原油日报 | 2025-12-18 委内瑞拉局势恶化，短期原油发货量下降 市场要闻与重要数据 1、 纽约商品交易所2026年1月交货的轻质原油期货价格上涨67美分，收于每桶55.94美元，涨幅为1.21%；2月交货 的伦敦布伦特原油期货价格上涨76美分，收于每桶59.68美元，涨幅为1.29%。SC原油主力合约收涨0.73%，报427 元/桶。（来源：Bloomberg） 2、 当地日期12月17日，委内瑞拉国家石油公司（PDVSA）发布公告通报称，委内瑞拉原油及石油产品出口业务 正在正常开展。公告称，与委内瑞拉国家石油公司相关的油轮仍继续在充分的技术支持和运营保障下航行，合法 行使自由航行权利。自由航行与自由贸易的权利受到国际法的广泛承认和保护。委内瑞拉国家石油公司重申其捍 卫委内瑞拉玻利瓦尔共和国能源主权、履行合法商业承诺及保护海上运营的决心，重申始终遵循宪法、国际海事 法及《联合国宪章》原则行事。（来源：Bloomberg） 3、 据乌克兰总参谋部称，乌克兰无人机袭击了俄罗斯卢克石油公司（LukoilPJSC）位于里海的格雷弗（Grayfer） 油田，并损坏了一个海上天然气平台。声明称，此次袭击发生在1 ...

1. Report Industry Investment Rating - The investment rating is cautiously bearish [4] 2. Core View of the Report - After the Fed's interest rate meeting, most non - ferrous metals showed an upward trend, but some varieties are expected to decline after completion of delivery. The lead price is currently in a pattern of weak supply and demand. Since the Spring Festival this year is relatively late, the downstream restocking period before the festival is still early. The current operation should mainly focus on selling hedges on rallies, with the selling range being 17,000 - 17,100 yuan/ton [4] 3. Summary by Relevant Catalogs Market News and Important Data Spot Market - On December 17, 2025, the LME lead spot premium was -$48.16/ton. The SMM1 lead ingot spot price decreased by 75 yuan/ton to 16,750 yuan/ton compared with the previous trading day. The SMM Shanghai lead spot premium remained unchanged at 45.00 yuan/ton compared with the previous trading day. The SMM Guangdong lead spot price decreased by 25 yuan/ton to 16,850 yuan/ton. The SMM Henan lead spot price decreased by 50 yuan/ton to 16,775 yuan/ton. The SMM Tianjin lead spot premium decreased by 150 yuan/ton to 16,675 yuan/ton. The lead refined - scrap price difference remained unchanged at 0 yuan/ton. The price of waste electric vehicle batteries remained unchanged at 9,875 yuan/ton, the price of waste white shells remained unchanged at 10,025 yuan/ton, and the price of waste black shells remained unchanged at 10,275 yuan/ton [1] Futures Market - On December 17, 2025, the main contract of Shanghai lead opened at 16,825 yuan/ton and closed at 16,735 yuan/ton, a decrease of 90 yuan/ton compared with the previous trading day. The trading volume throughout the trading day was 40,173 lots, a decrease of 506 lots compared with the previous trading day. The position throughout the trading day was 26,930 lots, a decrease of 2,802 lots compared with the previous trading day. The intraday price fluctuated, with the highest point reaching 16,855 yuan/ton and the lowest point reaching 16,680 yuan/ton. In the night session, the main contract of Shanghai lead opened at 16,840 yuan/ton and closed at 16,780 yuan/ton, a 0.54% increase compared with the afternoon closing price of the previous day. The SMM1 lead price decreased by 75 yuan/ton compared with the previous trading day. In Henan, the quotation discount of suppliers continued to narrow, quoted at a discount of 30 - 0 yuan/ton to the SHFE lead 2601 contract for ex - factory. In Hunan, smelters supported prices for shipment, with quotations at a premium of 30 - 50 yuan/ton to the SMM1 lead for ex - factory. In Tianjin, the quotations of suppliers varied greatly. Some actively shipped at the end of the year with large discounts, while others had firm quotations due to limited inventory. In Yunnan, suppliers held back from selling and waited and watched, with a small amount of transactions at a discount of 170 yuan/ton to the SMM1 lead. The lead futures fluctuated weakly, smelters continued to hold back from selling and wait and watch, downstream rigid - demand procurement still picked up goods from nearby warehouses, and the overall spot market transactions of scattered orders were still relatively light [2] Inventory - On December 17, 2025, the total SMM lead ingot inventory was 22,000 tons, a change of 1,400 tons compared with the same period last week. As of December 17, the LME lead inventory was 265,575 tons, a decrease of 2,875 tons compared with the previous trading day [3] Strategy - Adopt a cautious and bearish strategy. After the Fed's interest rate meeting, most non - ferrous metals showed an upward trend, but after completion of delivery, some varieties are expected to decline. The lead price is currently in a pattern of weak supply and demand. Since the Spring Festival this year is relatively late, the downstream restocking period before the festival is still early. The current operation should mainly focus on selling hedges on rallies, with the selling range being 17,000 - 17,100 yuan/ton [4]

黑色建材日报 | 2025-12-18 供需矛盾不足，钢价震荡运行 钢材：供需矛盾不足，钢价震荡运行 市场分析 昨日螺纹钢期货主力合约收于3084元/吨，热卷主力合约收于3245元/吨。现货方面，昨日钢材现货成交整体一般偏 弱，价格和昨日基本持稳，成交略弱于昨日，低价出货意愿增加。全国建材成交99463。 供需与逻辑：建材方面：钢谷数据显示建材产量转增，库存持续降库，需求维持稳定。板材方面：板材高库存持 续压制板材价格，需求韧性仍在。短期明年扩内需等政策预期仍在，基本面矛盾不足，价格底部关注环保及季节 性减产情况、需求及产量变化、利润状况、成本支撑、原料补库、钢材出口及国内政策 策略 单边：震荡 跨期：无 跨品种：无 期现：无 期权：无 风险 宏观政策、成材产销情况、钢材出口、钢厂利润、成本支撑等。 铁矿：供需矛盾后置，矿价持续震荡 市场分析 期现货方面：昨日铁矿石期货价格震荡运行，最终铁矿石2605合约收盘765元；现货方面，报价整体小幅上涨、成 交一般，贸易商报盘积极性一般，钢厂维持按需补库，采购价格多随行就市。 供需与逻辑：供应端海外发运量维持高位，前期高发运陆续到港，港口呈累库趋势，供应相对宽松。需求 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Different risk - stratified ETF trading data shows certain timing effects on stock index futures [3]. - Incorporating ETF share and market trend changes can effectively improve the deficiencies of trading volume factors [4]. 3. Summary by Relevant Catalogs 3.1 Risk - type and Low - risk ETFs - Stock - type ETFs are divided into risk - type (including industry, theme, strategy, and style ETFs) and low - risk type (represented by scale - type ETFs). Their trading reflects market risk preference, and the report explores using this to time stock index futures [11]. - As of 2025/12/11, there were 1,073 stock - type ETFs, with scale - type ETFs having 367 (34.2%) in quantity, 9,189.9611 billion shares (42.7%), and an asset net worth of 24,072.5461 billion yuan (66.3%) [12]. 3.2 Weekly Factor Testing 3.2.1 Volume Factor - Compare the weekly average daily volume change rates of risk - type and low - risk ETFs. If the low - risk change rate is greater, go long on stock index futures on Monday; otherwise, go short. - Back - testing shows that the volume factor has different performances on different stock index futures. For example, IH has an annualized return of 8.81%, an annualized volatility of 20.77%, a Sharpe ratio of 0.42, a maximum drawdown of - 43.48%, a Calmar ratio of 0.20, and a turnover rate of 11.39% [22]. - The performance of the volume factor on IH and IF changed significantly from 20 - 21, with the strategy curve turning from downward to upward [24]. 3.2.2 Turnover Factor - Calculate the weighted average of daily turnover rates of different segments. Compare the weekly average daily turnover rate changes of risk - type and low - risk ETFs. If the low - risk change rate is greater, go long on stock index futures on Monday; otherwise, go short. - Back - testing shows that the turnover factor also has different performances on different stock index futures. For example, IH has an annualized return of 2.89%, an annualized volatility of 20.78%, a Sharpe ratio of 0.14, a maximum drawdown of - 54.68%, a Calmar ratio of 0.05, and a turnover rate of 11.45% [30]. - The turnover factor also showed a style shift in 21, with a more obvious inflection point [36]. 3.3 Double - Factor Superposition Testing - Incorporate the daily frequency share factor based on the relative changes in weekly average daily volume and daily turnover. Reverse the volume or turnover signal according to the share change rate comparison. - After incorporating the share change rate, the performance of IH, IF, and IC strategies improved, and the drawdown before 2021 was also improved. For example, the "volume + share change rate" strategy for IH has an annualized return of 15.95%, an annualized volatility of 20.76%, a Sharpe ratio of 0.77, a maximum drawdown of - 29.35%, a Calmar ratio of 0.54, and a turnover rate of 14.19% [50]. - The combination of turnover and share change performed well before 2025 but had large drawdowns in 2025, possibly due to changes in the relationship between ETFs and the market [63]. 3.4 Three - Factor Combination Testing - Incorporate the market trend factor based on the double - factor framework. Reverse the volume or turnover signal when the low - risk ETF share change rate is less than the risk - type and the target price is falling. - After adding the turnover factor with share change rate and market trend, the drawdown in 2025 was partially corrected, but the drawdown from 20 - 21 could not be fully repaired. The volume factor did not show obvious improvement after adding two factors [75]. 3.5 Four - Factor Combination and Factor Optimization - Combine and optimize the volume and turnover factors. First, superpose the two original factors, and then filter with share change rate and market trend. - After optimization, the factor effect improved significantly. With a low turnover rate, the strategy still performed well after deducting slippage and fees. For example, the optimized four - factor strategy for IH has an annualized return of 23.64%, an annualized volatility of 20.69%, a Sharpe ratio of 1.14, a maximum drawdown of - 19.59%, a Calmar ratio of 1.21, and a turnover rate of 15.35% [97]. 3.6 Summary - The report discusses the application of stock - type ETF data in stock index futures timing. The four - factor strategy constructed by ETF volume, turnover, share change, and market trend has good timing effects on various stock index futures [98].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint No information provided. 3. Summary by Directory Option Trading Volume - On December 16, 2025, the trading volume of SSE 50 ETF options was 852,200 contracts; CSI 300 ETF options (Shanghai market) was 975,800 contracts; CSI 500 ETF options (Shanghai market) was 1,128,400 contracts; Shenzhen 100 ETF options was 65,700 contracts; GEM ETF options was 2,781,200 contracts; SSE 50 index options was 58,600 contracts; CSI 300 index options was 119,700 contracts; and CSI 1000 options was 400,700 contracts [1]. - The table shows the call, put, and total trading volumes of various index ETF options on the same day, such as 559,000 call and 747,100 put contracts for SSE 50 ETF options, with a total of 1,306,100 contracts [19]. Option PCR - The PCR data of various options shows that the turnover PCR and its changes, as well as the position PCR and its changes, have different performances. For example, the turnover PCR of SSE 50 ETF options was 1.29, with a month - on - month change of +0.55; the position PCR was 0.87, with a month - on - month change of - 0.18 [2][34]. Option VIX - The VIX of various options and their month - on - month changes are presented. For instance, the VIX of SSE 50 ETF options was 15.06%, with a month - on - month change of +0.83%; the VIX of CSI 300 ETF options (Shanghai market) was 16.27%, with a month - on - month change of +0.66% [3][47].

买家恢复俄油采购，油价持续下跌 市场要闻与重要数据 1、截至当天收盘，纽约商品交易所2026年1月交货的轻质原油期货价格下跌1.55美元，收于每桶55.27美元，跌幅 为2.73%；2月交货的伦敦布伦特原油期货价格下跌1.64美元，收于每桶58.92美元，跌幅为2.71%。 2、 俄罗斯原油价格跌至俄乌冲突开始以来的最低水平，原因是西方的制裁加大了该国石油行业需要提供的折扣， 同时基准原油期货暴跌。Argus Media数据显示，俄罗斯石油出口商从波罗的海、黑海和东部港口科兹米诺港运出 的原油平均售价略高于每桶40美元。这比过去三个月下降了28%，近期针对石油巨头俄罗斯石油公司和卢克石油公 司的制裁措施进一步加大了折扣力度。西方国家对俄罗斯石油贸易施加的压力越来越大，使得俄罗斯石油的销售 和运输变得日益困难，相关措施也针对印度等主要买家的炼油厂。此外，全球基准原油价格也在下跌，布伦特原 油周二跌破每桶60美元，为5月份以来首次。（来源：Bloomberg） 3、 特朗普在社媒发文表示，他下令"全面彻底封锁所有进出委内瑞拉的受制裁油轮"，包围委内瑞拉的舰队只会越 来越大，给他们带来的冲击将是前所未有的——直到他 ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints - For pure benzene, the peak of short - term arrivals in China has passed, the inventory accumulation rate has slowed but the absolute inventory level remains high. Overseas gasoline cracking spreads are weak, and the price difference between the US and South Korea has been repaired. Domestic production has decreased due to low profits, and downstream demand remains weak. For styrene, port inventory has been falling, but the port basis has started to decline. Downstream demand is weak during the off - season [2]. Summary by Directory 1. Pure Benzene and EB's Basis Structure, Inter - period Spreads - Pure benzene's main basis is - 130 yuan/ton (+13), and the spot - M2 spread is - 140 yuan/ton (+20 yuan/ton). Styrene's main basis is 122 yuan/ton (-51 yuan/ton) [1]. 2. Production Profits and Domestic - Foreign Spreads of Pure Benzene and Styrene - Pure benzene's CFR China processing fee is 119 dollars/ton (+5 dollars/ton), and FOB South Korea processing fee is 113 dollars/ton (+6 dollars/ton). The US - South Korea price difference is 187.9 dollars/ton (-9.0 dollars/ton). Styrene's non - integrated production profit is - 146 yuan/ton (-46 yuan/ton) and is expected to gradually compress [1]. 3. Inventory and Operating Rates of Pure Benzene and Styrene - Pure benzene's port inventory is 26.00 million tons (+0.00 million tons), and the operating rate is not mentioned. Styrene's East China port inventory is 134,700 tons (-12,100 tons), East China commercial inventory is 82,300 tons (-5,500 tons), and the operating rate is 68.3% (-0.6%) [1]. 4. Operating Rates and Production Profits of Styrene's Downstream - EPS production profit is 201 yuan/ton (+45 yuan/ton), PS production profit is 1 yuan/ton (+45 yuan/ton), ABS production profit is - 874 yuan/ton (+24 yuan/ton). EPS operating rate is 53.77% (-2.59%), PS operating rate is 58.30% (-0.70%), ABS operating rate is 70.53% (+2.23%) [2]. 5. Operating Rates and Production Profits of Pure Benzene's Downstream - Caprolactam production profit is - 360 yuan/ton (-30), phenol - acetone production profit is - 952 yuan/ton (+0), aniline production profit is 611 yuan/ton (-237), adipic acid production profit is - 1029 yuan/ton (+46). Caprolactam operating rate is 74.57% (-4.58%), phenol operating rate is 79.50% (-2.50%), aniline operating rate is 75.94% (-1.29%), adipic acid operating rate is 59.20% (-0.80%) [1]. Strategy - Unilateral: None - Basis and Inter - period: Do reverse spreads for BZ2603 - BZ2605 when the price is high - Cross - variety: None [3]

新能源及有色金属日报 | 2025-12-17 铅价持续偏弱 操作暂转变为逢高卖出套保 市场要闻与重要数据 现货方面：2025-12-16，LME铅现货升水为-51.52美元/吨。SMM1#铅锭现货价较前一交易日变化-150元/吨至16825 元/吨，SMM上海铅现货升贴水较前一交易日变化 -25元/吨至25.00元/吨，SMM广东铅现货较前一交易日变化-150 元/吨至16875元/吨，SMM河南铅现货较前一交易日变化-150元/吨至16825元/吨，SMM天津铅现货升贴水较前一交 易日变化-150元/吨至16825元/吨。铅精废价差较前一交易日变化0元/吨至0元/吨，废电动车电池较前一交易日变化 -25元/吨至9875元/吨，废白壳较前一交易日变化-50元/吨至10025元/吨，废黑壳较前一交易日变化0元/吨至10275元 /吨。 期货方面：2025-12-16，沪铅主力合约开于17015元/吨，收于16825元/吨，较前一交易日变化-185元/吨，全天交易 日成交40679手，较前一交易日变化-833手，全天交易日持仓29732手，手较前一交易日变化-2664手，日内价格震 荡，最高点达到17015元/ ...

1. Report Industry Investment Rating - Copper: Cautiously Bullish [6] - Arbitrage: On Hold [7] - Options: Short Put [7] 2. Core View of the Report The December Fed FOMC meeting cut interest rates by 25 basis points as expected, and copper prices remained strong. The closing out of short hedging positions at the end of the year also pushed copper prices higher. However, these factors will gradually fade next week, so the continuous sharp rise of copper prices may slow down. It is recommended to buy on dips for hedging, with the suggested range between 90,500 yuan/ton and 91,000 yuan/ton [6][7]. 3. Summary by Relevant Catalogs Market News and Important Data Futures Quotes On December 16, 2025, the main SHFE copper contract opened at 93,500 yuan/ton and closed at 91,920 yuan/ton, down 0.52% from the previous trading day's close. The overnight session opened at 92,210 yuan/ton and closed at 91,830 yuan/ton, down 0.10% from the afternoon close [1]. Spot Situation SMM's 1 electrolytic copper spot was quoted at a discount of 180 - 70 yuan/ton to the next - month 2601 contract, with an average discount of 125 yuan/ton, down 185 yuan from the previous day. The spot price ranged from 91,320 - 92,030 yuan/ton. Sellers were eager to sell, but buyers were reluctant to buy, leading to a continuous decline in spot premiums and light trading. After the 2512 contract was settled, spot is expected to remain at a large discount [2]. Important Information Summary - **Macro and Geopolitical**: In November, the US added 64,000 non - farm payrolls, higher than the expected 50,000, but the unemployment rate rose to 4.6%, the highest since September 2021. The average hourly wage increased by 3.5% year - on - year, the lowest since May 2021. The data strengthened the Fed's loose monetary policy path [3]. - **Economic Indicators**: The preliminary US S&P Global Manufacturing PMI in December dropped to 51.8, a 5 - month low. The Services PMI dropped from 54.1 to 52.9, and the Composite PMI dropped to 53, all 6 - month lows [3]. - **Mine End**: Exploration company Kavango Resources started evaluating strategic options for its Kalahari copper belt interests in Botswana, including potential joint - venture partners. The review is in the early stage, and the outcome is uncertain. The company's copper assets in Botswana cover about 6,200 square kilometers, and early exploration results are encouraging [4]. - **Smelting and Import**: In November, China's electrolytic copper production increased by 9.7% year - on - year to 1.103 million tons, while the import of unwrought copper and copper products decreased by 2.5% month - on - month to 427,000 tons due to the narrowing price difference. The cumulative import of copper ore concentrates increased by 8% year - on - year to 27.614 million tons. Codelco's 2026 refined copper annual contract premium soared by 275% compared to 2025, driving spot purchases to non - US regions, and LME copper inventories dropped to a record low of 165,800 tons [5]. - **Consumption**: In November 2025, China's copper industry prosperity index was 39.7, down 2.0 points from the previous month, remaining in the "normal" range. The leading index was 73.4, down 2.1 points, and the coincident index was 74.3, down 3.6 points [5]. - **Inventory and Warehouse Receipts**: LME warehouse receipts decreased by 25 tons to 166,600 tons. SHFE warehouse receipts increased by 3,558 tons to 45,784 tons. On December 16, the domestic electrolytic copper spot inventory was 164,500 tons, up 1,500 tons from the previous week [5]. Strategy - **Copper**: Cautiously bullish. It is recommended to buy on dips for hedging, with the suggested range between 90,500 yuan/ton and 91,000 yuan/ton [6][7]. - **Arbitrage**: On hold [7]. - **Options**: Short put [7].

Report Summary 1. Report's Industry Investment Rating - Unilateral: Cautiously bullish [6] - Arbitrage: Neutral [6] 2. Core Viewpoints - Overseas inventory surge leads to a shift from premium to discount, closing China's zinc ingot export window and suppressing zinc ingot prices. Domestic downstream replenishment enthusiasm increases as absolute prices fall, with market trading activity rising and spot premiums continuing to recover. The downward trend of mine TC persists, with domestic high - altitude mines reducing production and domestic ore supply decreasing, while smelter procurement demand remains strong. The comprehensive smelting losses of smelters widen, and December's supply may still be lower than expected. Short - term consumption resilience limits the depth of zinc price corrections, and long - term re - inflation is possible in the interest rate cut cycle [1][5] 3. Summary by Relevant Catalogs 3.1 Important Data - **Spot**: LME zinc spot premium is -$31.61/ton. SMM Shanghai zinc spot price is 23,180 yuan/ton, down 290 yuan/ton from the previous day, with a spot premium of 85 yuan/ton. SMM Guangdong zinc spot price is 23,090 yuan/ton, down 300 yuan/ton, with a premium of - 20 yuan/ton. Tianjin zinc spot price is 23,090 yuan/ton, down 290 yuan/ton, with a premium of - 5 yuan/ton [2] - **Futures**: On December 16, 2025, the main SHFE zinc contract opened at 23,310 yuan/ton, closed at 23,030 yuan/ton, down 380 yuan/ton from the previous day. The trading volume was 138,540 lots, and the open interest was 73,193 lots. The highest price reached 23,345 yuan/ton, and the lowest was 22,935 yuan/ton [3] - **Inventory**: As of December 16, 2025, the total inventory of zinc ingots in seven regions monitored by SMM was 125,700 tons, down 2,600 tons from the previous period. LME zinc inventory was 95,550 tons, up 31,075 tons from the previous day [4]