Oil Market - International oil prices declined, with Brent crude falling by 0.65%. Since September, global oil inventory accumulation has accelerated, reaching a 1.5% increase in the fourth quarter. The mid-term outlook for the oil market remains under pressure due to ongoing US-China trade tensions, despite upward revisions in earnings forecasts by three major institutions for the next two years [2] - Geopolitical risks have eased following a ceasefire agreement in Gaza, leading to a reduction in oil market risk premiums. However, with oil prices nearing the lows seen during the trade war in April, the short-term downward momentum is weakening, suggesting a potential shift to a weak consolidation phase [2] Precious Metals - Precious metals rebounded, with market sentiment influenced by ongoing negotiations regarding US-China trade, the Russia-Ukraine conflict, and the US government shutdown. The long-term upward trend for gold and silver remains intact, but short-term volatility risks have increased, suggesting a cautious approach to positions [3] Base Metals - Copper prices experienced fluctuations, supported by easing tariffs under Trump's policies and the potential end of the US government shutdown. However, domestic supply and demand conditions are mixed, with copper inventories rising. The outlook suggests high copper prices may lead to continued volatility [4] - Aluminum prices remained stable, with consumption levels since August showing little change year-on-year. Inventory levels have been neutral, indicating limited fundamental drivers for price movements [5] - The aluminum alloy market is facing tight scrap supply and rising costs due to tax policy adjustments, although high inventory levels are present [6] - Alumina production capacity is at historical highs, with rising inventories and evident oversupply. The average cost in September was around 3000 yuan, nearing levels that could trigger production cuts [7] - Zinc inventories increased, confirming a supply surplus. Despite short-term export opportunities, actual shipments remain limited, and zinc prices are under pressure [8] Steel and Iron Ore - Steel prices are fluctuating, with rebar demand showing a significant month-on-month increase, although year-on-year figures remain weak. Production continues to decline, and inventory levels are decreasing [15] - Iron ore prices are experiencing weak fluctuations, with global shipments increasing compared to last year. Domestic demand is expected to decrease as the peak season ends, leading to potential production cuts [16] Other Commodities - The LPG market is experiencing narrow fluctuations, with a slight increase in supply. Chemical demand is rising, but overall demand remains subdued [23] - The urea market is facing a loose supply-demand balance, with prices under pressure due to high inventories and limited export policies [24] - The cotton market is seeing stable prices amid weak demand, with ongoing attention to US-China trade relations [42] - The sugar market is under pressure from high production levels in Brazil, India, and Thailand, leading to a cautious outlook for prices [43]

Group 1: Energy and Metals Crude Oil - The international oil price declined overnight, with the Brent December contract down 0.65%. Since September, the global oil inventory accumulation speed has accelerated, with a 1.5% increase since the fourth quarter. The medium - term trend of the crude oil market remains under pressure, but the short - term downward momentum is weakening, and the market may turn to a weak oscillation [2]. Precious Metals - Precious metals rebounded overnight. With multiple issues in negotiation, the medium - long - term upward logic of gold and silver is solid, but short - term two - way fluctuation risks have increased. It is recommended to reduce positions and wait and see [3]. Copper - Copper prices oscillated higher overnight. Although the enthusiasm for allocating to the copper market is high, the domestic copper market shows "weak supply and demand" at high prices, and the social inventory continues to rise. Copper prices are expected to oscillate at high levels [4]. Aluminum - Shanghai aluminum continued to oscillate overnight. Since August, the apparent consumption of the aluminum market has been basically flat year - on - year. The inventory performance since the National Day is neutral, and the short - term Shanghai aluminum will continue to oscillate and test the previous high resistance [5]. Casting Aluminum Alloy - The spot price of Baotai ADC12 remains at 20,600 yuan. With tight scrap aluminum supply and increased enterprise costs, but high industry inventory, it continues to follow the aluminum price [6]. Alumina - The operating capacity of alumina is at a historical high, and the industry inventory continues to rise. Supply is in obvious surplus, and the spot index continues to decline. Alumina is mainly in a weak operation [7]. Zinc - The SMM zinc social inventory rose to 165,300 tons on Monday. The Shanghai zinc is under pressure and fell with heavy volume, but it has strong support at around 21,500 yuan/ton. The LME zinc is under obvious pressure at the 3,000 - dollar integer mark. The domestic and foreign price difference may converge periodically, and the zinc ingot export is the general direction [8]. Lead - Shanghai lead is in a stalemate between long and short positions. The inventory is low, and the overall inventory accumulation is less than expected. The supply of lead concentrate is tight, but the inflow of overseas low - price crude lead is expected to strengthen. It is expected to oscillate within the range of 16,500 - 17,300 yuan/ton [9]. Nickel and Stainless Steel - Shanghai nickel fluctuates narrowly. The downstream demand recovery in the peak consumption season is limited, and the social inventory has stopped falling and started to rise. The support from the rebound of upstream prices is weakening. Technically, Shanghai nickel is weak, and a short - selling strategy is recommended [10]. Tin - Tin prices oscillated higher overnight, mainly following the trading rhythm of the copper market. The supply of the global tin market is gradually stabilizing, and the trading center is expected to oscillate downward. The previous short - selling strategy is continued [11]. Lithium Carbonate - Lithium carbonate prices opened high and then oscillated, and the market trading warmed up. The total market inventory decreased by 2,200 tons to 132,700 tons. Technically, the futures price of lithium carbonate oscillates and waits for a clear direction [12]. Polysilicon - The polysilicon futures fell back with a significant reduction in positions, mainly due to the significant cooling of policy expectations. The spot price is stable, and the inventory accumulation risk continues under high inventory. The market maintains an oscillating trend [13]. Industrial Silicon - The Xinjiang operating rate of industrial silicon has reached the highest point of the year, and the downstream demand is basically stable. The weekly social inventory has increased marginally, and the spot price is slightly under pressure. After the electricity price rises in November, the production reduction in the southwest is highly certain [14]. Steel (Ribbed Bars and Hot - Rolled Coils) - Steel prices oscillated at night. The apparent demand for ribbed bars rebounded significantly month - on - month but remained weak year - on - year. The iron and steel industry's negative feedback expectation still ferments repeatedly. The steel price is expected to be volatile in the short term [15]. Iron Ore - The iron ore futures oscillated weakly overnight, and the basis has strengthened recently. The supply has increased, and the demand is expected to decline. The market is expected to oscillate at high levels [15]. Coke - Coke prices oscillated strongly during the day. The second round of price increase for coking has started. The carbon element supply is abundant, and the price may be more likely to rise than to fall [16]. Coking Coal - Coking coal prices oscillated strongly during the day. The total inventory of coking coal has increased slightly month - on - month. The price may be more likely to rise than to fall [17]. Silicomanganese - Silicomanganese prices rose and then fell during the day. The demand side maintains a high level of hot metal production. The output of silicomanganese remains at a relatively high level, and the inventory has decreased slightly [18]. Ferrosilicon - Ferrosilicon prices oscillated during the day. The demand is generally good, and the supply remains at a high level, with the on - balance - sheet inventory continuously decreasing [19]. Shipping Index (European Line) - The market's expectation of shipping companies' price increase is strengthening, and the trading core is shifting from weak reality to strong expectation. The 12 and 02 contracts are expected to run bullishly, but the upside space is limited [20]. Fuel Oil and Low - Sulfur Fuel Oil - The absolute price of fuel oil follows the cost side in a weak oscillating trend. The high - sulfur fuel oil has some support in the near - term, but the supply pressure is expected to increase in the medium - term. The low - sulfur fuel oil is weak in the short - term, and the demand may improve marginally in the medium - term [21]. Asphalt - The weekly asphalt operating rate declined month - on - month. The demand in October is expected to be weaker than expected. The asphalt market remains in a tight - balance pattern in the short - term, and the price has support at the bottom [22]. Liquefied Petroleum Gas (LPG) - The LPG main contract continued to oscillate narrowly, and the far - month contracts are relatively under pressure. The supply increased slightly this week, and the inventory at refineries and ports decreased [23]. Urea - The urea main contract continued to oscillate narrowly. The supply - demand pattern remains loose, but the price has limited room to continue to decline [24]. Methanol - The import supply of methanol in coastal areas may slow down. The domestic methanol operating load remains high, and production enterprises are accumulating inventory. The methanol port market may oscillate within a range in the short - term [24]. Pure Benzene - The pure benzene price continued to fall overnight. The weekly production decreased, and the port inventory increased. The medium - term absolute price depends on the oil price and the performance of the external market [25]. Styrene - The cost - side support for styrene continues to decline. The supply - demand situation has improved slightly in the short - term, but the price continues to decline [26]. Polypropylene, Polyethylene, and Propylene - Propylene prices have fallen to a new low for the year, and the market trading atmosphere has improved. The polyethylene market has limited actual transactions. The polypropylene supply is expected to increase, and the downstream demand is weak [27]. PVC and Caustic Soda - PVC prices fluctuated narrowly during the day. The supply is under high pressure, and the demand is stable. The PVC may oscillate weakly. Caustic soda prices oscillated narrowly, and the inventory decreased. It is recommended to be cautious when short - selling [28]. PX and PTA - PX supply is expected to contract temporarily, and PTA supply is expected to increase. The terminal demand is expected to weaken. The prices of PX and PTA continue to be weak, and PTA is expected to accumulate inventory [29]. Ethylene Glycol - The domestic ethylene glycol operating rate has slightly declined, and the port inventory has continued to increase. The ethylene glycol price has broken through the support level and fallen. The short - term market lacks positive factors [30]. Short - Fiber and Bottle - Grade PET - Short - fiber has new production capacity, and the inventory has decreased weekly. It is recommended to be long - biased. The bottle - grade PET processing margin has improved, but the demand is expected to weaken [31]. Glass - Glass prices continued to decline. The glass factory inventory continues to increase, and the downstream demand is mainly for rigid needs. The decline amplitude is expected to be limited [32]. 20 - Rubber, Natural Rubber, and Butadiene Rubber - The international crude oil price fell, and the Thai raw material market prices mostly rose. The global natural rubber supply is in the high - production period. The post - holiday demand has recovered, but the supply pressure is large [33]. Soda Ash - Soda ash futures prices continued to decline. The supply is still under high pressure, and the downstream demand growth is limited. It is recommended to short after a rebound [34]. Group 2: Agricultural Products Soybeans and Soybean Meal - The sales progress of new - season US soybeans is slow, but US soybean crushing has increased. The domestic soybean supply is sufficient in the fourth quarter, but it may be tight in the first quarter of next year if the Sino - US trade relationship deteriorates. In a high - supply and high - inventory pattern, the soybean meal is likely to continue to oscillate weakly [35]. Soybean Oil and Palm Oil - The market sentiment has turned optimistic. The US soybean export demand is uncertain. The palm oil market has resilience. It is expected that oils are stronger than meals, and it is recommended to go long on oils at low prices [36]. Rapeseed and Rapeseed Oil - Domestic rapeseed has extremely low inventory and low operating rates. The supply side of rapeseed meal and rapeseed oil has a strong willingness to support prices. It is recommended to take a short - long strategy and pay attention to the marginal changes in the economic and trade relationship [37]. Domestic Soybeans - Domestic soybeans showed a strong upward trend and continued to oscillate and rebound. The short - term US soybean market sentiment is optimistic, but the export demand is uncertain. It is necessary to pay attention to the acquisition performance and policy guidance [38]. Corn - The autumn harvest progress of corn in the Huanghuai region is slow. The supply of corn is expected to remain loose, and the Dalian corn may continue to operate weakly at the bottom [39]. Hogs - The hog spot price rebounded after reaching a phased bottom. The supply pressure will still be large in the later stage. It is expected that the hog price may have a second bottom - testing in the first half of next year [40]. Eggs - After the post - National Day replenishment, the supply pressure has returned to the dominant position. The egg futures market shows a bearish trend [41]. Cotton - The US cotton demand may be weak. The Brazilian cotton production is expected to be high. The domestic Xinjiang cotton acquisition is in progress, and the demand is average. The short - term Zhengzhou cotton may oscillate [42]. Sugar - The international sugar supply is relatively sufficient, and the US sugar faces upward pressure. The domestic market focuses on the new - season sugar production estimate, and the production expectation in Guangxi is relatively good [43]. Apples - Apple futures prices rose with increased positions. The market is mainly concerned about the cold - storage inventory. The apple production may be lower than expected. It is recommended to wait and see [44]. Wood - Wood futures prices oscillated. The domestic supply is expected to remain low, and the demand in the peak season supports the price. It is recommended to take a long - biased strategy [45]. Pulp - Pulp futures prices rose slightly. The domestic port inventory is relatively high, and the demand is average. The narrowing price difference between softwood and hardwood pulp gives some support to softwood pulp. It is recommended to wait and see [46]. Group 3: Financial Products Stock Index - The stock market oscillated with reduced volume, and the ChiNext Index led the rise. The futures index contracts all closed up. The market style may rotate in the short - term, and it is recommended to focus on the science and technology growth sector in the medium - term [47]. Treasury Bonds - Treasury bond futures oscillated. The Sino - US negotiation has not reached an agreement in the short - term. The bond market will gradually enter a repair stage, and the yield curve steepening is expected to end [48].

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1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View No clear core view is presented in the provided reports. The documents mainly offer detailed data on various financial products, including price movements, implied volatility (IV), and skew indices. 3. Summary by Related Catalogs 3.1 General Information - Multiple financial products are covered, including 50ETF, various 300ETF (Shanghai, Shenzhen), various CSI 500ETF (Shanghai, Shenzhen),创业板ETF, 深证100ETF, 科创50ETF, 科创板50ETF, 300指数, 1000指数, and 上证50指数 [1][3][8][18][27][33][44][53][59][69][73][77] 3.2 Price and Volatility Data 3.2.1 50ETF - From Oct 16 - 20, 2025, the price ranged from 3.11 - 3.159, with a maximum increase of 0.67% and a maximum decrease of 1.55%. The monthly IV ranged from 14.20% - 17.52%, and the next - month IV from 15.90% - 16.91% [1] 3.2.2 Shanghai 300ETF - From Oct 16 - 20, 2025, the price ranged from 4.624 - 4.721, with a maximum increase of 0.35% and a maximum decrease of 2.05%. The monthly IV ranged from 17.12% - 20.10%, and the next - month IV from 17.49% - 18.81% [3] 3.2.3 Shenzhen 300ETF - From Oct 16 - 20, 2025, the price ranged from 4.768 - 4.872, with a maximum increase of 0.38% and a maximum decrease of 2.13%. The monthly IV ranged from 15.73% - 19.51%, and the next - month IV from 17.75% - 18.99% [8] 3.2.4 Shanghai CSI 500ETF - From Oct 16 - 20, 2025, the price ranged from 7.114 - 7.336, with a maximum increase of 0.64% and a maximum decrease of 3.77%. The monthly IV ranged from 22.63% - 24.66%, and the next - month IV from 22.62% - 23.23% [18] 3.2.5 Shenzhen CSI 500ETF - From Oct 16 - 20, 2025, the price ranged from 2.844 - 2.927, with a maximum increase of 0.56% and a maximum decrease of 2.84%. The monthly IV ranged from 22.99% - 26.35%, and the next - month IV from 22.78% - 23.71% [27] 3.2.6 创业板ETF - From Oct 16 - 20, 2025, the price ranged from 2.915 - 3.014, with a maximum increase of 1.92% and a maximum decrease of 3.28%. The monthly IV ranged from 30.26% - 35.56%, and the next - month IV from 30.49% - 34.02% [33] 3.2.7 Shenzhen 100ETF - From Oct 16 - 20, 2025, the price ranged from 3.393 - 3.495, with a maximum increase of 0.94% and a maximum decrease of 2.92%. The monthly IV ranged from 24.39% - 26.27%, and the next - month IV from 24.78% - 26.40% [44] 3.2.8 科创50ETF - From Oct 16 - 20, 2025, the price ranged from 1.433 - 1.487, with a maximum increase of 0.28% and a maximum decrease of 3.63%. The monthly IV ranged from 31.85% - 41.33%, and the next - month IV from 34.74% - 39.93% [53] 3.2.9 科创板50ETF - From Oct 16 - 20, 2025, the price ranged from 1.388 - 1.441, with a maximum increase of 0.36% and a maximum decrease of 3.68%. The monthly IV ranged from 33.05% - 42.72%, and the next - month IV from 36.91% - 39.33% [59] 3.2.10 300指数 - From Oct 15 - 17, 2025, the price ranged from 4514.235 - 4618.422, with a maximum increase of 1.48% and a maximum decrease of 2.26%. The monthly IV ranged from 14.69% - 18.96%, and the next - month IV from 17.27% - 20.44% [69] 3.2.11 1000指数 - From Oct 15 - 17, 2025, the price ranged from 7185.478 - 7483.449, with a maximum increase of 1.50% and a maximum decrease of 2.92%. The monthly IV ranged from 19.06% - 25.42%, and the next - month IV from 21.47% - 25.34% [73] 3.2.12 Shanghai 50指数 - From Oct 15 - 17, 2025, the price ranged from 2967.775 - 3019.197, with a maximum increase of 1.36% and a maximum decrease of 1.70%. The monthly IV ranged from 14.57% - 16.99%, and the next - month IV from 48.66% - 62.00% [77] 3.3 IV Quantile Data - IV quantiles for different products over the past 1 - 2 years are provided, such as for 50ETF, 300ETF, etc [1][3][8] 3.4 Skew Index Data - Skew indices for different products and different time points (today, yesterday, etc.) are presented, including calculation methods [2][7][15] 3.5 Other Data - Price, IV, and volume trends over the past 1 - 3 years are shown for various products, as well as IV term structures and intraday IV trends for different months [1][3][8]

Report Industry Investment Ratings - **Red Star**: Indicates a predicted trend of rising. Three stars represent a clearer long trend with relatively appropriate investment opportunities; two stars represent holding long, with a clearer rising trend and the market fermenting on the trading board; one star represents a bullish bias, with a driving force for price increase but poor operability on the trading board [11]. - **Green Star**: Indicates a predicted trend of falling. Three stars represent a clearer short trend with relatively appropriate investment opportunities; two stars represent holding short, with a clearer falling trend and the market fermenting on the trading board; one star represents a bearish bias, with a driving force for price decrease but poor operability on the trading board [11]. - **White Star**: Indicates that the short - term long/short trend is in a relatively balanced state, and the current trading board has poor operability, suggesting to wait and see [11]. - **Specific Ratings**: - **Bullish Bias**: Soybean No. 1, Soybean Meal, Soybean Oil, Palm Oil [1]. - **Bearish Bias**: Rapeseed Meal, Rapeseed Oil, Corn, Eggs [1]. - **Unrated**: Live Pigs [1]. Core Viewpoints - The overall supply of agricultural products has different characteristics, and the market is affected by multiple factors such as trade relations, policies, and seasonal patterns. Different varieties have different supply - demand situations and price trends, and investment decisions should be made according to specific situations [2][3][4]. Summary by Related Catalogs Soybean No. 1 - Domestic soybeans are strong, continuing the oscillating rebound trend. The market participants are actively purchasing new grains, and last week's auction provides pricing reference. The price difference between domestic and imported soybeans is still expanding. Short - term US soybean crushing data is strong, but the export demand is uncertain. Follow - up attention should be paid to Sino - US trade progress and market policies [2]. Soybean & Soybean Meal - The sales progress of new - season US soybeans is slow, but US crushing has increased. The current domestic soybean arrivals are sufficient, and the soybean meal inventory is high. The overall supply in the fourth quarter is not a big problem, but if the Sino - US trade relationship deteriorates and lasts, the supply in the first quarter of next year may tighten. In the context of high supply and high inventory, if the Sino - US trade does not ease, the soybean meal futures are likely to continue to oscillate weakly. It is recommended to wait and see [3]. Soybean Oil & Palm Oil - Short - term strong US soybean crushing data boosts the market, but the export demand is uncertain. The near - term demand for palm oil in the international market is weak, but the far - term demand has an expectation of increased biodiesel blending ratio in the Indonesian market. In the fourth quarter, palm oil enters the production - reduction cycle and has resilience. It is expected that oils are stronger than meals in the long - term, and it is advisable to go long at low prices [4]. Rapeseed Meal & Rapeseed Oil - Domestic rapeseed has extremely low inventory and low operating rate, and the supply side has a strong willingness to support prices. The Canadian rapeseed market maintains high crushing and low exports. The economic and trade relationship is the most important influencing factor. It is recommended to hold short - term long positions and pay attention to the marginal changes in economic and trade relations [6]. Corn - The autumn harvest progress in the Huanghuai region is slow. The spot price of Northeast corn has rebounded slightly, but the impact is small. The supply of Shandong corn is decreasing, and the price is stabilizing. The downstream demand is mainly for rigid needs. The supply of new corn in the Northeast will continue to increase in the next two weeks, and Dalian corn is likely to continue to operate weakly at the bottom, with increased volatility [7]. Live Pigs - The spot price of live pigs has rebounded after reaching the bottom last week, mainly driven by second - fattening, increased consumption due to temperature drop, and frozen product storage. However, the later supply pressure is still large, and it is expected that the pig price may have a second bottom - probing in the first half of next year [8]. Eggs - The sentiment of the egg spot market has weakened again. The egg futures opened lower and increased positions on Monday. The old - hen culling is still cautious, and the cold - storage eggs have not been fully sold, which is a potential pressure on the spot market. The short - selling trend on the trading board continues, and a short - selling mindset should be maintained [9].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The market is expected to shift to high - level oscillations after short - term adjustments, with attention on subsequent policy signals. The bank sector showed relative strength last week, while the ChiNext and STAR Market indices led the decline. Some option implied volatilities are still slightly high [1][3] 3. Summary by Related Catalogs 3.1 Market Overview - Last week, major indices first rose and then fell, with the ChiNext and STAR Market indices leading the decline, dropping over 5%. The banking and coal sectors were relatively strong, rising over 4%, while the electronics sector was weak, falling 7%. Market focus was on Sino - US economic and trade relations, and Powell's remarks strengthened expectations of the Fed's loose policy [1] 3.2 Option Market - In the option market last week, the implied volatility (IV) of various financial options fluctuated significantly, with most IVs rising. The IVs of the STAR 50 options (IV = 41%) and ChiNext Index options (IV = 35%) remained high, and it's risky to buy options to chase the rise. The IVs of 50 and 300 options are in the 17% - 20% range, and those of CSI 500 and CSI 1000 options are around 24% - 26%. The PCR of most financial options is in the 75% - 100% range, down from last week [2] 3.3 Strategy Outlook - The market may maintain high - level oscillations, and some option IVs are still slightly high. It's advisable to hold indices with reasonable valuations like CSI 300 and CSI A500. For the STAR 50 Index with a significant correction and high static valuation, if holding the spot, consider selling out - of - the - money call options with high volatility for hedging. If there are substantial spot gains, consider taking profits on the spot and keeping a small number of long - dated call options. For the CSI 1000 - 2603 stock index futures with a high discount, continue to hold the covered call strategy [3] 3.4 Data Analysis of Different Options - **50ETF Options**: From September 30 to October 10, 2025, the closing price was 3.11, down 0.06%, with an IV of 19.34% and a PCR of 7646% [4] - **CSI 300 Options**: The closing prices of CSI 300 ETFs (Shanghai and Shenzhen) and the CSI 300 Index declined, with IVs in the 18% - 19% range and different PCR values [4] - **CSI 500 Options**: The closing prices of CSI 500 ETFs (Shanghai and Shenzhen) declined, with IVs around 22% - 25% and varying PCRs [4] - **CSI 1000 Options**: The closing price of the CSI 1000 Index was 7185.48, down 4.62%, with an IV of 26.02% and a PCR of 8937% [4] - **ChiNext ETF Options**: The closing price was 2.92, down 5.82%, with an IV of 32.43% and a PCR of 8703% [4] - **STAR 50 ETF Options**: The closing prices of STAR 50 ETFs (Shanghai and Shenzhen) declined, with high IVs around 32% - 42% and different PCRs [4] - **SZSE 100 ETF Options**: The closing price was 3.39, down 4.34%, with an IV of 24.55% and a PCR of 9875% [4]

| 《八 国投期货 | 软商品日报 | | | | --- | --- | --- | --- | | 2025年10月17日 | 操作评级 | | | | 曹凯 首席分析师 | 棉花 | ★★★ | | | F03095462 Z0017365 | 纸浆 | ★☆☆ | | | な女女 | 白糖 | 黄维 高级分析师 | 苹果 | | ★☆☆ | F03096483 Z0017474 | 木材 | | | ★☆☆ | 胡华轩 高级分析师 | 天然橡胶 | | | 女女女 | F0285606 Z0003096 | | | | 20号胶 | な女女 | | | | 丁二烯橡胶 ☆☆☆ | 010-58747784 | | | | gtaxinstitute@essence.com.cn | | | | (棉花&棉纱) 今天郑棉小幅上涨，节后走势偏震荡，棉花现货价格稳中偏弱：目前新棉的成本总体持稳，主流价格在6.1-6.2元/公斤左右， 较高收购价在6.2-6.3元/公斤左右，既给盘面带来一定的支撑，但上涨也会面临套保的压力。截至10月15号，棉花累积检验量 为49.15万吨，同比增加27万吨左右。轧花厂对于籽 ...

Investment Ratings - Index Futures: ☆☆☆ [1] - Treasury Bond Futures: ☆☆☆ [1] Core Viewpoints - As of the week ending October 17, index futures showed differentiation. IH2510 rose by 0.30%, IF2510 fell by 1.64%, IC2510 dropped by 4.41%, and IM2510 declined by 3.85%. Trade issues made market sentiment cautious, and the trade war's uncertainty suppressed market risk appetite. There was also a demand for a post - overbought correction in the short - term technical aspect [1]. - From the high - frequency macro - fundamental factor scores, for index futures, the inflation indicator scored 8 points, the liquidity indicator 9 points, the valuation indicator 11 points, and the market sentiment indicator 9 points. For Treasury bond futures, the inflation indicator scored 7 points, the liquidity indicator 11 points, and the market sentiment indicator 7 points [1]. - The net value of the financial derivatives quantitative CTA strategy remained unchanged last week. In the long - term, September's financial and inflation data had a certain boosting effect on IF and IM, indicating that China still faced credit contraction and deflation pressure and was far from full recovery, which required further policy support. In the short - term, the exchange rate was still in a low range, and the capital market remained relatively loose. The overall market risk appetite recovered compared to the beginning of the week, and the overall comprehensive signal was above neutral. For Treasury bond futures, although the capital market was loose, the market risk appetite limited the upward space, and the stock - bond seesaw effect was significant [1]. Summary by Directory Macroeconomic Fundamental High - Frequency Factor Scores - Economic kinetic energy indicators such as blast furnace operating rate, PTA operating rate, etc., showed different week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 0 points [2]. - Inflation indicators including vegetable basket product wholesale price index, coking coal index, etc., also had various week - on - week changes. The index futures scored 8 points, and the Treasury bond futures scored 7 points [3]. - Liquidity indicators like DR007, DR001, etc., had their own week - on - week changes, and the index futures scored 9 points [4]. - Index valuation indicators such as PE, PS, etc., showed different trends, and the index futures scored 10 points [5]. - Market sentiment indicators for stocks (financing balance, margin trading balance, etc.) and bonds (government bond yield, etc.) had corresponding week - on - week changes. The index futures' market sentiment scored 9 points, and the Treasury bond futures' market sentiment scored 7 points [6][7]. Strategy Introduction - The variety pool includes stock index futures and Treasury bond futures. The short - term model focuses on market style, external factors, and capital market high - frequency data, while the long - term model focuses on market expectations and macro - economic data. The position volume is synthesized considering institutional long and short positions [16]. Prediction Signals - As of last Friday, the short - term model, position volume indicator, long - term model, and comprehensive signals for different futures contracts (IF, IH, IC, IM, T, TF) were provided. The comprehensive signal strength is a weighted synthesis of three independent models [17]. Last Week's Situation - From October 13 to October 17, the trading signals of different futures contracts showed different states. For example, the IC main contract had a signal of 1 on October 17 [19]. Treasury Bond Futures Cross - Variety Arbitrage Strategy - The cross - variety arbitrage strategy is based on the resonance of signals from the fundamental three - factor model and the trend regression model. The fundamental three - factor model decomposes the interest rate term structure into three parts: level, slope, and curvature. The signals are divided into three types: 1, 0, - 1. The actual operation uses a 1:1.8 ratio to adjust the 10 - 5Y spread [20]. Market Quotes and Trading Signals - For TF and T main contracts from October 13 to October 17, the N - S model signals and trend regression model signals were provided [23].

Report Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

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