2025年09月30日 星期二 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 铝 | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅增加。需求方面，周度铝材开工率持续上升。 | | | | 市场表现：昨日电解铝主力合约收盘价较前一交易日-0.07%，收于 | | | | 20730 | 元/吨，国内 | 0-3 | 月差-25 | 元/吨，LME | | | | 价格 2665 | 美元/吨。 | | | | | | | | | | | | | | | | | 交易策略：节前下游积极备货，需求回暖趋势延续，下游开工持续上升，去库拐点初现，电解铝价格下方支 | | | | | | | | | | | | | | | | | 撑较强，预计延续震荡偏强走势，建议逢低做多。 | | | | | | | | | | | | | | | | | ...

金融研究 2025年9月30日 星期二 金融期货早班车 招商期货有限公司 市场表现：9 月 29 日，A 股四大股指全线上行，其中上证指数上涨 0.9%，报收 3862.53 点；深成指 上涨 2.05%，报收 13479.43 点；创业板指上涨 2.74%，报收 3238.01 点；科创 50 指数上涨 1.35%， 报收 1470.41 点。市场成交 21,781 亿元，较前日增加 120 亿元。行业板块方面，非银金融(+3.84%)， 有色金属(+3.78%)，电力设备(+3.07%)涨幅居前；煤炭(-0.84%)，银行(-0.46%)，社会服务(-0.24%) 跌幅居前。从市场强弱看，IF>IC>IM>IH，个股涨/平/跌数分别为 3,574/201/1,654。沪深两市，机构、 主力、大户、散户全天资金分别净流入 79、-113、-113、147 亿元，分别变动+507、+161、-254、 股指期货 -414 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 94.03、73.16、10.45 与-3.16 点，基差年化收益率分别 为-9.22%、-7.32%、-1.66%与 0.78%， ...

期货研究报告 | 金融工程研究 本周宽基指数二八分化上行，双节前建议 降低权益敞口或对冲风险或布局做多波动 03 未来策略研判 率策略 （ 2025年09月22日-2025年09月26日） ——招期金工股票策略环境监控周报 ·研究员-卢星 ·联系电话：13120557519 ·luxing1@cmschina.com.cn ·执业资格号: Z0022829 2025年09月28日 目录 contents 权益市场回顾 01 策略环境监控 02 2 核心观点 | | | 从今年累计收益看，表现最好的三个指数是微盘股指数（+65.84%）、创业板指数（+47.16%）和科创50指数 | | --- | --- | --- | | | | （+46.71%），而表现最弱的三个指数是中证红利（-2.27%）、上证指数（+14.21%）和沪深300（+15.63%）。 | | | 指数月度表现 | 展望后市，我们认为近期期权情绪维度显示中证1000，沪深300，中证500情绪上看跌，叠加机构出金等有可能 | | 总体情况 | | 预示市场有可能进一步调整，投资者短期需要做好风险应对。我们建议在仓位层面，股票多头策略整体 ...

2025年09月29日 星期一 商品期货早班车 招商期货 黄金市场 期货研究 | 铝 | 交易策略：近期几内亚出现罢工事件，空头离场导致盘面价格短暂反弹。但氧化铝供需过剩格局未变，现货 | | --- | --- | | | 价格维持下跌，周度运行产能持续增长，进口铝土矿价格下行，成本支撑减弱，叠加库存继续累库，在罢工 | | | 事件影响有限的情况下，氧化铝价格维持偏弱走势，建议暂时观望。 | | | 风险提示：几内亚矿业政策变化、国内稳增长政策落地情况。 | | | 市场表现：周五早盘低开，短暂下跌后反弹，全日震荡。主力 11 合约收于 8960 元/吨，较上个交易日下跌 95 | | | 元/吨，收盘价比-1.05%，持仓减少 18753 手至 24.12 万手，品种沉淀资金减少 1.75 亿元，远月 01 减仓 | | 工 | 1700 手。仓单量增加 67 手至 50133 手。 | | 业 | 基本面：供给端，上周开炉数量减少 1 台。社会库存持稳，仓单库存小幅增加。需求端，多晶硅开工率较高 | | 硅 | 支撑需求，行业联合减产未有有效进展。有机硅产量小幅下滑，铝合金开工率维持小幅增长。 | | ...

金融研究 2025年9月29日 星期一 金融期货早班车 招商期货有限公司 市场表现：9 月 26 日，A 股四大股指有所回调，其中上证指数下跌 0.65%，报收 3828.11 点；深成 指下跌 1.76%，报收 13209 点；创业板指下跌 2.6%，报收 3151.53 点；科创 50 指数下跌 1.6%， 报收 1450.82 点。市场成交 21,661 亿元，较前日减少 2,257 亿元。行业板块方面，石油石化(+1.17%)， 环保(+0.38%)，公用事业(+0.35%)涨幅居前；计算机(-3.26%)，电子(-2.75%)，传媒(-2.65%)跌幅居 前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,801/216/3,412。沪深两市，机构、主力、 大户、散户全天资金分别净流入-428、-274、141、561 亿元，分别变动-371、-95、+103、+362 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 126.39、105.11、17.65 与-2.18 点，基差年化收益率分 别为-12.2%、-10.37%、-2.77%与 0.53%，三年期 ...

期货研究报告 | 金融工程研究 商品趋势渐起预期下的CTA配置机会 ·研究员-赵嘉瑜 ·13686866941 ·zhaojiayu@cmschina.com.cn ·Z0016776 ·研究员-乔垒 ·15805605265 ·qiaolei1@cmschina.com.cn ·Z0021548 ·研究员- 王昊昇 ·18674061227 ·wanghaosheng@cmschina.com.cn · Z0022940 2025年9月26日 · 核心观点 24年中开始，CTA扭转颓势，近期上涨趋势得到加强，主要来自于波动和流动性的好转（20240611招期 金工专题报告：CTA策略整装再出发；我们认为开启降息就是波动率提升以及CTA增配的时机）。但整体 来说，CTA从24年中以来的上涨略不及预期，主要因为主要经济体在去年开启降息后，后续降息进程并不 十分顺利。 展望未来，长周期（年度）视角，大宗商品市场的趋势性上涨动能正在积聚，波动率的整体提升也是大概 率事件。这一判断基于以下三重驱动因素： 1）成本支撑与低估值：从现实基本面看，商品价格普遍处于历史估值低位，成本支撑坚实，下方空间有 限。 2）政策引导与 ...

Report Industry Investment Ratings No relevant content provided. Core Views of the Report - The report analyzes various commodity futures markets, including base metals, black industries, agricultural products, and energy chemicals, and provides corresponding trading strategies based on market performance and fundamentals [1][3][5]. Summary by Related Catalogs Base Metals - **Copper**: Yesterday, copper prices fluctuated after rising. The market speculated on the significant production cut of Freeport's Indonesian project, and the domestic association called for anti - involution, but the strong US economic data at night led to a pull - back. Downstream demand showed resilience after the price increase. It is recommended to buy on dips [1]. - **Aluminum**: The closing price of the electrolytic aluminum main contract increased by 0.29% compared to the previous trading day. The electrolytic aluminum plant maintained high - load production, and downstream consumption continued to recover. It is recommended to go long on dips as the inventory build - up rate of aluminum ingots slows down, and there is still an expectation of inventory draw - down after the holiday [1]. - **Alumina**: The closing price of the alumina main contract increased by 1.20% compared to the previous trading day. The operating capacity of alumina plants continued to increase, and electrolytic aluminum plants maintained high - load production. The price of the alumina futures may rebound due to the strike in Guinea and the anti - involution sentiment in the glass industry, but the oversupply pattern remains unchanged, and the spot price is still falling [1]. - **Industrial Silicon**: On Thursday morning, it opened higher and then fluctuated. The supply side saw a decrease of 1 furnace in the number of open furnaces this week compared to last week, and the social inventory remained flat. The demand side was supported by the high operating rate of polysilicon. The price is expected to oscillate between 8700 - 9800 yuan/ton, and it is recommended to wait and see [1]. - **Polycrystalline Silicon**: It opened higher on Thursday and fluctuated narrowly throughout the day. The fundamental situation is supply - strong and demand - weak. The price is expected to oscillate between 48000 - 57000 yuan/ton. Attention can be paid to the 11 - 12 reverse spread opportunity, and those with low risk appetite can consider buying out - of - the - money put options on the main contract [1][2]. - **Tin**: Yesterday, tin prices fluctuated weakly. The strong US economic data at night strengthened the US dollar index, suppressing tin prices. The supply side has expectations of resuming and starting production of tin mines. The demand needs to be boosted. It is recommended to adopt an oscillatory trading strategy [2]. Black Industry - **Rebar**: The main 2601 contract of rebar closed at 3157 yuan/ton. The overall supply - demand contradiction of steel is limited, but the structural differentiation is obvious. It is recommended to wait and see mainly, and try the 10/5 reverse spread of rebar. The reference range for RB01 is 3120 - 3190 yuan/ton [3]. - **Iron Ore**: The main 2601 contract of iron ore closed at 802.5 yuan/ton. The supply - demand of iron ore is moderately strong. It is recommended to wait and see mainly and hold the long position of the iron ore - coking coal - coke ratio. The reference range for I01 is 790 - 810 yuan/ton [3]. - **Coking Coal**: The main 2601 contract of coking coal closed at 1216 yuan/ton. The futures valuation is relatively high. It is recommended to wait and see mainly and hold the long position of the iron ore - coking coal - coke ratio. The reference range for JM01 is 1170 - 1240 yuan/ton [3]. Agricultural Products - **Soybean Meal**: Overnight, CBOT soybeans rose slightly. The US soybeans had a slight production cut, and South America is expected to increase production in the long - term. The global inventory is expected to remain high. The US soybeans are weak and range - bound, and the domestic market is also expected to oscillate. The mid - term focus is on Sino - US tariff policies [5]. - **Corn**: The 2511 contract of corn fluctuated narrowly. The spot price in North China rose while that in the Northeast fell. The new crop is expected to increase production, and the cost has dropped significantly, suppressing the forward price. The futures price is expected to oscillate and decline [5]. - **Sugar**: The 01 contract of Zhengzhou sugar closed at 5494 yuan/ton. Internationally, Brazil's sugar production reached a new high, and the domestic import volume in August also reached a new high. It is recommended to go short in the futures market and sell call options [5]. - **Cotton**: Overnight, the price of US cotton futures stopped falling and oscillated. The international cotton export sales decreased, and the domestic cotton cloth import increased. It is recommended to wait and see temporarily and adopt a range - bound strategy between 13600 - 14000 yuan/ton [5]. - **Log**: The 11 contract of log closed at 807.5 yuan/cubic meter. The overall inventory of major ports in the country decreased slightly, and the supply - demand contradiction is not prominent. It is recommended to wait and see [5]. - **Palm Oil**: Yesterday, Malaysian palm oil rose. The supply side in Malaysia is entering the seasonal production - cut period, and the demand side has an expected increase in exports in September. It is expected to enter a high - level oscillation, and later attention should be paid to the production in the producing areas and biodiesel policies [5][6]. - **Egg**: The 2511 contract of eggs fluctuated narrowly, and the spot price was stable. After the double - festival stocking is coming to an end, the egg price is expected to oscillate and weaken, and the futures are also expected to be weak [6]. - **Pig**: The 2511 contract of pigs rebounded, and the spot price fell. The supply is abundant, and the pig price before the festival is expected to be weak. The futures price is expected to run weakly due to the loose supply [6]. Energy Chemicals - **LLDPE**: Yesterday, the main contract of LLDPE rebounded slightly. The supply pressure in the domestic market has increased but is slowing down, and the demand has improved in the downstream agricultural film season. In the short term, it is expected to oscillate, and in the long - term, it is recommended to short on rallies or do reverse spread trading [7]. - **PVC**: The V01 contract closed at 4904 yuan/ton. The supply - demand is in a weak balance. It is recommended to short on rallies [7]. - **Glass**: The FG01 contract closed at 1270 yuan/ton. The price rose driven by expectations. The supply - demand has little change, and the inventory has decreased. It is recommended to go long on dips [7][8]. - **PP**: Yesterday, the main contract of PP rebounded slightly. The supply pressure has increased, and the demand has recovered in the peak season. In the short term, it is expected to oscillate, and in the long - term, it is recommended to short on rallies or do reverse spread trading [8]. - **Crude Oil**: Yesterday, oil prices rose again. The supply pressure is gradually increasing, and the demand is weakening. It is recommended to short on rallies and pay attention to the short - selling opportunity of the SC main contract around 500 yuan/ton [8]. - **Styrene**: Yesterday, the main contract of EB oscillated slightly. The supply - demand is weak in the short term, and the price is expected to oscillate. In the long - term, it is recommended to short on rallies or do reverse spread trading as the supply gradually recovers [8]. - **Soda Ash**: The sa01 contract closed at 1300 yuan/ton. The inventory of soda ash continued to decline, and the price rose slightly. The supply side is expected to tighten, and it is recommended to go long [8][9]. - **Caustic Soda**: The sh01 contract closed at 2529 yuan/ton. The purchase price of the main downstream of caustic soda decreased again. It is recommended to wait and see [9].

金融研究 2025年9月26日 星期五 金融期货早班车 金融研究 （一） 股指期现货市场表现 表 1：股指期现货市场表现 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 成交量 | 成交额 | 持仓量 | 日增仓量 | 结算价 | 基差 | 基差年化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | | | | | 收益率% | | IC2510 | 中证 2510 | 0.45 | 7293.2 | 32.8 | 34250 | 5000875 | 62996 | -1401 | 7311 | 48.1 | -14.9 | | IC2511 | 中证 2511 | 0.39 | 7218.4 | 28.0 | 4320 | 624563 | 6140 | -470 | 7240.2 | 122.9 | -11.6 | | IC2512 | 中证 2512 | 0.43 | 7166.6 | 30.8 | 76629 | 10996177 | 132726 | -36 ...

2025年09月25日 星期四 商品期货早班车 招商期货 黄金市场 | | 招商评论 | | --- | --- | | 贵 | 市场表现：贵金属价格高位震荡，以伦敦金计价的国际金价收于 3736 美元/盎司，跌 0.74%。 | | 金 | 基本面：李强会见欧盟委员会主席冯德莱恩，希望欧方履行保持贸易和投资市场开放的承诺，坚持公平竞争 | | 属 | 和世贸组织规则；商务部部长王文涛在美国纽约召开部分在美中资企业圆桌会；美国正式公告实施美欧贸易 | | | 协议，8 月 1 日起征收欧盟汽车关税降至 15%；贝森特认为美联储年底前应至少降息 100 至 150 个基点，同 | | | 时表示美财政部准备买阿根廷美元债，正讨论 200 亿美元货币互换额度。美国 8 月新屋销售年化 80 万户，大 | | | 幅高于预期的 65 万户，前值为 65.2 万户；8 月新屋销售环比大涨 20.5%，预期为环比下跌 0.3%，前值为环 | | | 比跌 0.6%。国内黄金 ETF 资金出现流出，COMEX 黄金库存 1238 吨，增加 2 吨；上期所黄金库存 60.5 吨， | | | 增加近 1 吨；伦敦 8 月黄 ...

金融研究 2025年9月25日 星期四 （一） 股指期现货市场表现 表 1：股指期现货市场表现 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 成交量 | 成交额 | 持仓量 | 日增仓量 | 结算价 | 基差 | 基差年化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | | | | | 收益率% | | IC2510 | 中证 2510 | 3.51 | 7280.6 | 246.6 | 47587 | 6834153 | 64397 | -6488 | 7260.4 | 43.1 | -12.3 | | IC2511 | 中证 2511 | 3.47 | 7213.8 | 241.8 | 6869 | 978185 | 6610 | 3269 | 7190.4 | 109.9 | -10.1 | | IC2512 | 中证 2512 | 3.90 | 7157.0 | 268.8 | 103608 | 14614185 | 136396 | -2404 | 71 ...