gtaxinstitute@essence.com.cn 综合晨报 2025年05月27日 (原油) 受美国阵亡将士纪念日假期影响，隔夜国际油价提前收盘、交易清淡。此前我们谈到原油市场短期 支撑与中期压力并存，目前这一震荡格局仍未打破。一方面，5月31日0PEC+自愿减产8国会议或决 定在7月延续41.1万桶/天的增产速度，即便考虑到夏季石油消费旺季的需求增量亦难改累摩预期； 另一方面,第5轮美伊核会谈仍未达成协议,特朗普也威胁对俄罗斯加大制裁,而近两周俄罗斯原油 发运再现回落，制裁油供应风险依然存在。油价或仍处低位震荡格局，关注2507期权双向卖出虚值 期权机会。 【责金属】 【铜】 隔夜伦铜休市,沪铜阳线震荡,沪铜加权再测7.8万。特朗普关税威胁加码后,欧盟表示加快谈判速 度,双方关键时点回到7月9日。关注国内现货报价与供求变动,SMM铜社库基本持平在13.97万吨。 2507合约高位空单持有。 【铝】 隔夜沪铝震荡。昨日铝锭铝棒社库较周一分别下降2.3万吨和0.1万吨，华东现货升水90元。需求面 临李节性转淡和贸易摩擦的考验,不过库存顺畅去库至低位,强现实局面维持,沪铝继续测试前期 缺口20300元关键 ...

| 11/12 国技期货 | | 能源 日报 | | --- | --- | --- | | | 操作评级 | 2025年05月26日 | | 原油 | 女女女 | 高明宇 首席分析师 | | 燃料油 | ☆☆☆ | F0302201 Z0012038 | | 低硫燃料油 | | 李祖智 中级分析师 | | 沥青 液化石油气 ★☆☆ | ななな | F3063857 Z0016599 | | | | 王盈敏 中级分析师 | | | | F3066912 Z0016785 | | | | 010-58747784 gtaxinstitute@essence.com.cn | 【原油】 上周国际油价总体震荡，布伦特07合约周度小幅下跌0.46%，SC07合约跌0.75%。上周五特朗普威,励6月1日起对欧盟 征收50%关税,此举将再次引发欧盟油品需求承压预期,同时欧洲对美出口汽油若未得豁免将在北美进入驾驶旺季 后拉动美国汽油裂解。关于6月1日OPEC+8国会议延续7月41.1万桶/天快速增产的担忧同样令市场承压，但周五美伊 第五轮核谈未达成协议,特朗普亦表示或因俄乌军事冲突持续而对俄罗斯加大制裁。制裁油供应风险仍对 ...

1. Report Industry Investment Ratings - Index futures: ☆☆☆ [1] - Treasury bond futures: ☆☆☆ [1] 2. Core Viewpoints of the Report - As of the week ending May 23, index futures declined slightly, with IH2506 and IF2506 down 0.01%, IC2506 down 0.86%, and IM2506 down 1.29%. The market showed strong risk - aversion sentiment, with a significant contraction in the trading volume of the entire A - share market and relatively large declines in small - cap broad - based indices [1]. - From the perspective of high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 6 points, the liquidity indicator 2 points, the valuation indicator 10 points, and the market sentiment indicator 7 points. For bond futures, the inflation indicator scored 7 points, the liquidity indicator 8 points, and the market sentiment indicator 8 points. In terms of the term structure, the basis discounts of each contract continued to be at historical lows [1]. - The net value of the financial derivatives quantitative CTA strategy increased by 0.45% last week, mainly from holding long positions in T on Monday and Tuesday. In the long - term, although industrial and production data slightly exceeded expectations, investment and real estate remained weak, with the decline of IC and IM exceeding that of IF. In the short - term, the impact of the exchange rate decreased slightly, the financing scale declined, and market speculation decreased. The position volume indicated an adjustment in risk preference, with IC and IM dropping below IF and IH, and IM having a larger decline. The comprehensive signal was below the neutral level. For bond futures, last week, the position volume factor showed some marginal improvement due to the stock - bond rotation but then gradually declined as institutions took profits. Although the short - term capital market was relatively loose, the comprehensive signal showed a neutral oscillation [1]. 3. Summary by Relevant Catalogs 3.1 Macro - fundamental Medium - and High - frequency Factor Scores - **Economic Momentum**: Among various indicators, the blast furnace开工率 (163 - company national average) and the开工率 of PTA in China both decreased by 2.75%. The开工率 of the Shandong local refinery's atmospheric and vacuum distillation unit increased by 0.36%. The开工率 of automobile all - steel tires decreased by 0.52%, and the开工率 of downstream looms for polyester filament in the Jiangsu and Zhejiang regions increased by 13.41%. The index futures scored 6 points, and the bond futures scored 0 points [2]. - **Inflation Indicators**: Most inflation - related indicators showed price declines, such as the vegetable basket product wholesale price 200 index down 0.05%, the coking coal index down 0.09%, etc. Only the CIF price of liquefied natural gas in China increased by 1.58%. The index futures scored 6 points, and the bond futures scored 7 points [3]. - **Liquidity**: DR007 and DR001 decreased by 3.14% and 4.05% respectively, while GC001 and GC007 increased by 6.98% and 4.27% respectively. The index futures scored 2 points [4]. - **Index Valuation**: The price - to - earnings ratio (TTM), price - to - sales ratio (TTM), and other valuation indicators all decreased slightly. The index futures scored 9 points [5]. - **Market Sentiment - Index Futures**: The margin trading balance decreased by 0.31%, and the short - selling balance increased by 3.50%. The index futures scored 7 points [6]. - **Market Sentiment - Bond Futures**: The 10 - year yield of China Development Bank bonds decreased by 0.39%, and the VIX index increased by 29.29%. The bond futures scored 8 points [7]. 3.2 Strategy Introduction - The product pool includes stock index futures and treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency financial data, while the long - term model focuses on market expectations and low - frequency macro - economic data. The position volume is synthesized based on institutional long and short positions [17]. - The comprehensive signal strength is weighted by the signals of three independent models (0 - 1). Contracts with the top two comprehensive signal strengths greater than or equal to 0.6 are considered for long positions, and those with the bottom two less than or equal to 0.4 are considered for short positions. Position volume signals are shielded 7 days before contract expiration. An intraday decline of more than 1% is set as the stop - loss point, and funds are equally weighted. Signals in the same direction for two consecutive trading days are shielded [18][19]. 3.3 Last Week's Situation - From May 19 to May 23, the positions of IF, IH, IC, and IM were all 0, while the position of T was 1 on May 19 and 20 and 0 for the rest of the days, and the position of TF was 0 throughout the week [20]. 3.4 Recent Income Performance - The previous day's return was 0%, the return for the past week was 0.45%, the return for the past month was 0.78%, the return for the past three months was 1.45%, the return for the past six months was 5.26%, the return for the past year was 8.51%, and the return for the past three years was 23.99%. The maximum drawdown for the past week was 0%, for the past month was 0.05%, for the past three months was 0.07%, for the past six months was 0.52%, for the past year was 0.59%, and for the past three years was 3.27% [22]. 3.5 Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the signal resonance of the fundamental three - factor model and the trend regression model. The fundamental factor uses the instantaneous forward - rate function proposed by Nelson and Siegel, which decomposes the interest - rate term structure into level, slope, and curvature. The signals are divided into three types: '1' (large spread may decrease), '0' (uncertain spread trend or oscillation), and '-1' (large spread may increase). The trend regression model is used to filter signals, and trading occurs when there is resonance. In actual operation, the 10 - 5Y spread is adjusted with a duration - neutral ratio of 1:1.8 [23]. - For the TF and T main contracts from May 19 to May 23, the N - S model and trend regression model signals mostly showed '0', except that the N - S model signal was '1' on May 21 and 22 [26].

| | | 【钢材】 今日盘面惯性下挫。淡季来临螺纹表需环比下滑，产量有所上升，库存继续下降，节奏有所放缓。热卷供需均有所回落，库存 继续下降，节奏有所放缓。铁水产量逐步回落，整体仍处于相对高位，供应压力依然较大、负反馈预期仍反复发酵。从下游行 业看，内需整体依然偏弱，制造业投资增速逐步放缓，地产销售低位排回，复苏投资、新开工继续大幅下滑。需求预期悲观, 市场情绪低迷,盘面弱势难改,节奏上仍有反复,关注终端需求及国内外相关政策变化。 (铁矿) 铁矿今日盘面继续回调。供应端、本期铁矿全球发运环比下滑并弱于去年同期，其中澳洲及其发往中国的量增加至高位，巴西 和非主流发运出现下滑。国内到港量小幅下降，全国港口库存继续去化并低于去年同期水平。需求端，终端需求进入淡季，上 周铁水产量小幅下降。目前钢厂盈利率尚可,中美贸易处于窗口期,我们预计铁水短期减产的空间相对有限。整体来看,铁矿 供需存在一定边际走弱压力,宏观层面的利好也在前期的反弹中有所体现,我们认为矿价走势以偏弱震荡为主。 【焦炭】 价格持续下行。铁水持续小幅回落。焦化首轮提降全面落地，但利润尚存，所以焦化日产仍处于年内较高水平。焦炭整体库存 小幅抬升，贸易商无 ...

2025/5/26 13:46 a3007c7056ca772d5908877cc09808b.png (3375×15123) file:///C:/Users/sunff/Documents/WeChat Files/wxid_epmedr48839421/FileStorage/Temp/a3007c7056ca772d5908877cc09808b.png 1/1 ...

Tabl e_Title 2025 年 5 月 26 日 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（20250224 -20250228）-美国关税引发市场忧虑 风 险资产价格回落 大类资产运行周报（20250303 -20250307）-关税政策不确定性仍存 风 险资产走势分化 大类资产运行周报（20250310 -20250314）-美国通胀预期降温 债市偏 弱运行 大类资产运行周报（20250317 -20250321）-美联储按兵不动 美股周度 企稳 大类资产运行周报（20250324 -20250328）-市场避险情绪升温 权益资 产回落 大类资产运行周报（20250331 -20250404）-市场避险情绪升温 权益资 产回落 大类资产运行周报（20250407 -20250411）-关税政策短期趋向缓和 美 股大幅反弹 大类资产运行周报（20250414 -20250418）-美联储按兵不动 美元指数 持续回落 大类资产运行周报（20250421 - ...

Report Industry Investment Ratings - Cotton: ★★★ (red stars, indicating a clear upward trend) [1] - Pulp: ★☆☆ (one star, indicating a bullish bias but limited operability on the market) [1] - Sugar: ★★★ (red stars, indicating a clear upward trend) [1] - Apple: ★★★ (red stars, indicating a clear upward trend) [1] - Logs: ★★★ (red stars, indicating a clear upward trend) [1] - 20 - rubber: ★★★ (red stars, indicating a clear upward trend) [1] - Natural Rubber: ★★★ (red stars, indicating a clear upward trend) [1] - Butadiene Rubber: ☆☆☆ (white stars, indicating a balanced short - term trend and poor operability, suggesting waiting and seeing) [1] Core Views - The prices of various soft commodities show different trends, affected by factors such as supply and demand, production, import and export, and consumption. Most commodities are recommended to wait and see in the short term, and some can try light - position operations after a callback [2][3][4] Summary by Commodity Cotton & Cotton Yarn - Zhengzhou cotton prices declined today, with weak downstream demand being the main limiting factor. Domestic cotton imports remained low in April 2025. The recent rise in Zhengzhou cotton was driven by the positive news of China - US negotiations, but the impact on downstream orders was limited. Cotton inventory decreased well from March to April, and if the negotiations continue to improve, there may be a tight - end - of - season inventory situation. It is recommended to wait and see or try the bullish spread strategy of options [2] Sugar - US sugar fluctuated last week. In May, the rainfall in the central - southern region of Brazil decreased, which was conducive to sugarcane harvesting. Most international consulting companies expected the sugar production in the central - southern region of Brazil to remain high in the 25/26 season. In China, Zhengzhou sugar also fluctuated. The import profit of sugar increased due to the continuous decline of US sugar, and the import volume was expected to increase. The market focused on consumption and imports. Domestic sugar sales were good, and the import volume decreased in the first quarter, but the downward trend of US sugar limited the upward space of Zhengzhou sugar. It is recommended to wait and see [3] Apple - The futures price was weak. The spot price remained stable. The market shipment in Shandong was slow, and the demand for apples decreased due to the rising temperature and the listing of seasonal fruits. The market focused on the new - season production estimate. There were differences in the production estimate due to the impact of high - temperature and windy weather in the western producing areas. It is recommended to wait and see [4] 20 - rubber, Natural Rubber, and Synthetic Rubber - Today, RU slightly rose, NR fluctuated, and BR continued to decline. The supply of natural rubber entered the increasing period, and the domestic butadiene rubber device operation rate decreased. The domestic tire operation rate decreased, and the inventory of tire finished products increased. The total inventory of natural rubber in Qingdao decreased, and the social inventory of butadiene rubber increased. It is recommended to wait and see [6] Pulp - The pulp price declined today. The port inventory decreased slightly, but it was still high year - on - year. The demand for pulp was weak, and the recent rise was mainly driven by the macro - environment. It is recommended to wait and see or try to go long lightly after a callback [7] Logs - The futures price was weak, and the spot price remained stable. The supply side saw an increase in the arrival volume in China last week. The demand entered the off - season, and the port inventory decreased, but the radiation pine continued to accumulate inventory. The supply of New Zealand logs was expected to remain low, but the domestic demand was weak. It is recommended to wait and see [8]

| | 操作评级 | 2025年05月26日 | | --- | --- | --- | | 铜 | ★☆☆ | 肖静 首席分析师 | | 铝 | ☆☆☆ | F3047773 Z0014087 | | 氧化铝 | ななな | 刘冬博 高级分析师 | | 锌 | ★☆☆ | F3062795 Z0015311 | | 错 | | 吴江 高级分析师 | | 镇及不锈钢 ★☆☆ | ななな | F3085524 Z0016394 | | 锡 | ★☆☆ | 张秀睿 中级分析师 | | 碳酸锂 | ななな | F03099436 Z0021022 | | 工业等 | ななな | 孙芳芳 中级分析师 | | 多晶硅 | な女女 | F03111330 Z0018905 | | | | 010-58747784 | | | | gtaxinstitute@essence.com.cn | 【铜】 沪铜震荡收阳,外盘休市。尽管特朗普对欧贸易言论紧张,但市场关注减税法案对美国财政赤字与债市的影 响,美元指数走疲。铜物流继续向美国特移,关注国内供求变动,SMM铜库存基本持平在13.97万吨。2507合约 高位空单持有。 【铝 ...

贵金属ETF收益回升 金融工程周报 基金市场回顾： 操作评级 中信五风格-周期★☆☆ 王锴 金融工程组 Z0016943 张婧婕 F03116832 010-58747784 gtaxinstitute@essence.com.cn 权益市场风格 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 2025年5月26日 周度报告 截至2025/05/23当周，通联全A（沪深京）、中证综合债与南 华商品指数周度涨跌幅分别为-0.70%、0.02%、-0.50% 。 公募基金市场方面，近一周普通股票型策略表现较优，指数上涨 0.13%，具体来看，权益方面指增策略小幅回撤，中性策略产品 整体表现欠佳，债券方面纯债策略平均收益跑赢转债策略，商品 方面贵金属与豆粕ETF收涨，有色金属ETF微跌0.48%，能化 ETF收益转弱，净值下行2%。 中信五风格方面，上周五风格收益延续分化态势，周期与消费风 格小幅收涨，其余风格收跌。风格轮动图显示相对强弱层面金融 与成长走低，指标动量层面五风格均呈下降趋势，其中稳定与金 融降幅较大。公募基金池方面，近一周金融与成长风格基金超额 收益居前，从基金风格系数走势来看 ...

国投期货研究院 gtaxinstitute@essence.com.cn 综合晨报 2025年05月26日 (原油) 上周国际油价总体震荡，布伦特07合约小幅下跌0.46%，SC07合约跌0.75%。上周五特朗普威胁6月 1日起对欧盟征收50%关税,此举将再次引发欧盟油品需求承压预期,同时欧洲对美出口汽油若未得 豁免将在北美进入驾驶旺季后拉动美国汽油裂解。关于6月1日0PEC+8国会议延续7月41.1万桶/天快 速增产的担忧同样令市场承压,但周五美伊第五轮核谈未达成协议引发的伊朗供应担忧对市场构成 提振，原油市场震荡格局仍未打破。 【责金属】 周五贵金属上涨。近期贸易战以及地缘冲突各方均处于谈判阶段，特朗普威胁6月1日起对欧盟进口 商品征收50%的关税,但周末其再次变卦恢复此前设定的90天窗口期。全球不确定性前景和美元信 用风险下黄金长期依然看涨，短期消息纷扰情绪反复，金价在3000美元/盎司强支撑位置上方表现 抗跌，维持回调买入思路。 【铜】 上周五内外铜价短线上涨,尽管特朗普对欧贸易言论紧张,但市场关注减税法案对美国财政赤字与 债市的影响，美元指数走液。铜物流继续向美国转移，关注国内供求变动。2507合约 ...