金融研究 2025年4月9日 星期三 金融期货早班车 招商期货有限公司 市场表现：4 月 8 日，A 股四大股指全线反弹，其中上证指数上涨 1.58%，报收 3145.55 点；深成指 上涨 0.64%，报收 9424.68 点；创业板指上涨 1.83%，报收 1840.31 点；科创 50 指数上涨 1.72%， 报收 940.09 点。市场成交 16,532 亿元，较前日增加 352 亿元。行业板块方面，农林牧渔(+7.81%)， 商贸零售(+3.44%)，食品饮料(+3.37%)涨幅居前；电子(-1.69%)，汽车(-1.63%)，通信(-0.93%)跌幅 居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 3,297/60/2,044。沪深两市，机构、主 力、大户、散户全天资金分别净流入-260、-400、-11、671 亿元，分别变动+516、+360、-252、-624 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 136.02、118.71、76.16 与 53.55 点，基差年化收益率 分别为-23.65%、-21.43%、-20.06%与-20%，三年期 ...

2025年04月09日 星期三 商品期货早班车 招商期货 黄金市场 | 招商评论 | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 贵 | | 市场表现：周二贵金属价格继震荡；消息面，白宫新闻秘书莱维特表示近期不会实施关税豁免并确认周三对 | | | | | | | | | | | 金 | | 别国征关税的计划；加拿大宣布对美汽车的对等关税也于周三生效。经济数据方面，美国石油协会（API）数 | | | | | | | | | | | 属 | 据显示，4 月 4 | 日当周，美国 原油库存 +603.7 万桶；关税紧张局势加速了企业 | | | API | -105.7 | 万桶，之前一周 | | | | | | | | 债券的抛售，信用利差已达 472 基点，距离 基点的危险阈值仅一步之遥。库存数据方面，印度 | | | | 500 | | | | 2 | 月白银 | | | 进口减至 250 | 吨左右；上期所白银库存昨日减少 吨，金交所白银库存上周增加 | ...

金融研究 2025年4月8日 星期二 金融期货早班车 招商期货有限公司 市场表现：4 月 7 日，A 股四大股指回调较深，其中上证指数下跌 7.34%，报收 3096.58 点；深成指 下跌 9.66%，报收 9364.5 点；创业板指下跌 12.5%，报收 1807.21 点；科创 50 指数下跌 9.22%， 报收 924.17 点。市场成交 16,180 亿元，较前日增加 4,597 亿元。行业板块方面，计算机(-12.55%)， 机械设备(-12.19%)，传媒(-12.12%)跌幅居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别 为 104/16/5,280。沪深两市，机构、主力、大户、散户全天资金分别净流入-776、-760、242、1295 亿元，分别变动-642、-543、+231、+953 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为-0.36、91.23、120.64 与 68.57 点，基差年化收益率分 别为 0.06%、-15.98%、-31.12%与-25.22%，三年期历史分位数分别为 93%、2%、0%及 0%。由 于现货指数跌幅较大，而期货 ...

2025年04月08日 星期二 商品期货早班车 招商期货 黄金市场 招商评论 贵 金 属 市场表现：周一贵金属价格继续大幅波动，国内低开高走，沪银一度跌停；消息面，特朗普表示他并未考虑 暂时中止对多国的所谓"对等关税"计划，但暗示可能愿意进行一些谈判。经济数据方面，中国央行 3 月继 续增持黄金储备至 7370 万盎司，相比 2 月的 7361 万盎司，增加 9 万盎司，约 2.8 吨。美国 3 月非农就业人 口增长 22.8 万，高于预期的增加 14 万，前值从增加 15.1 万下修为增加 11.7 万；3 月失业率升至 4.2%，预 期 4.1%，前值 4.1%。库存数据方面，印度 2 月白银进口减至 250 吨左右；上期所白银库存减少 36 吨至 1150 吨，金交所白银库存上周增加 52 吨 1731 吨。伦敦 2 月库存减少 1056 吨至 22446 吨，主要流向美国。周一 随着价格大跌，白银点价盘涌现，库存去化。操作上，建议白银空单继续持有或者做多金银比。风险点：美 国经济大幅衰退 基本金属 招商评论 铝 市场表现：昨日电解铝 2505 合约收盘价较前一交易日-3.60%，收于 19685 元/ ...

Report Industry Investment Rating - No relevant information provided Core Views - This week, major broad - based indices declined. The CSI 1000 index fell 1.04%, the CSI 2000 index dropped 1.09%, the STAR 50 index declined 1.11%, the CSI 500 index decreased 1.19%, the CSI All - Share index went down 1.21%, the SSE 50 index dropped 1.37%, and the ChiNext index fell 2.95%. The equity market as a whole oscillated downward, and the implementation of Trump's "reciprocal tariffs" led to a decline in overseas risk assets. There is downward pressure on domestic risk assets next week. Dividend - related assets are expected to be relatively resilient in the short - term [8]. - For equity strategies, a cautious and defensive approach is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current valuation is still high, and there is a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - For option strategies, a neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9]. Summaries According to Relevant Catalogs Equity Market Review - **Stock Market Review**: Broad - based indices declined this week, with reduced volatility and decreased market activity. Large - cap stocks saw a decline in trading volume, and 32.3% of industries had positive returns, with the public utilities sector leading [8]. - **Futures Market Review**: As of April 3, 2025, from the perspective of quarterly - contract hedging, the basis of IF widened, while the bases of IC and IM converged. The estimated impacts on the average returns of neutral products from each contract's hedging were 0.01%, - 0.01%, and - 0.08% respectively [8]. - **Option Market Review**: As of April 3, 2025, the implied volatility of each index increased this week, which is beneficial for the performance of buying option strategies and option arbitrage strategies [8]. Strategy Environment Monitoring - **Intraday Alpha Environment**: Overall, this week, the intraday liquidity and volatility of stocks decreased marginally, and there was a net outflow of funds, which is unfavorable for the accumulation of intraday Alpha [8]. - **Trading Alpha Environment**: The cross - sectional volatility decreased marginally, large - cap stocks outperformed, and the balance of margin trading decreased marginally. There is a need to prevent the risk of retracement due to cooling market sentiment [8]. - **Holding Alpha Environment**: The environment is unfavorable for the accumulation and stability of holding Alpha [8]. - **Index Futures Hedging Environment**: Currently, the basis fluctuation has decreased, but the annualized discount is still significant, which is unfavorable for hedging cost control [8]. Future Strategy研判 - **Stock Strategy**: A cautious and defensive strategy is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current high valuation still poses a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - **Option Strategy**: A neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9].

2025年4月7日 星期一 金融研究 （一） 经济数据 高频数据显示，近期经济基本面景气度分化：地产景气度偏弱，进出口板块的景气度稍 许好转。 资料来源：Wind、招商期货 注：基于各模块中观数据与过去五年同期相比的变动（同比的环比），按变动的程度进行打分（-2 到+2），正分代表景气度转好，负分代表景气度转弱，零分代表景气度变化不大（以黑色虚线"基 准"在图中标出）；绝对值越高，景气度变动的程度越大。 招商期货有限公司 | | 市场表现：4 月 日，A 股四大股指有所回调，其中上证指数下跌 0.24%，报收 点；深成指 3 3342.01 | | | | | | --- | --- | --- | --- | --- | --- | | | 下跌 1.4%，报收 10365.73 点；创业板指下跌 1.86%，报收 2065.4 点；科创 50 指数下跌 0.46%， | | | | | | | 报收 1018.07 点。市场成交 亿元，较前日增加 1,655 亿元。行业板块方面，农林牧渔(+1.81%)， | | | 11,582 | | | | 公用事业(+1.41%)，食品饮料(+1.28%)涨幅居前 ...

招商期货 黄金市场 招商评论 贵 金 属 市场表现：上周贵金属市场大幅波动，以伦敦银计价的国际银价跌幅超过 10%；消息面，美国参议院通过预 算决议，特朗普税收、边境安全和军事优先事项法案获"关键突破"。经济数据方面，美国 3 月非农就业人口 增长 22.8 万，高于预期的增加 14 万，前值从增加 15.1 万下修为增加 11.7 万；3 月失业率升至 4.2%，预期 4.1%，前值 4.1%。库存数据方面，印度 2 月白银进口减至 250 吨左右；上期所白银库存增加 11 吨至 1186 吨，金交所白银库存上周增加 52 吨 1731 吨。伦敦 2 月库存减少 1056 吨至 22446 吨，主要流向美国。随着 黄金回调，白银价格也出现了明显回落。操作上，建议白银空单继续持有注意仓位或者做多金银比。风险点： 美国经济大幅衰退 基本金属 招商评论 | 铜 | 市场表现：清明节外盘铜期货市场暴跌，周一国内开盘前，美铜的暴跌依然继续，对应国内价格可能要去到 | | | | | | --- | --- | --- | --- | --- | --- | | | 71000 元以下。观察黄金和比特币的情况，我们认为 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term sector rotation and uncertainties in US bilateral policies may increase spot market volatility. Given that the IF valuation is still low, it is recommended to allocate at low prices [2]. - Recent short - term capital tightness has eased. With dense macro - side changes, if the economy continues to recover under policy support, long - term interest rates are expected to rise further [2]. 3. Summary by Relevant Catalogs Economic Data - High - frequency data shows that the recent economic fundamentals have a differentiated prosperity. The real estate and infrastructure sectors have weak prosperity, while the manufacturing sector has slightly improved [4]. Stock Index Futures and Spot Market Performance - On April 2, most of the four major A - share stock indexes rose. The Shanghai Composite Index rose 0.05% to 3350.13 points, the Shenzhen Component Index rose 0.09% to 10513.12 points, the ChiNext Index rose 0.13% to 2104.63 points, and the Science and Technology Innovation 50 Index fell 0.16% to 1022.75 points. Market turnover was 992.7 billion yuan, a decrease of 160.1 billion yuan from the previous day [1]. - In terms of industry sectors, textile and apparel (+1.45%), beauty care (+1.01%), and communication (+0.97%) led the gains; national defense and military industry (-1.17%), non - ferrous metals (-0.87%), and public utilities (-0.8%) led the losses [1]. - From the perspective of market strength, IM>IC>IF>IH. The number of rising/flat/falling stocks was 2755/218/2425 respectively. Institutional, main, large - scale, and retail investors had net inflows of 20.24 billion, 7.2 billion, - 8.71 billion, and - 6.04 billion yuan respectively, with changes of +11.79 billion, +0.67 billion, - 3.31 billion, and - 0.34 billion yuan respectively [1]. - The basis of the next - month contracts of IM, IC, IF, and IH was 102.65, 72.69, 5.59, and - 3.18 points respectively. The annualized basis yields were - 14.1%, - 10.62%, - 1.24%, and 1.03% respectively, and the three - year historical quantiles were 10%, 8%, 44%, and 56% respectively. Currently, the discount of small - and medium - cap stock indexes is still large, and although the futures - spot price difference has recovered, it is still at a low level [1]. Treasury Bond Futures and Spot Market Performance - On April 2, treasury bond futures rose across the board. The 2 - year treasury bond futures rose 0.04% to 102.39 points, the 5 - year treasury bond futures rose 0.15% to 105.75 points, the 10 - year treasury bond futures rose 0.26% to 108.05 points, and the 30 - year treasury bond futures rose 0.86% to 117.18 points [2]. - For the current active 2506 contract, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures had yield changes of - 1.5bps, - 3.25bps, - 3bps, and - 4.5bps respectively, corresponding net bases of - 0.092, - 0.101, - 0.072, and - 0.012, and IRRs of 2.29%, 2.31%, 2.19%, and 1.86% respectively. Currently, CTD bonds of all maturities have high IRRs and low bases, indicating potential arbitrage opportunities [2]. - In terms of the money market, the central bank injected 22.99 billion yuan and withdrew 45.54 billion yuan, resulting in a net withdrawal of 22.55 billion yuan [2]. - Short - term capital rates have declined. For example, SHIBOR overnight decreased from 1.82 to 1.76, and DR001 decreased from 1.83 to 1.74 [13].

2025年04月03日 星期四 商品期货早班车 招商期货 黄金市场 招商评论 基本金属 招商评论 | 铜 | 市场表现：昨日铜价震荡偏弱运行，美铜在特朗普关税政策落地后加速下跌。基本面：特朗普关税政策令市 场担忧美国全球衰退，全球股市走弱，离岸人民币走弱，预期将对金属带来下行压力。华东华南平水铜现货 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 升水 20 元和贴水 15 元成交，精废价差 1500 元。交易策略：短期铜价预期交易全球衰退预期，下行压力较 | | | | | | | | | | | 大。风险提示：全球需求不及预期。仅供参考。 | | | | | | | | | | | 市场表现：昨日锌 2504 合约收盘价较前一交易日-0.93%，收于 23,410 元/吨。国内 0-3 月差 100 元/吨 Back， 海外 26 美元/吨 Con 结构，华南、华东对 2504 合约 20（+15）元/吨升水， 50 元/吨（+40）升水。 | 0-3 | 月差 | | | | | | ...

金融研究 2025年4月2日 星期三 金融期货早班车 招商期货有限公司 市场表现：4 月 1 日，A 股四大股指涨跌不一，其中上证指数上涨 0.38%，报收 3348.44 点；深成指 下跌 0.01%，报收 10503.66 点；创业板指下跌 0.09%，报收 2101.88 点；科创 50 指数上涨 0.16%， 报收 1024.38 点。市场成交 11,528 亿元，较前日减少 905 亿元。行业板块方面，医药生物(+3.34%)， 公用事业(+1.78%)，国防军工(+1.46%)涨幅居前；家用电器(-1.71%)，计算机(-0.97%)，汽车(-0.9%) 跌幅居前。从市场强弱看，IC>IM>IF>IH，个股涨/平/跌数分别为 3,849/145/1,403。机构、主力、大 户、散户全天资金分别净流入 84.5、65.3、-54、-57 亿元，分别变动+66.1、+128.8、+124.6、+6.8 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 116.48、86.85、8.08 与-3.89 点，基差年化收益率分别 为-15.51%、-12.28%、-1.73%与 1.22% ...