大宗商品研究所 农产品研发报告 农产品日报 2025 年 09 月 29 日 研究员：刘倩楠 期货从业证号： Z0014425 联系方式： :liuqiannan_qh@chinastock. com.cn 鸡蛋日报 第一部分鸡蛋日报 | 期货市场 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 今收 | | 昨收 | 涨跌 | JD跨月价差 | 今收 | 昨收 | 涨跌 | | JD01 | 3352 | 3354 | -2 | 01-05 | -43 | -33 | -10 | | JD05 | 3395 | 3387 | 8 | 05-09 | -408 | -409 | 1 | | JD09 | 3803 | 3796 | 7 | 09-01 | 451 | 442 | 9 | | 今收 | | 昨收 | 涨跌 | | 今收 | 昨收 | 涨跌 | | 01鸡蛋/玉米 | 1.57 | 1.57 | 0.00 | 01鸡蛋/豆粕 | 1.14 | 1.14 | 0.00 | | 05鸡蛋/玉米 | 1.54 | 1 ...

大宗商品研究所 农产品研发报告 研究员：刘倩楠 期货从业证号： F3013727 投资咨询证号： Z0014425 白糖日报 2025 年 9 月 29 日 白糖日报 第一部分 数据分析 liuqiannan_qh@china stock.com.cn | 期货盘面 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 期货 | | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 增减量 | 持仓量 | 增减量 | | SR09 | | 5,437 | -15 | -0.28% | 1,023 | -1554 | 4,218 | 461 | | SR01 | | 5,479 | 1 | 0.02% | 143,897 | -9408 | 417,045 | -10429 | | SR05 | | 5,437 | -5 | -0.09% | 11,392 | -2596 | 67,055 | 995 | | 现货价格 | | | | | | | | | | 白糖 | | 柳州 | 昆明 | 武汉 | 南宁 | 鲅鱼圈 ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Views of the Report - The eight - department plan aims to increase resource exploration and reserve for non - ferrous metals from 2025 - 2026, which will have a balanced impact on nickel prices. The overall consumption of non - ferrous metals shows mixed performance, with some sectors facing challenges and others having potential for improvement [43][45][55] - The copper market is affected by factors such as Grasberg's production decline, Congo - Kinshasa's smelter reduction, and domestic production issues, leading to a tight supply situation. The consumption is weak, but the bullish trend is strengthening [2][3][4] - The alumina market has an oversupply situation. Although the price rebounds slightly before the holiday, it is expected to remain weak due to the open import window and fundamental oversupply [8][12][13] - The aluminum market shows short - term shock due to factors like US economic data, domestic inventory changes, and consumption uncertainty, with potential for seasonal inventory build - up after the holiday [14][17][18] - The casting aluminum alloy market is restricted by factors such as tight waste aluminum resources and extended holidays of downstream enterprises, and the price is expected to fluctuate weakly [21][23][25] - The zinc market has potential production reduction in mines in October, with an expected increase in domestic refined zinc supply. The consumption is expected to remain weak, and the overseas de - stocking may support the price [30][31][33] - The lead market has a tight balance in the lead concentrate supply, with expected production increase in regenerated lead. The consumption in the peak season is under - performing, and the price may decline [37][40] - The nickel market has a surplus of refined nickel, but the price is affected by factors such as the plan and downstream consumption. Attention should be paid to import and inventory changes [43][45] - The stainless steel market has increased production in September, but the demand has not shown seasonal characteristics. It is expected to maintain a high - level shock [47][48] - The tin market has a tight supply in the mining end, weak demand, and a high - level shock is expected [54][56][57] - The industrial silicon market may have a short - term correction, and long positions can be considered after the correction [63][64][65] - The polysilicon market may have a short - term decline, and long positions can be re - entered after sufficient correction during the holiday [66][67] - The lithium carbonate market has strong demand and gradually narrowing supply growth. It is expected to maintain a shock pattern [70][73][74] Group 3: Summary According to Relevant Catalogs Copper - **Market Review**: The Shanghai copper 2511 contract closed at 82,370 yuan/ton, down 0.21%. The spot premium was stable, and the inventory increased by 0.82 million tons to 14.83 million tons [2] - **Important Information**: Policies encourage resource exploration and utilization, and Argentina approves a copper project. The supply is expected to increase during the holiday, while the demand will weaken [2] - **Logic Analysis**: Grasberg's production decline and other factors lead to tight supply, and the consumption is weak [3] - **Trading Strategy**: Adopt a low - long strategy for long - positions, hold cross - market positive spreads, and stay on the sidelines for options [4][5][6] Alumina - **Market Review**: The alumina 2601 contract fell to 2,904 yuan/ton, and the spot price decreased in various regions [7] - **Related Information**: Policies guide project layout, production capacity utilization rate changes, and raw material prices decline [8][9] - **Logic Analysis**: The policy has limited impact on production capacity expectations, and the price is restricted by import and oversupply [12] - **Trading Strategy**: The price is expected to be weak, and both arbitrage and options should be on the sidelines [13] Electrolytic Aluminum - **Market Review**: The Shanghai aluminum 2511 contract fell to 20,730 yuan/ton, and the spot price decreased [14] - **Related Information**: US economic data is released, inventory decreases, and the photovoltaic installation shows a downward trend [14] - **Trading Logic**: The short - term price is in shock due to economic data and inventory changes, with potential for seasonal inventory build - up [17] - **Trading Strategy**: The price is expected to be shock - weak, and both arbitrage and options should be on the sidelines [18][19] Casting Aluminum Alloy - **Market Review**: The night - session casting aluminum alloy 2511 contract fell to 20,230 yuan/ton, and the spot price was stable [21] - **Related Information**: Policies affect the recycled aluminum industry, warehouse receipts increase, and downstream enterprises' holiday arrangements change [21][22] - **Trading Logic**: The price is restricted by tight raw materials and extended holidays of downstream enterprises [23][25] - **Trading Strategy**: The price is expected to fluctuate weakly, and both arbitrage and options should be on the sidelines [26][27] Zinc - **Market Review**: The Shanghai zinc 2511 fell to 21,800 yuan/ton, and the spot premium increased [29] - **Related Information**: Inventory decreases, and a mining company obtains a new mining license [30] - **Logic Analysis**: The mine production may decrease in October, and the refined zinc supply may increase [31][33] - **Trading Strategy**: The short - term price may rebound, and both arbitrage and options should be on the sidelines [34] Lead - **Market Review**: The Shanghai lead 2511 fell to 16,855 yuan/ton, and the spot price decreased [36] - **Related Information**: Inventory decreases, and the production and consumption of lead - related industries change [37][38] - **Logic Analysis**: The lead concentrate is in tight balance, and the consumption in the peak season is under - performing [40] - **Trading Strategy**: The price may decline [40] Nickel - **Market Review**: The Shanghai nickel main contract NI2511 fell to 121,100 yuan/ton, and the spot premium changed [42] - **Related Information**: Policies and a mining right auction affect the market [43] - **Logic Analysis**: The market is affected by policies and consumption trends, with a surplus of refined nickel [45] - **Trading Strategy**: Both arbitrage and options should be on the sidelines [44] Stainless Steel - **Market Review**: The main SS2511 contract fell to 12,760 yuan/ton, and the spot price range is given [47] - **Important Information**: India approves steel certifications [48] - **Logic Analysis**: The production increases, but the demand has not shown seasonality, and it is expected to shock at a high level [48] - **Trading Strategy**: The price is expected to have a wide - range shock, and arbitrage should be on the sidelines [49][50] Tin - **Market Review**: The main Shanghai tin 2511 contract closed at 272,410 yuan/ton, and the spot price decreased [52] - **Related Information**: US policies and economic data, and industry development plans are announced [54][55] - **Logic Analysis**: The supply is tight, and the demand is weak, and it is expected to maintain a high - level shock [56] - **Trading Strategy**: The price is expected to maintain a high - level shock, and options should be on the sidelines [57][58] Industrial Silicon - **Market Review**: The industrial silicon futures closed at 8,610 yuan/ton, and the spot price of some grades decreased [61][62] - **Related Information**: The export volume increases [63] - **Comprehensive Analysis**: The inventory structure may cause feedback, and the price may correct in the short - term [64] - **Strategy**: The price may correct in the short - term, and long positions can be entered after the correction. Sell out - of - the - money put options to take profit, and no arbitrage opportunity [65] Polysilicon - **Market Review**: The polysilicon futures closed at 51,280 yuan/ton, and the spot price was stable [66] - **Related Information**: A research shows the feasibility of EU's solar component production [66] - **Comprehensive Analysis**: The spot price is stable, but there is pressure on the contract due to warehouse receipt cancellation, and the demand is expected to weaken [67] - **Strategy**: The price may decline in the short - term, exit long positions first, and re - enter after sufficient correction. Do reverse arbitrage for 2511 and 2512 contracts, and sell out - of - the - money put options to take profit [67][69] Lithium Carbonate - **Market Review**: The main 2511 contract rose to 73,920 yuan/ton, and the spot price decreased [70] - **Important Information**: Projects in Argentina and China are progressing, and policies are announced [71][72] - **Logic Analysis**: The demand is strong, and the supply growth is narrowing, and it is expected to maintain a shock pattern [73] - **Trading Strategy**: The price is expected to have a wide - range shock, arbitrage should be on the sidelines, and sell out - of - the - money put options [74] Second Part: Non - Ferrous Industry Prices and Related Data - Multiple tables and figures present daily data and price trends of various non - ferrous metals, including spot prices, premiums, spreads, inventory, and production profits, comparing data from different dates and showing changes compared to the previous weekend and the end of the previous month [77][88][104]

大宗商品研究所 农产品研发报告 花生日报 2025 年 9 月 29 日 | 第一部分 | | | | | 数据 | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 花生数据日报 | | | | | | | 2025/9/29 | | 期货盘面 | | | | | | | | | 期货 | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 增减幅 | 持仓量 | 增减幅 | | PK604 | 7842 | 16 | 0.20% | 52 | 205.88% | 437 | 1.63% | | PK510 | 7800 | 12 | 0.15% | 1,733 | -32.46% | 1,628 | -48.72% | | PK601 | 7820 | 48 | 0.61% | 24,514 | 83.69% | 57,942 | 5.55% | | 现货与基差 | | | | | | | | | 现货 | 河南南阳 | 山东济宁 | 山东临沂 | 日照花生粕 | 日照豆粕 | 花生油 | 日照一级豆油 | | 今日报价 | 8800 | 8600 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Short - term, the oil and fat futures market is expected to fluctuate, and investors can consider buying on dips. For arbitrage, it is recommended to wait and see. For options, selling put - type strategies on dips can be considered [11]. 3. Summary by Directory First Part: Data Analysis - **Spot Prices and Basis**: The closing prices of soybean oil, palm oil, and rapeseed oil on the 2601 contract were 8150, 9234, and 10093 respectively, with changes of (12), (2), and (69). The spot basis of different varieties in various regions also showed different trends. For example, the basis of soybean oil in Zhangjiagang was 330 with no change, and in Tianjin it was 170 with a decrease of 20 [3]. - **Monthly Spread**: The 1 - 5 monthly spreads of soybean oil, palm oil, and rapeseed oil were 238, 174, and 503 respectively, with changes of 2, (10), and (17) [3]. - **Cross - Variety Spreads**: The 01 - contract spreads of Y - P, OI - Y, and OI - P were (1084), 1943, and 859 respectively, with changes of (10), (57), and (67). The oil - meal ratio was 2.78 with a change of (0.0003) [3]. - **Import Profits**: The 24 - degree palm oil from Malaysia and Indonesia for the October shipment had a CNF price of 1096 and a negative profit of (119); the FOB price of crude rapeseed oil from Rotterdam for the November shipment was 1069 and a negative profit of (433) [3]. - **Weekly Commercial Inventories**: In the 38th week of 2025, the commercial inventories of soybean oil, palm oil, and rapeseed oil were 123.6, 58.5, and 58.6 million tons respectively, compared with 125.1, 64.2, and 61.0 million tons last week and 115.6, 50.6, and 40.5 million tons in the same period last year [3]. Second Part: Fundamental Analysis - **International Market**: It is expected that Malaysia's palm oil inventory will decline in the next few months, reaching around 1.7 million metric tons by the end of the year due to seasonal production slowdown and increased exports to meet holiday demand [5]. - **Domestic Market - Palm Oil**: As of September 26, 2025, the national key - area palm oil commercial inventory was 55.22 million tons, a decrease of 3.29 million tons or 5.62% from last week. The import profit inversion has narrowed to around - 150. The basis is stable. The short - term market lacks a clear driver but has strong bottom support, and it is recommended to consider light - position buying on significant dips [5]. - **Domestic Market - Soybean Oil**: Last week, the actual soybean crushing volume of oil mills was 226.72 million tons, with an operating rate of 63.28%. As of September 26, 2025, the national key - area soybean oil commercial inventory was 124.87 million tons, an increase of 1.28 million tons or 1.04% from last week. The short - term domestic supply is sufficient, and the price increase is weak. Considering the uncertainty of U.S. soybean imports, it is recommended to consider buying on significant dips [6]. - **Domestic Market - Rapeseed Oil**: Last week, the rapeseed crushing volume of major coastal oil mills was 2 million tons, with an operating rate of 5.33%. As of September 26, 2025, the coastal rapeseed oil inventory was 58.3 million tons, a decrease of 1.3 million tons or 2.2%. The European rapeseed oil FOB price has increased, and the import profit inversion has expanded to around - 450. The market has a sentiment of holding back sales, and the basis is stable with an increase. The coastal de - stocking trend is expected to continue. Considering the uncertainty of Australian rapeseed imports, it is necessary to continue to pay attention to rapeseed and rapeseed oil purchases and policy changes [9]. Third Part: Trading Strategies - **Unilateral**: Short - term, expect the oil and fat futures market to fluctuate, and consider buying on dips [11]. - **Arbitrage**: Wait and see [11]. - **Options**: Consider selling put - type strategies on dips [11]. Fourth Part: Relevant Attachments The report provides multiple charts showing the historical trends of spot basis, monthly spreads, and cross - variety spreads of soybean oil, palm oil, and rapeseed oil, including data from 2016 - 2025 [14][17].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - The output of Xinjiang cotton is expected to increase beyond expectations this year, while ginneries have average enthusiasm for purchasing, and large - scale rush purchases are not expected. Some market expectations put the purchase price around 6.2 - 6.3 yuan/kg. As new cotton is listed in large quantities, there will be certain selling hedging pressure on the futures market. The downstream demand has slightly improved, but the improvement is limited, so the peak season this year is expected to be mediocre, and its boosting effect on the futures market is also limited [8]. - It is expected that the future trend of US cotton will mostly be volatile, and Zhengzhou cotton is expected to show a slightly weak volatile trend. It is recommended to trade opportunistically. For arbitrage and options, it is advised to wait and see [9]. 3. Summary by Related Catalogs 3.1 Market Information 3.1.1 Futures and Spot Prices - Futures: For cotton futures contracts (CF01, CF05, CF09), prices decreased, with CF01 closing at 13350, down 55; for棉纱 futures contracts (CY01, CY05, CY09), CY01 closed at 19485, down 65. Trading volumes and open interest also changed. For example, the trading volume of CF01 was 245,440, an increase of 49234, and the open interest was 530,559, a decrease of 4260 [3]. - Spot: The CCIndex3128B price was 14953 yuan/ton, down 90; the Cot A price was 0.00 cents/pound, down 77.70. The prices of other spot products such as polyester staple fiber and viscose staple fiber also had corresponding changes [3]. 3.1.2 Spreads - Cotton inter - delivery spreads: The spread between January and May was - 10, down 10; the spread between May and September was - 170, up 10. - Cotton - yarn inter - delivery spreads: The spread between January and May was - 90, down 19640. - Cross - variety spreads: The spread between CY01 and CF01 was 6135, down 10. - Domestic - foreign spreads: The domestic - foreign cotton spread (1% tariff) was 1092, down 48 [3]. 3.2 Market News and Views 3.2.1 Cotton Market News - As of September 15, 2025, the cumulative new cotton listing volume in Pakistan in the 2025/26 season reached 311,000 tons, a year - on - year increase of 40%. However, due to the early harvest of dry - land cotton and concentrated precipitation in July and August, the quantity and quality of later - listed cotton may be affected [6]. - As of September 27, 2025, the cotton planting area in India in the 2025/26 season was 10.999 million hectares, a year - on - year decrease of 2.7%. The planting areas in major producing areas such as Maharashtra and Gujarat decreased, while that in Telangana increased [7]. - The pre - sale quotes of new cotton in the 2025/26 season continued to increase. The mainstream sales basis of 41 - grade non - lightly spotted polluted double - 29 machine - picked cotton in northern Xinjiang with impurities within 3.5 was around CF01 + 1100, with higher quotes ranging from 1200 to 1300, for delivery before mid - October [7]. 3.2.2 Cotton Trading Logic - With new cotton gradually entering the acquisition stage, the market focus is shifting to the opening price of new cotton. The expected increase in Xinjiang cotton output and the average enthusiasm of ginneries for purchasing lead to the expectation of no large - scale rush purchases. The expected purchase price is around 6.2 - 6.3 yuan/kg. As new cotton is listed in large quantities, there will be selling hedging pressure on the futures market. The downstream demand has slightly improved, but the peak season is expected to be mediocre [8]. 3.2.3 Cotton Trading Strategies - Unilateral: It is expected that the future trend of US cotton will mostly be volatile, and Zhengzhou cotton is expected to show a slightly weak volatile trend. It is recommended to trade opportunistically. - Arbitrage: Wait and see. - Options: Wait and see [9]. 3.2.4 Cotton - yarn Industry News - Over the weekend, the trading atmosphere in the pure cotton - yarn market was average, with few new orders for enterprises, and downstream purchases were mainly for rigid demand. Cotton - yarn prices remained stable. As the decline in cotton prices was greater than that in yarn prices, the cash flow of enterprises improved. The peak season in September was mediocre, weaker than the same period in previous years, and market confidence was insufficient. - In the all - cotton grey fabric market in September, both volume and price lacked peak - season characteristics. Orders for grey fabric factories were average, with thick - type fabrics being the main products in production. Conventional and high - count orders were few. Export orders were average, with intense competition and extremely low profit margins [11]. 3.3 Options - The implied volatility of CF601C14000.CZC was 13.1%, and its price decreased by 33.6%. The implied volatility of CF601P13600.CZC was 12%, and its price increased by 5.7%. The implied volatility of CF601P13400.CZC was 12.3%, and its price increased by 5.1%. The 120 - day HV of cotton decreased slightly compared to the previous day [13]. - The PCR of the main contract of Zhengzhou cotton was 0.7310, and the PCR of trading volume was 0.7294. The trading volumes of both call and put options increased. It is recommended to wait and see for options [14][15]. 3.4 Related Attachments - The report provides multiple charts, including those showing the domestic - foreign cotton spread under 1% tariff, cotton basis for January, May, and September, the spread between CY05 and CF05, the spread between CY01 and CF01, and the spreads between different delivery months of cotton futures [18][25][26].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - The US corn report has lowered the yield per unit, but the production remains at a high level. The price of US corn has declined and is expected to trade in a narrow range. China has imposed a 15% tariff on US corn, with a total of 26% tariff within the quota, and a 22% tariff on US sorghum. The import profit of foreign corn is relatively high, with the December import price from Brazil at 2,135 yuan. The spot price of corn in the Northeast and North China is falling, and the price difference between the two regions is widening. The domestic breeding demand is still weak, and the inventory of downstream feed enterprises is low. The corn spot price is expected to be relatively stable in the short term. With the large - scale listing of new - season corn at the end of September, the spot price of corn is likely to continue to fall [5][6]. - The number of trucks arriving at deep - processing plants in Shandong has increased, and the spot price of corn in Shandong is weak. The spot price of starch in Shandong and the Northeast is also weak. This week, the inventory of corn starch has decreased. The current starch price mainly depends on the corn price and downstream stocking. The price of by - products is still strong. In the medium to long term, due to weak demand, starch enterprises will be in a long - term loss state. The 01 starch contract is expected to trade in a narrow range at the bottom in the short term [7]. 3. Summary by Relevant Catalogs 3.1 Data 3.1.1 Futures Disk - Corn futures contracts C2601, C2605, C2509 all declined, with C2601 closing at 2,135 yuan, down 4 yuan (- 0.19%); C2605 at 2,203 yuan, down 2 yuan (- 0.09%); C2509 at 2,227 yuan, down 3 yuan (- 0.13%). The trading volume of C2601 decreased by 4.39%, C2605 increased by 39.44%, and C2509 decreased by 19.42%. The open interest of C2601 increased by 1.28%, C2605 by 1.08%, and C2509 by 3.76% [3]. - Corn starch futures contracts CS2601, CS2605, CS2509 also declined. CS2601 closed at 2,458 yuan, down 4 yuan (- 0.16%); CS2605 at 2,546 yuan, down 2 yuan (- 0.08%); CS2509 at 2,585 yuan, down 2 yuan (- 0.08%). The trading volume of CS2601 increased by 12.98%, CS2605 by 58.26%, and CS2509 by 9.09%. The open interest of CS2601 increased by 5.14%, CS2605 by 2.50%, and CS2509 remained unchanged [3]. 3.1.2 Spot and Basis - For corn, the spot prices in regions such as Qinggang, Songyuan Jiajie, etc. showed different degrees of decline. The basis varied from - 162 yuan in Qinggang to 223 yuan in Zhucheng Xingmao [3]. - For starch, the spot prices of various manufacturers remained stable, and the basis ranged from 154 yuan (Longfeng, COFCO) to 444 yuan (Yufeng) [3]. 3.1.3 Spreads - In corn inter - period spreads, C01 - C05 was - 68 yuan, down 2 yuan; C05 - C09 was - 24 yuan, up 1 yuan; C09 - C01 was 92 yuan, up 1 yuan. In starch inter - period spreads, CS01 - CS05 was - 88 yuan, down 2 yuan; CS05 - CS09 was - 39 yuan, unchanged; CS09 - CS01 was 127 yuan, up 2 yuan. In cross - variety spreads, CS09 - C09 was 358 yuan, up 1 yuan; CS01 - C01 was 323 yuan, unchanged; CS05 - C05 was 343 yuan, unchanged [3]. 3.2 Market Judgment 3.2.1 Corn - The US corn market has a high production level, and the price is expected to trade in a narrow range. China's tariff policies on US corn and sorghum have been adjusted. The import profit of foreign corn is high. The spot price of corn in the North is stable, while that in the Northeast and North China is falling. The price difference between Northeast and North China corn is widening, and the price difference between wheat and corn is also widening. The domestic breeding demand is weak, and the inventory of downstream feed enterprises is low. With the large - scale listing of new - season corn at the end of September, the spot price of corn is expected to continue to fall [5][6]. 3.2.2 Starch - The spot price of corn in Shandong is weak, and the spot price of starch in Shandong and the Northeast is also weak. This week, the inventory of corn starch has decreased. The current starch price depends on the corn price and downstream stocking. The price of by - products is strong. In the medium to long term, due to weak demand, starch enterprises will be in a long - term loss state. The 01 starch contract is expected to trade in a narrow range at the bottom in the short term [7]. 3.3 Trading Strategies - Unilateral: US corn has support at 400 cents per bushel. Consider a light - position long on the 01 contract with a stop - loss set [9]. - Arbitrage: Hold a wait - and - see attitude [10]. 3.4 Corn Options - Option strategy: Adopt a short - term strategy of accumulating puts and calls with rolling operations [11]. 3.5 Relevant Attachments - The attachments include charts showing the spot price of corn in various regions, the basis of the corn 01 contract, the 1 - 5 spread of corn, the 1 - 5 spread of corn starch, the basis of the corn starch 01 contract, and the spread of the corn starch 01 contract, which help to visually analyze the price trends and relationships of corn and corn starch [14][15][18][20].

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - The domestic economic "weak reality" continues, and the economic indicators in Q4 face the unfavorable impact of the higher base after September 24 last year. The central bank's attitude of caring for liquidity remains unchanged, which supports the bond market. However, the "anti-involution" policy and the high prosperity of some technology industries, along with the easing of geopolitical disturbances and the Fed's interest rate cut, make the "strong expectation" the dominant force in the macro narrative. The potential adjustment of public bond fund redemption fees and tax policies exacerbates bond market volatility. In the short term, bond market sentiment is still sluggish, but treasury bonds have an irreplaceable role in hedging potential expectation differences [3][57]. - In terms of operations, in the short term, investors are advised to be cautious about the TL contract and hold a small amount of long positions in bond futures. The TF contract may be the best option. For arbitrage, if the market expectation is revised or extreme sentiment causes an over - adjustment in the bond market, the TL contract can be considered for flattening the curve and reverse arbitrage operations, but the timing needs to be observed [4][59]. 3. Summary by Directory 3.1 Market Trend Review - In September, the bond market performance was somewhat differentiated. The short - and medium - term bonds were generally in a volatile range, while the long - term bonds adjusted significantly under the influence of "strong expectations" and bond fund redemption pressure, and the yield curve became steeper. As of September 29, the monthly returns of the TS, TF, T, and TL main contracts were - 0.09%, - 0.03%, - 0.15%, and - 2.44% respectively. The overall weak bond market sentiment made the market valuation slightly low, and the IRR of the main contracts of bond futures at all maturities was around 1.3 - 1.4% [6]. 3.2 "Weak Reality" Continues, "Strong Expectation" Dominates the Narrative - The domestic economic data in August released in September continued to weaken marginally, with both supply and demand falling short of expectations. Investment, consumption, and foreign trade all showed different degrees of decline. The market believes that the "stall" of the investment end is a phased weakening driven by "anti - involution" and a policy choice. With the Fed's interest rate cut in September, the potential spill - over effect of overseas monetary policy and the high prosperity of domestic high - tech industries make the "strong expectation" the dominant force in the macro narrative, which is reflected in the bond yield curve [11][18][22]. 3.3 Price Repair is Differentiated, Downward Transmission Needs Observation - In August, the CPI was - 0.4% year - on - year and 0.0% month - on - month, both lower than expected. The decline in the year - on - year CPI was mainly due to weak food prices, while the month - on - month decline was more affected by seasonal factors. The core CPI reached a new high this year, but its repair momentum still needs to be improved. The PPI showed signs of bottom - up repair, but the performance of upstream production materials and downstream living materials was still differentiated. The profit of industrial enterprises increased significantly in August, but it was mainly due to the low base last year, and the improvement in demand was not obvious. In the future, the PPI may continue to rise year - on - year, but the price transmission and the base effect need to be observed [23][24][30]. 3.4 Social Financing Growth Peaked and Declined, M1 Growth Slowed - In August, new RMB loans were lower than expected, and the social financing growth showed signs of peaking. Although the real estate sales data in September showed marginal improvement, considering the high base last year and the front - loaded fiscal efforts this year, it is likely that the social financing growth has peaked this year. The slowdown in social financing affected deposit creation and money supply. The M1 growth continued to rise but is expected to have limited upward space [32][36][43]. 3.5 The Central Bank Cares for Liquidity, but Further Easing is Difficult in the Short Term - In September, the market capital tightened slightly. The central bank took measures to maintain market liquidity, but the current capital price is within the central bank's acceptable range, and further significant decline requires a significant increase in market interest rate cut expectations. The central bank's attitude towards the economic situation is more optimistic, and it emphasizes the implementation of existing policies and the prevention of capital idling [46][47][48]. 3.6 Bond Fund Fees May be Adjusted, Preventive Redemption Increases Market Volatility - In September, the CSRC revised the regulations on public bond fund sales fees, which may affect the stability of bond fund liabilities. As the quarter - end approached, preventive redemptions increased, exacerbating market volatility. If the final regulations are similar to the draft, the bond market may experience a phased over - adjustment; otherwise, the market sentiment may stabilize [55][56]. 3.7 Future Outlook - The "weak reality" of the domestic economy continues, and the bond market is supported by the central bank's liquidity care. However, the "strong expectation" dominates the macro narrative, and the potential adjustment of bond fund fees and tax policies increases market volatility. Treasury bonds can hedge potential expectation differences. In the short term, investors are advised to be cautious about the TL contract and hold a small amount of long positions in bond futures. For arbitrage, the timing needs to be observed [57][59].

Report Date - The report is dated September 29, 2025 [2] IM Futures Market Summary - The CSI 1000 index closed at 7,497.83, up 1.36%. The IM2510 (main contract) rose 2% to 7,484.2. Total trading volume of the four IM contracts was 284,619 lots, up 41,629 from the previous day, and total open interest was 367,256 lots, up 2,392 [4][5] - The main contract had a discount of 13.63 points, up 26.96 points from the previous day, with an annualized basis rate of -3.5%. Dividend impacts for the four contracts were 1.39, 2.29, 2.32, and 3.63 points respectively [5] Position Analysis - In the IM2510 contract, top five members' trading volume was 158,768 lots, up 20,672; long positions were 75,047 lots, up 1,587; short positions were 90,776 lots, up 1,190 [19] IF Futures Market Summary - The CSI 300 index closed at 4,620.05, up 1.54%. The IF2510 (main contract) rose 1.53% to 4,623.6. Total trading volume of the four IF contracts was 166,084 lots, up 44,999 from the previous day, and total open interest was 284,149 lots, up 24,225 [24][25] - The main contract had a premium of 3.55 points, up 10.4 points from the previous day, with an annualized basis rate of 1.47%. Dividend impacts for the four contracts were 5.43, 6.81, 8.52, and 15.57 points respectively [25] Position Analysis - In the IF2510 contract, top five members' trading volume was 52,282 lots, up 14,680; long positions were 32,584 lots, up 3,776; short positions were 31,919 lots, up 3,753 [40] IC Futures Market Summary - The CSI 500 index closed at 7,350.56, up 1.51%. The IC2510 (main contract) rose 1.9% to 7,342.8. Total trading volume of the four IC contracts was 160,425 lots, up 24,390 from the previous day, and total open interest was 256,603 lots, up 4,379 [45][46] - The main contract had a discount of 7.76 points, up 30.55 points from the previous day, with an annualized basis rate of -2.03%. Dividend impacts for the four contracts were 2.31, 3.77, 3.99, and 7.51 points respectively [46] Position Analysis - In the IC2510 contract, top five members' trading volume was 48,557 lots, up 8,696; long positions were 29,948 lots, up 481; short positions were 32,695 lots, up 525 [56] IH Futures Market Summary - The SSE 50 index closed at 2,973.04, up 1.09%. The IH2510 (main contract) rose 0.89% to 2,976.2. Total trading volume of the four IH contracts was 85,621 lots, up 37,395 from the previous day, and total open interest was 113,877 lots, up 17,889 [60] - The main contract had a premium of 3.16 points, up 0.98 points from the previous day, with an annualized basis rate of 0.72%. Dividend impacts for the four contracts were 5.38, 6.6, 7.5, and 15.18 points respectively [61] Position Analysis - In the IH2510 contract, top five members' trading volume was 47,447 lots, up 20,892; long positions were 27,956 lots, up 6,008; short positions were 41,691 lots, up 6,463 [70]

| 第一部分 | 前言概要 2 | | | --- | --- | --- | | | 2 | | | | 2 | | | 第二部分 | 基本面情况 3 | | | | 3 | | | | 4 | | | | 6 | | | | 8 | | | 第三部分 | 后市展望及策略推荐 10 | | | | 免责声明 | 11 | 氯碱板块研发报告 烧碱 2025 年 10 月报 2025 年 9 月 29 日 弱现实，强预期 第一部分 前言概要 银河期货 第 2 页 共 11 页 氯碱板块研发报告 烧碱 2025 年 10 月报 2025 年 9 月 29 日 第二部分 基本面情况 图 1：烧碱 9 月行情走势 单位：元/吨 图 2：山东氧化铝大厂液碱送货量 单位：吨 图 3：山东氧化铝大厂液碱采购价 单位：元/吨 第 3 页 共 11 页 烧碱 2025 年 10 月报 2025 年 9 月 29 日 氯碱板块研发报告 | | | 第 4 页 共 11 页 表 1： 氧化铝新增产能 单位：万吨 图 4：山东液碱湿吨库存 单位：吨 图 5：山东 32%碱现货市场价格 单位：元/吨 氯碱板块研发报告 烧碱 2025 ...