商品期货持仓跟踪 Commodity Futures Open Interest Tracking 2025年6月6日 始于信 达于行 诚信 融合 创新 卓越 Integrity Integration Innovation Excellence 量化研究员 陈蔚文 交易咨询证号：Z0019441 联系电话：0571-28132619 邮箱：chenweiwen@cindasc.com 热卷、工业硅、焦煤、苯乙烯 持仓量百分位低于10%： 焦炭、动力煤 今日增仓前五： 沪银、短纤、低燃油、苹果、白糖 今日减仓前五： 玻璃、PVC、沪锡、沪镍、菜油 请务必阅读正文之后的免责声明条款 主要观点 持仓量百分位高于90%： 1 数据概览 | 品种 | 百分位 | 今日増减 | 5日増减 | 30日増减 | 品种 | 百分位 | 今日增减 | 5日増减 | 30日増减 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 沪银 | 88. 49% | 12. 06% | 15. 71% | 13. 04% | 焦煤 | 96. 77% | - ...

报告内容摘要: [Table_Summary] 白糖：由于糖料种植的经济效益显著，加上国家政策和制糖企业的积极支 持，农民的种植积极性有所提升，导致糖料种植面积稳步增长。然而，广西 早期的干旱天气对宿根甘蔗的出苗和新植甘蔗的种植产生了不利影响，从而 限制了食糖产量的增长。食糖消费量预期保持平稳或略有增加，食糖的供需 缺口基本稳定，进口量预期维持在 500 万吨不变。短期观望为主 软商品日报 走势评级： 白糖——震荡 棉花——震荡 棉花：新疆的棉花目标价格补贴政策保持稳定，棉农的种植积极性较高， 种植面积略有增加；而内地棉区由于比较效益低和机械化推广难度大等因 素，种植面积持续下降。在棉花播种和出苗期间，主要产区的气候条件良好， 预计单产为每公顷 2172 公斤（每亩 144.8 公斤），与去年持平。棉花总产 量预计为 625 万吨，比去年增加 1.4%。受美国过度征收关税的影响，棉花 消费预期偏弱，但未来仍存在一定的不确定性。预计新年度的棉花消费量为 740 万吨，较去年小幅减少 20 万吨，进口量也下调至 140 万吨，减少 10 万吨。短期观望。 商品研究 | 走势评级: | 白糖 | 震荡 | | -- ...

1. Report Industry Investment Rating - Jiao coal: Sideways to slightly bearish [1] - Coke: Sideways [1] 2. Core Viewpoints - The impact of tariffs will gradually weaken, and the focus will return to the domestic economic situation. The market is looking forward to supply - side production restrictions and fiscal policies to boost domestic demand [4]. - For coking coal, supply is shrinking due to environmental inspections and safety production, but the import pressure from Mongolia remains. If the mine capacity utilization rate continues to decline, the upstream inventory pressure will gradually ease [4]. - For coke, cost and downstream demand are decisive factors. With weakening supply - demand, the second - round price cut of coke has been fully implemented, and there may be two more rounds of price cuts in June if the cost side does not stabilize [4]. - The recent rise in coking coal is mainly driven by supply - side news and should be regarded as a rebound rather than a reversal. Short - term advice is to hold J09 long positions lightly and add positions after confirming the bottom [5]. 3. Summary by Related Catalogs Coking Coal Market Conditions - Spot is weak, while futures are rebounding. Mongolian 5 main coking coal is reported at 893 yuan/ton (unchanged), the active contract is at 757 yuan/ton (down 11 yuan), the basis is 156 yuan/ton (up 11 yuan), and the 9 - 1 month spread is - 16 yuan/ton (up 2 yuan) [1]. - Mine开工率 continues to decline, and coking enterprise开工率 remains flat. The开工 rate of 523 mines is 85.49% (down 0.81), the开工 rate of 110 coal washing plants is 61.55% (down 0.81), and the production rate of 230 independent coking enterprises is 75.08% (down 0.1) [2]. - Upstream inventory is accumulating, and downstream inventory is decreasing. The refined coal inventory of 523 mines is 473.03 million tons (up 25.5 million tons), the refined coal inventory of coal washing plants is 222.07 million tons (up 7.33 million tons), the inventory of 247 steel mills is 786.79 million tons (down 11.96 million tons), the inventory of 230 coking enterprises is 716.66 million tons (down 21.3 million tons), and the port inventory is 303.09 million tons (up 1.53 million tons) [2]. Strategy Suggestions - The supply of coking coal is shrinking, but the import pressure remains. If the mine capacity utilization rate continues to decline, the upstream inventory pressure will ease. The recent rise is a rebound, not a reversal. Short - term advice is to hold J09 long positions lightly and add positions after confirming the bottom [4][5]. Coke Market Conditions - The third - round spot price cut has started, and futures are rebounding. Tianjin Port's quasi - first - grade coke is reported at 1340 yuan/ton (unchanged), and some steel mills have started the third - round price cut. The active contract is at 1342 yuan/ton (down 25.5 yuan), the basis is 98.86 yuan/ton (up 25.5 yuan), and the 9 - 1 month spread is - 16.5 yuan/ton (down 8 yuan) [3]. - Supply remains flat, and demand has peaked and declined. The production rate of 230 independent coking enterprises is 75.08% (down 0.1), the capacity utilization rate of 247 steel mills is 90.69% (down 0.63), and the daily average pig iron output is 241.91 million tons (down 1.69 million tons) [3]. - Upstream inventory is accumulating, and downstream inventory is decreasing. The inventory of 230 coking enterprises is 78.33 million tons (up 5.23 million tons), the inventory of 247 steel mills is 654.93 million tons (down 5.66 million tons), and the port inventory is 217.18 million tons (down 5.91 million tons) [3]. Strategy Suggestions - Cost and downstream demand are decisive factors. With weakening supply - demand, the second - round price cut of coke has been fully implemented, and there may be two more rounds of price cuts in June if the cost side does not stabilize [4].

Group 1: Report Industry Investment Rating - The industry investment rating for the stock index is "Oscillation" [1] Group 2: Core Viewpoints of the Report - In May, fundamental factors changed little. Against the backdrop of a protracted trade - war, the story of China's asset revaluation driven by fundamental inflection points is difficult to start. It is expected that the stock index will continue to oscillate in June, and a band - operation strategy is recommended [3] - The current stock index rally is mainly driven by retail sentiment and theme speculation, with domestic liquidity as the main source, making the A - share index relatively independent globally. The stock index is at a relatively high position within the oscillation range, and there is a need for further adjustment in technical terms. Considering the high probability of market sentiment cooling in the second quarter historically, it is advisable to wait for a pull - back [3] - For futures operations, it is recommended to wait and see in the short term, with the lower support level at the position on April 9th. A band - operation strategy is recommended on a monthly basis. For options operations, the implied volatility of stock - index options is oscillating at a low level. The cost of buying options during the waiting period for a breakthrough is expected to be high, and the premium from selling options is limited. It is recommended to wait for a second wave of rising volatility before engaging in double - selling [3] Group 3: Summary by Relevant Catalogs Macro Stock Market Information - FTSE Russell announced the quarterly review changes to the FTSE China Index Series, which will take effect after the close on June 20th. Jiangsu Bank will be included in the FTSE China A50 Index, while Great Wall Motor will be removed. A - shares such as BeiGene, Yili Group, SAIC Motor, Seres, and Inovance Technology are included in the candidate list [4] - The US ADP employment in May increased by 37,000, lower than the expected 110,000 and the previous value of 62,000. After the release of the data, US President Trump called for Fed Chairman Powell to cut interest rates [4] Stock Index Disk Review - **Market Performance**: In the previous trading day, the A - shares rose collectively. Among the four major indices, the Shanghai 50 Index rose 0.13%, the CSI 300 Index rose 0.43%, the CSI 500 Index rose 0.78%, and the CSI 1000 Index rose 0.88%. The leisure goods (+3.05%) and motorcycle (+2.56%) sectors led the gains, while the land transportation (-1.15%) and aviation (-1.08%) sectors lagged. More than 3,900 stocks rose, and 87 stocks hit the daily limit, indicating a rebound in the profit - making effect [4] - **Technical Analysis**: After a previous oversold rebound, the stock indices generally approached the upper edge of the gap. The pressure at the daily and weekly levels has increased, while the monthly - line shows an oscillating trend [4] - **Fund Flow**: The trading volume of A - shares is oscillating at a low level, remaining around 1.1 - 1.2 trillion yuan. Market sentiment is cautious, and the sustainability of the market is poor [4]

1. Report Industry Investment Rating - Coke - Oscillating weakly [1] - Coking coal - Oscillating weakly [1] 2. Core Viewpoints of the Report - The PMI data in May rebounded month - on - month compared to April. Although it is still below 50, it is stronger than the seasonality, mainly due to the repair of export orders after the China - US economic and trade agreement reached in Geneva. The focus will return to the domestic economic operation. The market is looking forward to supply - side production restrictions and fiscal policies to boost domestic demand [4]. - For coking coal, supply is shrinking due to environmental inspections and safety production, and the biggest bearish pressure is loosening. However, the high - level Mongolian coal customs clearance still poses import pressure. If the mine capacity utilization rate continues to decline, the upstream inventory accumulation pressure will gradually ease [4]. - For coke, cost and downstream demand are the decisive factors for its future trend. With the continuous decline of coking coal prices, coke enterprises still have a small profit and supply remains flat. Iron - water production has been decreasing for three consecutive weeks, and demand has peaked. If the cost side does not stabilize, it is expected that coke spot prices may see two more rounds of price cuts in June [4]. - Currently, the price has basically reached the cost line of most coal mines, and the room for further decline is limited. Short - term advice is to continue to hold a small position of J09 long orders and add positions after confirming the bottom [5]. 3. Summary by Relevant Catalogs Coking Coal Supply - The supply of coking coal is affected by environmental inspections and safety production and has begun to shrink. Domestic coking coal mine operating rates have declined from their high levels. 523 mines have an operating rate of 85.49% (-0.81), and 110 coal washing plants have an operating rate of 61.55% (-0.81) [1]. Inventory - Upstream inventory is accumulating, and downstream inventory is decreasing. 523 mines have a clean coal inventory of 473.03 million tons (+25.5), coal washing plants have a clean coal inventory of 222.07 million tons (+7.33), 247 steel mills have an inventory of 786.79 million tons (-11.96), 230 coke enterprises have an inventory of 716.66 million tons (-21.3), and port inventory is 303.09 million tons (+1.53) [2]. Price - Mongolian 5 coking coal is reported at 918 yuan/ton (-0), and the active contract is reported at 768 yuan/ton (+49). The basis is 145 yuan/ton (-74), and the 9 - 1 month spread is -18 yuan/ton (-1.5) [1]. Coke Supply - Coke supply remains flat. The production rate of 230 independent coke enterprises is reported at 75.08% (-0.1) [1][3]. Demand - Demand has peaked and declined. The capacity utilization rate of 247 steel mills is reported at 90.69% (-0.63), and the daily average iron - water output is 241.91 million tons (-1.69) [3]. Inventory - Upstream inventory is accumulating, and downstream inventory is decreasing. 230 coke enterprises have an inventory of 78.33 million tons (+5.23), 247 steel mills have an inventory of 654.93 million tons (-5.66), and port inventory is 217.18 million tons (-5.91) [3]. Price - The quasi - first - grade coke at Tianjin Port is reported at 1340 yuan/ton (-0), and some steel mills have initiated the third - round price cut. The active contract is reported at 1367.5 yuan/ton (+68.5). The basis is 73.36 yuan/ton (-68.5), and the 9 - 1 month spread is -8.5 yuan/ton (+15) [3]. Strategy Recommendations - For coking coal, if the mine capacity utilization rate continues to decline, the upstream inventory accumulation pressure will gradually ease. - For coke, if the cost side does not stabilize, it is expected that coke spot prices may see two more rounds of price cuts in June. Short - term advice is to continue to hold a small position of J09 long orders and add positions after confirming the bottom [4][5].

1. Report Industry Investment Ratings - Nickel - Rolling short selling [1] - Stainless steel - Hold [1] - Zinc - Bearish outlook [3] 2. Core Views Nickel and Stainless Steel - The Fed's "Beige Book" shows a pessimistic economic outlook, with increased policy uncertainty and price pressures. Nickel remains in a range - bound pattern. Nickel ore prices are seasonally weak, and the overall supply of nickel is in surplus. Demand is weak, with the main operating range between 118,000 - 133,000 yuan, and the core operating range between 120,000 - 127,000 yuan [1][2] Zinc - From January to April, the revenue and profit of large - scale non - ferrous metal industrial enterprises increased. Zinc supply is generally loose, while demand has some resilience but is expected to be weak in the short term. Overall, it is bearish [3][4] 3. Summary by Directory Macro & Industry News - For nickel and stainless steel, the Fed's "Beige Book" on June 4 shows that US economic activity has declined slightly, with increased policy uncertainty and price pressures. Some regions' enterprises increased procurement due to tariffs, and the residential real estate market was basically flat [1] - For zinc, from January to April, 11,945 large - scale non - ferrous metal industrial enterprises had a revenue of 3.08779 trillion yuan, a year - on - year increase of 18.0%. The revenue profit margin was 4.15%, 0.39 percentage points higher than the same period last year [3] Supply - **Nickel**: Philippine nickel ore shipments and domestic arrivals have increased, and nickel ore prices have weakened seasonally. Domestic nickel - iron production has slightly decreased, while Indonesian nickel - iron production has increased rapidly (year - on - year increase over 30%, month - on - month increase over 10%). Domestic nickel - iron imports and total supply are high, remaining in surplus. Electrolytic nickel production has a small month - on - month decrease but a year - on - year increase of over 45% [1] - **Zinc**: During the narrow - range fluctuation of zinc prices, the profit per ton of mining enterprises is about 4,000 yuan/ton. The processing fees in the north and south have returned to 3,500 yuan/ton. Both integrated and smelting enterprises will maintain high production, and the supply of zinc ingots is generally loose [3] Demand - **Nickel**: In the process of producing nickel sulfate from nickel beans, the cost of nickel is about 127,000 yuan. The demand support for downstream nickel sulfate is about 126,700 yuan/ton, and the profit threshold for external procurement manufacturers has dropped to 133,000 yuan/ton. Nickel - iron and stainless - steel integrated manufacturers previously had high stainless - steel production, but nickel - iron profits have shrunk since May, which may affect stainless - steel production. Overall, demand is weak [2] - **Zinc**: Galvanized production capacity has expanded, but utilization and output are low, and manufacturers' production enthusiasm is low. Zinc oxide's upward trend is due to seasonal demand, with limited upside. Die - casting alloy production has increased, but there is an expectation of a decline in downstream operating rates. Overall, short - term zinc demand is difficult to improve significantly, but there is still resilience [4] Conclusion - **Nickel and stainless steel**: The main operating range is between 118,000 - 133,000 yuan, and the core operating range is between 120,000 - 127,000 yuan. It is recommended to take partial profits on previous short positions and roll short after rebounds [2] - **Zinc**: The impact of tariffs has temporarily subsided. Short - term supply is stable with a slight increase, and the demand peak season has passed. Manufacturers are pessimistic about the terminal, so it is bearish overall. It is recommended to short with a light position [4][5]

| 走势评级: | 白糖 | 震荡 | | --- | --- | --- | | | 棉花- | 震荡 | 商品研究 张秀峰—分析师 从业资格证号：F0289189 投资咨询证号：Z0011152 联系电话：0571-28132619 邮箱：zhangxiufeng@cindasc.com 期货研究报告 订单增幅有限，棉花短线承压 [T报ab告le日_R期ep：ortDate] 2025-06-05 报告内容摘要: [Table_Summary] 白糖：由于糖料种植的经济效益显著，加上国家政策和制糖企业的积极支 持，农民的种植积极性有所提升，导致糖料种植面积稳步增长。然而，广西 早期的干旱天气对宿根甘蔗的出苗和新植甘蔗的种植产生了不利影响，从而 限制了食糖产量的增长。食糖消费量预期保持平稳或略有增加，食糖的供需 缺口基本稳定，进口量预期维持在 500 万吨不变。短期观望为主 软商品日报 走势评级： 白糖——震荡 棉花——震荡 棉花：新疆的棉花目标价格补贴政策保持稳定，棉农的种植积极性较高， 种植面积略有增加；而内地棉区由于比较效益低和机械化推广难度大等因 素，种植面积持续下降。在棉花播种和出苗期间，主要产区 ...

Report Industry Investment Ratings - Nickel: Rolling short [1] - Stainless steel: Hold [1] - Zinc: Bearish outlook [3] Core Views Nickel and Stainless Steel - The Philippines has emerged from the rainy season, leading to increased nickel ore arrivals and shipments, causing a seasonal decline in nickel ore prices and reduced costs across the nickel industry chain [1]. - Domestic nickel - iron production has slightly decreased due to negative profit margins, but Indonesian nickel - iron production has grown rapidly, with a year - on - year increase of over 30% and a month - on - month increase of over 10%. Total nickel - iron supply remains in surplus [1]. - The cost of nickel in the nickel - bean - to - nickel - sulfate process is around 127,000 yuan, and demand support from downstream nickel - sulfate costs is about 126,700 yuan/ton. The profit threshold for external procurement manufacturers has dropped to 133,000 yuan/ton [2]. - Nickel - iron and stainless - steel integrated manufacturers could use nickel - iron profits to offset stainless - steel losses. However, since May, nickel - iron profits have shrunk rapidly, potentially affecting stainless - steel production. Overall demand is weak [2]. - The main operating range for nickel is between 118,000 and 133,000 yuan, with a core range of 120,000 - 127,000 yuan [2]. Zinc - From January to April, the revenue of 11,945 large - scale non - ferrous metal industrial enterprises increased by 18.0% year - on - year, and the revenue profit margin was 4.15%, up 0.39 percentage points from the previous year [4]. - During the narrow - range zinc price fluctuations, miners' per - ton profit remained around 4,000 yuan/ton. Smelters can achieve profitability with by - products. Overall zinc supply is loose [4]. - Galvanized production capacity has expanded, but utilization and output are low, and manufacturers' production enthusiasm is weak. Zinc oxide production is driven by seasonal demand, with limited upside. Die - casting alloy production has increased, but downstream demand is expected to weaken. Zinc demand has some resilience but is difficult to improve significantly in the short term [5]. - The impact of tariffs has temporarily subsided. Short - term supply is stable with a slight increase, the demand peak season has passed, and manufacturers are pessimistic about terminal demand. Overall, a bearish view is taken [5]. Summary by Directory 1. Macro Indicators - The report presents data on exchange rates (nominal US dollar index: broad, USDCNY spot exchange rate) and the Dow Jones Industrial Average [7][8][14] 2. Spot Premiums and Discounts - It shows spot premiums and discounts for various metals such as nickel, zinc, lead, and stainless steel, including domestic and LME data [9][11][15][22][24] 3. Spread Analysis - Analyzes spreads such as the monthly spread of lead and zinc futures, the spread between high - nickel iron and electrolytic nickel, and the spread between nickel sulfate and electrolytic nickel [27][28][33][35] 4. Inventory Analysis - Displays inventory data for lead, zinc, and nickel in the Shanghai Futures Exchange and LME, including seasonal inventory charts [36][38][40] 5. Profit - Presents profit data for domestic zinc smelters, high - nickel iron production, nickel sulfate production, and stainless - steel production [49][51][53][55] 6. Import Profit and Loss - Shows import profit and loss data for lead, zinc, and nickel, as well as the Shanghai - London ratio for these metals [57][59][61]

期货研究报告 金融研究 [Table_ReportType] 宏观月报 戴朝盛—宏观分析师 从业资格证号：F03118012 投资咨询证号：Z0019368 联系电话：0571-28132632 邮箱：daichaosheng@cindasc.com 震荡以待 [Table_ReportDate] 报告日期： 2025 年 6 月 4 日 报告内容摘要: [Table_Summary] 国内：关税冲击下，我国经济拐头向下。随着中美日内瓦经贸会谈达成协 议，国内整体经济信心有所回升。5 月制造业 PMI 回升 0.5 个百分点至 49.5%，但绝对值低于荣枯线，说明经济仍在下行，只是速度明显放缓。往 后看，用于经济的子弹较多。专项债和超长期特别国债仍有大量余额有待发 行。政府手头较为充裕，根据金融机构和央行资产负债表，政府存款均远高 于往年。国家发改委发言人表示力争 6 月底前下达完毕今年全部"两重"建设 项目清单。预计 6 月将是集中发力期。 国外：关税和债务问题继续扰动市场。关税方面需关注内部问题。假如特 朗普上诉失败，那么特朗普极有可能想方设法通过其他路径加征关税。可能 的路径包括 5 种。122 条款和 ...

商品研究 | 走势评级: | 白糖 | 震荡 | | --- | --- | --- | | | 棉花 | 震荡 | 张秀峰—分析师 从业资格证号：F0289189 投资咨询证号：Z0011152 联系电话：0571-28132619 邮箱：zhangxiufeng@cindasc.com 期货研究报告 受累于美元走强，棉花短线承压 [T报ab告le日_R期ep：ortDate] 2025-06-04 报告内容摘要: [Table_Summary] 白糖：由于糖料种植的经济效益显著，加上国家政策和制糖企业的积极支 持，农民的种植积极性有所提升，导致糖料种植面积稳步增长。然而，广西 早期的干旱天气对宿根甘蔗的出苗和新植甘蔗的种植产生了不利影响，从而 限制了食糖产量的增长。食糖消费量预期保持平稳或略有增加，食糖的供需 缺口基本稳定，进口量预期维持在 500 万吨不变。短期观望为主 软商品日报 走势评级： 白糖——震荡 棉花——震荡 棉花：新疆的棉花目标价格补贴政策保持稳定，棉农的种植积极性较高， 种植面积略有增加；而内地棉区由于比较效益低和机械化推广难度大等因 素，种植面积持续下降。在棉花播种和出苗期间，主要产区 ...