2025年09月24日 星期三 商品期货早班车 招商期货 黄金市场 | 招商评论 | | | --- | --- | | 贵 | 市场表现：贵金属价格继续走高，纽约金突破 3800 美元/盎司，市场资金继续做多。 | | 金 | 基本面：美联储主席鲍威尔公开讲话称美股估值相当高，重申面临通胀上升与就业下滑的双重挑战，未明确 | | 属 | 表态 10 月是否降息；美联储官员对于降息依旧存在分歧，联储执委鲍曼警告已"落后于形势"，地区联储主 | | | 席古尔斯比呼吁谨慎行事；美国 9 月 Markit 制造业 PMI 初值 52，连续第二个月扩张，预期 52.2，8 月前值 | | | 53，去年同期为 47.3。其中，就业指数从 8 月的 53.1 降至 52.6；新订单指数环比下降。美国 9 月 Markit 服 | | | 务业 PMI 初值 53.9，为 2025 年 6 月以来的最低值，预期 54，8 月前值 54.5，去年同期为 55.2。其中，就业 | | | 指数从 8 月份的 52 降至 51.6，为 2025 年 4 月以来的最低值；物价指数较上月下降，为 2025 年 4 月以来的 | ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - For the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long positions in forward contracts of various varieties on dips. In the short term, the market shows signs of cooling [2]. - For the short - term, be bullish on bonds, as the implied interest rate of ultra - long bonds at 2.2 is cost - effective; for the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On September 23, A - share four major stock indexes had a mild adjustment. The Shanghai Composite Index fell 0.18% to 3821.83 points, the Shenzhen Component Index fell 0.29% to 13119.82 points, the ChiNext Index rose 0.21% to 3114.55 points, and the Science and Technology Innovation 50 Index fell 0.1% to 1407.3 points. Market turnover was 25,185 billion yuan, an increase of 3,760 billion yuan from the previous day [1]. - In terms of industry sectors, banks (+1.52%), coal (+1.11%), and power equipment (+0.43%) led the gains; social services (-3.11%), commerce and retail (-2.9%), and computer (-2.39%) led the losses [1]. - In terms of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,107/58/4,264 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -416, -345, 135, and 627 billion yuan respectively, with changes of -404, -209, +150, and +462 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 199.47, 184.31, 24.38, and -4.49 points respectively, and the annualized basis yields were -17.71%, -16.89%, -3.55%, and 1.01% respectively, with three - year historical quantiles of 9%, 5%, 25%, and 57% respectively [1]. - The performance details of various stock index futures contracts are shown in Table 1, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On September 23, the bond market performed weakly. The implied interest rates of the active contracts of two - year, five - year, ten - year, and thirty - year bonds increased compared with the previous day [2]. - For the current active 2512 contract, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - The performance details of various treasury bond futures contracts are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. - The figure shows the term structure of treasury bond spot [7][8]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]. - The short - term capital interest rate market changes are shown in Table 3, including SHIBOR overnight rates [9]. - The figure shows the domestic meso - level data tracking, which is based on the comparison of meso - level data of each module with the same period in the past five years, scored according to the degree of change [10][11][12].

Report Summary 1. Report Industry Investment Rating No specific industry investment rating is provided in the report. 2. Core Views - For stock index futures, maintain a long - term view of going long on the economy, recommend buying long - term contracts on dips; short - term market shows signs of cooling [2] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds is attractive; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On September 22, the four major A - share stock indexes adjusted, with the Shanghai Composite Index up 0.22% to 3828.58, the Shenzhen Component Index up 0.67% to 13157.97, the ChiNext Index up 0.55% to 3107.89, and the Science and Technology Innovation 50 Index up 3.38% to 1408.64. Market turnover was 21,425 billion yuan, a decrease of 2,070 billion yuan from the previous day [1] - In terms of industry sectors, electronics (+3.71%), computer (+1.7%), and non - ferrous metals (+0.98%) led the gains; social services (-2.04%), beauty care (-1.36%), and commercial retail (-1.31%) led the losses [1] - From the perspective of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 2,175/102/3,151 respectively. Institutional, main, large - scale, and retail investors' net inflows were - 13, - 137, - 16, and 165 billion yuan respectively, with changes of +193, +88, - 33, and - 249 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 177.08, 146.93, 29.21, and 0.18 points respectively, and the annualized basis yields were - 15.16%, - 13.04%, - 4.14%, and - 0.04% respectively, with three - year historical quantiles of 14%, 10%, 21%, and 43% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On September 22, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of two - year bonds was 1.384, down 2.52 bps from the previous day; the implied interest rate of five - year bonds was 1.562, down 3.1 bps; the implied interest rate of ten - year bonds was 1.775, down 2.79 bps; the implied interest rate of thirty - year bonds was 2.203, up 0.86 bps [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 0.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.58%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 1 bps, a corresponding net basis of - 0.048, and an IRR of 1.69%; the CTD bond of the ten - year treasury bond futures was 250018.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.063, and an IRR of 1.76%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.12 bps, a corresponding net basis of 0.201, and an IRR of 0.82% [3] - In terms of the money market, the central bank injected 5,405 billion yuan and withdrew 2,800 billion yuan, resulting in a net injection of 2,605 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The report provides a comprehensive analysis of various commodity futures markets, including precious metals, base metals, black industries, agricultural products, and energy chemicals. It presents market performance, fundamentals, and trading strategies for each sector, offering insights for investors to make informed decisions in the commodity futures market [1][3][5]. Summary by Directory Precious Metals - **Gold**: Prices hit new highs. The medium - term outlook remains bullish. Silver followed gold to new highs, and short - term participation is recommended [1]. - **Silver**: Followed gold to reach new highs, with increased market popularity, and short - term participation is advised [1]. Base Metals - **Copper**: The main Shanghai copper contract oscillated around 80,000 yuan. The supply of copper ore remains tight, and domestic inventory decreased by 0.44 tons last week. A strategy of buying on dips is recommended [1]. - **Aluminum**: The main electrolytic aluminum contract closed at 20,745 yuan/ton, down 0.24% from the previous day. Supply increased slightly, and downstream consumption continued to recover. A strategy of buying on dips is suggested, with attention to inventory reduction [1]. - **Alumina**: The main contract closed at 2,934 yuan/ton, down 0.64% from the previous day. Supply and demand are in an oversupply situation, and prices are expected to be weak and volatile. Temporary observation is recommended [3]. - **Zinc**: The main Shanghai zinc contract closed at 22,080 yuan/ton, up 0.16% from the previous day. Supply increased significantly, while consumption entered the off - season. A strategy of selling on rallies is recommended [3]. - **Lead**: The main Shanghai lead contract closed at 17,125 yuan/ton, down 0.15% from the previous day. Supply is mixed, and demand has support from pre - festival stockpiling. A strategy of range - bound trading and short - term buying on dips is recommended [3]. - **Industrial Silicon**: The main contract closed at 8,950 yuan/ton, down 3.82% from the previous day. Supply increased slightly, and demand is supported by high polysilicon operating rates. The market is expected to oscillate between 8,700 - 9,800 yuan/ton, and observation is recommended [3]. - **Lithium Carbonate**: The main contract closed at 73,420 yuan/ton, down 0.7%. Supply increased, and demand from the energy storage and new energy vehicle sectors is strong. Prices are expected to oscillate between 68,000 - 75,000 yuan, and observation is recommended [3]. - **Polycrystalline Silicon**: The main contract closed at 50,990 yuan/ton, down 3.24% from the previous day. Supply is strong, and demand is weak. The market is expected to oscillate between 50,000 - 56,000 yuan, and attention can be paid to the 11 - 12 reverse spread opportunity [4]. - **Tin**: Prices oscillated weakly. Supply is expected to increase, and demand was slightly boosted by price adjustments. A range - bound trading strategy with attention to the 60 - day moving average support is recommended [4]. Black Industry - **Rebar**: The main contract closed at 3,170 yuan/ton, down 18 yuan from the previous night session. Building material inventory decreased by 1.6% to 518 tons. A strategy of unilateral observation and a 10/5 reverse spread attempt is recommended [5]. - **Iron Ore**: The main contract closed at 807.5 yuan/ton, down 8 yuan from the previous night session. Supply decreased slightly, and demand remained stable. Observation is recommended, with a reference range of 795 - 815 yuan [5]. - **Coking Coal**: The main contract closed at 1,211 yuan/ton, down 28.5 yuan from the previous night session. Supply and demand are in a neutral state, and the futures are overvalued. Observation is recommended, with a reference range of 1,170 - 1,240 yuan [5]. Agricultural Products - **Soybean Meal**: Overnight CBOT soybeans fell. US soybeans are slightly减产, and South American production is expected to increase. Short - term trading of weak export expectations is recommended, and the medium - term depends on Sino - US tariff policies [6]. - **Corn**: The 2511 contract hit a new low. Imported grain auctions increased supply, and new - crop production is expected to increase. Futures prices are expected to oscillate and decline [6]. - **Sugar**: The 01 contract closed at 5,455 yuan/ton, down 0.11%. International and domestic sugar supplies are increasing. A strategy of shorting in the futures market and selling call options is recommended [6]. - **Cotton**: Overnight US cotton futures oscillated and fell. US cotton quality declined, and domestic textile enterprises restocked in small amounts. Temporary observation with a range - bound strategy of 13,600 - 14,000 yuan/ton is recommended [6]. - **Log**: The 09 contract closed at 807.5 yuan/cubic meter, up 0.31%. Port inventory decreased slightly, and the market oscillated around 800 yuan/cubic meter. Observation is recommended [6]. - **Palm Oil**: Short - term prices continued to fall. Supply is in the seasonal growth period, and demand increased in the near term. The market is expected to be weak in the short term, and attention should be paid to production and biodiesel policies [7]. - **Egg**: The 2511 contract weakened, and spot prices were stable. Double - festival stockpiling is ending, and supply is sufficient. Egg prices are expected to oscillate and weaken [7]. - **Pig**: The 2511 contract oscillated narrowly. Supply is abundant, and prices are expected to be weak before the festival. Policy support may boost market sentiment [7]. Energy Chemicals - **LLDPE**: The main contract fell slightly. Supply increased, and demand improved seasonally. Short - term prices are expected to be weak and volatile, and a strategy of shorting on rallies or reverse spread trading in the medium - to - long term is recommended [8]. - **PVC**: The V01 contract closed at 4,939 yuan, down 0.2%. Supply increased, and demand was weak. A strategy of shorting on rallies is recommended [8]. - **Rubber**: The RU2601 contract closed at 15,615 yuan/ton, up 0.55%. Typhoon weather and inventory reduction supported prices. The medium - term outlook remains bullish [9]. - **Glass**: The FG01 contract closed at 1,199 yuan, down 1%. Supply decreased, and inventory declined. A strategy of buying on dips is recommended [9]. - **PP**: The main contract fell slightly. Supply increased, and demand improved seasonally. Short - term prices are expected to be weak and volatile, and a strategy of shorting on rallies or reverse spread trading in the medium - to - long term is recommended [9]. - **Crude Oil**: Prices fell due to increased supply from Iraq. Supply is expected to increase, and demand is weakening. A strategy of shorting on rallies is recommended [9]. - **Styrene**: The main contract fell slightly. Supply is expected to increase, and demand remains weak. Short - term prices are expected to be weak and volatile, and a strategy of shorting on rallies or reverse spread trading in the medium - to - long term is recommended [10]. - **Soda Ash**: The SA01 contract closed at 1,294 yuan, down 1.45%. Inventory decreased, and prices were stable. Observation is recommended [10]. - **Caustic Soda**: The SH01 contract closed at 2,605 yuan, down 0.7%. Supply was stable, and demand from non - aluminum sectors improved. Observation is recommended [10].

Market Performance - On September 19, the four major A-share indices pulled back, with the Shanghai Composite Index down 0.3% at 3820.09 points, the Shenzhen Component Index down 0.04% at 13070.86 points, the ChiNext Index down 0.16% at 3091 points, and the STAR 50 Index down 1.28% at 1362.65 points. Market turnover was 23,494 billion yuan, a decrease of 8,172 billion yuan from the previous day [2]. - In terms of industry sectors, coal (+1.97%), non-ferrous metals (+1.19%), and building materials (+1.05%) led the gains, while automobiles (-1.94%), pharmaceuticals and biotechnology (-1.41%), and computers (-1.26%) led the losses [2]. - From the perspective of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,909/115/3,403 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -206, -225, 18, and 414 billion yuan respectively, with changes of +126, +203, -94, and -235 billion yuan respectively [2]. Stock Index Futures Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 94.39, 65.35, 14.92, and -3.46 points respectively, and the annualized basis yields were -21.15%, -15.19%, -5.52%, and 1.98% respectively, with three - year historical quantiles of 3%, 8%, 19%, and 71% respectively [3]. Trading Strategy - In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, the market shows signs of cooling [3]. Treasury Bond Futures Market Performance - On September 19, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.407, up 3.72 bps from the previous day; the implied interest rate of the five - year bond was 1.585, up 4.42 bps; the implied interest rate of the ten - year bond was 1.796, up 4.55 bps; and the implied interest rate of the thirty - year bond was 2.2, up 1.97 bps [3]. Cash Bond and Related Data - The current active contract is the 2512 contract. For the two - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +2 bps, a corresponding net basis of 0.012, and an IRR of 1.46%; for the five - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +2.25 bps, a corresponding net basis of 0.015, and an IRR of 1.45%; for the ten - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +3.25 bps, a corresponding net basis of -0.013, and an IRR of 1.56%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +3.25 bps, a corresponding net basis of 0.306, and an IRR of 0.55% [4]. Capital Situation - In terms of open - market operations, the central bank injected 3,543 billion yuan and withdrew 2,300 billion yuan, with a net injection of 1,243 billion yuan [4]. Trading Strategy - Short - term is bullish, and the implied interest rate of 2.2 for ultra - long bonds has sufficient cost - effectiveness; in the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

2025年09月22日 星期一 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：贵金属价格反弹，美国再次面临政府关门窘境。 基本面：中美元首通电话，特朗普称，通话"非常富有成效"，将与中国领导人在 APEC 会议期间会晤；特朗 普签署公告，H-1B 签证申请收费提高至 10 万美元；出创收新招金卡签证；美参议院否决两党各自短期支出 议案，美国政府面临。国内黄金 ETF 资金继续流入，COMEX 黄金库存 1227 吨，增加 6 吨；上期所黄金库 存 57 吨，增加 0.9 吨；伦敦 8 月黄金库存 8830 吨；上期所白银库存 1159 吨，减少 44 吨，金交所白银库存 上周库存 1252 吨，增加 4 吨，COMEX 白银库存 16298 吨，减少 1 吨；伦敦 8 月白银库存增加 447 吨至 24643 吨；印度 7 月白银进口约 340 吨左右；全球最大黄金 ETF-SPDR 持有量 994 吨，维持不变；白银 etf--iShares 持有量为 15205 吨，维持不变。 交易策略：去美元化逻辑未变，美联储如期降息，但展望存在矛盾，价格处于历史高位，短期存在高位震荡， 中期依旧 ...

Report Industry Investment Ratings There is no specific information about the overall industry investment ratings in the report. Core Views - The de - dollarization logic remains unchanged. Although the Fed cut interest rates as expected, there are contradictions in the outlook. Gold prices are at a historical high, with short - term high - level oscillations and a medium - term bullish trend. Silver follows gold and is recommended to be observed [4]. - For various commodities, different trading strategies are proposed based on their market performance, fundamentals, and supply - demand relationships, such as going long on aluminum at dips, observing for zinc, going long on lead at dips, etc. [3][5] Summary by Commodity Category Precious Metals - **Gold**: The price is at a high level. The de - dollarization logic persists, and with the Fed's interest - rate cut, it is expected to have short - term high - level oscillations and a medium - term upward trend. Domestic gold ETF funds continue to flow in, and inventories in some exchanges increase [4]. - **Silver**: Follows the trend of gold and is recommended to be observed. Global silver ETF holdings decrease [4]. Basic Metals - **Aluminum**: The price of the electrolytic aluminum main contract drops. The supply side maintains high - load production, and the demand side shows continuous warming. After the interest - rate cut and inventory de - stocking difficulties, the price has a phased decline. It is recommended to go long at dips considering future demand. The price of the alumina main contract also drops. The supply is in a high - production state, and the demand comes from electrolytic aluminum plants. Due to the supply - demand surplus pattern, it is expected to be in a weak oscillation, and it is recommended to observe [3]. - **Zinc**: The price of the main contract drops. Supply - side disturbances increase, but overall supply is abundant. Consumption is "not in the peak - season", and inventories continue to accumulate. It is recommended to observe [3][5]. - **Lead**: The price of the main contract rises slightly. Supply is regionally tightened, and consumption is expected to increase. Inventories show a small accumulation, but spot circulation is tight. It is recommended to go long at dips [5]. - **Industrial Silicon**: The main contract price drops. Supply increases, and both social and warehouse inventories start to accumulate. Demand is at a relatively high level this year. The market is in a long - short game regarding policies, and it is expected to oscillate within a certain range. It is recommended to observe [5]. - **Lithium Carbonate**: The main contract price drops. Supply is increasing, and demand from the energy - storage and new - energy vehicle sectors is strong. It is expected to de - stock, and the price is expected to oscillate within a certain range. It is recommended to observe [5]. - **Polycrystalline Silicon**: The main contract price drops. Supply is stable, and inventories start to accumulate. Demand in the photovoltaic industry is weak. The market is in a game regarding policies, and it is expected to oscillate within a certain range. Attention should be paid to the 11 - 12 reverse - spread opportunity [5]. Black Industry - **Rebar**: The price of the main contract drops. Steel demand shows seasonal marginal improvement with obvious structural differentiation. It is recommended to hold short positions in the rebar 2601 contract [6]. - **Iron Ore**: The price of the main contract drops. Iron ore supply - demand is neutral to strong. It is recommended to observe [6]. - **Coking Coal**: The price of the main contract drops. Supply - side inventories are differentiated, and the futures are over - valued. It is recommended to observe [6]. Agricultural Products - **Soybean Meal**: The price of CBOT soybeans drops. Global supply is expected to be loose, and demand shows a structural differentiation. Short - term domestic and foreign markets are differentiated, and the medium - term trend depends on tariff policies [7]. - **Corn**: The 2511 contract is weakly running. Imported grain auctions increase supply, and new - crop production is expected to increase. The futures price is expected to oscillate and decline [8]. - **Sugar**: The 01 contract price drops. Brazilian sugar production is high, and the domestic sugarcane growing situation varies by region. It is recommended to go short in the futures market and sell call options [8]. - **Cotton**: The price of the US cotton futures drops, and the domestic cotton futures are weakly oscillating. It is recommended to observe within a certain price range [8]. - **Log**: The 09 contract price drops. Port inventories are stable, and downstream demand has not improved. It is recommended to observe [8]. - **Palm Oil**: The price of Malaysian palm oil drops. Supply is in a seasonal increase cycle, and demand shows a certain increase. Near - term inventories are accumulating, and there is a seasonal production - reduction expectation in the long - term. The short - term is restricted by international oils, and it is recommended to pay attention to production and bio - diesel policies [8]. - **Egg**: The 2511 contract oscillates narrowly, and the spot price drops. Supply is sufficient, and demand may increase seasonally. The futures are expected to be strongly oscillating in the short - term [8]. - **Live Pig**: The 2511 contract continues to decline, and the spot price drops. Supply is abundant in the near - term and expected to decrease in the long - term. It is recommended to continue the reverse - spread strategy [9]. Energy and Chemicals - **LLDPE**: The main contract price drops slightly. Supply is increasing, and demand is improving. In the short - term, it is expected to oscillate, and in the long - term, the supply - demand pattern will become looser. It is recommended to short at high prices or conduct a reverse - spread operation [10]. - **PVC**: The 01 contract price is flat. Supply - demand is in a weak balance, and inventories are at a new high. It is recommended to observe [10]. - **Rubber**: The price of the main contract drops. Raw material prices fluctuate, and downstream enterprise operating rates change slightly. The market is in an oscillating state under the situation of strong reality and weak expectation [10]. - **Glass**: The 01 contract price drops. Supply is expected to increase slightly, and inventories are decreasing. Downstream demand shows seasonal improvement. It is recommended to go long at dips [10][11]. - **PP**: The main contract price drops slightly. Supply is increasing, and demand is in the peak - season. In the short - term, it is expected to oscillate, and in the long - term, the supply - demand pattern will become looser. It is recommended to short at high prices or conduct a reverse - spread operation [10][11]. - **Crude Oil**: The price drops. Supply pressure is increasing, and demand is weakening. It is recommended to short at high prices [11]. - **Styrene**: The main contract price drops. Supply inventories are at a normal - to - high level, and demand is in the peak - season. In the short - term, it is expected to oscillate, and in the long - term, the supply - demand pattern will become looser. It is recommended to short at high prices or short the styrene profit [11]. - **Soda Ash**: The 01 contract price drops. Supply is in the high - production season, and inventories are rising. Supply - demand is in a weak balance. It is recommended to observe [11][12]. - **Caustic Soda**: The 01 contract price rises. Supply - demand is relatively healthy. It is recommended to go long [12].

Group 1: Report Industry Investment Rating - Not provided in the report Group 2: Core Viewpoints of the Report - For stock index futures, maintain a long - term view of going long on the economy, recommend allocating long - term contracts of various varieties on dips, and note short - term market cooling signs [1] - For treasury bond futures, be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Group 3: Summary by Relevant Catalogs Stock Index Futures - **Market Performance**: On September 18, A - share major indices adjusted, with the Shanghai Composite Index down 1.15% to 3831.66 points, the Shenzhen Component Index down 1.06% to 13075.66 points, the ChiNext Index down 1.64% to 3095.85 points, and the STAR 50 Index up 0.72% to 1380.35 points. Market turnover was 31,666 billion yuan, an increase of 7,637 billion yuan from the previous day. In terms of industry sectors, electronics, communication, and social services led the gains, while non - ferrous metals, comprehensive, and non - bank finance led the losses. From the perspective of market strength, IC>IM>IF>IH. Institutional, main, large - scale, and retail investors' net inflows were - 332, - 428, 112, and 649 billion yuan respectively, with changes of - 181, - 251, + 103, and + 329 billion yuan respectively [1] - **Basis and Basis Annualized Yield**: IM, IC, IF, and IH next - month contract bases were 106.2, 85.48, 22.11, and 1.03 points respectively, with basis annualized yields of - 22.2%, - 18.55%, - 7.68%, and - 0.55% respectively, and three - year historical quantiles of 2%, 2%, 14%, and 38% respectively [1] - **Trading Strategy**: In the medium - to long - term, maintain the view of going long on the economy, and using stock indices as long - term substitutes has certain excess returns. Recommend allocating long - term contracts of various varieties on dips. In the short - term, the market shows signs of cooling [1] Treasury Bond Futures - **Market Performance**: On September 18, treasury bond futures yields rose. Among active contracts, the implied interest rate of two - year bonds was 1.376, up 2.38bps from the previous day; five - year bonds was 1.55, up 1.31bps; ten - year bonds was 1.76, up 4.82bps; and thirty - year bonds was 2.179, up 2.66bps [1] - **Cash Bonds**: The current active contract is the 2512 contract. For 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of + 1bps, a corresponding net basis of 0.014, and an IRR of 1.5%; for 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of + 2.65bps, a corresponding net basis of - 0.027, and an IRR of 1.67%; for 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of + 1.5bps, a corresponding net basis of - 0.049, and an IRR of 1.76%; for 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of + 1bps, a corresponding net basis of 0.139, and an IRR of 1.13% [1] - **Funding Situation**: In open - market operations, the central bank injected 487 billion yuan and withdrew 292 billion yuan, with a net injection of 195 billion yuan [1] - **Trading Strategy**: Be bullish in the short - term as the implied interest rate of ultra - long bonds at 2.2% is cost - effective; in the medium - to long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [1] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [7]

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, the short - term outlook is bullish as the implied interest rate of ultra - long bonds is considered cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summaries According to Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On September 17th, the four major A - share stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16% to 13215.46 points, the ChiNext Index rose 1.95% to 3147.35 points, and the Science and Technology Innovation 50 Index rose 0.91% to 1370.43 points. The market turnover was 24,029 billion yuan, an increase of 359 billion yuan from the previous day. Among industry sectors, power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%) led the gains, while agriculture, forestry, animal husbandry, and fishery (-1.02%), commerce and retail (-0.98%), and social services (-0.86%) led the losses. In terms of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 2,504, 168, and 2,754 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 151, - 177, 9, and 319 billion yuan respectively, with changes of - 145, - 18, +76, and +87 billion yuan [2]. - **Basis and Annualized Basis Yield**: The basis of IM, IC, IF, and IH next - month contracts was 74.61, 63.04, 9.22, and - 2.82 points respectively, and the annualized basis yields were - 14.52%, - 12.77%, - 2.98%, and 1.41% respectively. Their three - year historical quantiles were 16%, 10%, 29%, and 62% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - position view on the economy and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On September 17th, the yields of treasury bond futures declined across the board. Among active contracts, the implied interest rate of the 2 - year bond was 1.346, down 2.65 bps from the previous day; the 5 - year bond was 1.534, down 2.15 bps; the 10 - year bond was 1.711, down 3.18 bps; and the 30 - year bond was 2.147, down 1.47 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.61%. For the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 2.15 bps, a corresponding net basis of 0.008, and an IRR of 1.51%. For the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 2 bps, a corresponding net basis of 0.027, and an IRR of 1.42%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.5 bps, a corresponding net basis of 0.083, and an IRR of 1.3% [2]. - **Funding Situation**: In open - market operations, the central bank injected 418.5 billion yuan and withdrew 304 billion yuan, resulting in a net injection of 114.5 billion yuan [2]. - **Trading Strategy**: Short - term bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic mid - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and imports and exports is analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a decline, and zero scores indicate little change [8][10][11]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The Fed cut interest rates by 25 basis points, but there were contradictions in its statements and forecasts, causing market volatility. The de - dollarization logic remains unchanged, and gold is expected to be bullish in the medium - term, while short - term high - level fluctuations are possible. Silver follows gold, and it is recommended to take profits when the domestic price breaks through 10,000 yuan [3]. - The overall supply and demand of the commodity market are complex and diverse. Different varieties have different supply and demand situations, and corresponding trading strategies are proposed based on these situations. For example, for some metals, the supply is tight or the demand is improving, while for some agricultural products and energy chemicals, the supply and demand are affected by factors such as seasons, policies, and international trade [2][4][6][7][8][9][10][11][12]. Summary by Directory Basic Metals - **Copper**: The price fluctuated weakly yesterday. To avoid the interest - rate meeting, the price declined. The supply of copper ore remains tight, and domestic maintenance has increased. The trading strategy is to buy on dips [2]. - **Aluminum**: The price of the main electrolytic aluminum contract decreased by 0.31% yesterday. The electrolytic aluminum plants maintain high - load production, and downstream consumption is warming up. Due to the approaching interest - rate meeting, the price may decline in the short - term, but it is expected to rise later. It is recommended to buy on dips [2]. - **Alumina**: The price of the main contract decreased by 1.41% yesterday. The operating capacity of alumina plants is at a high level, and electrolytic aluminum plants maintain high - load production. The supply - demand pattern is bearish, and the price is expected to fluctuate weakly. It is advisable to wait and see [2][4]. - **Lead**: The price of the main contract increased by 0.26% yesterday. The supply is regionally tightened, and consumption is waiting to rise. It is recommended to buy on dips [4]. - **Industrial Silicon**: The main contract fluctuated on Wednesday. The supply has increased, and both social and warehouse inventories have slightly increased. The demand is at a relatively high level this year. The price is expected to fluctuate between 8200 - 9200, and it is recommended to wait and see [4]. - **Polycrystalline Silicon**: The main contract decreased by 0.34% on Wednesday. The supply is stable, and inventories have started to accumulate. The demand for photovoltaic installations in the third quarter is pessimistic. The price is expected to fluctuate between 52,000 - 57,000, and attention can be paid to the 11 - 12 reverse spread opportunity [4]. - **Tin**: The price fluctuated weakly yesterday. The supply of tin ore remains tight, and Wa State is gradually resuming production. It is recommended to adopt a bullish - on - fluctuations strategy [4]. Precious Metals - **Gold and Silver**: Precious metal prices declined before the interest - rate meeting due to profit - taking. The Fed cut interest rates, but there were contradictions in its statements. Gold is expected to be bullish in the medium - term, with short - term high - level fluctuations. Silver follows gold, and it is recommended to take profits when the domestic price breaks through 10,000 yuan [3]. Black Industry - **Rebar**: The main contract rose by 18 yuan/ton. The supply and demand of building materials are moderately weak, while the demand for plates is stable. It is recommended to close long positions and aggressive investors can try to short the 2601 contract [6]. - **Iron Ore**: The main contract rose by 7.5 yuan/ton. The supply and demand are moderately strong, and the inventory accumulation may be slower than the seasonal pattern. It is recommended to wait and see [6]. - **Coking Coal**: The main contract fell by 6.5 yuan/ton. The iron - water output increased, but the steel - mill profit margin narrowed. The futures valuation is high. It is recommended to close long positions in the 2605 contract [6]. Agricultural Products - **Soybean Meal**: Overnight CBOT soybeans declined. The global supply is expected to be loose. Short - term price trends at home and abroad are different, and the medium - term trend depends on tariff policies [7]. - **Corn**: The 2511 contract declined more significantly, and the spot price fell across the board. The supply has increased, and the price is expected to decline in a fluctuating manner [7][8]. - **Sugar**: The 01 contract fell by 0.09%. Internationally, Brazilian sugar production is high, and domestically, the growth of sugarcane varies by region. It is recommended to short in the futures market and sell call options [8]. - **Cotton**: Overnight, the US cotton price declined. Internationally, the Fed's interest - rate cut met expectations, and the domestic cotton price fluctuated narrowly. It is recommended to buy on dips in the range of 13,800 - 14,500 yuan/ton [8]. - **Log**: The 09 contract rose by 0.31%. The port inventory decreased slightly, and the supply - demand contradiction is not prominent. It is recommended to wait and see [8]. - **Palm Oil**: Yesterday, the Malaysian palm oil price declined. The supply is in the seasonal growth period, and the demand is expected to increase in the near - term. It is recommended to consider reverse spreads in the monthly contracts [8]. - **Eggs**: The 2511 contract fluctuated narrowly, and the spot price slightly declined. The demand is expected to increase seasonally, but the supply is sufficient. The futures price is expected to fluctuate strongly in the short - term [8]. - **Hogs**: The 2511 contract continued to decline, and the spot price fell. The supply is abundant in the near - term and is expected to decrease in the long - term. It is recommended to focus on reverse spread strategies [8][9]. Energy and Chemicals - **LLDPE**: The main contract fluctuated slightly yesterday. The domestic supply pressure is increasing but slowing down, and the demand is improving. The price is expected to fluctuate in the short - term, and it is recommended to short on rallies or consider reverse spreads in the medium - to long - term [10]. - **PVC**: The v01 contract fell by 0.1%. The supply and demand are in a weak balance. It is recommended to short on rallies [10]. - **PTA**: The PX price is expected to be strong, and the PTA supply pressure is high in the long - term. It is recommended to short the processing fee of the far - month contracts on rallies [10]. - **Rubber**: The price declined on Wednesday. The raw material price provides support, but the demand is expected to weaken. The price is expected to fluctuate [10][11]. - **Glass**: The fg01 contract remained unchanged. The supply and demand are in a weak balance, and the situation is improving. It is recommended to go long [11]. - **PP**: The main contract fluctuated slightly. The supply pressure is increasing, and the demand is picking up. The price is expected to fluctuate in the short - term, and it is recommended to short on rallies or consider reverse spreads in the medium - to long - term [11]. - **MEG**: The supply is at a high level, and the inventory is at a low level. The supply and demand are balanced. It is recommended to close short positions [11]. - **Crude Oil**: The price weakened slightly yesterday. The supply is increasing, and the demand is weakening. It is recommended to short on rallies, focusing on the SC12 contract around 500 yuan/barrel [11][12]. - **Styrene**: The EB main contract fell slightly. The supply and demand are weak in the short - term, and the price is expected to fluctuate. In the medium - to long - term, it is recommended to short on rallies or short the profit [12]. - **Soda Ash**: The sa01 contract rose by 0.3%. The supply and demand are in a seasonal improvement under a weak balance. It is recommended to go long [12]. - **Caustic Soda**: The sh01 contract rose by 0.4%. The supply and demand are balanced, and it is recommended to go long at low levels [12].