20260128申万期货品种策略日报-双焦(JI&J) | | 申银万国期货研究所 沈击奉 (从业编号F03148029 交易咨询号Z0022842) | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | shenyb@sywggh. com. cn 021-50582113 | | | | | | | | | IL | | | | | 11 | | | | | 1月 | 5月 | 9月 | 1月 | 5月 | 9月 | | | 前1日收盘价 | 1373.0 | 1116.5 | 1195.0 | 1842. 0 | 1668.0 | 1736.5 | | | 前2日收盘价 | 1403.0 | 1159. 5 | 1237.5 | 1887. 0 | 1719.0 | 1788. 5 | | EH | 煮跌 | -30. 0 | -43.0 | -42.5 | -45.0 | -51. 0 | -52.0 | | स्त | 廉政幅 | -2.14% | -3. 71% | -3. 43% | -2. 38% | -2. 9 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint - The natural rubber price declined slightly on Tuesday while synthetic rubber remained strong. With domestic rubber-producing areas in a dormant period and Thailand's northeastern region expected to stop tapping in January, and the southern region in peak season, the total inventory of natural rubber in Qingdao, China, has been continuously increasing. The short-term supply elasticity has weakened, and the raw rubber price is relatively firm. The demand side supports the stable operation of all-steel tire production. The chemical industry has been strong recently, and the short-term rubber price is expected to remain strong [4]. 3. Summary by Relevant Catalog Futures Market - **Prices and Changes**: The previous day's closing prices of RU, NR, and BR were 16,205, 13,085, and 13,045 respectively, with changes of -25, 0, and -220 compared to the day before, and percentage changes of -0.15%, 0.00%, and -1.66% respectively. The price differences between RU - NR, RU - BR, and NR - BR were 3,120, 3,160, and 40 respectively, with changes of -25, 195, and 220 [2]. - **Trading Volume and Open Interest**: The trading volumes of RU, NR, and BR were 275,825, 62,894, and 749,819 respectively. The open interests were 13,045, 49,072, and -12,159 respectively, with changes of -220, -5,134, and 10 [2]. Spot Market - **Domestic Spot Prices**: The current prices of whole milk rubber in Shandong, Shanghai, and Kunming were 15,850, 15,950, and 15,900 respectively, with no change from the previous day. The prices of smoked sheet rubber in Shandong and Shanghai were 18,450, and the prices of mixed rubber in Qingdao and Yunnan were 15,175 and 15,650 respectively, all with no change [2]. - **Downstream Raw Material Prices**: The current prices of Thai smoked sheet, Thai cup lump, and Thai latex were 60.6, 53.06, and 57.7 Thai baht per kilogram respectively, with no change from the previous day [2].

报告中依据和结论存在范围局限性，对未来预测存在不及预期，以及宏观环境和产业链影响 因素存在不确定性变化等风险。 分析师声明 作者具有期货交易咨询执业资格，保证报告所采用的数据均来自合规渠道，分析逻辑基于作 者的职业理解，本报告清晰准确地反映了作者的研究观点，力求独立、客观和公正，结论不 受任何第三方的授意或影响，作者及利益相关方不曾因也将不会因本报告中的具体推荐意见 或观点而直接或间接获取任何形式的不当利益。 明 免责声明 20260127申万期货品种策略日报-原油甲醇 | | | | | 申银万国期货研究所 董超 （从业编号F3030150 投资咨询号Z0012596） dongchao@sywgqh.com.cn 021-50583880 | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | | SC近月 | SC次月 | WTI近月 | WTI次月 | Brent近月 | Brent次月 | | | 前日收盘价 | 445.4 | 446.4 | 60.83 | 60.59 | 66.29 | 65.44 | | | 前2日收盘价 | ...

| | 20260127申万期货品种策略日报-双焦(JI&J) | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | 申银万国期货研究所 沈击奉 (从业编号F03148029 交易咨询号Z0022842) | | | | | | | | | shenyb@sywggh.com.cn 021-50582113 | | | | | | | | | 11-0 I | | | | | | | | | 9月 1月 9 H | 1月 | 5月 | | | 5月 | | | | 前1日收盘价 1237.5 1887.0 1788. 5 | 1403.0 | 1159.5 | | | 1719.0 | | | | 前2日收盘价 | 1402. 5 | 1157. 0 | 1235.5 | 1890. 0 | 1722. 0 | 1791.5 | | EF | 落蛋 | 0. 5 | 2.5 | 2. 0 | -3.0 | -3.0 | -3.0 | | सह | 张跌幅 | 0. 04% | 0. 22% | 0.16% | -0. 16% | ...

Report Summary 1. Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View - The SCFIS European line index decreased by 4.9% to 1859.31 points, which is the first - phase delivery settlement price of the EC2602 contract. As the Spring Festival approaches, shipping companies face increasing cargo - booking pressure, and pre - holiday freight rates enter the traditional off - season decline channel under Maersk's lead in price cuts. However, the market's focus is on the potential freight rate increase after the Spring Festival due to the rush of photovoltaic product exports. The 04 contract is currently at a discount of about 300 points to the spot, and the low valuation supports the market. Considering the price increase announcements by shipping companies in March and April 2025 and the expected rush of photovoltaic exports this year, the market is not pessimistic about post - holiday freight rates. Before seeing shipping companies' price - increase plans or a substantial increase in cargo volume from the export rush, the 04 contract is expected to fluctuate, and attention should be paid to Maersk's new cabin openings [1]. 3. Summary by Relevant Catalogs EC Contract Volume and Price - **EC2602**: The latest成交价 is 1726.7 points, with a latest涨跌幅 of 0.76%. The成交量 is 565 (a 33 - unit increase), and the持仓量单边 is 4225 (a 176 - unit decrease). The net long position of the top 20 members is - 77 [2]. - **EC2604**: The latest成交价 is 1200.2 points, with a latest涨跌幅 of 5.46%. The成交量 is 43172 (a 12391 - unit increase), and the持仓量单边 is 41690 (a 541 - unit increase). The net long position of the top 20 members is - 2007 [2]. - **EC2606**: The latest成交价 is 1447.6 points, with a latest涨跌幅 of 3.47%. The成交量 is 4483 (a 7 - unit increase), and the持仓量单边 is 7324 (a 1533 - unit increase). The net long position of the top 20 members is 0 [2]. - **EC2608**: The latest成交价 is 1524 points, with a latest涨跌幅 of 1.61%. The成交量 is 614 (a 396 - unit increase), and the持仓量单边 is 1515 (a 172 - unit increase) [2]. - **EC2610**: The latest成交价 is 1114.2 points, with a latest涨跌幅 of 2.34%. The成交量 is 2148 (a 620 - unit increase), and the持仓量单边 is 8565 (a 195 - unit increase) [2]. - **EC2612**: The latest成交价 is 1373.5 points, with a latest涨跌幅 of 0.91%. The成交量 is 38 (a 15 - unit decrease), and the持仓量单边 is 124 (a 3 - unit increase) [2]. - **Total**: The total成交量 is 51020, and the total持仓量 is 63443. The net long position of the top 20 members is - 2084 [2]. Latest Spot Freight Rates - European Routes - **Weekly Spot Index**: The SCFIS index is 1859.31 points, down 4.9% from the previous period; the SCFI is $1595/TEU, down 2.5% from the previous period [4]. - **Daily Spot Freight Rates**: The TCI (20GP) is $1682/TEU, with no change; the TCI (40GP) is $2826/FEU, with no change [4]. Basis Spread - The previous trading - day basis was - 61.9 points, and the basis two trading days ago was 753.99 points, showing a change of - 815.89 points [6].

| | 20260127申万期货品种策略日报-双焦(JI&J) | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | 申银万国期货研究所 沈击奉 (从业编号F03148029 交易咨询号Z0022842) | | | | | | | | | shenyb@sywggh.com.cn 021-50582113 | | | | | | | | | 11-0 I | | | | | | | | | 9月 1月 9 H | 1月 | 5月 | | | 5月 | | | | 前1日收盘价 1237.5 1887.0 1788. 5 | 1403.0 | 1159.5 | | | 1719.0 | | | | 前2日收盘价 | 1402. 5 | 1157. 0 | 1235.5 | 1890. 0 | 1722. 0 | 1791.5 | | EF | 落蛋 | 0. 5 | 2.5 | 2. 0 | -3.0 | -3.0 | -3.0 | | सह | 张跌幅 | 0. 04% | 0. 22% | 0.16% | -0. 16% | ...

宏观 消息 行业 信息 评论 及策 略 涨跌不一，10年期国债活跃券收益率下行至1.816%。央行公开市场逆回购净回笼78亿元，Shibor短端品种多数上 行，资金面保持相对稳定。美国2025年第三季度GDP终值年化环比增长4.4%，高于初值，创下近两年来最快增速，特朗 普称与北约达成格陵兰协议"框架"、暂不对欧加关税，日债趋于稳定，美债收益率冲高回落。2025年GDP增长目标5% 如期达成，12月社零同比增速放缓至0.9%、规上工业增加值同比增5.2%，全年固定资产投资同比降3.8%，主要受房地 产开发投资下降拖累，房地产市场仍处于调整中。财政部表示2026年财政赤字和支出总量将保持必要水平，确保总体 支出力度只增不减；央行指出2026年要继续实施适度宽松的货币政策，加大逆周期和跨周期调节力度，今年降准降息 还有一定的空间，同时宣布下调各类结构性货币政策工具利率0.25个百分点，继续完善结构性工具并加大支持力度， 国债期货价格有所企稳。 声明 本公司具有中国证监会核准的期货交易咨询业务资格 （核准文号 证监许可[2011]1284号） 研究局限性和风险提示 报告中依据和结论存在范围局限性，对未来预测存在不及 ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The sharp rise in international gold prices is the result of geopolitical turmoil, the shaking of the global political and economic order, and a continuously loose liquidity environment. In 2026, the Fed is expected to continue to cut interest rates, and the loose liquidity environment provides strong support for the rise of precious metals. Global investors' strategic allocation demand for precious metals has increased, and the scale of gold and silver ETFs has continued to expand, driving up precious metal prices. Short - term silver has risen significantly, and there may be some pressure for funds to take profits, while gold is more stable [4]. - Morgan Stanley expects that driven by geopolitical uncertainty, continuous central bank gold purchases, and strong ETF demand, the gold price is expected to rise to $5,700 per ounce in the second half of the year. If the Fed starts to cut interest rates in 2026, it may further support strong physical gold demand [4]. 3. Summary by Relevant Catalogs Futures Market - **Prices**: The closing prices of Shanghai Gold 2606 and 2604 on the previous day were 1146.58 and 1143.32 respectively, with increases of 28.20 (2.52%) and 27.68 (2.48%) compared to the day before. The closing prices of Shanghai Silver 2606 and 2604 on the previous day were 27,189 and 27,207 respectively, with increases of 2259 (9.06%) and 2242 (8.98%) compared to the day before [3]. - **Positions and Volumes**: The positions of Shanghai Gold 2606 and 2604 were 85,261 and 215,820 respectively, and the trading volumes were 76,211 and 395,962 respectively. The positions of Shanghai Silver 2606 and 2604 were 169,868 and 322,579 respectively, and the trading volumes were 605,689 and 965,900 respectively [3]. - **Spot Premium and Discount**: The spot premiums and discounts of Shanghai Gold 2606 and 2604 were - 2.32 and 0.94 respectively, and those of Shanghai Silver 2606 and 2604 were 324 and 306 respectively [3]. Spot Market - **Prices**: The closing price of Shanghai Gold T + D on the previous day was 1144.26, up 33.91 (3.05%) from the day before. The closing price of London Gold was $5042.75 per troy ounce, up $21.76 (0.44%) from the day before. The closing price of Shanghai Silver T + D on the previous day was 27,513, up 2525 (10.10%) from the day before. The closing price of London Silver was $106.61 per troy ounce, up $0.53 (0.52%) from the day before [3]. - **Price Spreads**: The current spreads of Shanghai Gold 2606 - Shanghai Gold 2604 and Shanghai Silver 2606 - Shanghai Silver 2604 were 3.26 and - 18.00 respectively. The current gold - to - silver ratio in the spot market was 41.59, and the ratios of Shanghai Gold to London Gold and Shanghai Silver to London Silver were 1.01 and 1.15 respectively [3]. Inventory - **Futures Exchanges**: The current inventories of gold and silver on the Shanghai Futures Exchange were 103,029 kg and 573,810 kg respectively, with changes of + 1020 kg and - 7280 kg compared to the day before. The current inventories of gold and silver on the COMEX were 35,941,502 troy ounces and 415,241,837 troy ounces respectively, with changes of - 202,778 troy ounces and - 1,183,026 troy ounces compared to the day before [3]. Related Derivatives and Indicators - **Indices and Yields**: The current values of the US Dollar Index, S&P 500 Index, 10 - year US Treasury yield, Brent crude oil price, and US dollar - to - RMB exchange rate were 97.04, 6,950.23, 4.22%, $64.89, and 6.9572 respectively, with changes of - 0.46, + 34.62, - 0.02%, - 0.55, and - 0.0070 compared to the day before [3]. - **ETF and CFTC Positions**: The current positions of SPDR Gold ETF and SLV Silver ETF were 1,087 tons and 15,974 tons respectively, with changes of 0 tons and - 116 tons compared to the day before. The current net positions of CFTC speculators in gold and silver were 244,770 and 25,214 respectively, with changes of - 6468 and - 6846 compared to the day before [3]. Macroeconomic News - **Geopolitical**: The USS Abraham Lincoln aircraft carrier strike group has entered the US Central Command's area of responsibility in the western Indian Ocean. If the White House orders an attack on Iran, the strike group could launch military operations within "one or two days." Trump said the situation in Iran is "changing rapidly" and that Iran wants to reach an agreement [4]. - **Trade**: Trump announced that the reciprocal tariffs on South Korean automobiles, timber, pharmaceuticals, and all other goods will be raised from 15% to 25% due to the South Korean Congress's failure to approve the trade agreement [4]. - **Fed Interest Rate Expectations**: According to CME's "FedWatch," the probability of the Fed cutting interest rates by 25 basis points in January is 2.8%, and the probability of keeping interest rates unchanged is 97.2%. By March, the probability of a cumulative 25 - basis - point rate cut is 15.5%, the probability of keeping interest rates unchanged is 84.1%, and the probability of a cumulative 50 - basis - point rate cut is 0.4% [4]. - **Commodity Market Analysis**: An analyst pointed out that this is one of the most glorious days in the silver market. The price of silver has risen rapidly due to its small market size and low liquidity. Retail investors are flocking in, and there is a (relatively small - scale) gap in the spot market. This is good news for silver miners, but selling some future production in the futures market may bring some selling pressure [4]. - **Economic Data**: The monthly rate of US durable goods orders in November was 5.3%, the largest increase since May 2025 [4].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core View of the Report - On Monday, the natural rubber price declined slightly while the synthetic rubber remained strong. With domestic rubber-producing areas in a dormant period and Thailand's northeastern region expected to stop tapping in January, and the southern region in peak season, the total natural rubber inventory in Qingdao, China, has been accumulating. The short - term supply elasticity has weakened, and raw rubber prices are relatively firm. The demand side supports the stable operation of all - steel tire production. With the recent strong performance of the chemical sector, the rubber price is expected to remain strong in the short term [4] Group 3: Summary of Key Data Futures Market - RU主力: The previous day's closing price was 16,230, a decrease of 85 (-0.52%) from the price two days ago. The trading volume was 309,950, and the open interest was 13,265, an increase of 335 [2] - NR主力: The previous day's closing price was 13,085, a decrease of 10 (-0.08%) from the price two days ago. The trading volume was 76,014, and the open interest was 54,206, a decrease of 5,672 [2] - BR主力: The previous day's closing price was 13,265, an increase of 335 (2.59%) from the price two days ago. The trading volume was 747,469, and the open interest was - 35,722, an increase of 10 [2] Spread - RU - NR: The current spread was 3,145, a decrease of 75 compared to the previous value [2] - RU - BR: The current spread was 2,965, a decrease of 420 compared to the previous value [2] - NR - BR: The current spread was - 180, a decrease of 345 compared to the previous value [2] Basis - RU基差: The current value was - 230, an increase compared to the previous value of - 315 [2] - 混合 - RU: The current value was - 1,355, an increase compared to the previous value of - 1,440 [2] - 烟片 - RU: The current value was 2,320, an increase compared to the previous value of 2,235 [2] Spot Market - All types of spot natural rubber in different regions (such as whole milk in Shandong, Shanghai, Kunming; smoked sheets in Shandong, Shanghai; mixed rubber in Qingdao, Yunnan) and downstream products (Thai smoked sheets, Thai cup rubber, Thai latex) showed no price changes, with a 0.00% change rate [2]

Group 1: Industry Investment Rating - No information provided Group 2: Core View - Polyolefin futures continued to rebound. The fundamentals currently focus on the expectation of supply improvement, and the impact of macro factors on commodities has increased. The rebound in international crude oil prices also supports chemicals at the cost end. Overall, the current spot drive for polyolefins is relatively limited, and the market pays more attention to the driving rhythm of macro factors [2] Group 3: Summary by Related Catalogs Futures Market - **Prices**: For LL, the previous day's closing prices for January, May, and September contracts were 6974, 6935, and 6962 respectively, with increases of 88, 70, and 75 and涨幅 of 1.28%, 1.02%, and 1.09% respectively. For PP, the previous day's closing prices for January, May, and September contracts were 6716, 6737, and 6778 respectively, with increases of 71, 81, and 90 and涨幅 of 1.07%, 1.22%, and 1.35% respectively [2] - **Volume and Open Interest**: The trading volumes for LL January, May, and September contracts were 137, 611978, and 42216 respectively, and the open interests were 187, 515013, and 69905 respectively, with open interest changes of 35, -4043, and 4941 respectively. For PP, the trading volumes for January, May, and September contracts were 468, 524463, and 40252 respectively, and the open interests were 2132, 521131, and 106892 respectively, with open interest changes of 134, 22199, and 7638 respectively [2] - **Spreads**: For LL, the spreads of January - May, May - September, and September - January were 39, -27, and -12 respectively, compared to the previous values of 21, -22, and 1. For PP, the spreads of January - May, May - September, and September - January were -21, -41, and 62 respectively, compared to the previous values of -11, -32, and 43 [2] Spot Market - **Raw Materials and Semi - finished Products**: The current prices of methanol futures, Shandong propylene, South China propane, PP recycled materials, North China powder, and mulch film were 2346 yuan/ton, 9350 yuan/ton, 631 dollars/ton, 5600 yuan/ton, 6510 yuan/ton, and 8700 yuan/ton respectively, compared to the previous values of 2298 yuan/ton, 6175 yuan/ton, 612 dollars/ton, 5600 yuan/ton, 6460 yuan/ton, and 8700 yuan/ton [2] - **Mid - stream**: The current price ranges of LL in the East China, North China, and South China markets were 6800 - 7100 yuan/ton, 6750 - 7100 yuan/ton, and 6950 - 7200 yuan/ton respectively, compared to the previous ranges of 6800 - 7050 yuan/ton, 6700 - 7000 (8100 - 8250), and 6850 - 7100 yuan/ton. The current price ranges of PP in the East China, North China, and South China markets were 6500 - 6650 yuan/ton, 6500 - 6550 yuan/ton, and 6450 - 6700 yuan/ton respectively, compared to the previous ranges of 6450 - 6600 yuan/ton, 6400 - 6500 yuan/ton, and 6350 - 6650 yuan/ton [2] News - On Monday (January 26), the settlement price of West Texas Intermediate crude oil futures for March 2026 on the New York Mercantile Exchange was $60.63 per barrel, down $0.44 or 0.72% from the previous trading day, with a trading range of $60.32 - $61.71. The settlement price of Brent crude oil futures for March 2026 on the London Intercontinental Exchange was $65.59 per barrel, down $0.29 or 0.44% from the previous trading day, with a trading range of $65.29 - $66.54 [2]