1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report The report presents a comprehensive analysis of various commodity futures markets, including precious metals, base metals, black industries, agricultural products, and energy chemicals. It provides market performance, fundamental analysis, and trading strategies for each commodity, suggesting different approaches such as buying, selling, or holding based on the specific market conditions of each commodity [1][2][4]. 3. Summary by Commodity Category Precious Metals - **Gold**: International gold prices rose 0.28% in London, while domestic gold also had slight increases. With geopolitical tensions and Fed rate - cuts, there is a risk of price peaks. It is recommended to partially close long positions or buy out - of - the - money put options before the holiday [1]. - **Silver**: It followed gold to reach new highs. Similar to gold, it is advised to partially take profits before the holiday [1]. Base Metals - **Aluminum**: The electrolytic aluminum market has increasing supply and rising demand. The price is expected to be strong, and it is recommended to buy on dips. Alumina has an oversupply situation, and it is advised to wait and observe [2]. - **Zinc**: Supply pressure persists, and the consumption end is in the off - season. It is recommended to sell on rallies [2][3]. - **Lead**: Supply is slowly recovering, and consumption is weak. It is recommended to sell on rallies [3]. - **Industrial Silicon**: The pre - holiday fundamentals are stable, and the price is expected to fluctuate between 8500 - 9500 yuan/ton. It is advised to wait and observe [3]. - **Lithium Carbonate**: Due to high demand, the price is supported. It is expected to fluctuate before the lithium mine in Jiangxi is put into production, and it is advisable to arrange a call option strategy before the holiday [3]. - **Polycrystalline Silicon**: The market is in a weak and volatile state, and the price is expected to fluctuate between 49,000 - 54,000 yuan/ton. Attention should be paid to the 11 - 12 spread [3][4]. Black Industry - **Rebar**: The supply - demand contradiction of steel is limited, with obvious structural differentiation. It is recommended to wait and observe, and aggressive investors can try to short the 2601 contract [4]. - **Iron Ore**: The supply - demand is neutral - strong, and the price is expected to fluctuate. It is recommended to wait and observe and hold the long - iron - ore - short - coking - coal - and - coke ratio position [4]. - **Coking Coal**: The futures valuation is high. It is recommended to wait and observe, and aggressive investors can try to short the 2601 contract. Hold the long - iron - ore - short - coking - coal - and - coke ratio position [4]. Agricultural Products - **Soybean Meal**: The global soybean market has high inventory expectations. The US soybean is weak and in a range - bound state, while the domestic market shows a pattern of near - term weakness and long - term strength [5][7]. - **Corn**: With new grain approaching and expected production increase, the spot price is expected to be weak, and the futures price is expected to decline [7]. - **Cotton**: It is recommended to wait and observe, with a trading strategy in the range of 13,200 - 13,700 yuan/ton [7]. - **Palm Oil**: The near - term inventory is increasing, and the long - term has a seasonal production - reduction expectation. It is recommended to use a reverse - spread strategy [7]. - **Eggs**: With weakening demand and sufficient supply, the egg price is expected to decline [7]. - **Pork**: The supply is strong, and the demand is weak. The price is expected to be weak, but policy factors may have a positive impact on market sentiment [7]. Energy Chemicals - **PVC**: Supply is increasing while demand is weak. It is recommended to short [8][9]. - **PTA**: PX short - term supply - demand is weak, and PTA has long - term supply pressure. It is recommended to short the processing fee of the far - month contract on rallies [9]. - **Glass**: The price has rebounded due to expectations, and it is recommended to go long [9]. - **MEG**: The supply - demand is balanced and loose. It is recommended to close short positions [9]. - **Crude Oil**: Supply is strong, and demand is weak. It is recommended to short on rallies, focusing on shorting opportunities near 500 yuan/ton for the SC main contract [9]. - **Soda Ash**: The supply - demand situation has marginally improved. It is recommended to wait and observe [10]. - **Caustic Soda**: The main downstream has unexpectedly lowered the purchase price. It is recommended to wait and observe [10].

Report Summary 1. Market Performance - On September 29, A-share major indices all rose, with the Shanghai Composite Index up 0.9% to 3862.53, the Shenzhen Component Index up 2.05% to 13479.43, the ChiNext Index up 2.74% to 3238.01, and the STAR 50 Index up 1.35% to 1470.41. Market turnover was 2178.1 billion yuan, an increase of 12 billion yuan from the previous day [2]. - In the bond market, the implied yields of 2-year, 5-year, 10-year, and 30-year bonds showed different changes, with the 2-year up 0.8bps, the 5-year up 0.48bps, the 10-year down 3.42bps, and the 30-year up 5.89bps [3]. 2. Trading Strategies - In the medium to long term, maintain a bullish view on the economy, and recommend buying long-term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - For bond futures, short-term is bullish as the implied yield of ultra-long bonds at 2.2 is cost-effective; in the medium to long term, with rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. 3. Index Futures and Spot Market Performance - Table 1 shows the performance of various index futures and spot indices, including their price changes, trading volumes, and open interests [6]. 4. Treasury Futures and Spot Market Performance - Table 2 presents the performance of various treasury futures and spot bonds, including price changes, trading volumes, and net basis [8]. 5. Short - term Funding Rate Market Changes - Table 3 shows the changes in short - term funding rates, such as SHIBOR overnight rates [12]. 6. Economic Data - High - frequency data indicates that the recent social activity sentiment is weak [12].

Report Industry Investment Rating - No relevant content found. Core Views - From the perspective of cumulative returns this year, the three best - performing indices are the Micro - cap Index (+65.84%), the ChiNext Index (+47.16%), and the STAR 50 Index (+46.71%), while the three weakest are the CSI Dividend (-2.27%), the Shanghai Composite Index (+14.21%), and the CSI 300 (+15.63%) [10][12]. - Looking ahead, recent option sentiment dimensions indicate a bearish sentiment for the CSI 1000, CSI 300, and CSI 500, and combined with factors such as institutional fund withdrawals, it may suggest further market adjustments. Investors need to manage risks in the short - term [10]. - In terms of positions, the overall stock long - only strategy should maintain a moderately low position, and the neutral strategy should further reduce the position to a moderately low level before the holiday [10]. Summary by Directory 1. Equity Market Review - **Factor Calendar Overview**: This week, most of the equity market rose. The CSI A500 rose 1.19%, the CSI 300 rose 1.07%, the CSI 500 rose 0.98%, the CSI All - Share rose 0.21%, the CSI Dividend fell 0.25%, the CSI 1000 fell 0.55%, and the CSI 2000 fell 1.79%. The best - performing Barra style factors were size, growth, and momentum, with returns of 0.61%, 0.56%, and 0.18% respectively, while the worst were value, BETA, and residual volatility, with returns of -0.41%, -0.61%, and -1.17% respectively [14][15]. - **Main Broad - based Index Review**: - **Short - term Market Activity**: It is at a moderately high level but shows a marginal decline. The CSI All - Share's daily average trading volume was 2.26 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [20][22]. - **Medium - term Market Activity**: It is at a moderately high level. The CSI All - Share's 20 - day rolling average daily trading volume was 2.39 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [23][25]. - **Volatility**: Most broad - based indices rose, and volatility generally declined. For example, the CSI 500's volatility was 23.63% (82.41% quantile), with a marginal weekly decline of 0.79% [17][19]. - **Equity Industry Index Review**: This week, 19.4% of industries had positive returns, with the power equipment sector leading. The top three industries in terms of weekly returns were power equipment (3.86%), non - ferrous metals (3.52%), and electronics (3.51%), while the bottom three were retail (-4.32%), comprehensive (-4.61%), and social services (-5.92%) [26]. - **Equity Style Factor Review**: - **Barra Style Factors**: The size, growth, and momentum factors performed well, with returns of 0.61%, 0.56%, and 0.18% respectively, while the value, BETA, and residual volatility factors performed poorly, with returns of -0.41%, -0.61%, and -1.17% respectively [30]. - **Giant Tide Style Indices**: Most of them rose. The top three indices in terms of returns were large - cap growth (2.48%), mid - cap growth (2.30%), and small - cap growth (2.03%), while the bottom three were mid - cap value (0.56%), large - cap value (-0.34%), and small - cap value (-0.85%) [34]. - **Stock Index Futures Market Review**: - **Premium Convergence and Volatility**: The premium of IC, IF, and IM contracts converged, and volatility generally declined [36][38]. - **Impact on Neutral Products**: From the perspective of quarterly - contract hedging, the estimated average returns of neutral products affected by the hedging of IF, IC, and IM contracts were -0.280%, -0.270%, and -0.320% respectively [39]. - **Options Market Review**: This week, implied volatility generally declined, which is expected to be unfavorable for option - buying and arbitrage strategies. The top three products with the highest implied volatility were the E Fund STAR 50 ETF (50.20%), the Huaxia STAR 50 ETF (49.84%), and the E Fund ChiNext ETF (42.33%), while the bottom three were the CSI 300 Index (19.51%), the SSE 50 Index (19.10%), and the Huaxia SSE 50 ETF (18.48%) [41][42]. 2. Strategy Environment Monitoring - **Intraday Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for intraday Alpha accumulation. Although liquidity slightly increased and volatility slightly decreased, the net capital outflow was 516 billion yuan per day this week [44][49]. - **Trading - based Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for trading - based Alpha accumulation. Although trading volume and turnover rate are at high levels and stock differentiation is in a high - level range, the number of stocks outperforming the benchmark index is low and shows a marginal decline [50][55]. - **Holding - based Alpha Environment for Neutral and Index - Enhancement Strategies**: Overall, it is unfavorable for holding - based Alpha accumulation. Although stock liquidity is at a high level, factors such as market style, the proportion of stocks outperforming the index, and factor rotation speed have a negative impact [58][74]. - **Hedging Environment for Neutral Strategies**: The basis spread fluctuation is in a moderately high - level range, posing certain challenges to cost control. The IF, IC, and IM basis spreads all converged this week [75][80]. 3. Future Strategy Research and Judgment - **Return Performance**: From the 20 - day rolling returns, the relative returns of the CSI 1000, CSI 2000, and CSI 500 to the CSI 300 are in the normal range, and the return of the CSI 300 is also in the normal range [84]. - **Derivatives Option Sentiment**: The option sentiment dimension shows that the sentiment of the CSI 1000 is stable, while the CSI 300 and CSI 500 are bearish [88]. - **Derivatives Futures Sentiment**: The futures sentiment dimension shows that the basis spreads of IC, IF, and IM all converged, with a differentiated overall sentiment [92]. - **Risk Preference**: As of September 25, 2025, the margin trading balance was 2.43 trillion yuan, at a high - level range in the past three years, indicating a high risk preference [95]. - **Trading Heat**: The trading heat of the CSI 300, CSI 500, CSI 1000, and CSI 2000, as well as the market trading volume, are at different quantile levels [97]. - **Style Attention Multiple**: The CSI 1000 is in the normal range, the CSI 500 is in the high - level range, and the CSI 2000 is in the extremely low - level range [100]. - **Profit Spread**: The profit spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the low or extremely low - level ranges [103]. - **Dividend Spread**: The dividend spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the normal range [105]. - **Trading Congestion**: The trading heat of the TMT sector is in the high - level range, the trading heat of the micro - cap sector is in the normal range, and the market trading volume is in the extremely high - level range [111].

Report Industry Investment Ratings No relevant content provided. Core Views - The de - dollarization logic remains unchanged, but with the Fed's rate cut and conflicting outlooks, and prices at historical highs, there are risks of a market peak. For precious metals, it is recommended to partially close long positions or buy out - of - the - money put options before the holiday. For other commodities, trading strategies vary based on their respective fundamentals [1]. - The supply and demand of various commodities show different characteristics. For example, some have tight supply, while others face oversupply or weak demand, which affects their price trends and trading strategies [1][2][3][4][5][6][7][8][9][10]. Summary by Category Precious Metals - **Gold**: The international gold price settled at $3789 per ounce, up 0.25%. The US government shutdown risk increased, consumer spending in the US in August was strong, and Chinese industrial enterprise profits rose significantly. Gold ETF funds flowed in. There is a risk of a market peak, and it is recommended to partially close long positions or buy out - of - the - money put options before the holiday [1]. - **Silver**: It followed gold to reach a new high. It is also recommended to partially close positions before the holiday [1]. Base Metals - **Copper**: The copper price rose and then fell on Friday. The supply is tight, and it is recommended to buy on dips [2]. - **Aluminum**: The price of electrolytic aluminum is expected to continue to be strong in a volatile manner, and it is recommended to buy on dips. The price of alumina is expected to be weak, and it is recommended to wait and see [2][3]. - **Industrial Silicon**: The price is expected to fluctuate between 8500 - 9500 yuan/ton, and it is recommended to wait and see [3]. - **Lithium Carbonate**: The price is supported by high demand. It is expected to oscillate before the lithium mine in Jiangxi is put into production, and it is advisable to consider a call option strategy before the holiday [3]. - **Polycrystalline Silicon**: The price is expected to oscillate between 49,000 - 54,000 yuan. Pay attention to the 11 - 12 spread [3]. - **Tin**: It is recommended to maintain a bullish and volatile view [3]. Black Industry - **Rebar**: The supply - demand contradiction of steel is limited, with obvious structural differentiation. It is recommended to wait and see, and aggressive investors can try to short the rebar 2501 contract [4]. - **Iron Ore**: The supply - demand is moderately strong. It is recommended to wait and see and hold long positions in the iron ore - coking coal - coke ratio [4]. - **Coking Coal**: The futures valuation is high. It is recommended to wait and see, and aggressive investors can try to short the coking coal 2501 contract and hold long positions in the iron ore - coking coal - coke ratio [4]. Agricultural Products - **Soybean Meal**: The US soybeans are weak, and the domestic market shows a pattern of near - term weakness and long - term strength. The mid - term unilateral focus is on Sino - US tariff policies [5]. - **Corn**: The new crop is expected to increase in production, and the cost has decreased significantly. The futures price is expected to oscillate and decline [5]. - **Cotton**: It is recommended to buy on dips, with a strategy in the range of 13,300 - 13,800 yuan/ton [6]. - **Palm Oil**: It is in a high - level oscillation, and a reverse spread strategy is recommended [6]. - **Eggs**: The demand is weakening, and the futures are expected to oscillate weakly [6]. - **Hogs**: The supply is strong and the demand is weak, and the futures price is expected to be weak [6]. Energy and Chemicals - **LLDPE**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [7]. - **PVC**: The supply - demand is in a weak balance, and it is recommended to short [8]. - **PTA**: The PX supply is increasing, and the PTA supply pressure is large in the long term. It is recommended to short the processing margin of the far - month contract at high prices [8]. - **Rubber**: It is recommended to wait and see in the short term and maintain a bullish view in the medium term [8]. - **Glass**: The seasonal improvement is obvious, and it is recommended to go long [8]. - **PP**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [8][9]. - **MEG**: Due to low inventory and macro - policy disturbances, it is recommended to close short positions [9]. - **Crude Oil**: The supply is strong and the demand is weak. It is recommended to short at high prices [9]. - **Styrene**: In the short term, it will oscillate, and in the long term, it is recommended to short at high prices or carry out a reverse spread strategy [9]. - **Soda Ash**: The supply - demand is in a weak balance, and it is recommended to wait and see [9]. - **Caustic Soda**: The main downstream unexpectedly lowered the purchase price, and it is recommended to wait and see [10].

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Views - Medium - and 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 has sufficient cost - effectiveness; medium - and 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] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On September 26, A - share four major stock indexes pulled back. The Shanghai Composite Index fell 0.65% to 3828.11 points, the Shenzhen Component Index fell 1.76% to 13209 points, the ChiNext Index fell 2.6% to 3151.53 points, and the Science and Technology Innovation 50 Index fell 1.6% to 1450.82 points. Market turnover was 21,661 billion yuan, a decrease of 2,257 billion yuan from the previous day [2] - In terms of industry sectors, petroleum and petrochemicals (+1.17%), environmental protection (+0.38%), and public utilities (+0.35%) led the gains; computers (-3.26%), electronics (-2.75%), and media (-2.65%) led the losses [2] - From the perspective of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 1,801/216/3,412 respectively. Institutional, main, large - scale, and retail investors' net capital inflows in the Shanghai and Shenzhen stock markets were - 428, - 274, 141, and 561 billion yuan respectively, with changes of - 371, - 95, +103, and +362 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 126.39, 105.11, 17.65, and - 2.18 points respectively, and the annualized basis yields were - 12.2%, - 10.37%, - 2.77%, and 0.53% respectively, with three - year historical quantiles of 26%, 16%, 31%, and 50% respectively [2] - Details of various stock index futures contracts' performance are shown in Table 1, including price, trading volume, open interest, basis, etc. [6] 3.2 Treasury Bond Futures and Spot Market Performance - On September 26, the bond market rebounded. The implied interest rates of the active contracts of two - year, five - year, ten - year, and thirty - year bonds decreased compared with 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 provided [3] - Details of various treasury bond futures contracts' performance are shown in Table 2, including price, trading volume, open interest, net basis, etc. [8] - The figure shows the term structure of treasury bond spot [9][10] 3.3 Short - term Fund Interest Rate Market Changes - The table shows the changes in short - term fund interest rates, including SHIBOR overnight rates' current prices, previous prices, prices a week ago, and prices a month ago [12] 3.4 Economic Data - High - frequency data shows that the recent social activity sentiment is weak [12] - The figure shows the domestic meso - level data tracking, based on the comparison of meso - level data of each module with the same period in the past five years [13][14]

Report Information - Report Title: Commodity Trend Rising: CTA Allocation Opportunities Under Expectations [1] - Report Date: September 26, 2025 [3] - Researchers: Zhao Jiayu, Qiao Lei, Wang Haosheng [2] 1. Report Industry Investment Rating No relevant content provided. 2. Core Views - Since mid - 2024, CTA has reversed its decline, and the recent upward trend has strengthened, mainly due to improved volatility and liquidity. However, the rise since mid - 2024 has been slightly below expectations because the subsequent interest - rate cut process of major economies has not been smooth [5][7] - In the long - term (annual) perspective, the upward momentum of the commodity market is accumulating, and an overall increase in volatility is also likely. This is driven by cost support and low valuation, policy guidance and improved expectations, and global liquidity easing [5] - It is still a strategic window period to increase CTA allocation in the portfolio. In the long run, CTA's long - term positive return expectation and low correlation (even crisis Alpha attribute) with equity assets make it an excellent tool for optimizing the portfolio's Sharpe ratio [6] 3. Summary According to the Directory 3.1 CTA's Strategy Environment - **Short - to - medium - term trend tracking**: It is closely related to intraday volatility and liquidity. Its long - term performance depends on the upward shift of the volatility center, and short - term performance depends on the pulsed increase in intraday volatility. Since mid - 2024, with improved liquidity, short - to - medium - term trend strategies have also improved [17][19][20] - **Medium - to - long - term trend tracking**: Its long - term performance depends on the increase in daily volatility, which has shown signs of stabilization and recovery since mid - 2024 but with a less - than - expected increase. Short - term performance is highly correlated with daily trend smoothness, and the strategy has a higher probability of positive returns when the market trend smoothness increases. The strategy has a better experience in rising commodity markets and can be regarded as a volatility - reducing product of the commodity index to some extent [21][24][27] 3.2 Commodity Market Outlook - **Current situation**: Many industrial product prices are at a thin - profit or loss state, and commodity prices are generally at a historically low valuation with strong cost support [32] - **Expectation**: Commodities are unlikely to return to the low levels before the "anti - involution" policy, as the narrative of "weak external demand due to tariffs" and "structural over - supply in the domestic market" has changed. "Anti - involution" aims to reverse the situation of "increasing quantity but decreasing price" and promote price increases [33][35][36] - **Monetary aspect**: Preventive interest - rate cuts support commodity price increases. Commodities have performed well after interest - rate cut cycles, and preventive interest - rate cuts lead to price increases at the beginning [39] - **Fiscal aspect**: China's fiscal policy continues to be proactive, and the US fiscal policy has exceeded expectations. Major economies have entered a fiscal expansion cycle, and historically, fiscal stimulus usually corresponds to rising commodity prices [43][45][49] - **Volatility**: Commodity volatility is highly correlated with the fiscal expenditures and monetary liquidity of major economies [52] 3.3 CTA's Long - term Value - **Long - term positive return**: CTA's long - term positive returns mainly come from behavioral finance biases and the information advantages and resource inputs of managers [55] - **Low correlation**: It has a low correlation with equity assets, and the internal correlation within CTA is also low [58][60] - **Crisis Alpha attribute**: During historical black - swan events, CTA has often outperformed equity assets, making it an anti - fragile asset with high allocation value in a high - uncertainty market environment [61]

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

Report Overview - The report is a financial futures early morning report released by China Merchants Futures Co., Ltd. on September 26, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on September 25, 2025 [1][2] 1. Stock Index Futures Market Performance - On September 25, most of the four major A - share stock indices rose, with the Shanghai Composite Index down 0.01% to 3853.3 points, the Shenzhen Component Index up 0.67% to 13445.9 points, the ChiNext Index up 1.58% to 3235.76 points, and the STAR 50 Index up 1.24% to 1474.49 points. Market turnover was 23,918 billion yuan, an increase of 446 billion yuan from the previous day [2] - In terms of industry sectors, media (+2.23%), communication (+1.99%), and non - ferrous metals (+1.87%) led the gains; textile and apparel (-1.45%), comprehensive (-1.3%), and agriculture, forestry, animal husbandry and fishery (-1.22%) led the losses [2] - In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,474/80/3,875 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 57, - 179, 38, and 198 billion yuan respectively, with changes of - 167, - 66, +214, and +19 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 146.51, 122.92, 22.29, and 1.14 points respectively, and the basis annualized yields were - 13.55%, - 11.63%, - 3.37%, and - 0.27% respectively, with three - year historical quantiles of 20%, 13%, 26%, and 41% respectively [2] Trading Strategy - In the medium - to - long term, maintain the judgment of going long on the economy. Using stock index futures as a long - term substitute currently has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, the market shows signs of cooling [2] 2. Treasury Bond Futures Market Performance - On September 25, the bond market performed weakly. Among the active contracts, the implied interest rate of the two - year bond was 1.44, up 1.59 bps from the previous day; the implied interest rate of the five - year bond was 1.621, up 1.56 bps; the implied interest rate of the ten - year bond was 1.829, up 1.18 bps; and the implied interest rate of the thirty - year bond was 2.252, up 1.93 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 +0 bps, a corresponding net basis of 0.055, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0 bps, a corresponding net basis of 0.022, and an IRR of 1.5%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0 bps, a corresponding net basis of 0.025, and an IRR of 1.49%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.326, and an IRR of 0.47% [2] Fundamentals - In terms of open - market operations, the central bank injected 4,835 billion yuan and withdrew 4,870 billion yuan, resulting in a net withdrawal of 35 billion yuan [2] Trading Strategy - In the short term, be bullish. The implied interest rate of the ultra - long - term bond at 2.2 is already cost - effective. 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 contracts on rallies [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]

1. Report Investment Ratings The report does not provide an overall investment rating for the industry. 2. Core Views - The de - dollarization logic remains unchanged, but there are contradictions in the Fed's outlook. Precious metals prices are at historical highs, with a risk of a peak, and it is recommended to take partial profits on long positions or buy out - of - the - money put options before the holiday [1]. - For base metals, copper is recommended to be bought on dips due to supply disruptions and relatively optimistic demand; aluminum is recommended to be bought on dips considering the slowdown of inventory accumulation and expected post - holiday destocking; alumina is recommended to be temporarily observed as the supply - demand surplus pattern remains unchanged; industrial silicon is expected to oscillate within a certain range, and it is recommended to wait and see; lithium carbonate is expected to oscillate in price, and it is recommended to observe; polysilicon is expected to oscillate within a range, and attention can be paid to the 11 - 12 reverse spread opportunity [2][3]. - In the black industry, for rebar, it is mainly recommended to wait and see, and try the 10/5 reverse spread; for iron ore, it is recommended to try to go long on the 2601 contract and the iron ore - coking coal 01 contract spread; for coking coal, it is mainly recommended to wait and see and try the iron ore - coking coal 01 contract spread [4]. - In the agricultural products market, for soybean meal, short - term trading is based on weak export expectations, and the medium - term focus is on Sino - US tariff policies; for corn, the futures price is expected to oscillate and decline; for sugar, it is recommended to go short in the futures market and sell call options; for cotton, it is recommended to wait and see; for logs, it is recommended to wait and see; for palm oil, the short - term is expected to be weak, and attention should be paid to production areas and biodiesel policies; for eggs, the price is expected to oscillate weakly; for live pigs, the futures price is expected to be weak [5][6][7]. - In the energy and chemical industry, LLDPE is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term; PVC is recommended to be short - allocated; PTA is recommended to short the processing fee on rallies for far - month contracts; rubber is expected to continue to oscillate, with a bullish view in the medium - term; glass is recommended to be long - allocated; PP is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term; MEG is recommended to close out short positions; crude oil is recommended to be shorted on rallies; styrene is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term; soda ash and caustic soda are recommended to wait and see [8][9][10]. 3. Summary by Commodity Category Precious Metals - **Gold**: The international gold price closed at $3736 per ounce, down 0.74%. There are many international events, and domestic gold ETF funds are flowing out. It is recommended to take partial profits on long positions or buy out - of - the - money put options before the holiday [1]. - **Silver**: It followed gold to reach a new high. The market heat increased, and it is also recommended to take partial profits before the holiday [1]. Base Metals - **Copper**: The copper price rose significantly. Due to supply disruptions and relatively optimistic demand, it is recommended to buy on dips [2]. - **Aluminum**: The price of the electrolytic aluminum main contract increased slightly. With supply increasing and demand recovering, it is recommended to buy on dips [2]. - **Alumina**: The price of the main contract increased. The supply - demand surplus pattern remains unchanged, and it is recommended to temporarily observe [3]. - **Industrial Silicon**: The price oscillated upward. With supply and demand changes, it is expected to oscillate within the 8700 - 9800 range, and it is recommended to wait and see [3]. - **Lithium Carbonate**: The price of the main contract decreased. With supply increasing and demand changing, it is expected to oscillate between 68,000 - 75,000 yuan, and it is recommended to observe [3]. - **Polysilicon**: The price oscillated upward. With a supply - strong and demand - weak pattern, it is expected to oscillate within the 48,000 - 57,000 yuan range, and attention can be paid to the 11 - 12 reverse spread opportunity [3]. Black Industry - **Rebar**: The price of the main contract increased. With limited supply - demand contradictions and obvious structural differentiation, it is mainly recommended to wait and see, and try the 10/5 reverse spread [4]. - **Iron Ore**: The price of the main contract increased slightly. With supply and demand remaining neutral - strong, it is recommended to try to go long on the 2601 contract and the iron ore - coking coal 01 contract spread [4]. - **Coking Coal**: The price of the main contract decreased slightly. With supply and demand changes and high futures valuation, it is mainly recommended to wait and see and try the iron ore - coking coal 01 contract spread [4]. Agricultural Products - **Soybean Meal**: The overnight CBOT soybean price fell. With supply and demand changes, short - term trading is based on weak export expectations, and the medium - term focus is on Sino - US tariff policies [5]. - **Corn**: The futures price oscillated narrowly, and the spot price rose. With supply increasing and demand weak, the futures price is expected to oscillate and decline [6]. - **Sugar**: The price of the main contract increased. With international and domestic supply and demand changes, it is recommended to go short in the futures market and sell call options [6]. - **Cotton**: The overnight US cotton price fell again. With international and domestic supply and demand changes, it is recommended to wait and see [6]. - **Logs**: The price of the main contract decreased slightly. With stable supply and demand, it is recommended to wait and see [6]. - **Palm Oil**: The price rebounded. With supply and demand changes, the short - term is expected to be weak, and attention should be paid to production areas and biodiesel policies [6]. - **Eggs**: The futures price oscillated narrowly, and the spot price fluctuated. With supply and demand changes, the price is expected to oscillate weakly [6]. - **Live Pigs**: The futures price rebounded, and the spot price fluctuated narrowly. With supply and demand changes, the futures price is expected to be weak [7]. Energy and Chemical Industry - **LLDPE**: The main contract oscillated slightly. With supply increasing and demand improving but not meeting expectations, it is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term [8]. - **PVC**: The price of the v01 contract increased. With a weak supply - demand balance, it is recommended to short - allocate [8]. - **PTA**: The PX price is at a certain level, and the PTA price has a certain basis. With supply and demand changes, it is recommended to short the processing fee on rallies for far - month contracts [8]. - **Rubber**: The price of the main contract increased slightly. With raw material prices stabilizing and supply - demand weak expectations, it is expected to continue to oscillate, with a bullish view in the medium - term [8]. - **Glass**: The price of the fg01 contract increased significantly. With improved expectations, it is recommended to long - allocate [9]. - **PP**: The main contract oscillated slightly. With supply increasing and demand improving, it is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term [9]. - **MEG**: The price has a certain basis. With supply and demand in a relatively balanced and loose state, it is recommended to close out short positions [9]. - **Crude Oil**: The price rose again. With supply increasing and demand weakening, it is recommended to short on rallies [9]. - **Styrene**: The main contract rebounded slightly. With supply and demand changes, it is expected to oscillate in the short - term and it is recommended to go short on rallies or do a month - spread reverse spread in the long - term [10]. - **Soda Ash**: The price of the sa01 contract increased. With supply and demand in balance, it is recommended to wait and see [10]. - **Caustic Soda**: The price of the sh01 contract increased slightly. With supply and demand changes, it is recommended to wait and see [10].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - **Stock Index Futures**: Maintain a long - term view of being bullish on the economy. It is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. - **Treasury Bond Futures**: In the short term, it is recommended to be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summary by Directory Stock Index Futures - **Market Performance**: On September 24, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.83% to 3853.64 points, the Shenzhen Component Index rose 1.8% to 13356.14 points, the ChiNext Index rose 2.28% to 3185.57 points, and the Science and Technology Innovation 50 Index rose 3.49% to 1456.47 points. Market turnover was 23,472 billion yuan, a decrease of 1,713 billion yuan from the previous day. In terms of industry sectors, power equipment, electronics, and media led the gains, while banks, coal, and communications led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising, flat, and falling stocks was 4,457, 120, and 852 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 111, - 113, - 177, and 179 billion yuan respectively, with changes of +527, +232, - 311, and - 448 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 149.82, 109.91, 24.67, and - 0.29 points respectively, and the annualized basis yields were - 13.44%, - 10.14%, - 3.65%, and 0.07% respectively. The three - year historical quantiles were 20%, 17%, 24%, and 44% respectively [1]. - **Trading Strategy**: In the medium - to - long term, maintain a bullish view on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. Treasury Bond Futures - **Market Performance**: On September 24, the bond market was weak. Among the active contracts, the implied interest rate of the two - year bond rose 1.86bps to 1.435, the five - year bond rose 2.51bps to 1.611, the ten - year bond rose 1.99bps to 1.823, and the thirty - year bond rose 2.74bps to 2.236 [1]. - **Cash Bonds**: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [1]. - **Funding Situation**: In the open - market operations, the central bank injected 4,015 billion yuan and withdrew 4,185 billion yuan, resulting in a net withdrawal of 170 billion yuan [1]. - **Trading Strategy**: In the short term, be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that the recent social activity sentiment is weak [8].