Report Summary 1. Market Performance - On June 12, the four major A-share stock indices showed mixed performance. The Shanghai Composite Index rose 0.01% to close at 3402.66 points, the Shenzhen Component Index fell 0.11% to 10234.33 points, the ChiNext Index rose 0.26% to 2067.15 points, and the STAR 50 Index fell 0.3% to 977.97 points. Market turnover was 13,036 billion yuan, an increase of 169 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+1.4%), media (+1.33%), and beauty care (+1.31%) led the gains, while household appliances (-1.77%), coal (-1.14%), and food and beverages (-1.13%) led the losses [2]. - From the perspective of market strength, IC > IM > IH > IF, with the number of rising/flat/falling stocks being 2,325/224/2,864 respectively. Institutions, main players, large investors, and retail investors had net capital inflows of -5 billion, -87 billion, -18 billion, and 111 billion yuan respectively, with changes of 0, -43 billion, +34 billion, and +9 billion yuan [2]. - For the basis of the next-month contracts of IM, IC, IF, and IH, they were 132.42, 99.53, 50.6, and 45.28 points respectively, with annualized basis yields of -19.8%, -15.89%, -12.04%, and -15.58%, and three-year historical quantiles of 4%, 6%, 2%, and 1% respectively. The futures-spot price difference remained at a relatively low level [2]. - On June 12, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.347, up 1.06 bps from the previous day; the five-year bond was 1.472, up 0.84 bps; the ten-year bond was 1.581, up 0.6 bps; and the thirty-year bond was 1.934, down 0.32 bps [3]. 2. Trading Strategies - For stock index futures, in the short term, due to the deep discount of small-cap stock indices, it is speculated to be the result of the scale expansion of neutral products since this year. With the bond bull market not restarted yet, the proportion of short positions in neutral strategies may still be high, so the deep discount may continue, leading to market fluctuations. A short-cycle band strategy is recommended. In the medium to long term, the view of being bullish on the economy is maintained. Buying IF, IC, and IM forward contracts on dips is recommended. 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]. - For treasury bond futures, the current spot bonds show a characteristic of strong supply and weak demand, but this pattern is expected to change. Firstly, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may flatten. Secondly, there is a possibility of a reduction in the long-term liability cost of insurance in July. Thirdly, the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. In the futures market, the price of the CTD bond of near-month contracts is low, and combined with the relatively high IRR level recently, the short-side delivery willingness is strong, putting pressure on the price of near-month contracts and leading to a premium in far-month contracts. The positions of T and TL have increased, while those of TF and TS have decreased, indicating strong long-side strength at the long end, possibly betting on a further decline in future policy interest rates. A strategy of short-term long and long-term short is recommended, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [5]. 3. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [13].

2025年06月13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：昨日铜价震荡运行。基本面：昨日美国 | PPI 低于预期，初领失业金人数高于预期，特朗普再度要 | | | | | | | | | | | 求美联储降息，美债收益率大幅下行，美元指数近期新低。紫金由于卡莫阿项目下调年度产量预期 15 | | | | 万吨。 | | | | | | 华东华南平水铜现货升水 | 40 元和 20 元。国内需求淡季明显。交易策略：建议逢低买入。风险提示：全球需 | 铜 | | | | | | | | | 求不及预期。仅供参考。 | | | | | | | | | | | 市场表现：昨日电解铝 | 2507 合约收盘价较前一交易日+0.72%，收于 20395 元/吨，国内 0-3 月差 510 | | | 元/吨， | | | | | | | LME | 价格 2518.5 美元/吨。 | | | | | | | | | | ...

Market Performance - On June 11, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.52% to 3402.32 points, the Shenzhen Component Index up 0.83% to 10246.02 points, and the ChiNext Index up 1.21% to 2061.87 points, while the STAR 50 Index fell 0.2% to 980.93 points. Market turnover was 1286.7 billion yuan, a decrease of 164.8 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+2.21%), agriculture, forestry, animal husbandry and fishery (+2.02%), and non-bank finance (+1.9%) led the gains, while pharmaceutical biology (-0.41%), communications (-0.28%), and beauty care (-0.1%) led the losses [2]. - From the perspective of market strength, IF > IC > IH > IM, and the number of rising/flat/falling stocks was 3411/264/1737 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -5, -45, -52, and 102 billion yuan respectively, with changes of +151, +159, -92, and -217 billion yuan respectively [2]. Stock Index Futures Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH was 135.31, 105.35, 55.23, and 42.14 points respectively, with annualized basis yields of -19.53%, -16.24%, -12.66%, and -13.97% respectively, and three - year historical quantiles of 5%, 5%, 1%, and 3% respectively. The futures - spot price difference remained at a low level [3]. - In the short term, due to the large discount of small - cap stock indices, which may be the result of the expansion of neutral product scale this year, and the relatively high proportion of short positions in neutral products, the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, it is recommended to go long on the economy and 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]. Treasury Bond Futures Cash Bond and Trading Strategy - 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 -1.25bps, a corresponding net basis of -0.08, and an IRR of 1.83%. Similar data are provided for 5 - year, 10 - year, and 30 - year Treasury bond futures [4]. - In the cash bond market, the supply is currently stronger than demand, but this pattern is expected to change. In the futures market, the CTD bond price of near - month contracts is low, and the IRR is high, so short - sellers have a strong willingness to deliver, putting pressure on near - month contract prices and causing far - month premiums. It is recommended to go long in the short term and short in the long term, 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 show that the recent import and export sentiment has rebounded [11].

2025年06月12日 星期四 期货研究 商品期货早班车 招商期货 黄金市场 招商评论 贵 金 属 【市场表现】 周三贵金属市场分化，黄金反弹而白银走弱 【基本面】 中美伦敦会谈结果一般，双方虽然解决中国留学生签证以及稀土问题，但关税问题依旧不变；特朗普表示， 他对美国与伊朗达成核协议的"信心减弱"；美国财政部拍卖 390 亿美元 10 年期国债，得标利率 4.421%， 投标倍数 2.52（前次为 2.60）。美国 5 月 CPI 同比 2.4%，核心 CPI 环比 0.1%，连续第四个月低于预期，全 线低于预期，能源主导整体 CPI 的放缓，汽车、服装价格均出现下滑，玩具、家电受关税影响更直接的品类 价格上涨。国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 11879 吨，减少 5 吨；上期所黄金库存 17 吨，小幅微增，伦敦 5 月黄金库存 8598 吨；上期所白银库存 1230 吨，比前一交易日增加 36 吨，金交所白 银库存上周库存减少 28 吨至 1319 吨，COMEX 白银库存 15401 吨，比前一交易日增加 26 吨；伦敦 5 月库 存增加 500 多吨至 23367 吨；印度 ...

金融研究 2025年6月11日 星期三 金融期货早班车 招商期货有限公司 市场表现：6 月 10 日，A 股四大股指有所回落，其中上证指数下跌 0.44%，报收 3384.82 点；深成 指下跌 0.86%，报收 10162.18 点；创业板指下跌 1.17%，报收 2037.27 点；科创 50 指数下跌 1.47%， 报收 982.9 点。市场成交 14,514 亿元，较前日增加 1,388 亿元。行业板块方面，美容护理(+1.1%)， 银行(+0.48%)，医药生物(+0.33%)涨幅居前；国防军工(-1.97%)，计算机(-1.87%)，电子(-1.65%)跌 幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,260/118/4,034。沪深两市，机构、 主力、大户、散户全天资金分别净流入-156、-203、40、320 亿元，分别变动-213、-144、+113、 +244 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 141.69、109.19、61.27 与 47.4 点，基差年化收益率分 别为-19.82%、-16.35%、-13.66%与-15. ...

2025年06月11日 星期三 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 2507 合约收盘价较前一交易日-0.23%，收于 19980 元/吨，国内 0-3 月差 325 元/吨， | | | | | LME 价格 2476.5 美元/吨。 | | | | | 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：氧化铝价格下行，利润向电解铝端转移，供应或维持高负荷生产，而下游消费处于淡季，部分板 | | | | | 块开工率持续下滑。但低库存提供下方支撑，预计价格维持震荡走势。 | | | | | 操作建议：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-0.21%，收于 2886 元/吨，国内 0-3 月差 367 元/吨。 | | | | | 基本面：供应方面，复产产能和新增产能持续释放，运行产能增加。需求方面，电解铝厂维持高负荷生产， | ...

Market Performance - On June 9, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.43% to 3399.77 points, the Shenzhen Component Index up 0.65% to 10250.14 points, the ChiNext Index up 1.07% to 2061.29 points, and the STAR 50 Index up 0.6% to 997.61 points [2]. - Market turnover was 1.3127 trillion yuan, an increase of 135.4 billion yuan from the previous day. Among industry sectors, medicine and biology (+2.3%), agriculture, forestry, animal husbandry and fishery (+1.72%), and textile and apparel (+1.61%) led the gains, while food and beverages (-0.43%), automobiles (+0.03%), and household appliances (+0.04%) led the losses [2]. - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 4120/200/1092 respectively. Institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 5.7 billion, -5.9 billion, -7.3 billion, and 7.6 billion yuan respectively, with changes of +13.3 billion, +5.9 billion, -8.6 billion, and -10.7 billion yuan respectively [2]. Stock Index Futures Basis and Annualized Yield - The basis of the next-month contracts of IM, IC, IF, and IH was 142.36, 109.65, 53.05, and 40.83 points respectively, with annualized basis yields of -19.08%, -15.74%, -11.38%, and -12.66% respectively, and three-year historical quantiles of 5%, 6%, 3%, and 6% respectively. The futures-spot price difference remained at a low level [3]. Trading Strategy - Recently, small-cap stock indices have had a deep discount, presumably due to the expansion of neutral product scale since this year. As the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue, leading to market fluctuations. A short-term band strategy is recommended [3]. - In the medium to long term, the report maintains a bullish view on the economy. Buying IF, IC, and IM forward contracts on dips is recommended. 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]. Treasury Bond Futures Market Performance - On June 9, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.344, up 0.53 bps from the previous day; the implied interest rate of the five-year bond was 1.472, up 0.12 bps; the implied interest rate of the ten-year bond was 1.617, up 2.45 bps; and the implied interest rate of the thirty-year bond was 1.95, down 1.63 bps [3]. Cash Bonds - The current active contract is the 2509 contract. The CTD bond of the two-year treasury bond futures is 250006.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.093, and an IRR of 1.85%; the CTD bond of the five-year treasury bond futures is 240020.IB, with a yield change of +0 bps, a corresponding net basis of -0.083, and an IRR of 1.81%; the CTD bond of the ten-year treasury bond futures is 220010.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.094, and an IRR of 1.86%; the CTD bond of the thirty-year treasury bond futures is 210005.IB, with a yield change of -1 bps, a corresponding net basis of -0.162, and an IRR of 1.94% [4]. Trading Strategy - The cash bond market has recently shown a pattern of strong supply and weak demand, but this pattern is expected to change. First, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more stable. Second, there is a possibility that the long-term liability cost of insurance companies will be lowered in July. Third, the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase [5]. - For futures, the CTD bond price of the near-month contracts is low, and the recent IRR level is high, so short sellers have a strong willingness to deliver, putting pressure on the near-month contract prices and causing the far-month contracts to have a premium. The positions of T and TL have increased, while the positions of TF and TS have decreased, indicating strong long positions at the long end, possibly betting on a further decline in future policy interest rates. It is recommended to be short-term long and long-term short, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [5]. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [12].

招商期货 2025年06月10日 星期二 商品期货早班车 黄金市场 | 招商评论 | | | --- | --- | | 贵 | 【市场表现】 | | 金 | 周一贵金属市场继续分化，黄金下跌而白银延续涨势 | | 属 | 【消息面】 | | | 中美经贸磋商机制首次会议 6 月 9 日在英国伦敦开始举行，10 日继续进行。 | | | 【经济数据方面】 | | | 纽约联储调查数据显示，5 月美国消费者未来通胀预期全面下降，为 2024 年来首次，其中一年期通胀预期降 | | | 幅最大，从 4 月的 3.6%降至 3.2%，三年期、五年期通胀预期也均有下降；中国 5 月 CPI 同比降 0.1%，环比 | | | 由增转降，PPI 同比降幅扩大至 3.3%；中国 5 月按美元计出口同比增长 4.8%，进口下降 3.4%。中国 5 月稀 | | | 土出口量环比增近 23%，大豆进口量环比增 129%创历史新高，煤炭和石油进口量下降。 | | | 【库存数据方面】 | | | 国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 1185 吨，减少 6 吨；上期所黄金库存 17 吨，小幅微 | | | ...

Investment Rating - No investment rating for the industry is provided in the report. Core Views - For stock index futures, short - term band strategies are advisable due to deep discounts on small - cap stock indices. In the medium - to - long - term, it's recommended to allocate IF, IC, and IM forward contracts on dips. Near - month contracts of IC and IM should be treated with caution [3]. - For bond futures, it's suggested to take short - term long and long - term short positions. Short - term, buy T and TL on dips; medium - to - long - term, hedge T and TL on rallies [4]. Summary by Directory 1. Stock Index Futures and Spot Market Performance - On June 6, A - share major indices mostly declined, with the Shanghai Composite Index rising 0.04% to 3385.36 points, while the Shenzhen Component Index, ChiNext Index, and STAR 50 Index fell 0.19%, 0.45%, and 0.48% respectively. Market trading volume was 1177.2 billion yuan, a decrease of 139.7 billion yuan from the previous day. Industries like non - ferrous metals, communication, and petroleum and petrochemical led the gains, while beauty care, textile and apparel, and food and beverage led the losses. In terms of market strength, IF>IH>IC>IM. The number of rising, flat, and falling stocks were 2600, 210, and 2602 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 76, - 118, 12, and 182 billion yuan respectively, with changes of - 114, - 77, +38, and +153 billion yuan [2]. - The basis of IM, IC, IF, and IH next - month contracts were 146.64, 107.08, 55.98, and 46.05 points respectively, with annualized basis yields of - 19.22%, - 14.99%, - 11.65%, and - 13.81% respectively, and three - year historical quantiles of 5%, 7%, 2%, and 4% respectively. The futures - spot price difference remained at a low level [3]. 2. Bond Futures and Spot Market Performance - On June 6, bond futures yields declined across the board. Among active contracts, the implied yields of two - year, five - year, ten - year, and thirty - year bonds decreased by 0.93bps, 1.56bps, 6.03bps, and 4.02bps respectively compared to the previous day [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided. In the bond market, the current supply - strong and demand - weak pattern may change in the future. The short - term strategy is to buy T and TL on dips, and the medium - to - long - term strategy is to hedge T and TL on rallies [4]. 3. Economic Data - High - frequency data shows a recent rebound in import and export sentiment [11].

商品期货早班车 招商期货 黄金市场 2025年06月09日 星期一 | 招商评论 | | | --- | --- | | 贵 | 【市场表现】 | | 金 | 上周五现货黄金跌超 1%。白银延续涨势，现货银涨超 1.4%后小幅回落 | | 属 | 【消息面】 | | | 国务院副总理何立峰将于 6 月 8 日至 13 日访问英国，将与美方举行中美经贸磋商机制首次会议。；中国央行 | | | 连续第 7 个月增持黄金，环比增加 6 万盎司，增持速度继续放缓；日本首席贸易谈判代表、经济再生大臣赤 | | | 泽亮正前往美国参加第五轮日美关税谈判。 | | | 【经济数据方面】 | | | 美国 5 月非农新增 13.9 万，创 2 月以来新低，虽然高于市场预期，但前两个月数据合计大幅下修 9.5 万；失 | | | 业率 4.2%。工资意外增长，但劳动力总量却在萎缩；美国 4 月消费信贷增长翻倍至 179 亿美元，其中学生贷 | | | 款飙升至 1.8 万亿美元历史新高；2025 年 1-3 月全球整体房地产投资额同比增长 34%，对日本的房地产投资 | | | 额超过 2 万亿日元，创出季度历史新高，与上年同 ...