2026-01-19 ⚫ 综述 上周市场整体呈现震荡走势，大部分指数先跌后涨，周度收 涨，其中科创 50 指数领涨，周度涨幅为 2.58%。板块方面，计算 机和电子等行业板块表现突出，周度涨幅分别为 3.82%和 3.77%； 国防军工等板块走势偏弱，周度跌幅约为 4.92%。上周市场焦点集 中于美元流动性环境与国内政策动态。受地缘局势的影响，上周 美元指数连续多个交易日走强，对全球风险资产价格形成扰动。 国内方面，上周央行推出结构性再贷款降息工具，市场普遍解读 为旨在引导流动性更有效传导至实体经济。在股指持续多个交易 日冲高后，监管部门通过上调融资保证金比例等措施为市场适度 降温。预计短期市场或将从流畅上行转为偏强震荡格局，中长期 走势仍保持积极。继续关注美元流动性变化以及国内的政策信号。 ⚫ 期权市场 上周期权市场中，大部分品种金融期权隐波（IV）略有回升， 普遍略高于近一年中位数。当前科创 50 期权（IV=29%）和创业板 指期权（IV=24%）隐波已回升至近一年中位数附近。 50、300 期 权 IV 目前处于 13%-16%的区间，中证 500、中证 1000 期权 IV 处 于 20%-22%的 ...

2026年1月19日 周度报告 期指长周期继续上升 金融工程周报 操作评级 股指 ☆☆☆ 国债 ☆☆☆ 王锴 金融工程组 010-58747784 gtaxinstitute@essence.com. cn Z0016943 F03091361 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 p 截至1月16日当周，期指分化，IH2601下降1.58%， IF2601下降0.43%，IC2601上升2.12%，IM2601上升 1.35%。在政策调控与市场自发调节的双重作用下，投资者 情绪逐步趋于理性，流动性支撑下中期趋势度未有明显下降。 p 从高频宏观基本面因子评分来看，期指方面，通胀指标8分， 流动性指标8分，估值指标12分，市场情绪指标9分。期债 方面，通胀指标7分，流动性指标9分，市场情绪指标5分。 期限结构方面，IF、IC、IM和IH当季合约的年化基差率分 别为0.92%、-1.05%、-1.75%、-3.84%，IC和IM继续 位于基差历史高分位点。 p 金融衍生品量化CTA策略上周净值上升0.15%，收益来源 为周二做多TF并平仓。长周期方面，社融信贷数据普遍超 预期，其中 ...

普通股票策略继续领涨 金融工程周报 基金市场回顾： 操作评级 中信五风格-成长★☆☆ 金融工程组 张婧婕 Z0022617 -5.00% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 周度收益率 月度收益率 季度收益率 半年度收益率 通联全A（沪深京） 中证综合债（净） 南华商品 数据来源：通联数据，国投期货 【近期市场收益】 1.26% 0.90% 1.16% 0.16% 0.05% 0.11% 0.87% 0.69% 0.20% 0.48% 0.00% 1.00% 2.00% 【公募基金主要策略指数周度收益率】 数据来源：通联数据，国投期货 【近年公募基金产品成立规模】 数据来源：通联数据，国投期货 0 500 1000 1500 2000 1月 2月 3月 4月 5月 6月 7月 8月 9月 10月 11月 12月 亿元 2024年 2025年 2026年 5.57% 5.59% 5.70% 0.26% 0.04% 0.21% 1.52% 2.70% 0.58% 1.71% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 普通股票 被 ...

1. Report Industry Investment Rating - No information provided in the content 2. Report's Core View - No clear core view is presented in the given content 3. Summary by Related Catalogs 3.1 ETFs and Indexes Information - For 50ETF, from January 15 - 19, 2026, the price decreased from 3.180 to 3.153 with corresponding fluctuations in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 13.34% to 11.85%, and the next - month IV decreased from 16.60% to 14.98%. The current - month IV quantile in the past 1 year was 24.00%, and 24.10% in the past 2 years [1]. - For沪300ETF, from January 14 - 19, 2026, the price fluctuated around 4.7, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 14.17% to 12.20%, and the next - month IV decreased from 18.13% to 15.66%. The current - month IV quantile in the past 1 year was 10.60%, and 24.30% in the past 2 years [3]. - For深300ETF, from January 15 - 19, 2026, the price fluctuated slightly around 4.9, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 14.15% to 12.62%, and the next - month IV decreased from 17.88% to 15.98%. The current - month IV quantile in the past 1 year was 27.30%, and 31.00% in the past 2 years [9]. - For沪中证500ETF, from January 15 - 19, 2026, the price increased from 8.277 to 8.348, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.69% to 19.87%, and the next - month IV decreased from 26.19% to 22.76%. The current - month IV quantile in the past 1 year was 90.60%, and 84.20% in the past 2 years [13]. - For深中证500ETF, from January 15 - 19, 2026, the price increased from 3.299 to 3.328, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.46% to 19.22%. The current - month IV quantile in the past 1 year was 89.30%, and 80.90% in the past 2 years [21]. - For创业板ETF, from January 15 - 19, 2026, the price decreased from 3.352 to 3.318, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 26.83% to 20.83%, and the next - month IV decreased from 31.25% to 26.13%. The current - month IV quantile in the past 1 year was 63.60%, and 37.10% in the past 2 years [27]. - For深证100ETF, from January 15 - 19, 2026, the price decreased from 3.543 to 3.531, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 18.75% to 16.10%, and the next - month IV decreased from 22.51% to 20.58%. The current - month IV quantile in the past 1 year was 44.00%, and 45.30% in the past 2 years [37]. - For科创50ETF, from January 15 - 19, 2026, the price fluctuated around 1.5, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 32.94% to 25.92%, and the next - month IV decreased from 37.63% to 32.41%. The current - month IV quantile in the past 1 year was 36.30%, and 41.50% in the past 2 years [46]. - For科创板50ETF, from January 15 - 19, 2026, the price fluctuated around 1.5, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 32.08% to 23.99%, and the next - month IV decreased from 35.34% to 31.32%. The current - month IV quantile in the past 1 year was 65.30%, and 59.50% in the past 2 years [51]. - For 300指数, from January 15 - 19, 2026, the price fluctuated around 4700, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 15.16% to 16.20%, and the next - month IV decreased from 19.21% to 18.42%. The current - month IV quantile in the past 1 year was 56.30%, and 49.80% in the past 2 years [59]. - For 1000指数, from January 15 - 19, 2026, the price increased from 8240.775 to 8265.646, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.40% to 23.17%, and the next - month IV decreased from 26.06% to 24.15%. The current - month IV quantile in the past 1 year was 65.40%, and 68.30% in the past 2 years [64]. - For上证50指数, from January 15 - 19, 2026, the price decreased from 3105.575 to 3075.936, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 13.95% to 15.52%, and the next - month IV decreased from 67.66% to 55.03%. The current - month IV quantile in the past 1 year was 40.80%, and 36.60% in the past 2 years [70]. 3.2 Skew Index Information - The skew index of 50ETF's main contract month was 94.83 today [2]. - The skew index of沪300ETF's main contract month was 92.10 today [5]. - The skew index of深300ETF's main contract month was 98.93 today [11]. - The skew index of沪中证500ETF's main contract month was 90.61 today [16]. - The skew index of深中证500ETF's main contract month was 100.00 today [26]. - The skew index of创业板ETF's main contract month was 96.29 today [33]. - The skew index of深证100ETF's main contract month was 92.08 today [40]. - The skew index of科创50ETF's main contract month was 89.48 today [48]. - The skew index of科创板50ETF's main contract month was 96.98 today [54]. - The skew index of 300指数's main contract month was 87.68 today [63]. - The skew index of 1000指数's main contract month was 88.56 today [69]. - The skew index of上证50指数's main contract month was 85.85 today [76]. 3.3 Other Information - The expiration of the current - month contracts for 50ETF,沪300ETF,深300ETF,沪中证500ETF,深中证500ETF,创业板ETF,深证100ETF,科创50ETF, and科创板50ETF was 7 days away; the expiration of the current - month contracts for 300指数, 1000指数, and上证50指数 was 20 days away [1][3][9]

Report Industry Investment Ratings - Urea: Not specified - Methanol: Not specified - Styrene: Not specified - Propylene: Not specified - Plastic: ☆☆☆ (Indicating short - term multi/empty trend in a relatively balanced state, poor operability on the current disk, mainly for observation) [1] - PVC: Not specified - Caustic Soda: ★☆☆ (Indicating a bearish bias, with a downward - driving trend but poor operability on the disk) [1] - PX: Not specified - PTA: Not specified - Ethylene Glycol: Not specified - Short - fiber: ☆☆☆ (Indicating short - term multi/empty trend in a relatively balanced state, poor operability on the current disk, mainly for observation) [1] - Glass: Not specified - Soda Ash: ★☆☆ (Indicating a bearish bias, with a downward - driving trend but poor operability on the disk) [1] - Bottle Chip: Not specified Core Viewpoints - The overall chemical market shows complex trends, with different products facing various supply - demand situations and price trends. Some products face supply shortages, while others are affected by cost, demand, and policy factors [2][3][5] - There are risks such as demand shrinkage due to downstream profit pressure and supply - demand imbalance in the market, and at the same time, there are also potential investment opportunities in some products [2][5] Summary by Directory Olefins - Polyolefins - Propylene futures declined, with tight supply in the short term and limited support from the demand side due to high raw material costs. There is a risk of demand shrinkage [2] - Plastic and polypropylene futures were volatile. For polyethylene, inventory was smoothly reduced, but demand support is expected to weaken. For polypropylene, although there is policy support, demand has been pre - consumed, and the upward - driving force for supply - demand fundamentals is insufficient [2] Pure Benzene - Styrene - Pure benzene prices rose due to port de - stocking and refinery production cuts. The short - term market is expected to be volatile and strong [3] - Styrene futures rose. The market is in a tight - balance state, with expected port de - stocking, low enterprise inventory, and export support [3] Polyester - PX and PTA prices are expected to decline due to weak cost support and inventory accumulation. There may be investment opportunities in the second quarter, but it depends on downstream demand [5] - Ethylene glycol is affected by new domestic production and overseas shutdowns. There may be short - term improvement in the second quarter, but it is under long - term pressure [5] - Short - fiber enterprises have high loads and low inventory, but downstream orders are weak. The absolute price fluctuates with raw materials [5] - Bottle chip production has decreased, and the processing margin has improved, but there is still long - term capacity pressure [5] Coal Chemical Industry - Methanol prices continued to decline. Although there is port de - stocking, demand has decreased, and the market is expected to be volatile and stalemate. There is support from reduced imports in the first quarter [6] - Urea production has increased, and downstream demand has also risen. The short - term market may decline slightly, but it is likely to be strong within a range as agricultural demand starts [6] Chlor - alkali - PVC prices weakened. Production capacity utilization has declined, and cost has increased. It is expected to reduce production capacity this year, and the price center may rise [7] - Caustic soda is in a weak state, with high inventory pressure. The industry is generally in a loss, and the profit of chlor - alkali integration is expected to be compressed [7] Soda Ash - Glass - Soda ash prices fluctuated widely. Inventory pressure is still high, supply pressure is large, and downstream demand is weak. A high - short strategy is recommended [8] - Glass prices declined due to ignition plans. The industry is de - stocking, but there may be an increase in supply. The order situation is poor, and there may be seasonal inventory accumulation [8]

Report Summary 1. Report Industry Investment Rating - Gold: ★☆★ (indicating a bullish bias but limited trading opportunities on the market) [1] - Silver: ★☆★ (indicating a bullish bias but limited trading opportunities on the market) [1] - Platinum and Palladium: Resources are brittle, and it is still advisable to go long on dips, but track the expected shift in capital liquidity. [2] 2. Core Views - The U.S. economic data shows resilience, and Fed officials are cautious about rate cuts. The market expects the first rate cut this year to be in June. Geopolitical tensions, such as Trump's tariff threats, increase global uncertainty and support gold prices. The administrative order on key minerals eases concerns about silver tariffs and liquidity shortages. [1] - The platinum and palladium market on the Guangzhou Futures Exchange has calmed down after the initial enthusiasm. The price difference remains high. Although the bullish sentiment has declined due to the non - implementation of the 232 tariff, it is still advisable to go long on dips. Technically, it is at the end of a triangle consolidation, and an option strategy of buying a straddle can be considered after the second directional choice. [2] 3. Other Key Points - **Macroeconomic and Policy News** - Trump wants Hassett to stay in his original position, and Hassett promises to maintain the Fed's independence if he becomes the Fed chair. Fed officials have different views on rate cuts, with some focusing on potential lay - off risks and others emphasizing inflation control. [2] - Trump threatens to impose tariffs on countries with different views on Greenland, and the EU may impose tariffs on $93 billion of U.S. goods and plans an offline summit on January 22. [3] - Trump signs an executive order on key mineral imports, setting a 180 - day negotiation window and temporarily not imposing tariffs on key minerals. [1] - **Market Conditions** - The platinum - palladium spread on the Guangzhou Futures Exchange remains at a high of 140 yuan/gram. The market is at the end of a triangle consolidation, and a second directional choice is expected after volatility reduction. [2]

1. Report Industry Investment Ratings - Crude Oil: ★★★, indicating a clearer upward trend and a relatively appropriate investment opportunity currently [2] - Fuel Oil: ★★★, suggesting a clearer upward trend and a relatively appropriate investment opportunity currently [2] - Low - Sulfur Fuel Oil: ★★★, showing a clearer upward trend and a relatively appropriate investment opportunity currently [2] - Asphalt: ★★★, meaning a clearer upward trend and a relatively appropriate investment opportunity currently [2] 2. Core Views - The geopolitical risk premium of crude oil has declined with the easing of the Iran situation, and the inventory pressure is significant in Q1 2026. Supply surplus is the main factor suppressing oil prices [3] - Geopolitical risks continue to support the high - sulfur cracking spread of fuel oil, but the supply of high - sulfur heavy raw materials will tend to be loose in the medium term. The supply of low - sulfur fuel oil is increasing, and its weak pattern is expected to continue [4] - The asphalt price fluctuates with crude oil, and the current upward driving force is limited. The market is in a range - bound pattern, and attention should be paid to the arrival of Venezuelan crude oil [5] 3. Summary by Related Catalogs Crude Oil - With the easing of the Iran situation, the geopolitical risk premium has declined. The market is gradually desensitized to geopolitical news, and the geopolitical premium space is limited without actual conflicts [3] - In Q1 2026, the global crude oil supply - demand structure shows significant inventory pressure, and supply surplus is the main factor suppressing oil prices [3] Fuel Oil & Low - Sulfur Fuel Oil - Geopolitical situations continue to disrupt the fuel oil market. The threat from Iran and the slowdown of Russia's shipping rhythm support the high - sulfur cracking spread [4] - However, in the medium term, the supply of high - sulfur heavy raw materials will tend to be loose. The supply of low - sulfur fuel oil is increasing, and its weak pattern is expected to continue [4] Asphalt - The asphalt price fluctuates with crude oil, but the amplitude is relatively limited. The arrival in January is still expected to be sufficient according to kpler data [5] - The current upward driving force is limited after the market has priced in the expected increase in costs due to the tightened supply of Venezuelan crude oil to China. The market is in a range - bound pattern, and attention should be paid to the arrival of Venezuelan crude oil [5]

负责声朗，图投晓货郭险公司是经中国正监会挑选坛立的职经营机构。已具备购档投资咨询业务资徵。本报告仅供理招期货有限公司（以下都称："本公司"）的机构或个人客户（以下都称 "客户"） 使用，本公司不会困難收人收到本提告而现身 为婆户 如果你 共中国我彩登一，请及时退开册笑，和若是丢手本公司说为百度的三分而里。但本公司不是正有感的来到去家生生，却没有得到的吧！你？ 缺本公母于波布相尝当品的哪，本提合播放網變或瞬间的价值，价值可能会演，但本公司不是这有程度的需要的一般的程序，都只使得很改得。但见我慢出我的，做到来做到您。但我的意见，你想的想定。 或新表迷脑風好不得做的 竞，本轮指导赚注燃燃过能跑拉细胶矩轴的相控水泥净了哪个使用方便，胶滑吸油的内痛不构成本隔值的任问部分，客户带电行矛盾到低达这些网站改变用动动。本相告的板风险和领导体，本公司对本报告隔带，切死和，除非异有等跟层示，西侧 本报告中的所有材料拍板和均属本公司，未起本公司审先书面授权，本报告的任何简分为不得以任何力式制作任何形式的择风，复印书提案制品 数据来源: wind,国投期货整理 国投期货 何建辉 投资咨询号 Z0000586 地产月月览: 2025年1 ...

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