| 申万期货品种策略日报——股指 | 2025/9/18 | 星期四 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 申银万国期货研究所 贾婷婷（从业资格号：F3056905；交易咨询号：Z0016232 ）jiatt@sywgqh.com.cn;15921620356 | 申银万国期货研究所 柴玉荣 （从业资格号：F03111639；交易咨询号：Z0018586）chaiyr@sywgqh.com.cn;18802979529 | | | | | | | | | | | 一、股指期货市场 | IF当月 | IF下月 | IF下季 | IF隔季 | | | | | | | | 前两日收盘价 | 4516.80 | 4507.40 | 4489.20 | 4466.00 | 前日收盘价 | 4553.20 | 4541.80 | 4518.20 | 4492.80 | | | 涨跌 | 36.20 | 34.80 | 31.60 | 30.20 | 沪深300 | 涨跌幅 | 0.80 ...

首席点评：黄金刷新历史高位 美国 8 月零售销售环比增 0.6%，连续三个月超预期增长，实际零售销售连续 11 个月增长。尽管经济面临挑战，但在薪资增长和股市财富效应支撑下，美国消费 者支出依然强劲，或将为美联储的降息决策带来新的考量。潘功胜指出，区块链 和分布式账本等新兴技术推动央行数字货币等发展，重塑传统支付体系，大幅缩 短跨境支付链条，同时也对全球金融监管和合作提出了挑战。对于快速扩张的加 密资产市场和气候风险相关的监管框架，全球监管协调不足，监管取向大幅摆动 并受过强的政治因素驱动。商务部等 9 部门发布《关于扩大服务消费的若干政策 措施》。措施提出，优化学生假期安排，完善配套政策。 重点品种：黄金、铜、原油 黄金：金银冲高回落。美国 8 月零售销售表现强劲，环比增长 0.6%，预估为 0.2%。 同比增长 2.1%，实现连续第 11 个月实现正增长。上周公布的 8 月 CPI 同比上涨 2.9%。核心通胀同比仍为 3.1%。8 月 PPI 环比意外下降 0.1%，预期为上涨 0.3%。 同比上涨 2.6%，低于市场预期的 3.3%，强化 9 月降息预期。本月多项数据显示 美国经济就业市场疲弱，尤其是 ...

20250917申万期货有色金属基差日报 | 摘要 | 可能短期区间波动 铜： | | | --- | --- | --- | | | 可能短期宽幅偏弱波动 锌： | | | 品种 | 观点 | 策略方向 | | | 铜：夜盘铜价收涨0.02%。精矿供应延续紧张状态，冶炼利润承压，但冶炼产 量延续高增长。国家统计局数据显示，电力行业延续正增长，光伏抢装同比 | | | 铜 | 陡增，未来增速可能放缓；汽车产销正增长；家电产量增速趋缓；地产持续 | 可能短期区 | | | 疲弱。多空因素交织，铜价可能区间波动。关注美元、铜冶炼产量和下游需 | 间波动 | | | 求等变化。 | | | | 锌：夜盘锌价收涨0.16%。锌精矿加工费总体回升，冶炼利润转正，冶炼产量 有望持续回升。中钢协统计的镀锌板库存周度增加。基建投资累计增速小幅 | | | 锌 | 正增长，汽车产销正增长，家电产量增速趋缓，地产持续疲弱。短期供求差 | 可能短期宽 | | | 异可能向过剩倾斜，锌价可能区间偏弱波动。建议关注美元、冶炼产量和下 | 幅偏弱波动 | | | 游需求等变化。 | | | | 分析师：李野 | | | | 从业资格号： ...

Report Investment Rating - Not mentioned in the report Core View - The September market trend is more volatile compared to July and August, entering a high-level consolidation phase after a continuous rise. In the long run, China's capital market is at the beginning of a strategic allocation period. The CSI 500 and CSI 1000 indices, which have more technology growth components, are more offensive with large fluctuations but may bring higher returns. The SSE 50 and CSI 300 indices, which have more dividend blue-chip components, are more defensive with small fluctuations and relatively weak price elasticity [2] Summary by Directory 1. Stock Index Futures Market - **IF Contracts**: The previous day's closing prices for IF contracts showed declines, with decreases ranging from -0.11% to -0.25%. The trading volume and open interest had different changes, with open interest increasing in some contracts and decreasing in others [1] - **IH Contracts**: The prices of IH contracts also declined, with decreases ranging from -0.24% to -0.34%. The trading volume and open interest changed, with open interest showing a mixed pattern of increase and decrease [1] - **IC Contracts**: The prices of IC contracts increased, with increases ranging from 0.55% to 0.65%. The trading volume and open interest had different changes, with open interest generally increasing [1] - **IM Contracts**: The prices of IM contracts decreased, with decreases ranging from -0.44% to -0.72%. The trading volume and open interest changed, with open interest showing a mixed pattern of increase and decrease [1] - **Inter - month Spreads**: The inter - month spreads of different contracts had different changes compared to the previous values [1] 2. Stock Index Spot Market - **Major Indexes**: The CSI 300 index increased by 0.24%, the SSE 50 index decreased by -0.15%, the CSI 500 index decreased by -0.10%, and the CSI 1000 index decreased by -0.24%. Other major domestic and overseas indexes also had different degrees of increase or decrease [1] - **Industry Indexes**: Different industries in the CSI 300 index had different price changes, with some industries rising and some falling [1] 3. Futures - Spot Basis - The basis of different contracts relative to their corresponding spot indexes had different values and changes compared to the previous two - day values [1] 4. Other Domestic and Overseas Indexes - Domestic and overseas major indexes, such as the Shanghai Composite Index, Shenzhen Component Index, and overseas indexes like the Hang Seng Index, Nikkei 225, etc., had different degrees of increase or decrease [1] 5. Macro Information - The Ministry of Commerce and other nine departments issued policies to expand service consumption, including 19 measures in five aspects, and proposed to build pilot cities for new consumption formats [2] - Trump said he would talk to Chinese leaders, and the Chinese Foreign Ministry spokesperson had no specific information to provide [2] - The central bank governor pointed out that the international monetary system may evolve towards a pattern of co - existence, competition, and mutual restraint of several sovereign currencies [2] - The so - called "cancellation of the overseas individual housing purchase limit in China" is a misreading, and the policy only optimizes the review process [2] 6. Industry Information - A ±800 kV UHV DC transmission project from Southeast Tibet to the Guangdong - Hong Kong - Macao Greater Bay Area started construction, with a total investment of about 53.2 billion yuan and over 150 billion yuan in supporting power base investment [2] - Guangdong Province issued an action plan to empower the toy industry with AI, aiming for a scale - above - designated - size toy industry revenue of 100 billion yuan and an AI toy penetration rate of over 30% by 2027 [2] - Suzhou released an "AI +" urban action plan, aiming to gather over 3000 AI enterprises by the end of 2026, with an average annual growth rate of over 20% in the core scale of the intelligent economy industry [2] - The China Real Estate Association's direct - sales platform for commercial housing was officially launched, with 15 initial signing units [2] - The world's first AI Agent trading market, MuleRun, was officially launched [2]

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating. 2. Core View of the Report - For protein meal, the night - session of soybean meal showed weak fluctuations, while rapeseed meal closed slightly higher. The September USDA report had a neutral - bearish impact on the market. With expectations of improved domestic supply, short - term soybean meal futures are expected to fluctuate weakly. For oils, the night - session of oils showed strong performance. Despite the lower - than - expected August palm oil exports from Malaysia, the bearish impact has been mostly digested. Due to flood concerns in Sabah and strong Indian imports, short - term oils are expected to fluctuate strongly [3]. 3. Summary by Relevant Catalogs Domestic Futures Market - **Prices and Changes**: The previous day's closing prices of domestic futures for soybean oil, palm oil, and rapeseed oil were 8418, 9482, and 10053 respectively, with price changes of 42, 60, and 153, and percentage changes of 0.50%, 0.64%, and - 3.15%. For soybean meal, rapeseed meal, and peanuts, the closing prices were 3041, 2530, and 8844, with price changes of - 1, 21, and 26, and percentage changes of - 0.03%, 0.84%, and 0.29% [2]. - **Spreads and Ratios**: The current spreads of Y9 - 1, P9 - 1, and OI9 - 1 were - 68, 116, and 87, compared to previous values of 6, 202, and 129. The current M9 - 1 and RM9 - 1 spreads were - 57 and - 17, compared to previous values of - 35 and 17 [2]. International Futures Market - **Prices and Changes**: The previous day's closing prices of BMD palm oil, CBOT soybeans, CBOT soybean oil, and CBOT soybean meal were 4383 ringgit/ton, 1043 cents/bushel, 52 cents/pound, and 286 dollars/ton. The price changes were - 42, 6, 1, and 0, with percentage changes of - 0.95%, 0.55%, 1.72%, and 0.07% [2]. Domestic Spot Market - **Prices and Changes**: The current spot prices of Tianjin and Guangzhou first - grade soybean oil were 8640 and 8750, with percentage changes of 0.70% and 0.69%. The current spot prices of Zhangjiagang and Guangzhou 24° palm oil were 9510 and 9400, with percentage changes of 0.85% and 0.86% [2]. - **Spreads and Basis**: The current spot spread between Guangzhou first - grade soybean oil and 24° palm oil was - 590, compared to a previous value of - 610. The current spot basis of Tianjin first - grade soybean oil was 222 [2]. Import and Crushing Profits - **Profits**: The current import and crushing profits of near - month Malaysian palm oil, near - month US Gulf soybeans, near - month Brazilian soybeans, near - month US West soybeans, near - month Canadian crude rapeseed oil, and near - month Canadian rapeseed were - 223, 32, - 148, 219, 879, and 992, compared to previous values of - 287, 13, - 176, 203, 722, and 891 [2]. Industry Information - **Brazilian Exports and Production**: Brazil's September soybean export forecast rose to 753 million tons from 743 million tons the previous week. September soybean meal export forecast rose to 219 million tons from 211 million tons, and corn export forecast reached 712 million tons from 696 million tons. Brazil's 2024/25 soybean production forecast remained at 17030 million tons, 2025 export forecast remained at 10950 million tons, and 2025 crushing forecast was raised to 5850 million tons [3]. MPOb Report - **Malaysian Palm Oil Data**: Malaysia's August palm oil production was 1.85 million tons, a 2.35% month - on - month increase. Exports were 1.32 million tons, a 0.29% month - on - month decrease. The inventory at the end of August was 2.2 million tons, a 4.18% month - on - month increase [3].

Group 1: Investment Rating - No investment rating for the industry is provided in the report. Group 2: Core View - The polyolefin market saw a rally followed by a decline. From a fundamental perspective, the polyolefin spot market is still driven by supply and demand. Currently, PE inventory is being slowly digested, and PP inventory has also improved. After continuous declines, short - selling pressure has been released. With the stabilization of crude oil prices, it provides support for chemical products. The market also rebounded after continuous declines. In the short term, the recovery of terminal demand may support the market to oscillate and rebound. Future attention should be paid to the potential rebound after the market stabilizes and the situation of the Fed meeting this week [2]. Group 3: Summary by Directory Futures Market - **LL Futures**: For the 1 - month contract, the previous day's closing price was 7234, up 2 from the day before with a 0.03% increase, trading volume was 256083, and open interest was 524036 with a decrease of 30939. The 1 - 5 month spread was - 41 (previous value - 20) [2]. - **PP Futures**: For the 1 - month contract, the previous day's closing price was 6970, up 4 from the day before with a 0.06% increase, trading volume was 324397, and open interest was 581302 with a decrease of 34852. The 1 - 5 month spread was - 30 (previous value - 22) [2]. Raw Material and Spot Market - **Raw Materials**: Methanol futures were at 2377 yuan/ton (previous value 2398), Shandong propylene was at 6575 yuan/ton (previous value 6600), South China propane was at 595 dollars/ton (unchanged), PP recycled materials were at 5600 yuan/ton (unchanged), and North China powder was at 6750 yuan/ton (previous value 6700) [2]. - **Spot Market**: LL in the East China market was priced at 7200 - 7700 yuan/ton (previous value 7150 - 7700), and PP in the East China market was priced at 6750 - 6950 yuan/ton (unchanged) [2]. News - On Tuesday (September 16), the settlement price of WTI crude oil futures for October 2025 on the New York Mercantile Exchange was $64.52 per barrel, up $1.22 or 1.93% from the previous trading day. The settlement price of Brent crude oil futures for November 2025 on the London Intercontinental Exchange was $68.47 per barrel, up $1.03 or 1.53% from the previous trading day [2].

报告日期：2025 年 9 月 16 日 申银万国期货研究所 首席点评：金价上行，双焦强势 据央视新闻，中国商务部国际贸易谈判代表兼副部长李成钢说，关于 TikTok 问 题，中国一贯反对将科技和经贸问题政治化、工具化、武器化，绝不会以牺牲原 则立场、企业利益和国际公平正义为代价，寻求达成任何协议。中美双方就以合 作方式妥善解决 TikTok 相关问题等达成了基本框架共识。8 月社会消费品零售 同比增速放缓至 3.4%，8 月规模以上工业增加值同比 5.2%，装备制造业和高技 术制造业增势较好。1-8 月全国固定资产投资增长 0.5%，制造业投资增长 5.1%。 1-8 月房地产开发投资同比下降 12.9%，新建商品房销售面积同比下降 4.7%。 重点品种：焦煤、黄金、玻璃 焦煤：昨日夜盘双焦主力合约延续强势，焦煤持仓环比明显增加。从上周公布的 钢联数据来看，累库仍由螺纹贡献、热卷库存环比微幅下降，整体表需环比增加、 增量主要源于热卷，建材与板材之间进一步分化，铁水产量快速恢复，将进一步 加剧成材的供应的压力，叠加第二轮焦炭提降预期的出现、成材利润持续走缩、 以及同期低位的近远月价差均会对盘面走势形成压力，但 ...

Report Summary 1. Report Industry Investment Rating - No industry investment rating information is provided in the content. 2. Core Viewpoints - Copper prices may fluctuate within a short - term range due to the combination of factors such as tight concentrate supply, high smelting output growth, positive growth in the power and automotive industries, and weak real estate [2]. - Zinc prices may experience short - term wide - range and weak fluctuations as the supply - demand difference may tilt towards surplus, with factors like rising smelting output and weak real estate [2]. 3. Summary According to Related Content Copper - **Market Situation**: Night - session copper prices closed higher. Concentrate supply remains tight, squeezing smelting profits, but smelting output continues to grow rapidly. The power industry has positive growth, with a sharp year - on - year increase in PV installations (future growth may slow), automotive production and sales are growing, home appliance output growth is slowing, and the real estate sector is weak [2]. - **Price Outlook**: Copper prices may fluctuate within a range. Key factors to watch include the US dollar, copper smelting output, and downstream demand [2]. - **Market Data**: The previous domestic futures closing price was 81,000 yuan/ton, the domestic basis was 70 yuan/ton, the previous LME 3 - month closing price was 10,189 dollars/ton, LME spot premium was - 61.93 dollars/ton, LME inventory was 153,950 tons with a daily decrease of 225 tons [2]. Zinc - **Market Situation**: Night - session zinc prices closed higher. Zinc concentrate processing fees have generally increased, turning smelting profits positive, and smelting output is expected to continue rising. Galvanized sheet inventory increased weekly, infrastructure investment has a small positive cumulative growth rate, automotive production and sales are growing, home appliance output growth is slowing, and the real estate sector is weak [2]. - **Price Outlook**: Zinc prices may have short - term wide - range and weak fluctuations as the short - term supply - demand difference may tilt towards surplus. Key factors to watch include the US dollar, smelting output, and downstream demand [2]. - **Market Data**: The previous domestic futures closing price was 22,235 yuan/ton, the domestic basis was - 85 yuan/ton, the previous LME 3 - month closing price was 2,982 dollars/ton, LME spot premium was 26.76 dollars/ton, LME inventory was 50,525 tons with a daily decrease of 100 tons [2]. Other Metals - **Aluminum**: The previous domestic futures closing price was 20,925 yuan/ton, the domestic basis was - 50 yuan/ton, the previous LME 3 - month closing price was 2,705 dollars/ton, LME spot premium was 4.77 dollars/ton, LME inventory was 485,275 tons with no daily change [2]. - **Nickel**: The previous domestic futures closing price was 122,500 yuan/ton, the domestic basis was - 460 yuan/ton, the previous LME 3 - month closing price was 15,425 dollars/ton, LME spot premium was - 185.68 dollars/ton, LME inventory was 225,084 tons with a daily increase of 1,932 tons [2]. - **Lead**: The previous domestic futures closing price was 17,150 yuan/ton, the domestic basis was - 130 yuan/ton, the previous LME 3 - month closing price was 2,002 dollars/ton, LME spot premium was - 47.54 dollars/ton, LME inventory was 229,575 tons with a daily decrease of 3,050 tons [2]. - **Tin**: The previous domestic futures closing price was 275,090 yuan/ton, the domestic basis was - 630 yuan/ton, the previous LME 3 - month closing price was 34,680 dollars/ton, LME spot premium was - 132.00 dollars/ton, LME inventory was 2,620 tons with a daily increase of 235 tons [2].

Report Industry Investment Rating - No relevant information provided Core Viewpoints - The September trend is more volatile compared to July and August, entering a high - level consolidation phase after continuous growth. The divergence between long and short forces due to increased hedging demand of some funds at high levels brings greater fluctuations to stock index futures. However, in the long - term, the strategic allocation period of the Chinese capital market has just begun. The CSI 500 and CSI 1000 indices, which have more technology - growth components, are more offensive with higher volatility but may bring higher returns, while the SSE 50 and CSI 300 indices, which have more dividend - blue - chip components, are more defensive with lower volatility but relatively weaker price elasticity [2] Summary by Directory 1. Stock Index Futures Market - **IF Contracts**: The closing prices of IF contracts showed different changes, with the next - month contract rising by 2.20, the next - quarter contract falling by 2.20, and the far - quarter contract falling by 8.60. The trading volume of the current - month contract was 73,627.00, and the open interest decreased by 17,133.00 [1] - **IH Contracts**: The closing prices of IH contracts generally declined, with the current - month contract falling by 7.40. The trading volume of the current - month contract was 31,164.00, and the open interest decreased by 5,440.00 [1] - **IC Contracts**: The closing prices of IC contracts all decreased, with the current - month contract falling by 38.20. The trading volume of the current - month contract was 67,687.00, and the open interest decreased by 20,183.00 [1] - **IM Contracts**: The closing prices of IM contracts also decreased, with the current - month contract falling by 32.20. The trading volume of the current - month contract was 107,983.00, and the open interest decreased by 19,043.00 [1] - **Inter - month Spreads**: The inter - month spreads of IF, IH, IC, and IM contracts changed, for example, the IF next - month minus current - month spread was - 8.00 (previous value: - 6.20) [1] 2. Stock Index Spot Market - **Major Indices**: The CSI 300 index rose by 0.24%, the SSE 50 index fell by - 0.20%, the CSI 500 index fell by - 0.15%, and the CSI 1000 index fell by - 0.10%. Different industries in the CSI 300 index also had different performance, with the industrial sector rising by 2.14% and the real - estate and finance sector falling by - 0.62% [1] 3. Basis between Futures and Spot - The basis between different stock index futures contracts and their corresponding spot indices changed, for example, the IF current - month minus CSI 300 basis was - 5.26 (previous value: 1.20) [1] 4. Other Domestic and Overseas Indices - **Domestic Indices**: The Shanghai Composite Index fell by - 0.26%, the Shenzhen Component Index rose by 0.63%, the Small and Medium - sized Board Index rose by 0.76%, and the ChiNext Index rose by 1.52% [1] - **Overseas Indices**: The Hang Seng Index rose by 0.22%, the Nikkei 225 rose by 0.89%, the S&P 500 rose by 0.47%, and the DAX Index rose by 0.21% [1] 5. Macro Information - Sino - US economic and trade talks were held in Madrid, reaching a basic framework consensus on issues such as resolving the TikTok issue, reducing investment barriers, and promoting relevant economic and trade cooperation. China's economic data in August showed that the industrial added value increased by 5.2% year - on - year, and the social consumer goods retail总额 increased by 3.4% year - on - year [2] 6. Industry Information - In August, the new - house prices in first - tier cities decreased by 0.1% month - on - month, and the decrease in second - tier cities decreased by 0.3% month - on - month. The State Council issued a document to strengthen the comprehensive supervision of the tourism market. 17 car companies will implement the initiative on payment of supplier accounts. Guangzhou plans to build at least 300 V2G piles by the end of 2025 and launched a car - consumption promotion activity. Henan aims to make the AI industry scale exceed 160 billion yuan by 2027 [2]

Group 1: Report Industry Investment Rating - No relevant information provided Group 2: Core Viewpoints of the Report - The polyolefin market rebounded from the bottom. The spot prices of linear LL remained stable for Sinopec and partially stable for PetroChina, while the spot prices of drawn PP remained stable for Sinopec and some were reduced by 100 by PetroChina. Fundamentally, the polyolefin spot market is still mainly driven by supply and demand. Currently, the PE inventory is being slowly digested, and the PP inventory has also improved. After continuous declines, the short - selling pressure has been released, and the stabilization of crude oil prices provides support for chemical products. The market may rebound after the stop - fall, and attention should be paid to the Federal Reserve meeting this week [2] Group 3: Summary by Relevant Catalogs Futures Market - **LL and PP Prices**: For LL, the previous day's closing prices for January, May, and September contracts were 7232, 7252, and 7269 respectively, with increases of 63, 71, and 219 and increases of 0.88%, 0.99%, and 3.11% respectively. For PP, the previous day's closing prices for January, May, and September contracts were 6966, 6988, and 6967 respectively, with increases of 53, 52, and 180 and increases of 0.77%, 0.75%, and 2.65% respectively [2] - **Trading Volume and Open Interest**: The trading volumes of LL for January, May, and September contracts were 264026, 11216, and 49 respectively, and the open interests were 554975, 37371, and 19 respectively, with open - interest changes of - 6135, 1505, and 19 respectively. For PP, the trading volumes for January, May, and September contracts were 297850, 13616, and 288 respectively, and the open interests were 616154, 57544, and 279 respectively, with open - interest changes of - 27201, 2816, and 279 respectively [2] - **Spreads**: The current spreads of LL for January - May, May - September, and September - January were - 20, - 17, and 37 respectively, compared with previous values of - 12, 131, and - 119. For PP, the current spreads for January - May, May - September, and September - January were - 22, 21, and 1 respectively, compared with previous values of - 23, 149, and - 126 [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 plastic film were 2398 yuan/ton, 6600 yuan/ton, 595 dollars/ton, 5600 yuan/ton, 6770 yuan/ton, and 8800 yuan/ton respectively. Most of these prices remained unchanged compared with the previous values [2] - **Mid - stream Products**: The current price ranges of LL in the East China, North China, and South China markets were 7150 - 7700 yuan/ton, 7100 - 7450 yuan/ton, and 7300 - 7750 yuan/ton respectively. The current price ranges of PP in the East China, North China, and South China markets were 6750 - 6950 yuan/ton, 6700 - 6850 yuan/ton, and 6700 - 6900 yuan/ton respectively [2] News - On Monday (September 15), the settlement price of WTI crude oil futures for October 2025 on the New York Mercantile Exchange was $63.30 per barrel, up $0.61 or 0.97% from the previous trading day, with a trading range of $62.52 - $63.67. The settlement price of Brent crude oil futures for November 2025 on the London Intercontinental Exchange was $67.44 per barrel, up $0.45 or 0.67% from the previous trading day, with a trading range of $66.78 - $67.85 [2]