Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, the report maintains the judgment of going long on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts on rallies for medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On July 10, most of the four major A - share stock indices rose. The Shanghai Composite Index rose 0.48% to 3509.68 points, the Shenzhen Component Index rose 0.47% to 10631.13 points, the ChiNext Index rose 0.22% to 2189.58 points, and the Sci - tech Innovation 50 Index fell 0.32% to 979.99 points. Market turnover was 15,151 billion yuan, a decrease of 124 billion yuan from the previous day. In terms of industry sectors, real estate (+3.19%), petroleum and petrochemicals (+1.54%), and steel (+1.44%) led the gains; automobiles (-0.62%), media (-0.54%), and national defense and military industry (-0.41%) led the losses. From the perspective of market strength, IH>IC>IF>IM. The number of rising, flat, and falling stocks was 2,945, 192, and 2,278 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 61, - 150, - 9, and 221 billion yuan respectively, with changes of +57, +17, - 43, and - 31 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 102.57, 78.65, 30.82, and 14.93 points respectively, and the annualized basis yields were - 14.82%, - 12.17%, - 7.12%, and - 5.02% respectively. The three - year historical quantiles were 14%, 10%, 18%, and 23% respectively [2]. - **Trading Strategy**: Allocate long positions in forward contracts of various varieties on dips [2]. (2) Treasury Bond Futures - **Market Performance**: On July 10, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.367, up 2.53 bps from the previous day; the implied interest rate of the five - year bond was 1.505, up 3.13 bps; the implied interest rate of the ten - year bond was 1.601, up 2.16 bps; and the implied interest rate of the thirty - year bond was 1.932, up 1.9 bps [2]. - **Cash Bonds**: The current active contract is the 2509 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 [2]. - **Funding Situation**: The central bank injected 900 billion yuan and withdrew 572 billion yuan in open - market operations, with a net injection of 328 billion yuan [2]. - **Trading Strategy**: Hedge T and TL contracts on rallies for medium - to - long - term [2]. (3) Economic Data - **High - Frequency Data**: Recent high - frequency data shows that the real estate market has contracted, while the other four indicators are similar to the same period [10]. - **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 (year - on - year and month - on - month), a scoring system shows the real estate market's contraction [11][13].

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report - The report analyzes the market performance, fundamentals, and provides trading strategies for various commodity futures, including basic metals, black industries, agricultural products, and energy chemicals. Market conditions are complex and influenced by multiple factors such as supply - demand relationships, macro - policies, and international events. Different commodities show different trends, and investors are advised to make decisions based on specific market conditions [2][3][5]. 3. Summary by Commodity Category Basic Metals - **Aluminum**: The 2508 contract's closing price increased by 0.90% to 20700 yuan/ton, and the LME price was 2611 dollars/ton. Aluminum plants maintain high - load production, but the demand side shows a decline in the weekly aluminum product start - up rate. With increasing inventory, the price is expected to fluctuate. It is recommended to wait and see [2]. - **Alumina**: The 2509 contract's closing price rose 2.49% to 3208 yuan/ton. Some northern alumina plants are under maintenance, and supply has tightened. The short - term price is expected to remain strong. It is recommended to buy on dips and purchase call options [2]. - **Silicon**: The main 09 contract closed at 8470 yuan/ton, up 330 yuan/ton. Supply is increasing in Yunnan, and inventory is gradually decreasing. The industry's production start - up elasticity is high, and the rebound pressure is large. The short - term market is expected to fluctuate widely, and it is recommended to wait and see [2]. - **Lithium Carbonate**: The main LC2509 contract closed at 64180 yuan/ton, down 0.43%. Supply is increasing, and inventory has reached a new high. Although demand is expected to improve marginally, it is difficult to drive inventory reduction. It is recommended to wait and see [2]. - **Polycrystalline Silicon**: The main 08 contract closed at 41345 yuan/ton, up 2075 yuan/ton. Supply is expected to increase, and demand in July shows a decline in silicon wafer and battery cell production schedules. The market is influenced by rumors, and it is recommended to wait and see [2]. Black Industry - **Rebar**: The main 2510 contract closed at 3141 yuan/ton, up 53 yuan/ton. Supply and demand are both weak, but inventory pressure is small due to low production. The futures discount has narrowed, and the valuation is high. It is recommended to wait and see and try the 10/1 reverse spread [3]. - **Iron Ore**: The main 2509 contract closed at 764.5 yuan/ton, up 20 yuan/ton. Supply and demand are neutral, and inventory is decreasing. The iron water output is stable, and the futures valuation is moderately high. It is recommended to wait and see and set up a long position in the 2605 volume - to - ore ratio [3]. - **Coking Coal**: The main 2509 contract closed at 906.5 yuan/ton, up 22.5 yuan/ton. Supply and demand are generally loose but improving. The futures are at a premium, and the valuation is high. It is recommended to wait and see [3]. Agricultural Products - **Soybean Meal**: Overnight, CBOT soybeans rose slightly. The supply is loose in the near - term internationally, and the growth of US soybeans is normal in the long - term. The demand is dominated by South America in the short - term, and there are uncertainties in US new - crop soybeans. The short - term US soybeans are expected to fluctuate within a range, and the domestic market follows the international cost side. Attention should be paid to the USDA report [5]. - **Corn**: The 2509 contract fluctuated narrowly, and the spot price declined slightly. The annual supply - demand relationship has tightened marginally, but wheat substitution and increased imports of substitute grains suppress the price. The futures price is expected to fluctuate within a range [5]. - **Sugar**: The 09 contract closed at 5805 yuan/ton, up 0.09%. Brazil's ethanol blending ratio will increase, but the impact on the sugar - making ratio is limited. The domestic market follows the trend of raw sugar, and the 09 contract is expected to fluctuate weakly. It is recommended to short in the futures market, sell call options, and lock in the price for sugar users [5]. - **Cotton**: Overnight, US cotton prices rebounded. US cotton exports increased, and Brazil's cotton production is expected to rise. In China, the cotton price fluctuated upward, and textile enterprise inventory decreased while yarn inventory increased. It is recommended to wait and see and adopt a range - trading strategy [5]. - **Palm Oil**: The short - term Malaysian palm oil price declined. The production and export in Malaysia decreased in June, and inventory increased. The short - term price center is expected to move up with wide - range fluctuations. Attention should be paid to production in the producing areas and biodiesel policies [5]. - **Eggs**: The 2508 contract declined slightly, and the spot price rose slightly. Supply is high, and although low prices stimulate demand, the high - temperature and high - humidity weather is not conducive to storage. The price is expected to fluctuate [5]. - **Hogs**: The 2509 contract rose slightly, and most of the spot prices declined. Supply is increasing, and high temperatures affect consumption. The price is expected to fluctuate and adjust [6]. - **Apples**: The main contract closed at 7783 yuan/ton, up 0.52%. The price of apples in Shandong is stable. The early - maturing varieties' opening price may support the market, but if supply increases later, the market expectation may be revised downward. It is recommended to wait and see [6]. Energy Chemicals - **LLDPE**: The main contract rebounded slightly. Supply is increasing due to new device production and the resumption of maintenance devices, and imports are expected to decrease. Demand is improving at the end of the off - season. The short - term market will fluctuate, and it is recommended to short far - month contracts on price rebounds in the long - term [7]. - **PVC**: The v09 contract closed at 5040 yuan/ton, up 2.2%. Supply is expected to increase, and inventory has increased. It is recommended to close short positions and wait and see [7]. - **Rubber**: The main contract rose 2.86% to 14405 yuan/ton. Supply is expected to increase in the third quarter, and inventory is expected to decrease. The price increase is limited. It is recommended to wait and see on the single - side and hold the RU - NR long - spread [8]. - **Glass**: The fg09 contract closed at 1090 yuan/ton, up 5.4%. Supply is increasing, and inventory is decreasing. The fundamental situation is weak, and it is recommended to wait and see [8]. - **PP**: The main contract rebounded slightly. Supply is increasing, and demand is differentiated. The short - term market is expected to fluctuate weakly, and it is recommended to short far - month contracts on price rebounds in the long - term [8]. - **Crude Oil**: Oil prices declined due to the US tariff on Brazil and OPEC's production plan. Supply is expected to be in surplus, especially in the fourth quarter. It is recommended to short on price increases [8]. - **Styrene**: The main EB contract continued to rebound slightly. Supply is expected to increase, and demand improvement is limited. The short - term market will fluctuate weakly, and it is recommended to short far - month contracts on price rebounds in the long - term [9]. - **Soda Ash**: The sa09 contract closed at 1231 yuan/ton, up 3.7%. Supply is increasing after maintenance, and inventory is at a high level. The fundamental situation is weak, and it is recommended to short on price increases [9].

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views of the Report The report provides a comprehensive analysis of various commodity futures markets, including precious metals, base metals, black industry products, agricultural products, and energy chemicals. It offers market performance, fundamental analysis, and trading strategies for each sector, suggesting different approaches such as buying, selling, or holding based on the specific market conditions of each commodity [1][2][3]. 3. Summary by Related Catalogs Precious Metals - **Gold**: Prices are in high - level oscillation. China's central bank has increased gold holdings for 8 consecutive months. Suggest going long on gold due to the unchanged de - dollarization logic [1]. - **Silver**: It shows a rebound with good market sales recently. Long - term industrial silver demand is downward, so consider long - term short positions or going long on the gold - silver ratio [1]. Base Metals - **Copper**: Prices oscillated. Trump's tariff increase affected the market. It is recommended to wait for a full adjustment and then buy at low prices [2]. - **Aluminum**: The price of electrolytic aluminum is expected to oscillate. It is advised to wait and see due to macro uncertainties and a consumption off - season [2]. - **Alumina**: Prices may be strong in the short term. It is recommended to buy at low prices or purchase call options [2]. - **Industrial Silicon**: Short - term market sentiment is strong with high unilateral risks. It is recommended to wait and see [3]. - **Carbonate Lithium**: It is recommended to wait and see due to expected marginal improvement and industrial information disturbances [3]. Black Industry - **Rebar Steel**: Supply and demand are relatively balanced. It is recommended to wait and see and try a reverse spread [4]. - **Iron Ore**: Supply and demand are neutral. It is recommended to wait and see and layout long positions on the far - month coil - ore ratio [4][5]. - **Coking Coal**: Supply is relatively loose with improving fundamentals. It is recommended to wait and see [5]. Agricultural Products - **Soybean Meal**: Short - term US soybeans are in a range - bound oscillation. Domestic soybeans follow international cost - side trends [6]. - **Corn**: Futures prices are expected to oscillate within a range due to reduced surplus grain and wheat substitution [6]. - **Sugar**: Zhengzhou sugar 09 contract is expected to be weak and oscillate. It is recommended to short in the futures market, sell call options, or lock in prices for end - users [6]. - **Cotton**: It is recommended to wait and see and adopt a range - bound trading strategy [7]. - **Palm Oil**: It is expected to be strong in the short term with wide - range oscillations. Pay attention to production areas and bio - diesel policies [7]. - **Eggs**: Futures and spot prices are expected to oscillate due to high supply and cost support [7]. - **Pigs**: Futures prices are expected to oscillate and adjust due to increasing supply and weakening demand [7]. - **Apples**: It is recommended to wait and see, and the market is affected by weather [7]. Energy Chemicals - **LLDPE**: Short - term supply and demand improve. It is recommended to go short on far - month contracts in the long term [8][9]. - **PVC**: It is recommended to wait and see after gradually closing short positions [9]. - **PTA**: It is recommended to go long on PX, do a positive spread on PTA, and short processing fees in the long term [9]. - **Glass**: Fundamentals are weak. It is recommended to wait and see [9]. - **PP**: The short - term trend is weak and oscillating. It is recommended to go short on far - month contracts in the long term [9][10]. - **MEG**: It is expected to be weak. It is recommended to short at high prices [10]. - **Crude Oil**: The long - term trend is bearish. It is recommended to short at high prices and pay attention to inventory accumulation [10]. - **Styrene**: The short - term trend is weak and oscillating. It is recommended to go short on far - month contracts in the long term [10]. - **Soda Ash**: Fundamentals are weak. It is recommended to short at high prices [10][11].

Report Overview - The report is a financial futures early morning newsletter by China Merchants Futures Co., Ltd. dated July 10, 2025, covering stock index futures, treasury bond futures and economic data [1][2] 分组1: Report Highlights - **Stock Index Futures**: On the 7th, most of the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.13% to 3493.05 points, the Shenzhen Component Index fell 0.06% to 10581.8 points, the ChiNext Index rose 0.16% to 2184.67 points, and the STAR 50 Index fell 0.89% to 983.11 points. Market turnover was 152.74 billion yuan, an increase of 5.28 billion yuan from the previous day. In terms of industry sectors, media, agriculture, forestry, animal husbandry and fishery, and commercial and retail had the highest increases, while non - ferrous metals, basic chemicals, and electronics had the largest declines. From the perspective of market strength, IF>IH>IM>IC. The number of rising/flat/falling stocks was 1856/236/3324 respectively. The net inflows of institutional, main, large - scale and retail investors in the Shanghai and Shenzhen stock markets were - 11.9 billion, - 16.7 billion, 3.4 billion, and 25.2 billion yuan respectively, with changes of - 22.4 billion, - 12.8 billion, + 14.7 billion, and + 20.4 billion yuan respectively. The basis of IM, IC, IF, and IH next - month contracts were 101.47, 76.89, 29.6, and 16.12 points respectively, and the annualized basis yields were - 14.18%, - 11.53%, - 6.62%, and - 5.25% respectively, with three - year historical quantiles of 17%, 11%, 19%, and 22% respectively. The trading strategy is to recommend buying IF, IC, and IM forward contracts on dips [2] - **Treasury Bond Futures**: On the 7th, most of the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.334, up 0.66 bps from the previous day; the implied interest rate of the five - year bond was 1.464, down 3.53 bps; the implied interest rate of the ten - year bond was 1.573, down 0.37 bps; and the implied interest rate of the thirty - year bond was 1.906, down 0.46 bps. In terms of cash bonds, the CTD bonds, yield changes, corresponding net basis, and IRR of different - term treasury bond futures were provided. In terms of the capital side, the central bank's currency investment was 7.55 billion yuan, currency withdrawal was 9.85 billion yuan, and the net withdrawal was 2.3 billion yuan. The trading strategy is to suggest short - term long and long - term short, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [2] - **Economic Data**: High - frequency data shows that the recent real estate market sentiment has contracted, while the other four items are similar to the same period [10] 分组2: Core Viewpoints - For stock index futures, in the short - term, the stock index discount has returned to an extreme position; in the medium - to - long - term, the report maintains the judgment of going long on the economy, and currently using stock index long positions as a substitute has certain excess returns [2] - For treasury bond futures, the long - end long - position strength is strong, betting on a further decline in future policy interest rates [2] 分组3: Summary by Directory (一) Stock Index Futures Spot Market Performance - The report provides detailed performance data of various stock index futures contracts such as IC, IF, IH, and IM, including code, name, price change percentage, current price, price change, trading volume, trading value, open interest, daily increase in open interest, settlement price, basis, and annualized basis yield [4] (二) Treasury Bond Futures Spot Market Performance - The report presents the performance data of treasury bond futures contracts (TS, TF, T, TL) and corresponding spot bonds, including code, name, price change percentage, current price, trading volume, trading value, open interest, daily increase in open interest, settlement price, net basis, CTD bond implied interest rate, and spot bond yield [6] (三) Economic Data - High - frequency data indicates that the real estate market sentiment has recently contracted, and the other four items are similar to the same period [10]

Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on July 9, 2025, covering the market performance of stock index futures and treasury bond futures on July 8, 2025, along with trading strategies [1][2][3] 1. Report Industry Investment Rating - No industry investment rating is provided in the report 2. Core View of the Report - In the short - term, the discount of stock index futures has returned to extreme levels; in the long - and medium - term, it is recommended to go long on the economy by buying long - term contracts of IF, IC, and IM at low prices. For near - term contracts, due to the potential decline of micro - cap stocks, caution is advised for IC and IM indices. For treasury bond futures, it is recommended to take short - term long positions and long - term short positions, buying T and TL contracts at low prices in the short - term and hedging at high prices in the long - term [3][4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - **Market Performance**: On July 8, A - share major indices all rose, with the Shanghai Composite Index up 0.7% to 3497.48 points, the Shenzhen Component Index up 1.47% to 10588.39 points, the ChiNext Index up 2.39% to 2181.08 points, and the STAR 50 Index up 1.4% to 991.95 points. Market turnover was 1474.6 billion yuan, an increase of 247.5 billion yuan from the previous day. Among industry sectors, communication (+2.89%), power equipment (+2.3%), and electronics (+2.27%) led the gains; public utilities (-0.37%), banks (-0.24%), and household appliances (+0.21%) led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4282/155/979 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 10.5 billion, - 3.9 billion, - 11.3 billion, and 4.8 billion yuan respectively, with changes of +14.7 billion, +5.9 billion, - 9.6 billion, and - 11.1 billion yuan respectively [2] - **Futures Basis and Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 98.1, 71.34, 34.05, and 19.59 points respectively, with annualized basis yields of - 13.2%, - 10.29%, - 7.34%, and - 6.15% respectively, and three - year historical quantiles of 20%, 14%, 17%, and 20% respectively [2] - **Contract - Specific Data**: Detailed data on various stock index futures contracts such as IC2507, IC2508, etc., including price, trading volume, open interest, basis, and annualized basis yield, are provided [6] 3.2 Treasury Bond Futures and Spot Market Performance - **Yield Changes**: On July 8, the yields of treasury bond futures declined. Among active contracts, the implied interest rates of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 1.332%, 1.503%, 1.578%, and 1.914% respectively, with increases of 1.99bps, 5.57bps, 1.96bps, and 1.51bps from the previous day [3] - **CTD Bond Data**: For the current active 2509 contract, data on the cheapest - to - deliver (CTD) bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including yield changes, net basis, and implied repo rate (IRR), are provided [3][4] - **Funding Situation**: The central bank injected 6.9 billion yuan and withdrew 13.1 billion yuan through open - market operations, resulting in a net withdrawal of 6.2 billion yuan [4] - **Contract - Specific Data**: Detailed data on various treasury bond futures contracts such as TS2509, TS2512, etc., including price, trading volume, open interest, net basis, and CTD bond implied interest rate, are provided [7] 3.3 Economic Data - **High - Frequency Data**: High - frequency data shows that the real - estate market has recently contracted, while the other four areas are similar to the same period [10] - **Short - Term Interest Rate Changes**: Data on short - term capital interest rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007, including current prices, previous - day prices, prices one week ago, and prices one month ago, are provided [10]

2025年07月09日 星期三 商品期货早班车 招商期货 基本金属 招商评论 铜 市场表现：昨日铜价震荡偏强运行。 基本面：特朗普称 8 月 1 日起实施对等关税、不会再推迟，警告欧盟征税函将至。特朗普威胁征 50%铜关税， 预期七月稍晚或者八月一日落地。纽约铜大涨，但伦敦似乎交易关税落地，反而震荡走弱。美债收益率上行， 美元指数短期偏强。华东华南平水铜现货升水 50 元和贴水 100 元成交，国内下游需求淡季明显。伦敦结构 79 美金 back。 交易策略：建议等待整理充分后逢低买入。 风险提示：全球需求不及预期。仅供参考。 铝 市场表现：昨日电解铝 2508 合约收盘价较前一交易日+0.56%，收于 20410 元/吨，国内 0-3 月差 240 元/吨， LME 价格 2589.5 美元/吨。 基本面：供应方面，电解铝厂维持高负荷生产，周度运行产能稳定。需求方面，周度铝材开工率下降 1%。 交易策略：宏观环境转弱，下游消费淡季氛围浓厚，铝材开工率持续下降，铝锭库存持续累库，对价格支撑 有所减弱，预计价格震荡偏弱，需关注宏观情绪变化。建议观望。 风险提示：海内外宏观政策变化。 氧 化 铝 市场表现：昨日氧 ...

2025年7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：7 月 7 日，A 股四大股指多数下行，其中上证指数上涨 0.02%，报收 3473.13 点；深成指 下跌 0.7%，报收 10435.51 点；创业板指下跌 1.21%，报收 2130.19 点；科创 50 指数下跌 0.66%， 报收 978.29 点。市场成交 12,271 亿元，较前日减少 2,275 亿元。行业板块方面，综合(+2.57%)， 公用事业(+1.87%)，房地产(+1.68%)涨幅居前；煤炭(-2.04%)，医药生物(-0.97%)，通信(-0.77%)跌 幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 3,254/185/1,977。沪深两市，机构、 主力、大户、散户全天资金分别净流入-42、-98、-18、158 亿元，分别变动+44、+52、-34、-62 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 139.14、96.01、37.77 与 23.13 点，基差年化收益率分 别为-18.33%、-13.56%、-7.94%与-7.06%，三年期历史分位数分别为 ...

2025年07月08日 星期二 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | 市场表现：昨日铜价震荡偏弱运行。 | | | | | | | | 基本面：特朗普征税函显示对日韩等 14 国征收 25%到 40%不等关税、8 月 1 日生效，欧盟或接近协议。市 | | | | | | | | | | | | 场再度抛售美股美债，风险偏好下行。华东华南平水铜现货升水 70 元和贴水 50 元成交。伦敦结构 77 美金 | | | | | | | | | | | 铜 | back。精废价差 1600 元附近。 | | | | | | | | | | | | 交易策略：铜供应端紧张难以缓解，等待回撤企稳买入机会。 | | | | | | | | | | | | 风险提示：全球需求不及预期。仅供参考。 | | | | | | | | | | | | | | 市场表现：昨日电解铝 2508 合约收盘价较前一交易日-1. ...

期货研究报告 | 商品研究 能化板块负责人：李国洲 13544503362 Liguozhou@cmschina.com.cn F3021097 Z0020532 专题报告 招期能化纯苯专题 2025 年7 月8 日 纯苯期货上市首日策略 ❑ 价格走势： 纯苯现货价格在 5850-5950 元/吨区间，当前纯苯处于"高供应、低利润、弱 需求"格局。下半年纯苯供需仍处于供需宽松格局，整体基本面偏弱。 上市价 5900 元/吨，平水当前现货水平，开盘后价格或稳定在 5700-6000/吨 之间。 ❑ 策略建议： 单边策略： 期货价格平水现货，存在"上市首日资金抢筹低估品种"的情绪驱动，可逢高 做空。 套利策略： 由于纯苯下半年供需处于宽松格局，纯苯月差大概率走反套格局。 ❑ 风险提示： 原油地缘政治风险，流动性风险。 1. 成本端：原油 Q3 有支撑，Q4 或逐步过剩 欧佩克+开启加速增产模式，预计每季度增产量将达到 50-60 万桶/天。下半年非欧佩克 增产也将集中释放。重点关注中东供应是否受到影响。 资料来源：彭博，招商期货 敬请阅读末页的重要声明 一、合约情况 1.合约定价：纯苯期货和期权（代码 AD）将于 ...

Report Summary 1. Market Performance Stock Index Futures - On July 4th, most of the four major A-share stock indexes declined. The Shanghai Composite Index rose 0.32% to close at 3472.32 points, while the Shenzhen Component Index fell 0.25% to 10508.76 points, the ChiNext Index dropped 0.36% to 2156.23 points, and the STAR 50 Index declined 0.01% to 984.8 points. Market trading volume was 1.4545 trillion yuan, an increase of 121 billion yuan from the previous day [2]. - In terms of industry sectors, banks (+1.84%), media (+0.91%), and composites (+0.71%) led the gains, while beauty care (-1.87%), non-ferrous metals (-1.6%), and basic chemicals (-1.22%) led the losses. In terms of market strength, IH > IF > IC > IM, with the number of rising/flat/falling stocks being 1169/129/4118 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of -8.6 billion, -15 billion, 1.6 billion, and 22 billion yuan respectively, with changes of -12.3 billion, -8.9 billion, +6.6 billion, and +14.6 billion yuan respectively [2]. - For index futures basis, the basis of IM, IC, IF, and IH next - month contracts were 125.8, 90.44, 37.4, and 23.24 points respectively, with annualized basis yields of -16.07%, -12.34%, -7.57%, and -6.84% respectively, and three - year historical quantiles of 11%, 10%, 16%, and 18% respectively [2]. Treasury Bond Futures - On July 4th, the yields of treasury bond futures continued to decline. Among the active contracts, the implied interest rate of the two - year bond was 1.305, down 0.14 bps from the previous day; the five - year bond was 1.441, down 0.48 bps; the ten - year bond was 1.566, down 0.6 bps; and the thirty - year bond was 1.901, down 0.6 bps [3]. - In the cash bond market, for the currently active 2509 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year treasury bond futures, the CTD bond was 250006.IB, with a yield change of -1 bps, a corresponding net basis of -0.047, and an IRR of 1.65%; for the 5 - year, it was 240020.IB, yield change -0.5 bps, net basis -0.061, IRR 1.72%; for the 10 - year, it was 220010.IB, yield change -0.25 bps, net basis -0.097, IRR 1.84%; for the 30 - year, it was 210005.IB, yield change -0.5 bps, net basis -0.108, IRR 1.8% [3]. - In terms of the money market, the central bank injected 3.4 billion yuan and withdrew 525.9 billion yuan through open - market operations, resulting in a net withdrawal of 491.9 billion yuan [3]. 2. Trading Strategies Stock Index Futures - In the short term, as the index futures discount returns and the current direction is unclear, a neutral strategy can be considered. In the medium - to - long term, a bullish view on the economy is maintained. Buying IF, IC, and IM long - term contracts on dips is recommended as using stock indexes as a long - position substitute can generate certain excess returns. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. Treasury Bond Futures - On the futures side, the long - end bullish force is strong, possibly betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended. Short - term T and TL contracts can be bought on dips, and medium - to - long - term T and TL contracts can be hedged on rallies [3]. 3. Data Tables Stock Index Futures Spot and Futures Market Performance - Tables show detailed data of various stock index futures contracts (such as IC2507, IF2507, etc.), including their names, price changes, current prices, trading volumes, open interest, basis, and annualized basis yields [6]. Treasury Bond Futures Spot and Futures Market Performance - Tables present detailed data of various treasury bond futures contracts (such as TS2509, TF2509, etc.), including their names, price changes, current prices, trading volumes, open interest, net basis, and CTD bond implied interest rates [8]. Short - Term Fund Rate Market Changes - The table shows the current prices, previous day prices, prices one week ago, and prices one month ago of short - term fund rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [12]. 4. Economic Data - High - frequency data shows that the recent real estate market sentiment has contracted, while the other four sectors are similar to the same period [12]. 5. Relevant Personnel - Yuhu Shan is the head of the investment consulting department of China Merchants Futures, with 13 years of futures experience. He has in - depth research on stock index futures, options, and quantitative trading and has won relevant awards and published many articles [16]. - Shiwei Xu is the supervisor of the financial group of China Merchants Futures, with over 10 years of experience in futures and derivatives investment research. He has won many awards and has participated in option product design [16].