1. Report Industry Investment Rating - The industry investment rating is "Hold" [4] 2. Report's Core View - The report provides a comprehensive analysis of various commodity futures markets, including precious metals, base metals, black industries, agricultural products, and energy chemicals. It assesses market performance, fundamentals, and offers corresponding trading strategies for each sector, with an overall cautious and diversified view on the market trends [2][3][6] 3. Summary by Related Catalogs Precious Metals Gold - Market performance: International gold prices denominated in London gold continued to rise, breaking through $4,100 per ounce [2] - Fundamentals: Multiple factors influenced the market, including US Treasury payment prioritization, China's trade data, and international political events. Domestic gold ETF funds flowed in, and there were changes in gold and silver inventories in different exchanges [2] - Trading strategy: The logic of de - dollarization remained unchanged. With the Fed's expected interest rate cut and a high - price short - term situation, there was a possibility of significant high - level volatility in the future. It was recommended to hold gold long positions and be cautious with silver long positions [2] Silver - Market performance: Speculative funds flooded into London silver, causing a short squeeze, but global supplies started to enter the market [2] - Fundamentals: Similar to gold, influenced by various factors, with changes in inventories and ETF holdings [2] - Trading strategy: Be cautious with long positions due to potential high - level volatility [2] Base Metals Aluminum - Market performance: The closing price of the electrolytic aluminum main contract decreased by 0.45% compared to the previous trading day, closing at 20,885 yuan per ton [3] - Fundamentals: Aluminum smelters maintained high - load production, and the weekly aluminum product operating rate decreased slightly [3] - Trading strategy: Temporarily observe, paying attention to the progress of APEC on November 1st [3] Alumina - Market performance: The closing price of the alumina main contract decreased by 1.26% compared to the previous trading day, closing at 2,820 yuan per ton [3] - Fundamentals: Alumina plants maintained high production, and electrolytic aluminum plants maintained high - load production [3] - Trading strategy: Expect prices to fluctuate weakly, temporarily observe, and focus on heating - season production restrictions and alumina plant shutdowns [3] Zinc - Market performance: The closing price of the Shanghai zinc contract decreased by 0.07% compared to the previous trading day, closing at 22,205 yuan per ton. There were changes in spreads and inventories [3][5] - Fundamentals: Supply pressure persisted, with rising production expected in October. Consumption showed no significant improvement, and inventories had different trends in domestic and LME markets [5] - Trading strategy: Sell on rallies [5] Lead - Market performance: The closing price of the Shanghai lead contract remained unchanged at 17,100 yuan per ton. There were changes in spreads and inventories [4] - Fundamentals: Supply increased as recycled lead smelters resumed production, while consumption showed some resilience. Lithium - battery export control policies were expected to support lead - acid battery demand [4] - Trading strategy: Operate within a range [4] Industrial Silicon - Market performance: The main contract showed price fluctuations, with changes in positions, open interest, and warehouse receipts [4] - Fundamentals: Supply was expected to be affected by the upcoming dry season in the southwest region. Social inventories increased slightly, and demand was supported by high - rate polysilicon production [4] - Trading strategy: The price was expected to fluctuate between 8,200 - 9,300 yuan per ton, and it was recommended to observe [4] Lithium Carbonate - Market performance: The main contract price decreased by 0.6%, and there were changes in spot prices and basis [4] - Fundamentals: Supply increased, with expected growth in October production. Demand for downstream products such as lithium iron phosphate and ternary materials also increased. The market was expected to maintain a tight balance [4] - Trading strategy: Observe the progress of Sino - US leadership negotiations. Consider short - selling on rallies in the far - month contract if there is no significant impact from lithium mine shutdowns [4] Polysilicon - Market performance: The main contract price decreased by 0.46%, with changes in positions, open interest, and warehouse receipts [4] - Fundamentals: Supply increased slightly, and industry inventories accumulated faster. Downstream product prices were stable, and there were declines in silicon wafer and battery cell production schedules [4] - Trading strategy: Observe the progress of the state - reserve purchase platform and consider spread trading or option strategies [4] Black Industry Rebar - Market performance: The main contract price decreased by 35 yuan per ton compared to the previous night - session closing price [6] - Fundamentals: Rebar demand was weak, and production might decline due to low profits. Plate demand was stable. Overall, the steel market had limited supply - demand contradictions but obvious structural differentiation [6] - Trading strategy: Hold short positions in rebar, with a reference range of 3,040 - 3,110 yuan per ton for the RB01 contract [6] Iron Ore - Market performance: The main contract price increased by 1 yuan per ton compared to the previous night - session closing price [6] - Fundamentals: Australian and Brazilian shipments decreased, and iron - water production decreased slightly. The first round of coke price increases was implemented. The supply - demand situation was marginally neutral to strong, and inventory accumulation was expected to be slower than the historical average [6] - Trading strategy: Observe mainly, with a reference range of 790 - 820 yuan per ton for the I01 contract [6] Coking Coal - Market performance: The main contract price decreased by 8.5 yuan per ton compared to the previous night - session closing price [6] - Fundamentals: Steel mill profits were marginally stable. The first round of price increases was implemented, and there was resistance to further increases. Inventory levels were low, and the futures were at a premium to the spot [6] - Trading strategy: Observe mainly, with a reference range of 1,110 - 1,170 yuan per ton for the JM01 contract [6] Agricultural Products Soybean Meal - Market performance: CBOT soybeans rebounded slightly overnight [7] - Fundamentals: Supply was expected to be slightly higher year - on - year, with a small reduction in US soybean production and an expected increase in South American production. Demand was differentiated, with increased crushing but weak export demand due to tariff policies [7][8] - Trading strategy: US soybeans were expected to fluctuate within a range. The domestic market was in a loose situation, with a tendency to fluctuate, and the medium - term trend was uncertain, depending on Sino - US tariff policies [8] Corn - Market performance: Corn futures prices were weak, and spot prices continued to decline [8] - Fundamentals: Bad weather in North China affected corn harvesting, increasing the risk of quality damage and storage difficulty. New grain was about to be listed, and downstream procurement was inactive. New - crop production was expected to increase, and costs decreased, putting pressure on prices [8] - Trading strategy: Futures prices were expected to decline with fluctuations due to new - crop listing pressure [8] Edible Oils - Market performance: Malaysian palm oil prices fell, digesting a bearish MPOB report and weak macro - environment [8] - Fundamentals: Malaysian palm oil production was in a seasonal decline, while exports increased. Overall, inventory continued to accumulate in September, with an expected seasonal decline in the future [8] - Trading strategy: It was difficult to trade edible oils unilaterally, and there were differences among varieties. It was recommended to consider reverse spreads for palm oil. Pay attention to production in the producing areas and biodiesel policies [8] Cotton - Market performance: Overnight US cotton futures prices fluctuated and declined, while international crude oil prices rebounded [8] - Fundamentals: International data from USDA was suspended. US clothing retail sales increased, and there were changes in domestic cotton supply and inventory [8] - Trading strategy: Temporarily observe, with a range - trading strategy between 13,200 - 13,600 yuan per ton [8] Eggs - Market performance: Egg futures prices were weak, and spot prices showed mixed trends [8] - Fundamentals: Post - holiday demand decreased seasonally, while supply continued to increase, resulting in a supply - demand imbalance. Egg inventories accumulated, and low vegetable prices dragged down egg prices [8] - Trading strategy: Futures prices were expected to decline with fluctuations due to weakening demand [8] Pigs - Market performance: Pig futures prices were weak, and national pig prices showed mixed trends [8] - Fundamentals: Seasonally, pig prices usually declined after the double festivals. Supply was expected to increase from October to November, widening the supply - demand gap and putting pressure on prices [8] - Trading strategy: Futures prices were expected to decline due to the supply - demand imbalance [8] Energy Chemicals LLDPE - Market performance: The main contract continued to decline slightly, with changes in basis and market trading volume. The import window was closed [10] - Fundamentals: Supply increased but at a slower pace, with new device launches and potential production cuts in some plants. Demand improved in the agricultural film season but was stable in other areas [10] - Trading strategy: In the short term, the market was expected to fluctuate weakly. In the long term, as new devices were put into operation, the supply - demand pattern would become looser. It was recommended to short at high prices or engage in spread trading [10] PVC - Market performance: The V01 contract price decreased by 0.6% [10] - Fundamentals: Supply increased with new device launches, demand was weak due to low downstream factory operating rates and a sluggish real - estate market, and social inventories reached a new high [10] - Trading strategy: It was recommended to short or engage in spread trading due to the weak supply - demand balance [10] PTA - Market performance: There were changes in PX and PTA prices and basis [10] - Fundamentals: PX supply was high, and PTA supply pressure was relieved in the short term but large in the long term. Polyester factory loads were high, and terminal orders improved structurally [10] - Trading strategy: PX prices were expected to fluctuate weakly, and it was recommended to short the processing fee of PTA in the far - month contract [10] Rubber - Market performance: The main contract price decreased by 2.73% [10] - Fundamentals: Raw material prices in Thailand changed, and there were changes in natural rubber inventories in Qingdao [10] - Trading strategy: The price was expected to be weak in the short term, and it was recommended to hold short positions cautiously or observe [10] Glass - Market performance: The FG01 contract price decreased by 3.6% [11] - Fundamentals: Supply was high, and inventory accumulated. Downstream demand was weak, but there were expectations of supply reduction [11] - Trading strategy: Observe due to the supply - demand balance and supply - reduction expectations [11] PP - Market performance: The main contract continued to decline slightly, with changes in basis and trading volume. The import window was closed, and the export window was open [11] - Fundamentals: Supply increased with new device launches, and demand improved during the peak season [11] - Trading strategy: In the short term, the market was expected to fluctuate weakly. In the long term, as new devices were put into operation, the supply - demand pattern would become looser. It was recommended to short at high prices or engage in spread trading [11] MEG - Market performance: There were changes in MEG spot prices and basis [11] - Fundamentals: Supply pressure was large after new device launches, and inventory was at a low level. Polyester factory loads were high, and terminal orders improved structurally [11] - Trading strategy: Observe in the short term due to macro - volatility and low inventory. In the long term, short at high prices due to inventory accumulation pressure [11] Crude Oil - Market performance: Oil prices opened higher and then fluctuated, with a weaker rebound compared to other commodities [11] - Fundamentals: Supply increased due to multiple countries' production, and demand decreased seasonally and was affected by trade relations [11] - Trading strategy: Continue to hold short positions in SC crude oil [11] Styrene - Market performance: The main contract continued to decline slightly, with changes in spot prices and trading volume. The import window was closed [12] - Fundamentals: Pure benzene and styrene inventories were at normal or high levels, and downstream demand was weak despite a seasonal increase in operating rates [12] - Trading strategy: In the short term, the market was expected to fluctuate weakly. In the long term, as supply increased, the supply - demand pattern would become looser. It was recommended to short at high prices or engage in spread trading [12] Soda Ash - Market performance: The sa01 contract price decreased by 0.4% [12] - Fundamentals: Supply was high in the fourth quarter, and inventory accumulated during the National Day holiday. Downstream demand from photovoltaic glass had high inventory days [12] - Trading strategy: Observe due to the supply - demand balance [12] Caustic Soda - Market performance: The SH01 contract price decreased by 0.2% [12] - Fundamentals: The purchase price of the main downstream decreased, inventory accumulated, and non - aluminum demand recovery was less than expected [12] - Trading strategy: Observe due to a neutral valuation and seasonal demand recovery [12]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - Medium to long - term, maintain the judgment of going long on the economy, recommend allocating long - term contracts of various varieties on dips; short - term, the market shows signs of cooling [3] - For the bond market, short - term is bullish as the implied interest rate of ultra - long bonds at 2.2 is cost - effective; medium to long - term, with increasing 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 October 13, A - share four major stock indexes adjusted, with Shanghai Composite Index down 0.19% to 3889.5 points, Shenzhen Component Index down 0.93% to 13231.47 points, ChiNext Index down 1.11% to 3078.76 points, and STAR 50 Index up 1.4% to 1473.02 points. Market turnover was 23,742 billion yuan, a decrease of 1,599 billion yuan from the previous day [2] - In terms of industry sectors, non - ferrous metals (+3.35%), environmental protection (+1.65%), and steel (+1.49%) led the gains; automobiles (-2.33%), household appliances (-1.74%), and beauty care (-1.58%) led the losses [2] - In terms of market strength, IM > IH > IC > IF, and the number of rising/flat/falling stocks was 1,682/118/3,628 respectively. In Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 151, - 248, - 2, and 400 billion yuan respectively, with changes of +429, +102, - 268, and - 263 billion yuan respectively [2] - For stock index futures, the basis of IM, IC, IF, and IH next - month contracts were 124.76, 98.56, 21.58, and 4.61 points respectively, and the annualized basis yields were - 13.83%, - 11.13%, - 3.91%, and - 1.29% respectively, with three - year historical quantiles of 19%, 14%, 23%, and 33% respectively [2] (2) Treasury Bond Futures and Spot Market Performance - On October 13, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.403, down 0.93 bps from the previous day; five - year bonds was 1.583, down 0.24 bps; ten - year bonds was 1.762, down 1.32 bps; thirty - year bonds was 2.218, down 1.74 bps [3] - For treasury bond futures, the current active contract is the 2512 contract. The CTD bond of the two - year treasury bond futures is 250012.IB, with a yield change of +0 bps, corresponding net basis of - 0.002, and IRR of 1.46%; for five - year, the CTD bond is 250003.IB, yield change of - 0.5 bps, net basis of - 0.011, and IRR of 1.51%; for ten - year, the CTD bond is 220019.IB, yield change of +0 bps, net basis of - 0.008, and IRR of 1.5%; for thirty - year, the CTD bond is 210014.IB, yield change of - 1.62 bps, net basis of - 0.11, and IRR of 1.94% [3] - In terms of the money market, the central bank's open - market operations had a currency injection of 1,378 billion yuan and no currency withdrawal, with a net injection of 1,378 billion yuan [3] (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure prosperity are lower than in previous periods [10]

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report - The overall commodity market is significantly influenced by geopolitical factors such as the US - China trade war and US tariff policies, and different commodities show different price trends and investment opportunities due to their own supply - demand fundamentals [1][2][3]. - The precious metals market is affected by factors like the Fed's interest - rate policy and geopolitical risks. The basic metals market is affected by supply - demand balance, trade frictions, and other factors. The black industry is influenced by steel and iron ore supply - demand, and macro - political factors. The agricultural product market is affected by factors such as yield, tariff policies, and weather. The energy - chemical market is affected by new device production, demand seasons, and trade frictions [1][4][5]. 3. Summary by Commodity Categories Precious Metals - **Gold**: The international gold price denominated in London gold rose 1.06% to $4018 per ounce. The US 9 - month CPI release was postponed, and there are uncertainties in the Fed's interest - rate policy. It is recommended to hold long positions cautiously due to the possibility of high - level shocks [1]. - **Silver**: It followed gold to reach a new high. The market sentiment increased, and it is recommended to hold with a light position [1]. Basic Metals - **Copper**: The copper price fluctuated, affected by Trump's tariff remarks. The supply of copper ore is tight, and it is recommended to buy on dips [1]. - **Aluminum**: The price of electrolytic aluminum faced downward pressure due to macro - sentiment and weakening demand. It is recommended to partially close long positions or buy put options [1]. - **Alumina**: The short - term trend is dominated by oversupply, and it is recommended to wait and see [1][2]. - **Industrial Silicon**: The short - term trend is affected by coking coal and tariffs, and it is expected to oscillate between 8200 - 9300 yuan/ton. It is recommended to wait and see [2]. - **Lithium Carbonate**: The market is expected to maintain a tight balance in the short term. It is necessary to pay attention to the progress of Sino - US leadership negotiations and the shutdown of lithium mines in Jiangxi. It is recommended to short at high prices and build small - scale positions [2]. - **Polycrystalline Silicon**: It is recommended to wait and see, focusing on the progress of the state - purchase platform and the 11 - 12 spread [2]. - **Tin**: It is expected to oscillate within a range [3]. Black Industry - **Rebar**: The supply - demand contradiction of steel is limited, but there is obvious structural differentiation. It is recommended to hold short positions [4]. - **Iron Ore**: The supply - demand is moderately strong, and it is recommended to wait and see [4]. - **Coking Coal**: The futures valuation is high, and it is recommended to wait and see [4]. Agricultural Products - **Soybean Meal**: The US soybeans are weak, but considering the low valuation and policy uncertainties, it is recommended to wait and see. The domestic market may rebound, but the medium - term trend depends on Sino - US tariff policies [5]. - **Corn**: The new - crop listing pressure is high, and the futures price is expected to decline oscillatingly [6]. - **Edible Oils**: The unilateral trading of oils is difficult, and the P structure is suitable for reverse spreads. It is necessary to pay attention to the yield in production areas and bio - diesel policies [6]. - **White Sugar**: It is recommended to short in the futures market and sell call options [6]. - **Cotton**: It is recommended to wait and see, with a strategy in the range of 13200 - 13600 yuan/ton [6]. - **Log**: The supply - demand contradiction is not prominent, and it is recommended to wait and see [6]. - **Eggs**: The demand is weakening, and the futures price is expected to decline [7]. - **Hogs**: The supply is strong and the demand is weak, and the futures price is expected to decline [7]. Energy - Chemicals - **LLDPE**: In the short term, it is expected to oscillate weakly, and in the long term, it is recommended to short at high prices or do reverse spreads [8]. - **PVC**: The supply - demand is in a weak balance, and it is recommended to short [8]. - **PTA**: The PX price is expected to decline oscillatingly, and it is recommended to short the processing fee of PTA in the long term [8][9]. - **Rubber**: It is expected to decline significantly in the short term, and it is recommended to hold short positions [9]. - **Glass**: The spot is okay, and it is recommended to wait and see [9]. - **PP**: In the short term, it is expected to oscillate weakly, and in the long term, it is recommended to short at high prices or do reverse spreads [9]. - **MEG**: It is recommended to wait and see in the short term and short at high prices in the long term [9][10]. - **Crude Oil**: The supply is strong and the demand is weak, and it is recommended to hold short positions [10]. - **Styrene**: In the short term, it is expected to oscillate weakly, and in the long term, it is recommended to short at high prices or do reverse spreads [10]. - **Soda Ash**: The supply - demand is in a weak balance, and it is recommended to wait and see [10]. - **Caustic Soda**: It is recommended to wait and see [10][11].

Report Industry Investment Rating - Not mentioned in the report Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, and note short - term market cooling signs [3] - For treasury bond futures, short - term is bullish as the implied interest rate of ultra - long bonds is cost - effective; for medium - and long - term, with rising risk appetite and economic recovery expectations, suggest hedging T and TL contracts on rallies [4] Summary by Directory 1. Stock Index Futures and Spot Market Performance - On October 10, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.94% to 3897.03 points, the Shenzhen Component Index dropped 2.7% to 13355.42 points, the ChiNext Index declined 4.55% to 3113.26 points, and the Science and Technology Innovation 50 Index decreased 5.61% to 1452.68 points. Market trading volume was 25,341 billion yuan, a decrease of 137.7 billion yuan from the previous day [2] - In terms of industry sectors, building materials (+1.92%), coal (+1.37%), and textile and apparel (+1.3%) led the gains; electronics (-4.71%), power equipment (-4.46%), and computers (-3.7%) led the losses [2] - From the perspective of market strength, IM>IH>IF>IC. The number of rising/flat/falling stocks was 2,772/127/2,529 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 57.9 billion, - 35.1 billion, 26.6 billion, and 66.3 billion yuan respectively, with changes of - 44.3 billion, - 23.1 billion, +17 billion, and +50.4 billion yuan respectively [2] - The basis of IM, IC, IF, and IH next - month contracts was 112.02, 87.02, 16.43, and 1.25 points respectively, and the annualized basis yields were - 11.99%, - 9.49%, - 2.87%, and - 0.34% respectively, with three - year historical quantiles of 28%, 19%, 30%, and 40% respectively [3] - Detailed performance data of various stock index futures contracts (including IC, IF, IH, IM series) are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 2. Treasury Bond Futures and Spot Market Performance - On October 10, the bond market weakened. The implied interest rates of active contracts such as two - year, five - year, ten - year, and thirty - year bonds all increased compared to the previous day [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are as follows: 2 - year CTD bond is 250012.IB, yield change +1bps, net basis 0.009, IRR 1.38%; 5 - year CTD bond is 250003.IB, yield change +0.75bps, net basis 0.005, IRR 1.39%; 10 - year CTD bond is 220019.IB, yield change +0bps, net basis - 0.002, IRR 1.43%; 30 - year CTD bond is 210014.IB, yield change +1bps, net basis 0.067, IRR 1.17% [4] - In terms of the money market, the central bank's currency injection was 409 billion yuan, currency withdrawal was 600 billion yuan, and the net withdrawal was 191 billion yuan [4] - Detailed performance data of various treasury bond futures contracts (including TS, TF, T, TL series) and some treasury bond spot bonds are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rates [7] 3. Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [10] - Based on the changes in domestic medium - term data compared with the same period in the past five years (year - on - year month - on - month), the prosperity scores of manufacturing, real estate, social activities, infrastructure, and imports and exports are shown in Figure 2 [11][12]

2025年10月10日 星期五 商品期货早班车 招商期货 黄金市场 | | 招商评论 | | | | --- | --- | --- | --- | | 贵 | 3975 市场表现：以伦敦金计价的国际金价下跌 1.58%,收报 美元/盎司;国内方面。 | | | | 金 | 基本面：美联储理事巴尔强调通胀风险、称降息需谨慎；纽约联储行长威廉姆斯表示支持今年进一步降息， | | | | 属 | 并不认为经济处于衰退边缘；美国劳工统计局准备在政府关门期间发布 9 月 CPI 数据；IMF 发布 2025 年 | | 10 | | | 月世界经济展望，全球经济增长预计 2025 年和 年均为 3.3%。国内黄金 ETF 资金流入。COMEX 黄金 | 2026 | | | | 库存 1242 吨，减少 5 吨；上期所黄金库存 70 吨，增加 2.8 吨；伦敦 8 月黄金库存 8830 吨；上期所白银库 | | | | | 存 1186 吨，减少 3 吨，金交所白银库存上周库存 1172 吨，减少 42 吨，COMEX 白银库存 16362 吨，减少 | | | | | 60 吨；伦敦 8 月白银库存增加 447 吨 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts on dips, and note short - term market cooling signs [2]. - For bond futures, short - term is bullish as the implied yield of ultra - long bonds is cost - effective; for medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4]. Summary by Related Catalogs Stock Index Futures - **Market Performance**: On October 9, A - share four major stock indexes all rose, with the Shanghai Composite Index up 1.32% to 3933.97 points, the Shenzhen Component Index up 1.47% to 13725.56 points, the ChiNext Index up 0.73% to 3261.82 points, and the Science and Technology Innovation 50 Index up 2.93% to 1539.08 points. Market turnover was 2.6718 trillion yuan, an increase of 474.6 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+7.6%), steel (+3.38%), and coal (+3%) led the gains; media (-1.43%), real estate (-1.39%), and social services (-1.03%) led the losses. In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 3109/135/2184 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were - 13.6 billion, - 12 billion, 9.6 billion, and 15.9 billion yuan respectively, with changes of +7 billion, +300 million, +900 million, and - 8.1 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 121.25, 90.92, 12.68, and - 2.4 points respectively, and the annualized basis yields were - 12.39%, - 9.41%, - 2.1%, and 0.62% respectively, with three - year historical quantiles of 25%, 20%, 36%, and 51% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of each variety on dips. In the short - term, the market shows signs of cooling [2]. Bond Futures - **Market Performance**: On October 9, the bond market strengthened. Among active contracts, the implied yield of the two - year bond fell 2.39bps to 1.387, the five - year bond fell 2.27bps to 1.572, the ten - year bond fell 0.01bps to 1.765, and the thirty - year bond fell 4.42bps to 2.213 [3]. - **Cash Bond Situation**: For the currently active 2512 contract, the CTD bonds and their corresponding yield changes, net basis, and IRR are as follows: for the two - year bond futures, the CTD bond is 250012.IB, with a yield change of - 2bps, a net basis of 0.002, and an IRR of 1.5%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of - 2.5bps, a net basis of - 0.024, and an IRR of 1.63%; for the ten - year bond futures, the CTD bond is 220019.IB, with a yield change of - 2.85bps, a net basis of - 0.015, and an IRR of 1.59%; for the thirty - year bond futures, the CTD bond is 210014.IB, with a yield change of - 2.25bps, a net basis of - 0.089, and an IRR of 1.91% [3]. - **Funding Situation**: In open - market operations, the central bank injected 612 billion yuan and withdrew 2.0633 trillion yuan, resulting in a net withdrawal of 1.4513 trillion yuan [3]. - **Trading Strategy**: In the short - term, it is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; in the medium - to - long - term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

Report Industry Investment Rating No relevant content provided. Core Views - The commodity market as a whole moved upward this week, with the commodity index rising 0.43%. By sector, the precious metals index rose 4.48%, the non-ferrous metals index rose 0.73%, the energy and chemical index fell 0.06%, the industrial products index fell 0.10%, the agricultural products index fell 1.23%, and the black index fell 1.95%. By variety, the crude oil index rose 0.89% and the gold index rose 3.07% [2][6]. - All CTA strategies posted small profits this week. The China Merchants Futures CTA short - to medium - term strategy index rose 0.06%, with 73% of products in the pool rising. The China Merchants Futures CTA medium - to long - term strategy index rose 0.36%, with 68% of products in the pool rising. The China Merchants Futures CTA quantitative arbitrage strategy index rose 0.09%, with 58% of products in the pool rising. The China Merchants Futures CTA short - to medium - term time - series price - volume strategy index rose 0.09%, while the China Merchants Futures CTA medium - to long - term time - series price - volume strategy index fell 0.24% [2]. - It is recommended to gradually increase CTA allocation, mainly focusing on trend strategies. Currently, the profits of most commodities are at relatively low levels in reality. In terms of expectations, the price level has basically bottomed out, and policy support and demand recovery will continue to boost inflation. Globally, fiscal and monetary policies are gradually entering a synchronous expansion cycle. Therefore, the long - term trend of the commodity market is gradually taking shape, volatility is expected to gradually increase, and the profit expectation of CTA is gradually strengthening [2]. - The short - to medium - term strategy environment is moderately favorable. Intraday liquidity has continued to recover, with a historical quantile of around 0.7; intraday volatility has remained high, with a historical quantile of around 0.9; and trend smoothness has slightly improved, with a historical quantile of around 0.7. The medium - to long - term strategy environment is neutral. The inter - day trend smoothness has continued to recover, with the variety trend smoothness around 0.8 and the proportion of varieties with smooth trends around 0.7; the inter - day volatility has slightly recovered from the bottom, with the variety volatility around 0.0 and the proportion of high - volatility varieties around 0.2 [2]. - Most mainstream style factors posted losses this week. The contribution at the sector level was dispersed, with precious metals contributing positive returns and energy and chemicals mostly contributing negative returns. At the variety level, the contribution was also dispersed, with no concentration of returns in specific varieties. The volatility of most mainstream factors declined, but most historical quantiles were in the range of 0.1 - 0.9 [2]. Summary by Catalog 01 Market行情回顾 - **Index performance**: The commodity market mostly rose, with the commodity index up 0.43%. The precious metals and non - ferrous metals indices increased, while the energy and chemical, industrial products, agricultural products, and black indices decreased. Among stock index futures, the IC, IF, and IH indices rose, and the IM index fell. Treasury bond indices generally declined. For CTA style factors, the 20 - day time - series momentum and long - short 50% roll - over factors performed best, while the 20 - day cross - sectional momentum and 5 - day time - series momentum factors performed worst [6]. - **Commodity market**: The net value of most commodity sector indices declined, and most volatilities increased. The trading volume and open interest of the commodity futures market were in the normal range. As of September 26, 2025, the average trading volume of commodity futures was 1.97 trillion yuan (an increase of 0.11 trillion yuan week - on - week), the average open interest was 2.39 trillion yuan, and the average trading volume - to - open - interest ratio was 0.83, at the 37.54% level of the past three years [8][12]. - **Stock index futures market**: Most stock index futures indices rose, and half of the volatilities increased. The trading volume and open interest were in a relatively high range. As of September 26, 2025, the average trading volume of stock index futures was 0.82 trillion yuan (a decrease of 0.16 trillion yuan week - on - week), the average open interest was 1.33 trillion yuan (a decrease of 0.04 trillion yuan week - on - week), and the average trading volume - to - open - interest ratio was 0.61, at the 82.09% level of the past three years [16][20]. - **Treasury bond futures market**: The net value of treasury bond futures indices generally declined, and most volatilities decreased. The trading volume and open interest were in the normal range. As of September 26, 2025, the average trading volume of treasury bond futures was 0.43 trillion yuan (a decrease of 0.04 trillion yuan week - on - week), the average open interest was 0.77 trillion yuan (an increase of 0.01 trillion yuan week - on - week), and the average trading volume - to - open - interest ratio was 0.56, at the 67.70% level of the past three years [23][27]. - **CTA strategy tracking**: More than 50% of quantitative CTA strategies had positive returns this week. All types of CTA strategies posted small profits. For example, the China Merchants Futures CTA short - to medium - term strategy index rose 0.06%, and the medium - to long - term strategy index rose 0.36% [28][38]. 02 Strategy Market Environment - **Short - to medium - term strategy environment**: Intraday liquidity continued to recover, and volatility remained high. The historical quantile of intraday liquidity was around 0.7, and that of intraday volatility was around 0.9 [2]. - **Medium - to long - term strategy environment**: The trend smoothness continued to recover, and the volatility recovered from the bottom. The variety trend smoothness was around 0.8, the proportion of varieties with smooth trends was around 0.7, the variety volatility was around 0.0, and the proportion of high - volatility varieties was around 0.2 [2]. 03 CTA Style Factors - **Factor returns**: Most mainstream factors posted losses. For example, the 5 - day time - series momentum factor fell 0.59%, and the 20 - day cross - sectional momentum factor fell 0.40% [54]. - **Return contribution**: At the sector level, precious metals contributed positive returns, and energy and chemicals mostly contributed negative returns. At the variety level, the contribution was dispersed. For example, for the 5 - day time - series momentum factor, silver, polycrystalline silicon, and coking coal were among the top contributors, while glass, container shipping index, and crude oil were among the bottom contributors [55][57]. - **Factor correlation**: The correlation matrix shows the relationships between different factors. For example, the correlation between the 5 - day time - series momentum and 5 - day cross - sectional momentum factors was 0.851 [71]. 04 CTA Risk Monitoring - **Risk factor exposure**: CTA time - series price - volume had a large exposure to the 20 - day time - series momentum factor, CTA cross - sectional long - short also had a large exposure to the 20 - day time - series momentum factor, and CTA mixed time - series cross - sectional had a small exposure to style factors [74]. - **Return decomposition**: For the CTA time - series price - volume strategy, the total return since the beginning of the year was 7.26%, with a purified alpha return of 7.17% and a style factor beta return of 0.09%. For the CTA cross - sectional long - short strategy, the total return was 1.43%, with a purified alpha return of - 1.71% and a style factor beta return of 3.14%. For the CTA mixed time - series cross - sectional strategy, the total return was 5.54%, with a purified alpha return of 3.18% and a style factor beta return of 2.36% [75].

Report Title - CTA Strategies Show Small Profits, Gradually Increase Allocation - Weekly Tracking Report on CTA Market by China Merchants Futures (September 22 - September 26, 2025) [1] Report Industry Investment Rating - Not provided in the report Core Views - The commodity index rose 0.43% this week, indicating an overall upward trend in the commodity market. Precious metals and non - ferrous metals indices increased, while energy and chemical, industrial products, agricultural products, and black metal indices declined. Crude oil and gold indices also rose [2][6]. - All types of CTA strategies showed small profits this week. The short - and medium - term strategy index, long - term strategy index, and quantitative arbitrage strategy index of China Merchants Futures CTA all increased to varying degrees [2]. - In the real - world scenario, the profits of most commodities are at relatively low levels. In the expected scenario, prices have basically bottomed out. Policy support and demand recovery will boost inflation. Globally, the economy is entering a synchronous expansion cycle. Therefore, the long - term trend of the commodity market is taking shape, and volatility is expected to rise, enhancing the profit expectations of CTA strategies [2]. - The intraday liquidity of the short - and medium - term strategy environment continues to recover, and volatility remains high. The long - term strategy environment shows continuous improvement in trend smoothness and a slight recovery in volatility at the bottom [2]. - Most mainstream style factors declined this week, with dispersed factor return contributions at both the sector and variety levels. Precious metals contributed positive returns, while energy and chemicals mostly contributed negative returns [2]. Summary by Directory 1. Market Review - **Commodity Futures Index**: The commodity index rose 0.43% this week. Precious metals index rose 4.48%, non - ferrous metals index rose 0.73%, energy and chemical index fell 0.06%, industrial products index fell 0.10%, agricultural products index fell 1.23%, and black metal index fell 1.95%. Crude oil index rose 0.89%, and gold index rose 3.07% [6]. - **Commodity Futures Market Plate**: The net value of most commodity sector indices declined, and volatility mostly increased. The 20 - day volatility of the commodity index was 8.74% (a marginal increase of 1.30% week - on - week) [8]. - **Commodity Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of commodity futures was 1.97 trillion yuan (a marginal increase of 0.11 trillion yuan week - on - week), the average open interest was 2.39 trillion yuan (no marginal change), and the average trading - to - position ratio was 0.83 (a marginal increase of 0.05), at the 37.54% level of the past three years, within the normal range [12]. - **Stock Index Futures Market Plate**: Most stock index futures indices rose, and half of the volatility increased. IC index rose 1.37%, IF index rose 1.36%, IH index rose 1.06%, and IM index fell 0.02%. The 20 - day volatility of IC index was 28.75% (a marginal increase of 1.25% week - on - week) [16]. - **Stock Index Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of stock index futures was 0.82 trillion yuan (a marginal decrease of 0.16 trillion yuan week - on - week), the average open interest was 1.33 trillion yuan (a marginal decrease of 0.04 trillion yuan), and the average trading - to - position ratio was 0.61 (a marginal decrease of 0.10), at the 82.09% level of the past three years, in a relatively high range [20]. - **Treasury Bond Futures Market Plate**: The net value of treasury bond futures indices generally declined, and most volatility decreased. TS index fell 0.02%, TF index fell 0.13%, T index fell 0.14%, and TL index fell 0.53%. The 20 - day volatility of TF index was 1.56% (a marginal increase of 0.05% week - on - week) [23]. - **Treasury Bond Futures Market Transaction and Position**: As of September 26, 2025, the average daily trading volume of treasury bond futures was 0.43 trillion yuan (a marginal decrease of 0.04 trillion yuan week - on - week), the average open interest was 0.77 trillion yuan (a marginal increase of 0.01 trillion yuan), and the average trading - to - position ratio was 0.56 (a marginal decrease of 0.06), at the 67.70% level of the past three years, within the normal range [27]. - **Quantitative CTA Tracking by Track Dimension**: More than 50% of the quantitative CTA strategy returns were positive this week [28]. - **CTA Strategy Index Performance**: All types of CTA strategies showed small profits. For example, the short - and medium - term strategy index of China Merchants Futures CTA rose 0.06%, and the long - term strategy index rose 0.36% [2][37]. 2. Strategy Market Environment - **Short - and Medium - Term Strategy Market Environment**: Intraday liquidity continues to recover, and volatility remains high. The historical quantile of intraday liquidity is around 0.7, and the historical quantile of intraday volatility is around 0.9 [2]. - **Long - Term Strategy Market Environment**: The trend smoothness continues to improve, and volatility recovers from the bottom. The variety trend smoothness is around 0.8, and the proportion of varieties with smooth trends is around 0.7. The variety volatility is around 0.1, and the proportion of high - volatility varieties is around 0.2 [2]. 3. CTA Style Factors - **Style Factor Recent Returns**: Most mainstream factors declined. For example, the 5 - day time - series momentum factor fell 0.59%, and the 20 - day time - series momentum factor rose 0.14% [53]. - **Style Factor This Week's Return Source**: Precious metals all contributed positive returns, while energy and chemicals mostly contributed negative returns. At the variety level, the return contributions were also dispersed [2][54]. 4. CTA Risk Monitoring - **Risk Factor Exposure**: CTA time - series price and volume strategies have a large exposure to the 20 - day time - series momentum factor; CTA cross - sectional long - short strategies also have a large exposure to the 20 - day time - series momentum factor; CTA mixed time - series and cross - sectional strategies have a small exposure to style factors [73]. - **Strategy Return Decomposition**: As of September 26, 2025, the total return of CTA time - series price and volume strategies since this year was 7.26%, including a purified Alpha return of 7.17% and a style factor Beta return of 0.09%. The total return of CTA cross - sectional long - short strategies was 1.43%, including a purified Alpha return of - 1.71% and a style factor Beta return of 3.14%. The total return of CTA mixed time - series and cross - sectional strategies was 5.54%, including a purified Alpha return of 3.18% and a style factor Beta return of 2.36% [74].

金融研究 2025年10月9日 星期四 交易策略：中长期，我们维持做多经济的判断，当下以股指做多头替代有一定超额，推荐逢低配置各 品种远期合约。 风险提示：外生宏观冲击、财政扩张进度不及预期、其他系统性冲击。 市场表现：9 月 30 日，债市走强，活跃合约中，二债隐含利率 1.401，较前日下跌 2.79bps，五债隐 含利率 1.596，较前日下跌 3.47bps，十债隐含利率 1.77，较前日下跌 2.15bps，三十债隐含利率 2.262， 较前日下跌 2.81bps。 现券：目前活跃合约为 2512 合约，2 年期国债期货 CTD 券为 250012.IB，收益率变动-1bps，对应 净基差-0.022，IRR1.54%；5 年期国债期货 CTD 券为 250003.IB，收益率变动-1.75bps，对应净基 差-0.008，IRR1.48%；10 年期国债期货 CTD 券为 220017.IB，收益率变动-4.33bps，对应净基差 国债期货 -0.137，IRR2.07%；30 年期国债期货 CTD 券为 220008.IB，收益率变动-3.5bps，对应净基差 0.068， IRR1.2%。 资 ...

风险提示：贸易战反复，美国经济恢复超预期 基本金属 | 招商评论 | | | | | | | --- | --- | --- | --- | --- | --- | | | 市场表现：周二早盘高开，全日窄幅波动。主力 11 合约收于 8640 元/吨，较上个交易日上涨 30 元/吨，收 | | | | | | | 盘价比 0.35%，持仓减少 32579 手至 17.44 万手，品种沉淀资金增加 3.38 亿元，远月 01 减仓 2092 手。 | | | | | | | 今日仓单量增加 781 手至 50983 手。 | | | | | | 工 | 基本面：供给方面，SMM 数据显示，9 月产量为 42 万吨，环比+9.09%。库存来看，行业总库存约为 | | | | 54.3 | | 业 | 万吨，广期所仓单为 50,983（+781）手。需求方面，多晶硅开工率较高支撑需求，SMM 预计 10 月份产量环 | | | | | | 硅 | 比+6.16%。有机硅产量小幅下滑，铝合金开工率维持小幅增长。 | | | | | | | | 交易策略：四季度关注进入枯水期后的库存累积节奏。同时，"反内卷"政策推高相 ...