2025年06月27日 星期五 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | --- | --- | --- | | | 市场表现：昨日电解铝 2508 合约收盘价较前一交易日+0.49%，收于 20445 元/吨，国内 0-3 月差 400 元/吨， | | | | LME 2579 美元/吨。 价格 | | | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | 铝 | 交易策略：美元指数跌破 97 关口，触及 2022 年 2 月以来的最低点 96.9923，市场普遍猜测美国降息的时间 | | | | 可能比预期更早，建议逢低做多。 | | | | 风险提示：海内外宏观政策变化。 | | | | 市场表现：昨日氧化铝 2509 合约收盘价较前一交易日+0.99%，收于 2948 元/吨，国内 0-3 月差 218 元/吨。 | | | | 6 25 3 380.03 美元/吨（上一笔成交 366 美元/吨）。 月 日，印度 万吨，美金价格 | | | 氧 | 基本面：供应方面，新增产能持续释放，运行产能增加。需求方面，电解铝厂维 ...

Report Overview - The report is titled "Financial Futures Morning Express" and is dated June 26, 2025, prepared by China Merchants Futures Co., Ltd [1] Market Performance A-share Market - On June 25, the four major A-share stock indices all rose. The Shanghai Composite Index increased by 1.04% to close at 3455.97 points, the Shenzhen Component Index rose 1.72% to 10393.72 points, the ChiNext Index climbed 3.11% to 2128.39 points, and the STAR 50 Index went up 1.73% to 995.61 points. Market turnover was 1639.5 billion yuan, an increase of 191.4 billion yuan from the previous day [2] - In terms of industry sectors, non-bank finance (+4.46%), national defense and military industry (+3.36%), and computer (+2.99%) led the gains, while coal (-1%), petroleum and petrochemical (-0.57%), and transportation (-0.21%) saw declines [2] - In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3916, 217, and 1284 respectively. Institutional, main, large - scale, and retail investors had net inflows of 63, -117, -61, and 115 billion yuan respectively, with changes of -26, -91, +45, and +72 billion yuan [2] Treasury Bond Futures Market - On June 25, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 0.39 bps from the previous day; the five - year bond was 1.457, up 0.36 bps; the ten - year bond was 1.578, up 0.9 bps; and the thirty - year bond was 1.925, up 1.57 bps [3] Futures Analysis Stock Index Futures - **Base Spread**: The base spreads of the next - month contracts of IM, IC, IF, and IH were 97.16, 65.15, 35.07, and 27.33 points respectively, with annualized base spread yields of -10.19%, -7.31%, -5.83%, and -6.54%. The three - year historical quantiles were 33%, 28%, 21%, and 19% respectively. The base spread of the mid - cap index has moved away from the bottom [3] - **Trading Strategy**: The deep discount of small - cap stock indices may continue due to the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products. Short - cycle band strategies are recommended. In the medium - to - long term, a long - economic view is maintained, and it is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indices, so caution is advised [3] Treasury Bond Futures - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.35 bps, a corresponding net base spread of -0.032, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, relevant data of CTD bonds are also provided [4] - **Funding Situation**: The central bank's open - market operations had a net injection of 209 billion yuan, with a currency injection of 365.3 billion yuan and a currency withdrawal of 156.3 billion yuan [4] - **Trading Strategy**: The cash bond market currently shows strong supply and weak demand, but this pattern may change. It is recommended to take a short - term long and long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4] Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [13]

2025年06月26日 星期四 商品期货早班车 招商期货 基本金属 | 招商评论 | | | --- | --- | | | 市场表现：昨日电解铝 2508 合约收盘价较前一交易日+0.20%，收于 20355 元/吨，国内 0-3 月差 385 元/吨， | | | LME 价格 2565.5 美元/吨。 | | 铝 | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | 交易策略：宏观仍存不确定性，成本支撑随氧化铝价格回落后减弱，消费趋弱情况需观察是否存在持续性累 | | | 库，铝价或承压下跌，建议观望。 | | | 风险提示：海内外宏观政策变化。 | | | 市场表现：昨日氧化铝 2509 合约收盘价较前一交易日+0.55%，收于 2919 元/吨，国内 0-3 月差 255 元/吨。 | | 氧 | 基本面：供应方面，新增产能持续释放，运行产能增加。需求方面，电解铝厂维持高负荷生产，运行产能稳 | | | 定。 | | 化 | 交易策略：产能释放与库存累积的压力仍在持续，价格或延续低位运行。后续重点关注几内亚雨季对矿价的 | | 铝 | 影响。 | ...

金融研究 2025年6月25日 星期三 国债期货 IRR1.44%。 资金面：公开市场操作方面，央行货币投放 4,065 亿元，货币回笼 1,973 亿元，净投放 2,092 亿元。 交易策略：现券近期维持供强需弱的特征，但后市供强需弱的格局有望改变：一是 6 月政府债到期 规模有所增加，政府债净供给节奏或趋平缓；二是 7 月保险长端负债成本有调低的可能；三是国内 市场风险偏好回归防御风格，债市配置需求或会提升。期货端，长端多头力量较强，或押注未来政策 利率进一步下行。建议短多长空，短线 T、TL 逢低买入，中长线 T、TL 逢高套保。 金融期货早班车 招商期货有限公司 市场表现：6 月 24 日，A 股四大股指大幅上行，其中上证指数上涨 1.15%，报收 3420.57 点；深成 指上涨 1.68%，报收 10217.63 点；创业板指上涨 2.3%，报收 2064.13 点；科创 50 指数上涨 1.79%， 报收 978.71 点。市场成交 14,481 亿元，较前日增加 3,011 亿元。行业板块方面，电力设备(+2.85%)， 非银金融(+2.68%)，商贸零售(+2.64%)涨幅居前；石油石化(- ...

黄金市场 招商评论 商品期货早班车 招商期货 2025年06月25日 星期三 风险提示：贸易战反复 基本金属 | 招商评论 | | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 市场表现：昨日电解铝 | | | 2508 | | 合约收盘价较前一交易日-0.25%，收于 | | | | 20315 | 元/吨，国内 | 0-3 | 月差 | 390 | 元/吨， | | | LME 美元/吨。 | 价格 | 2576.5 | | | | | | | | | | | | | | 铝 | | | | | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | | | | | | | | | | | | | | | 交易策略：伦铝强制要求持有近月合约头寸超过可用库存的交易商减仓，限制现货流动性风险，铝锭自 | | | | | | | | | 6 月 | ...

1. Report Industry Investment Ratings No relevant content provided. 2. Core Views of the Report The report provides market analysis and trading strategies for various commodities including basic metals, agricultural products, and energy chemicals. It evaluates the market performance, fundamentals, and offers corresponding trading suggestions for each commodity based on supply - demand dynamics, macro - economic factors, and industry - specific events. 3. Summary by Commodity Category Basic Metals Copper - Market performance: Copper prices oscillated strongly yesterday [1]. - Fundamentals: Trump announced a cease - fire between Israel and Iran, causing a sharp drop in crude oil prices. US PMI data exceeded expectations while European PMI data was weak. The supply of copper ore remained tight, and Glencore stated that the mountain ISA smelter was difficult to continue operating. Demand showed some resilience, with premiums for flat - water copper in East and South China at 70 yuan and 20 yuan respectively, and the London structure at a 392 - dollar back [1]. - Trading strategy: Maintain the idea of buying on dips [1]. Aluminum - Market performance: The closing price of the electrolytic aluminum 2508 contract showed no significant change from the previous trading day, closing at 20,365 yuan/ton. The domestic 0 - 3 month spread was 435 yuan/ton, and the LME price was 2,559 dollars/ton [1]. - Fundamentals: On the supply side, electrolytic aluminum plants maintained high - load production, and the operating capacity increased slightly. On the demand side, the operating rate of aluminum products decreased slightly [1]. - Trading strategy: LME has forced traders holding near - month contract positions exceeding available inventory to reduce their positions to limit spot liquidity risk. Aluminum ingots have seen inventory accumulation (15,000 tons) for the first time since June. It is necessary to observe whether the inventory accumulation is continuous, and aluminum prices may come under pressure to decline. It is recommended to wait and see [1]. Alumina - Market performance: The closing price of the alumina 2509 contract showed no significant change from the previous trading day, closing at 2,906 yuan/ton. The domestic 0 - 3 month spread was 288 yuan/ton. On June 20, India had a transaction of 30,000 tons at a price of 366 dollars/ton (the previous transaction was also at 366 dollars/ton) [1]. - Fundamentals: On the supply side, new production capacity continued to be released, and the operating capacity increased. On the demand side, electrolytic aluminum plants maintained high - load production, and the operating capacity was stable [1]. - Trading strategy: The alumina futures price encountered resistance when rising. In the medium term, the pressure of production capacity release and inventory accumulation persists, and the price may continue to operate at a low level [1]. Industrial Silicon - Market performance: On Monday, the market opened low and then oscillated. The main 09 contract closed at 7,420 yuan/ton, up 30 yuan/ton from the previous trading day. The position decreased by 2,437 lots to 303,119 lots. Today, the warehouse receipt volume decreased by 439 lots to 54,184 lots [1]. - Fundamentals: Last week, spot prices stopped falling. On the supply side, there was no significant contraction, and the number of open furnaces increased by 5. Weekly inventory decreased slightly for two consecutive weeks, and after the market decline, the visible inventory of warehouse receipts turned into invisible inventory. On the demand side, the production of polysilicon in June may increase slightly compared to May, and there are plans for复产 this week. The production of organic silicon was relatively stable, and the decline in industrial chain prices widened. The downstream demand for aluminum alloys entered the off - season, and the operating rate was relatively stable [1]. - Trading strategy: If the futures price continues to rise, it may face hedging pressure, and the rebound of the market may be limited. Before there is an effective reduction in actual supply during the flood season, maintain a bearish view. It is expected that the market will oscillate at a low level. Consider shorting lightly after a rebound. Pay attention to the on - site sentiment at the Leshan industry conference [1]. Polysilicon - Market performance: On Monday, the market opened low and then oscillated. The main 08 contract closed at 30,615 yuan/ton, down 605 yuan/ton from the previous trading day. The position increased by 10,054 lots to 78,183 lots. The 11 contract closed at 30,030 yuan/ton. Today, the warehouse receipt volume remained unchanged at 2,600 lots (7,800 tons) [1]. - Fundamentals: On the supply side, the weekly production changed little, and the industry inventory decreased slightly. There are still expectations of复产 in the future, and the market is pessimistic about the joint production cuts by leading enterprises. On the demand side, the silicon wafer production schedule data has recovered, which is related to the production scheduling of some enterprises' previous orders in the third quarter due to limited quotas. The expected production schedule for the third quarter is still declining quarter - on - quarter. According to the balance sheet, inventory will start to accumulate in July [1]. - Trading strategy: The industry's复产 plan exceeded expectations. In the short term, it is recommended to go short on the 07 contract on rallies. Pay attention to the industry's production cut plan [2]. Agricultural Products Soybean Meal - Market performance: Overnight, CBOT soybeans declined, affected by favorable weather in the production area and the sharp drop in crude oil prices [2]. - Fundamentals: On the supply side, the supply from South America was abundant in the near term, and the growth of US soybeans was normal in the long term. On the demand side, South America was the main influence in the short term, US soybean exports were seasonally weak, but the US biodiesel policy was beneficial to the demand for soybean crushing [2]. - Trading strategy: In the short term, US soybeans will oscillate strongly; in China, although there will be a large arrival of soybeans later, demand will also remain high. The domestic market will follow the international cost side [2]. Corn - Market performance: The corn 2509 contract corrected, and the spot price of corn declined slightly [2]. - Fundamentals: This year, the supply - demand situation has tightened marginally, and the grain rights have shifted to channels, increasing the bargaining power of channels. The expected import volume of substitutes will decrease significantly, which is beneficial to the demand for domestic corn. The wheat support - price purchase has boosted the wheat price, which will also drive up the corn price. The spot price is expected to oscillate strongly [2]. - Trading strategy: With the reduction of remaining grain and the wheat support - price purchase, the futures price is expected to oscillate strongly [2]. Palm Oil - Market performance: Malaysian palm oil rose yesterday [2]. - Fundamentals: On the supply side, the production area is in the seasonal production - increasing period, and Malaysia's production in May increased by 5% month - on - month. On the demand side, the exports from the production area improved month - on - month. ITS showed that exports，from June 1 - 20 increased by 14% month - on - month [2]. - Trading strategy: In the short term, the volatility of palm oil will increase, affected by the large fluctuations in crude oil and other factors. The trading difficulty has increased. Pay attention to crude oil and biodiesel policies [2]. Eggs - Market performance: The egg 2508 contract performed strongly, and the spot price was stable [2]. - Fundamentals: Due to breeding losses, the culling of old hens is expected to decrease temporarily. Supply remains high, and the hot and humid weather is not conducive to egg storage, but low prices stimulate demand. With strong supply and weak demand and cost support, the futures and spot prices are expected to oscillate [2]. - Trading strategy: With sufficient supply and cost support, the futures price is expected to oscillate [2]. Pigs - Market performance: The pig 2509 contract performed strongly, and the spot price of pigs rose [2]. - Fundamentals: Large - scale farms have been continuously reducing the weight of pigs recently, and the pressure to sell at the end of the month has decreased. Small - scale farmers, on the contrary, continue to hold back pigs to gain weight. At the end of the month, the supply from the breeding side will decrease, and the entry of second - fattening will support the price. The pig price is expected to be strong in the short term. In the medium term, the supply will continue to increase, and the center of the pig price will gradually decline. Pay attention to the slaughter rhythm of enterprises and the trend of second - fattening [2]. - Trading strategy: With reduced supply at the end of the month, the futures price is expected to oscillate strongly [2]. Energy Chemicals PVC - Market performance: The V09 contract closed at 4,897, down 0.3% [3]. - Fundamentals: PVC was driven up by the rise in crude oil prices and then retreated. On the supply side, the plants of Wanhua, Bohua, etc. are gradually being put into production, and the supply growth rate is expected to reach about 5%. The upstream operating rate is 80%, and maintenance has gradually ended. Social inventory has been continuously decreasing. On June 19, the new sample of PVC social inventory was 569,300 tons, a decrease of 0.74% month - on - month and 37.97% year - on - year. India has postponed the BIS anti - dumping investigation until December, which is beneficial to exports. The carbide price is 2,400 yuan, and it is expected to decline in the future. The spot price has stopped rising, with 4,800 yuan in East China and 4,870 yuan in Inner Mongolia [4]. - Trading strategy: It is recommended to gradually close short positions and wait and see. Since there is no driving force for a rebound, consider selling call options above 4,950 [4]. PTA - Market performance: The CFR China price of PX is 899 dollars/ton, equivalent to 7,430 yuan/ton in RMB at the current exchange rate. The spot price of PTA in East China is 5,260 yuan/ton, and the spot basis is 264 yuan/ton [4]. - Fundamentals: On the cost side of PX, domestic production still has maintenance plans for plants such as Zhejiang Petrochemical and Shandong Weilian, and the load increase is limited. Overseas, a 400,000 - ton plant of South Korea's GS has restarted, a 500,000 - ton plant of Japan's Eneos has unexpectedly shut down, plants in Iran and Israel have shut down, the restart of a Saudi plant has been postponed, and Vietnam's NSRP has reduced production. It is expected that imports will remain at a low level. For PTA, Hengli Dalian and Fuhai Chuang are implementing maintenance plans, Yisheng New Materials has briefly reduced production, and Jiaxing Petrochemical's 1.5 - million - ton plant has restarted. Overall, the supply has decreased, but the medium - and long - term supply pressure remains large. The polyester load remains around 92%, the comprehensive inventory is at a medium - level in history, and the profit of polyester products has been greatly compressed. Continuously pay attention to the implementation of production cuts. The load of downstream texturing and weaving machines has decreased overall and is at a medium - level in history. After the peripheral factors drove the market last Friday, there was concentrated replenishment at the terminal; since the weekend, downstream enterprises have mainly been digesting their stocks, with only rigid demand following up. As of now, the downstream raw material inventory is mainly 10 - 15 days, with sporadic high - inventory reaching about 1 month. Overall, both PX and PTA are in a de - stocking pattern [4]. - Trading strategy: Continue to hold long positions in PX. PTA has tight short - term liquidity but large medium - and long - term surplus pressure. Maintain the view of shorting the processing margin on rallies [4]. Glass - Market performance: The FG09 contract closed at 1,007, up 0.1% [4]. - Fundamentals: The glass trading volume has been mixed, and the average price has been stable. Downstream demand is gradually improving. On the supply side, 4 production lines will resume production in July, and the supply growth rate is expected to increase by 1.2% month - on - month. The daily melting volume of glass is 156,000 tons, a decrease of 8.8% year - on - year. Inventory has unexpectedly accumulated. On June 19, the upstream inventory was 69,887,000 heavy boxes, an increase of 0.29% month - on - month and 16.82% year - on - year. The order days of downstream deep - processing enterprises are 9.8 days, the operating rate is about 48%, which is lower than in previous years. In terms of valuation, losses have increased, with a large loss of 195 yuan for the natural - gas route, a profit of about 85 yuan for the coal - gas route, and a loss of 105 yuan for the petroleum - coke route. The spot prices are 1,120 yuan in North China, 1,020 yuan in Central China, 1,230 yuan in East China, and 1,280 yuan in South China [4]. - Trading strategy: The downward trend of glass prices is hard to reverse. It is recommended to sell call options above 1,250 [4]. MEG - Market performance: The spot price of MEG in East China is 4,597 yuan/ton, and the spot basis is 78 yuan/ton [4]. - Fundamentals: Plants are restarting in a concentrated manner, increasing the supply. Pay attention to the implementation of Zhejiang Petrochemical's maintenance plan at the end of the month. Overseas, plants in Canada, Saudi Arabia, and Malaysia have restarted, increasing the import supply. The inventory at East China ports is around 620,000 tons, at a historically low level. The polyester load remains around 92%, the comprehensive inventory is at a medium - level in history, and the profit of polyester products has been greatly compressed. Continuously pay attention to the implementation of production cuts. The load of downstream texturing and weaving machines has decreased overall and is at a medium - level in history. As of now, the downstream raw material inventory is mainly 10 - 15 days, with sporadic high - inventory reaching about 1 month. Overall, the supply - demand situation of MEG has weakened [4]. - Trading strategy: With the easing of the geopolitical situation, it is recommended to take short positions [4]. Soda Ash - Market performance: The SA09 contract closed at 1,173, down 0.3% [4]. - Fundamentals: The supply - demand of soda ash is in a weak balance, and the supply is gradually recovering. On the supply side, the Lianyungang Soda plant has reached full production, and the upstream operating rate of soda ash is 86%. Summer maintenance has gradually ended, and Qinghai Fatou Soda and Xuzhou Fengcheng Soda have maintenance plans this month. Inventory has accumulated at a high level. On June 23, the upstream inventory was 1.7559 million tons, an increase of 29,200 tons from last Thursday, a rise of 1.69%. The number of days of pending orders for upstream manufacturers is 11 days. The inventory at delivery warehouses is 311,000 tons, a decrease of 20,000 tons month - on - month. On the downstream demand side, the daily melting volume of photovoltaic glass is 98,000 tons, the inventory days are 30.5 days, and the photovoltaic glass production line of China National Building Materials Yixing has blocked the kiln mouth. The soda ash price has changed little, with the delivered price around 1,250 yuan, the futures - spot quotation in Shahe at 09 contract + 20, and the factory - pickup price in Inner Mongolia at 09 contract - 160 [4][5]. - Trading strategy: The supply - demand of soda ash is weak on both sides, and it will oscillate at the bottom. Consider selling out - of - the - money call options above 1,400 for soda ash options [5].

金融研究 2025年6月24日 星期二 金融期货早班车 招商期货有限公司 市场表现：6 月 23 日，A 股四大股指全线上行，其中上证指数上涨 0.65%，报收 3381.58 点；深成 指上涨 0.43%，报收 10048.39 点；创业板指上涨 0.39%，报收 2017.63 点；科创 50 指数上涨 0.38%， 报收 961.49 点。市场成交 11,469 亿元，较前日增加 552 亿元。行业板块方面，计算机(+2.25%)， 国防军工(+1.97%)，煤炭(+1.68%)涨幅居前；食品饮料(-0.8%)，家用电器(-0.43%)，钢铁(-0.11%) 跌幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 4,443/130/842。沪深两市，机构、 主力、大户、散户全天资金分别净流入 52、-31、-79、58 亿元，分别变动+151、+94、-67、-177 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 148.62、101.37、49.5 与 31.18 点，基差年化收益率分 别为-15.28%、-11.17%、-8.02%与-7.26%，三年期历史分 ...

期货研究报告 | 商品研究 关注早熟品种开称价 2025年6月16日-6月22日 2025年6月22日 —苹果周报 • 招商农业-李依穗 • liyisui1@cmschina.com.cn • 联系电话：0755-82959861 • 执业资格号：Z0020997 苹果周观点：关注早熟品种开称价 ➢ 风险提示：天气。 2 4 ➢ 市场表现：过去一周主力合约收7725元/吨，周涨幅0.09%。山东烟台栖霞苹果价格平稳，80#以上一二级货源果农货片红3.5-3.8元 /斤，条纹3.5-4.5元/斤，客商货片红4.0-4.5元/斤，条纹4.0-5.0元/斤。统货2.8-3.0元/斤，三级客商货2.5-3.0元/斤。 1 ➢ 供给方面：截至2025年6月20日，全国主产区苹果冷库库存量为116.49万吨，库存量环比减少10.97万吨，处于历史低位水平。 ➢ 需求方面：截至2025年6月20日，全国主产区苹果冷库出库量为10.97万吨，库存量较上周增加0.23万吨。 ➢ 基本面：早熟品种占苹果总产量约20%，早熟品种的开称指向新季苹果的现货价格。陕西、陕西地区的早熟品种因成熟时间较早， 今年大风干旱影响对早熟品种影响 ...

Report Summary 1. Market Performance - On June 20, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.07% to 3359.9 points, the Shenzhen Component Index down 0.47% to 10005.03 points, the ChiNext Index down 0.83% to 2009.89 points, and the STAR 50 Index down 0.53% to 957.87 points. Market turnover was 1.0917 trillion yuan, a decrease of 189.2 billion yuan from the previous day [2]. - In terms of industry sectors, transportation (+0.88%), food and beverage (+0.73%), and banking (+0.69%) led the gains, while media (-1.91%), computer (-1.79%), and petroleum and petrochemical (-1.71%) led the losses [2]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1540/231/3644 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9.9 billion, -12.5 billion, -1.2 billion, and 23.5 billion yuan respectively, with changes of +9.7 billion, +7.4 billion, -5.6 billion, and -11.4 billion yuan respectively [2]. 2. Stock Index Futures 2.1 Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 64.79, 51.11, 42.24, and 36.92 points respectively, and the annualized basis yields were -12.86%, -10.79%, -13.07%, and -16.44% respectively. The three - year historical quantiles were 20%, 13%, 1%, and 1% respectively. On the delivery day, the basis of the mid - cap stock index converged significantly [3]. 2.2 Trading Strategies - Recently, the small - cap stock index has a deep discount, presumably due to the expansion of the scale of neutral products since this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be relatively high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended [3]. - In the medium - to - long term, the report maintains the judgment of being bullish on the economy. Using stock indices as long - term substitutes has certain excess returns at present. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. 3. Treasury Bond Futures 3.1 Market Performance - On June 20, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.281, down 1.32 bps from the previous day; the five - year bond was 1.436, down 0.61 bps; the ten - year bond was 1.555, down 0.52 bps; and the thirty - year bond was 1.896, down 1.28 bps [3]. 3.2 Current Bonds - The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.15 bps, a corresponding net basis of -0.102, and an IRR of 1.91%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.085, and an IRR of 1.84%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.091, and an IRR of 1.86%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -1.3 bps, a corresponding net basis of -0.121, and an IRR of 1.85% [4]. 3.3 Fundamentals - In open - market operations, the central bank injected 161.2 billion yuan and withdrew 202.5 billion yuan, resulting in a net withdrawal of 41.3 billion yuan [4]. 3.4 Trading Strategies - The current bonds have recently shown a characteristic of strong supply and weak demand, but this pattern is expected to change in the future: the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more moderate; there is a possibility of a reduction in the long - term liability cost of insurance in July; the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. On the futures side, the long - end bullish force is strong, betting on a further decline in future policy interest rates. It is recommended to be short - term long and long - term short, buy T and TL on dips in the short term, and hedge T and TL on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [13].

2025年06月23日 星期一 商品期货早班车 招商期货 基本金属 招商评论 铜 市场表现：周五铜价震荡运行。 基本面：周末美国轰炸伊朗核设施，避险情绪可能升温。供应端，铜矿紧张格局延续，周度 TC 依然在-45 美 金。精废价差 920 元低位。全球库存持续去化，尤其 LME 库存下降到十万吨以内，结构 278 美金 back。另 外，市场关注 232 落地时间是否会改变伦敦挤仓情况。 交易策略：维持逢低买入思路。 风险提示：流动性冲击，全球需求不及预期。仅供参考。 工 业 硅 市场表现：周五盘面震荡下行，主力 09 合约收于 7390 元/吨，较上个交易日下跌 80 元/吨，持仓减少 4801 手至 305556 手。今日仓单量净减少 556 手至 54623 手。 基本面：上周现货端价格止跌。供给端未出现明显收缩，开炉数增加 5 台。周度库存连续两周小幅去库，盘 面下跌后仓单显性库存转隐形库存。需求端，多晶硅六月产量或较五月小幅上涨，本周有复产计划。有机硅 产量较稳定，产业链价格跌幅走扩。铝合金下游需求进入消费淡季，开工率较稳定。 交易策略：如果期货价格继续上涨，可能会面临套保压力，盘面反弹幅度或有限。 ...