity of lithium carbonate is -1, within the range of [-2, 2]. A value of -2 represents the most bearish view, and 2 represents the most bullish view [3]

Report Industry Investment Rating - The report does not explicitly provide an industry investment rating [1][3][4] Core Viewpoints - The contradiction between fundamentals and macro - sentiment has intensified, with the market expected to oscillate in the short term. The fundamental pressure has increased significantly, while macro - expectations provide support. Despite high supply pressure in the fundamentals of both butadiene and cis - butadiene rubber, the market is supported by expectations, causing the market to oscillate widely within the fundamental valuation range. It is recommended to short at high valuations based on the valuation [4] Summary by Relevant Catalogs Fundamental Tracking - **Futures Market**: For the cis - butadiene rubber (10 - contract) main contract, the daily closing price decreased by 40 yuan/ton to 11,615 yuan/ton, the trading volume decreased by 9,245 lots to 52,955 lots, the open interest decreased by 1,184 lots to 21,059 lots, and the trading volume decreased by 56,311 ten - thousand yuan to 306,525 ten - thousand yuan [1] - **Spread Data**: The basis of Shandong cis - butadiene rubber minus the futures main contract decreased by 10 to 135; the monthly spread of BR10 - BR11 (private) increased by 15 to 45. The prices of North China, East China, and Shandong cis - butadiene rubber decreased by 50 yuan/ton, while the price of South China cis - butadiene rubber remained unchanged. The prices of Qilu butadiene styrene rubber (models 1502 and 1712) decreased by 50 yuan/ton [1] - **Spot Market**: The market price of Shandong cis - butadiene rubber (delivery product) decreased by 50 yuan/ton to 11,750 yuan/ton. The mainstream prices of butadiene in Jiangsu and Shandong decreased by 75 yuan/ton and 50 yuan/ton respectively [1] - **Fundamentals**: The cis - butadiene rubber operating rate remained unchanged at 71.0425%, the theoretical full cost remained unchanged at 12,028 yuan/ton, and the profit remained unchanged at - 128 yuan/ton [1] Industry News - As of September 10, 2025, the inventory of domestic cis - butadiene rubber sample enterprises was 34,500 tons, an increase of 2,600 tons from the previous period, a month - on - month increase of 8.15%. Due to factors such as high inventory and weak market, both sample production enterprises and sample trading enterprises saw an increase in inventory [1][3] - As of September 10, the latest inventory of butadiene in East China ports was about 25,600 tons, a decrease of 5,350 tons from the previous period. Although the inventory has decreased, there is still a supply pressure due to the expected arrival of ships next week [4] Trend Intensity - The trend intensity of synthetic rubber is 0, indicating a neutral view [3]

商 品 研 究 2025 年 9 月 15 日 黄金：下修非农就业 白银：突破上行 | 王蓉 | 投资咨询从业资格号：Z0002529 | wangrong013179@gtjas.com | | --- | --- | --- | | 刘雨萱 | 投资咨询从业资格号：Z0020476 | liuyuxuan023982@gtjas.com | 【基本面跟踪】 贵金属基本面数据 | 贵金属基本面数据 | | | | | | | --- | --- | --- | --- | --- | --- | | | | 昨日收盘价 | 日涨幅 | 昨日夜盘收盘价 | 夜盘涨幅 | | | 沪金2510 | 834.22 | 0.41% | 834.00 | 0.39% | | | 黄金T+D | 830.34 | 0.51% | 830.50 | 0.12% | | | Comex黄金2510 | 3680.70 | 0.20% | - | | | | 伦敦金现货 | 3642.37 | 0.30% | - | - | | | 沪银2510 | 10035 | 2.42% | 10051.00 | 1.22% | | ...

Report Overview - Report Date: September 14, 2025 [1] - Report Type: Treasury Bond Futures Weekly Report Investment Rating - No investment rating information provided Core Viewpoints - Treasury bond futures continued to pull back last week and recovered on Friday, maintaining a view of a mid - term general direction of oscillating with a bearish bias [5] Summary by Section 1. Weekly Focus and Market Tracking - Treasury bond futures contracts showed some recovery on a weekly basis [6] - The treasury bond futures market presented a differentiated pattern with short - term pressure and long - term recovery, and significant differentiation among varieties. The yield curve shape was affected by domestic and foreign policy expectations and capital - market fluctuations, showing a complex pattern of alternating steepening and flattening. Medium - and long - duration bonds performed weaker than short - term ones, related to the "stock - bond desensitization" logic after the stock market pullback. The long - term varieties showed recovery elasticity in risk - aversion sentiment and policy games, while the short - term ones were restricted by capital - market fluctuations and position adjustments, and the market differentiation pattern may continue in the short term [8] 2. Liquidity Monitoring and Curve Tracking - No specific content summary provided as only the section title and source are given [10][11] 3. Seat Analysis - Daily changes in net long positions by institutional type: Private funds decreased by 3.93%, foreign capital increased by 1.53%, and wealth management subsidiaries increased by 0.39%. Weekly changes: Private funds decreased by 14.35%, foreign capital decreased by 6.38%, and wealth management subsidiaries decreased by 7.76% [12]

Report Information - Report Title: Petroleum Asphalt Weekly Report [1] - Author: Wang Hanxi from Guotai Junan Futures Research Institute [1] - Date: September 14, 2025 [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - The asphalt market is expected to continue its narrow - range oscillation. The short - term valuation of asphalt may remain neutral, and attention should be paid to the trading situation in Shandong [4]. - The "Short BU, Long SC" strategy should be continued [4]. 3. Summary by Directory 3.1 Overview - **Supply**: The capacity utilization rate of 77 domestic heavy - traffic asphalt enterprises was 34.9%, a 6.8% week - on - week increase. The resumption of production at Hebei Xinhai and Ningbo Keyuan, along with stable production at major refineries, led to this increase. The weekly average comprehensive profit of asphalt production was - 491.7 yuan/ton, a 122.3 yuan/ton week - on - week increase [4]. - **Demand**: From September 3 - 9, 2025, the total shipment volume of 54 domestic asphalt enterprises was 39.7 tons, a 3.6% week - on - week decrease. Shipments decreased significantly in the Northeast and Shandong regions. In the Northeast, the increase in the price of low - sulfur asphalt reduced downstream purchasing enthusiasm, while in Shandong, the suspension of surrounding projects led to a decline in terminal demand [4]. - **Valuation**: During the week, BU followed the weak trend of crude oil, and the spot price remained stable. The average weekly price of domestic asphalt was 3637 yuan/ton, a 9 yuan/ton decrease from the previous period. The price fluctuation range was 3633 - 3647 yuan/ton, showing a narrowing trend [4]. 3.2 Price & Spread - **Cost Structure**: The cost of asphalt is affected by factors such as Brent, WTI, imported diluted asphalt, and Ma Rui crude oil. Different types of crude oil have different asphalt yields, with Ma Rui crude oil having a yield of 55% - 60% [7]. - **Futures - Disk Price and Trading Positions**: Relevant data shows the trends of trading positions and the flow of Venezuelan Ma Rui crude oil [9][10]. - **Spot - Heavy - Traffic Asphalt and Ma Rui Crude Oil**: The report presents the price trends of domestic heavy - traffic asphalt in different regions and the production profit margin in Shandong [13]. - **Spread - Basis and Monthly Spread**: The report shows the historical trends of basis and monthly spreads in different regions [17]. 3.3 Fundamental Data - **Demand**: Asphalt demand is mainly from the road market (including highway construction and maintenance), waterproof market, ship - fuel market, coking market, and export market. Seasonal factors have a limited impact. From September 3 - 9, 2025, the total shipment volume of 54 domestic asphalt enterprises decreased by 3.6% week - on - week. The capacity utilization rate of 69 domestic modified asphalt enterprises was 18.5%, a 2.6% week - on - week increase [22][26]. - **Supply**: - **Production, Maintenance, and Raw Materials**: From September 5 - 11, 2025, the weekly total production of domestic asphalt was 59.9 tons, a 1.2% week - on - week decrease and a 41.9% year - on - year increase. As of September 11, 2025, the inventory of 54 asphalt sample refineries was 72.8 tons, a 1.9% decrease from September 8, and the social inventory of asphalt was 165.3 tons, a 1.4% decrease from September 8 [30]. - **Start - up**: The report shows the weekly start - up rates of 77 major asphalt refineries in different regions [33]. - **Inventory**: The report presents the weekly inventory rates of asphalt refineries in different regions and the overall market [49].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week, the protective put strategy led among CSI 300 index option strategies with a 0.97% return; the short put strategy led among SSE 50 ETF option strategies with a 1.41% return; and the covered call strategy led among CSI 1000 index option strategies with a 1.35% return [3]. - From January 2024 to date, the benchmark performed best overall, and the covered call strategy led among option strategies in the CSI 300 index option market; in the SSE 50 ETF option market, the benchmark strategy performed best, and the short put strategy led among option strategies; in the CSI 1000 index option market, the benchmark also performed best, and the protective put strategy retained benchmark returns while having a relatively lower drawdown compared to the short put strategy [9][13][18]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown; three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide - straddle) can reduce the strategy's drawdown by adding threshold limits to the clustering dimension of implied volatility [9][13][18]. - In the CSI 1000 index option market, both the short wide - straddle and short maximum - position wide - straddle strategies achieved positive returns, and the short straddle strategy had better returns, indicating a higher safety level for the short - option strategy of this variety; the bull call spread strategy had stronger returns than the benchmark and relatively lower drawdowns in all three option markets [9][13][19]. 3. Summary by Directory 3.1 This Week's Market Review - **CSI 300 Index Option Strategy Review**: Based on the CSI 300 index, futures, and options, eight common strategies were back - tested. This week, the protective put strategy led with a 0.97% return. From January 2024 to date, the benchmark performed best with a 38.93% return, and the covered call strategy led among option strategies. The three option hedging strategies effectively reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [8][9]. - **SSE 50 ETF Option Strategy**: Using 50ETF and its options, eight strategies were back - tested. This week, the short put strategy led with a 1.41% return. From January 2024 to date, the benchmark strategy had a 36.13% return, and the short put strategy led among option strategies. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had an overall stronger return and lower drawdown [12][13][14]. - **CSI 1000 Index Option Strategy**: Based on the CSI 1000 index, futures, and options, eight strategies were back - tested. This week, the covered call strategy led with a 1.35% return. From January 2024 to date, the benchmark had a 45.47% return, and the protective put strategy retained benchmark returns with a relatively lower drawdown. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [17][18][19]. 3.2 Strategy Specific Descriptions - **Covered Call Strategy**: A classic strategy for enhancing returns, suitable when the underlying is expected to have small increases or no increase. It uses full - value underlying securities as collateral without additional margin. For 50ETF, it involves buying 1 share and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves buying 1 contract and selling 3 contracts of a 4% out - of - the - money call option [20]. - **Short Put Strategy**: A one - way short strategy, profitable when the underlying is in a sideways or rising market. It requires margin. For 50ETF, it involves short - selling at - the - money put options; for CSI 300 index futures, it also involves short - selling at - the - money put options [27]. - **Protective Put Strategy**: A protective hedging strategy, suitable when investors expect the underlying to rise but are worried about market declines. It can hedge risks in a down - market and allow investors to enjoy some upside in an up - market. For 50ETF, it involves buying 1 share and 1 share of a 10% out - of - the - money put option; for CSI 300 index futures, it involves buying 1 contract and 3 contracts of a 4% out - of - the - money put option [32]. - **Collar Strategy**: A neutral strategy, a combination of the covered call and protective put strategies. It provides tail - risk protection and reduces hedging costs by selling call options. For 50ETF, it involves holding 1 share, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves holding 1 contract, buying 3 contracts of a 4% out - of - the - money put option, and selling 3 contracts of a 4% out - of - the - money call option [38]. - **Straddle Statistical Arbitrage Strategy**: Based on the mean - reversion relationship between implied and historical volatility, it trades volatility. When the difference between implied and historical volatility is greater than 1.5% (for 50ETF) or 3% (for CSI 300 index futures), it shorts volatility; when the difference is less than - 1.5% (for 50ETF) or - 3% (for CSI 300 index futures), it longs volatility. It also considers the clustering of implied volatility [44]. - **Short Straddle Strategy**: A short - volatility strategy, risk - neutral at construction. It sells at - the - money call and put options to keep the Delta at 0. It benefits from declining volatility but may incur losses due to changes in the underlying price [50]. - **Short Maximum - Position Wide - Straddle Strategy**: Constructed based on the maximum - position strike prices of call and put options. It assumes that the maximum - position strike prices represent the support and resistance levels of the underlying. When these levels change, the strategy adjusts positions accordingly [57]. - **Bull Call Spread Strategy**: A low - cost long - call strategy, suitable when the underlying is expected to rise moderately in the short - term and implied volatility is low. It involves buying at - the - money call options and selling out - of - the - money call options [66].

二 〇 二 五 年 度 2025 年 09 月 14 日 豆粕：震荡，关注中美经贸会谈 豆一：震荡，关注技术面、市场情绪 吴光静 投资咨询从业资格号：Z0011992 wuguangjing@gtht.com 报告导读： 上周（09.08-09.12），美豆期价涨势为主，主要因为中美将在西班牙举行经贸会谈、贸易摩擦缓和 情绪。9 月 USDA 供需报告影响不大，美豆注意力仍在"中美经贸会谈"、"出口需求"。从周 K 线角度，9 月 12 日当周，美豆主力 11 月合约周涨幅 1.8%，美豆粕主力 12 月合约周涨幅 1.62%。 上周（09.08-09.12），国内豆粕期价略有反弹、豆一期价涨跌互现。豆粕方面，巴西大豆进口成本 稳定、美豆反弹，带动豆粕盘面稳中略升。周五夜盘豆粕盘面价格下跌，预计是交易"中美贸易摩擦缓 和"：9 月 14～17 日中美将在西班牙举行经贸会谈。豆一方面，盘面或以技术性交易为主，基本面边际变 化不大（市场等待新豆上市）。从周 K 线角度，9 月 12 日当周，豆粕主力 m2601 合约周涨幅 0.39%，豆一 主力 a2511 合约周跌幅 0.38%。（上述期货价格及涨跌幅数据引自 ...