| ////◆ 国投期货 | | 软商品日报 | | --- | --- | --- | | 操作评级 | | 2026年01月26日 | | 棉花 | 女女女 | 曹凯 首席分析师 | | 纸浆 | なな☆ | F03095462 Z0017365 | | 白糖 | なな☆ | 胡华轩 高级分析师 | | 苹果 | ★☆☆ | F0285606 Z0003096 | | 木材 | な☆☆ | | | 20号胶 | ★★☆ | 黄维 高级分析师 | | 天然橡胶 ★★☆ | | F03096483 Z0017474 | | 丁二烯橡胶 ★★☆ | | | | | | 010-58747784 gtaxinstitute@essence.com.cn | 今天郑棉小幅下跌，走势偏震荡，上周现货成交尚可,贸易商采购活跃,基差稳中偏强。国内棉花整体呈现供销两旺的局面, 继续关注下游的需求表现。截至1月22号，累计加工皮棉719.0万吨，同比增加62.1万吨，较过去四年均值增加121.5万吨;累计 销售皮棉463.1万吨，同比增加201.6万吨，较过去四年均值增加250.7万吨。国内12月份进口棉花18万吨，同比增4 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - Not provided in the given content 3. Summary by Related Catalogs 3.1 50ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price fluctuated with a -0.45% drop on the 22nd, -0.80% on the 23rd, and 0.74% increase on the 26th. The current month IV and next month IV also changed accordingly [1]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were relatively high, reaching up to 93.00% and 87.10% respectively [1]. - **Skew Index**: The skew index on January 26, 2026, was 79.16, showing a change compared to previous days [2]. 3.2 Shanghai 300ETF - **Price and Volatility Data**: From January 21 - 23, 2026, the price decreased by 0.06% on the 22nd and 0.49% on the 23rd. The current month IV and next month IV increased [3]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 60.70% - 77.20% [3]. - **Skew Index**: The skew index on January 21, 2026, was 84.90, with changes in previous days [6]. 3.3 Shenzhen 300ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price decreased by 0.57% on the 23rd and then increased by 0.31% on the 26th. The current month IV and next month IV increased [7]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 16.70% - 49.00% [7]. - **Skew Index**: The skew index on January 22, 2026, was 97.70, with changes in previous days [13]. 3.4 Shanghai CSI 500ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 1.74% on the 22nd, 3.40% on the 23rd, and 1.12% on the 26th. The current month IV and next month IV increased significantly [15]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were relatively high, reaching up to 92.20% and 82.00% respectively [15]. - **Skew Index**: The skew index on January 26, 2026, was 90.65, with changes in previous days [18]. 3.5 Shenzhen CSI 500ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 0.57% on the 22nd, 2.94% on the 23rd, and decreased by 1.64% on the 26th. The current month IV and next month IV changed accordingly [21]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 41.90% - 90.20% [21]. - **Skew Index**: The skew index on January 22, 2026, was 95.54, with changes in previous days [25]. 3.6 GEM ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 1.04% on the 22nd, 0.66% on the 23rd, and decreased by 0.96% on the 26th. The current month IV and next month IV changed [26]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 20.80% - 61.10% [26]. - **Skew Index**: The skew index on January 26, 2026, was 110.98, with changes in previous days [32]. 3.7 Shenzhen 100ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price decreased by 0.43% on the 23rd and 0.51% on the 26th. The current month IV and next month IV increased [36]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 22.00% - 40.80% [36]. - **Skew Index**: The skew index on January 26, 2026, was 87.24, with changes in previous days [39]. 3.8 Science and Technology Innovation 50ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 0.37% on the 22nd, 0.80% on the 23rd, and decreased by 1.22% on the 26th. The current month IV and next month IV changed [45]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 47.70% - 77.20% [45]. - **Skew Index**: The skew index on January 26, 2026, was 85.15, with changes in previous days [47]. 3.9 STAR 50ETF - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 0.38% on the 22nd, 0.76% on the 23rd, and decreased by 1.20% on the 26th. The current month IV and next month IV changed [51]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 54.10% - 83.10% [51]. - **Skew Index**: The skew index on January 26, 2026, was 83.96, with changes in previous days [57]. 3.10 300 Index - **Price and Volatility Data**: From January 22 - 26, 2026, the price decreased by 0.45% on the 23rd and then increased by 0.10% on the 26th. The current month IV and next month IV increased [63]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 62.10% - 90.60% [63]. - **Skew Index**: The skew index on January 26, 2026, was 96.95, with changes in previous days [67]. 3.11 1000 Index - **Price and Volatility Data**: From January 22 - 26, 2026, the price increased by 0.75% on the 22nd, 1.94% on the 23rd, and decreased by 1.24% on the 26th. The current month IV and next month IV increased [68]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 46.20% - 93.00% [68]. - **Skew Index**: The skew index on January 26, 2026, was 85.96, with changes in previous days [72]. 3.12 Shanghai 50 Index - **Price and Volatility Data**: From January 22 - 26, 2026, the price decreased by 0.46% on the 22nd, 0.69% on the 23rd, and then increased by 0.57% on the 26th. The current month IV and next month IV increased [73]. - **IV Quantiles**: The current month IV quantiles in the past 1 - year and 2 - year periods were in the range of 70.50% - 88.10% [73]. - **Skew Index**: The skew index on January 26, 2026, was 72.37, with changes in previous days [78].

| | | 【焦煤】 | Millio | 国投期货 | 黑色金属日报 | | --- | --- | --- | | | 操作评级 | 2026年01月26日 | | 螺纹 | な女女 | 曹颖 首席分析师 | | 热卷 | ☆☆☆ | F3003925 Z0012043 | | 铁矿 | ☆☆☆ | 何建辉 高级分析师 | | 焦炭 | ☆☆☆ | F0242190 Z0000586 | | 焦煤 | 女女女 | | | 證硅 | ★☆☆ | 韩惊 高级分析师 | | 硅铁 | な女女 | F03086835 Z0016553 | | | | 李啸尘 高级分析师 | | | | F3054140 Z0016022 | | | | 010-58747784 | | | | gtaxinstitute@essence.com.cn | 【钢材】 今日盘面震荡为主。淡季螺纹表需环比下滑，产量有所回升，库存逐步累积。热卷需求、产量均小幅回落，库存继续下降，因 力逐步缓解。钢厂利润欠佳，下游承接能力不足，高炉复产放缓，铁水产量趋稳。从下游行业看，地产投资降幅继续扩大，基 建、制造业投资增速持续回落，内需整体依然偏弱 ...

操作评级 | 原油 | ☆☆☆ | | --- | --- | | 燃料油 | ☆☆☆ | | 低硫燃料油 ☆☆☆ | | | 沥青 | ☆☆☆ | 能源日报 2026年01月26日 王盈敏 中级分析师 F3066912 Z0016785 李海群 中级分析师 F03107558 Z0021515 010-58747784 gtaxinstitute@essence.com.cn 【原油】 当前原油市场正处地缘风险溢价与供应过剩甚本面的拉锯中。美财政部23日宣布针对伊朗实施新一轮制裁措 施，增加了8个实体和9艘油轮。对伊朗制裁升级、航母部署中东引发供应中断担忧。啥萨克斯坦Tengi2油田因 火灾影响全面停产,此前初步评估需7-10天修复、但最新消息称可能在本月剩余时间继续停产,1月该国原油产 量预计仅为100万-110万桶/日，明显低于此前的180万桶/日。202601全球原油市场库存压力显著，ElA数据显示 美国原油、汽油均超预期累库,尤其馏分油由预期去库转为实际累库。委内瑞拉原油重返市场、俄乌谈判的进 展削弱了与俄罗斯供应中断相关的长期风险。市场谨慎对待地缘犹动，视其为短期影响因素，供需宽松始终是 压制油价 ...

| | 操作评级 | 2026年01月26日 | | --- | --- | --- | | 铜 | ★☆☆ | 肖静 首席分析师 | | 铝 | | F3047773 Z0014087 | | | ☆☆☆ | 刘冬博 高级分析师 | | 氧化铝 | ☆☆☆ | F3062795 Z0015311 | | 铸造铝合金 文文文 | | 吴江 高级分析师 | | 锌 | ★☆☆ | | | 铝 | ななな | F3085524 Z0016394 | | 镇及不锈钢 立☆☆ | | 张秀睿 中级分析师 | | | | F03099436 Z0021022 | | 锡 | な☆☆ | 孙芳芳 中级分析师 | | 碳酸锂 | ななな | F03111330 Z0018905 | | 工业培 | ☆☆☆ | | | 多晶硅 | ☆☆☆ | 010-58747784 | | | | gtaxinstitute@essence.com.cn | 【铜】 上周五沪铜高开至短期均线上方，受贵金属交投情绪及美元疲软显著推动。供应瑞,市场关注智利小型铜矿罢 工与某承包运输公司频繁封路对大型铜矿经营影响。印尼Grasberg预计下半年 ...

1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Stable is ☆☆★ [2] 2. Core Viewpoints - As of the week ending on January 23, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.75%, 0.21%, and 2.08% respectively [3] - In the public fund market, the enhanced index strategy performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non-ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] - Among the CITIC Five-Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month-on-month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3] 3. Summary by Related Catalogs Fund Market Review - The enhanced index strategy in the public fund market performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non - ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] CITIC Five - Style Analysis - Among the CITIC Five - Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month - on - month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] Barra Factor Analysis - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] Style Timing Model - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3]

| 国投真报 | | | 责金属日报 | | --- | --- | --- | --- | | | 操作评级 | | 2026年01月26日 | | 黄金 | ★☆☆ 白银 | ★☆★ | 刘冬博 高级分析师 | | 销 | ★☆☆ 紀 | ★☆☆ | F3062795 Z0015311 | | | | | 吴江 高级分析师 | | | | | F3085524 Z0016394 | | | | | 孙芳芳 中级分析师 | | | | | F03111330 Z0018905 | | | | | 010-58747784 | | | | | gtaxinstitute@essence.com.cn | 今日贵金属延续强势。2026年以来，围绕委内瑞拉、伊朗以及格陵兰岛的地缘事件纷至沓来，特朗普对于全 球秩序的挑战加剧政治经济前景不确定性。特朗普称已通过一项北约协议，将允许美国对格陵兰岛实现全面 准入。美国航母已抵达中东,伊朗官员称伊武装力量已进入全面戒备状态。全球局势动荡令贵金属重心抬升 趋势难改，后续金价具备继续向更高维度冲击的潜力。短期黄金、白银分别冲破5000美元/盎司和100美元/ 盘司整数关口后需 ...

Tabl e_Title 2026 年 1 月 26 日 大类资产运行周报（20260119-20260123） 地缘风险有所缓和 美元指数周度回落 风险提示：美国通胀数据改善不及预期 大类资产运行报告 全球主要资产表现 | | 近一周变动 | | --- | --- | | 新兴市场股市指数 | 1.09% | | Table_Fi rstSto ck 发达市场股市指数 主要资产涨跌幅表现 | -0.22% | | 全球债券指数 | 0.46% | | 全球国债指数 | 0.41% | | 全球信用债指数 姓名 | 0.58% 分析师 | | 美元指数 | -1.88% SAC 执业证书编号：S1111111111111 | | RJ/CRB 商品价格指数 | Xxxxxx @essence.com.cn 3.37% | | | 021-68767839 | | 标普高盛商品全收益指数 | 3.84% | 丁沛舟 高级分析师 期货从业资格号：F3002969 投资咨询从业证书号：Z0012005 dingpz@essence.com.cn 010-58747724 相关报告 大类资产运行周报（2025102 ...

| 《八》国投期货 | | | | 化工日报 | | --- | --- | --- | --- | --- | | | | 操作评级 | | 2026年01月26日 | | 丙烯 | ★☆☆ | 塑料 | ★☆★ | 庞春艳 首席分析师 | | 聚丙烯 | ★☆☆ | 纯菜 | ★☆★ | F3011557 Z0011355 | | 苯乙烯 | なな女 | РХ | ★☆★ | | | PTA | ★☆☆ | 乙二醇 | ★☆☆ | 牛卉 高级分析师 | | 短纤 | ★☆☆ | 瓶片 | ★☆☆ | F3003295 Z0011425 | | 甲醇 | ★☆☆ | 尿素 | ☆☆☆ | 周小燕 高级分析师 | | PVC | ★☆☆ | 烧碱 | な女女 | F03089068 Z0016691 | | 纯碱 | 文文文 玻璃 | | 女女女 | | | | | | | 王雪忆 分析师 | | | | | | F03125010 Z0023574 | | | | | | 010-58747784 | | | | | | gtaxinstitute@essence.com.cn | 【烯烃-聚烯烃】 丙烯期 ...

| ////◆ 国投期货 | | 软商品日报 | | --- | --- | --- | | 操作评级 | | 2026年01月26日 | | 棉花 | 女女女 | 曹凯 首席分析师 | | 纸浆 | なな☆ | F03095462 Z0017365 | | 白糖 | なな☆ | 胡华轩 高级分析师 | | 苹果 | ★☆☆ | F0285606 Z0003096 | | 木材 | な☆☆ | | | 20号胶 | ★★☆ | 黄维 高级分析师 | | 天然橡胶 ★★☆ | | F03096483 Z0017474 | | 丁二烯橡胶 ★★☆ | | | | | | 010-58747784 gtaxinstitute@essence.com.cn | (棉花&棉纱) 今天郑棉小幅下跌，走势偏震荡，上周现货成交尚可,贸易商采购活跃,基差稳中偏强。国内棉花整体呈现供销两旺的局面, 继续关注下游的需求表现。截至1月22号，累计加工皮棉719.0万吨，同比增加62.1万吨，较过去四年均值增加121.5万吨;累计 销售皮棉463.1万吨，同比增加201.6万吨，较过去四年均值增加250.7万吨。国内12月份进口棉花1 ...