金融研究 2025年6月24日 星期二 金融期货早班车 招商期货有限公司 市场表现：6 月 23 日，A 股四大股指全线上行，其中上证指数上涨 0.65%，报收 3381.58 点；深成 指上涨 0.43%，报收 10048.39 点；创业板指上涨 0.39%，报收 2017.63 点；科创 50 指数上涨 0.38%， 报收 961.49 点。市场成交 11,469 亿元，较前日增加 552 亿元。行业板块方面，计算机(+2.25%)， 国防军工(+1.97%)，煤炭(+1.68%)涨幅居前；食品饮料(-0.8%)，家用电器(-0.43%)，钢铁(-0.11%) 跌幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 4,443/130/842。沪深两市，机构、 主力、大户、散户全天资金分别净流入 52、-31、-79、58 亿元，分别变动+151、+94、-67、-177 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 148.62、101.37、49.5 与 31.18 点，基差年化收益率分 别为-15.28%、-11.17%、-8.02%与-7.26%，三年期历史分 ...

期货研究报告 | 商品研究 关注早熟品种开称价 2025年6月16日-6月22日 2025年6月22日 —苹果周报 • 招商农业-李依穗 • liyisui1@cmschina.com.cn • 联系电话：0755-82959861 • 执业资格号：Z0020997 苹果周观点：关注早熟品种开称价 ➢ 风险提示：天气。 2 4 ➢ 市场表现：过去一周主力合约收7725元/吨，周涨幅0.09%。山东烟台栖霞苹果价格平稳，80#以上一二级货源果农货片红3.5-3.8元 /斤，条纹3.5-4.5元/斤，客商货片红4.0-4.5元/斤，条纹4.0-5.0元/斤。统货2.8-3.0元/斤，三级客商货2.5-3.0元/斤。 1 ➢ 供给方面：截至2025年6月20日，全国主产区苹果冷库库存量为116.49万吨，库存量环比减少10.97万吨，处于历史低位水平。 ➢ 需求方面：截至2025年6月20日，全国主产区苹果冷库出库量为10.97万吨，库存量较上周增加0.23万吨。 ➢ 基本面：早熟品种占苹果总产量约20%，早熟品种的开称指向新季苹果的现货价格。陕西、陕西地区的早熟品种因成熟时间较早， 今年大风干旱影响对早熟品种影响 ...

Report Summary 1. Market Performance - On June 20, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.07% to 3359.9 points, the Shenzhen Component Index down 0.47% to 10005.03 points, the ChiNext Index down 0.83% to 2009.89 points, and the STAR 50 Index down 0.53% to 957.87 points. Market turnover was 1.0917 trillion yuan, a decrease of 189.2 billion yuan from the previous day [2]. - In terms of industry sectors, transportation (+0.88%), food and beverage (+0.73%), and banking (+0.69%) led the gains, while media (-1.91%), computer (-1.79%), and petroleum and petrochemical (-1.71%) led the losses [2]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1540/231/3644 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9.9 billion, -12.5 billion, -1.2 billion, and 23.5 billion yuan respectively, with changes of +9.7 billion, +7.4 billion, -5.6 billion, and -11.4 billion yuan respectively [2]. 2. Stock Index Futures 2.1 Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 64.79, 51.11, 42.24, and 36.92 points respectively, and the annualized basis yields were -12.86%, -10.79%, -13.07%, and -16.44% respectively. The three - year historical quantiles were 20%, 13%, 1%, and 1% respectively. On the delivery day, the basis of the mid - cap stock index converged significantly [3]. 2.2 Trading Strategies - Recently, the small - cap stock index has a deep discount, presumably due to the expansion of the scale of neutral products since this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be relatively high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended [3]. - In the medium - to - long term, the report maintains the judgment of being bullish on the economy. Using stock indices as long - term substitutes has certain excess returns at present. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. 3. Treasury Bond Futures 3.1 Market Performance - On June 20, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.281, down 1.32 bps from the previous day; the five - year bond was 1.436, down 0.61 bps; the ten - year bond was 1.555, down 0.52 bps; and the thirty - year bond was 1.896, down 1.28 bps [3]. 3.2 Current Bonds - The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.15 bps, a corresponding net basis of -0.102, and an IRR of 1.91%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.085, and an IRR of 1.84%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.091, and an IRR of 1.86%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -1.3 bps, a corresponding net basis of -0.121, and an IRR of 1.85% [4]. 3.3 Fundamentals - In open - market operations, the central bank injected 161.2 billion yuan and withdrew 202.5 billion yuan, resulting in a net withdrawal of 41.3 billion yuan [4]. 3.4 Trading Strategies - The current bonds have recently shown a characteristic of strong supply and weak demand, but this pattern is expected to change in the future: the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more moderate; there is a possibility of a reduction in the long - term liability cost of insurance in July; the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. On the futures side, the long - end bullish force is strong, betting on a further decline in future policy interest rates. It is recommended to be short - term long and long - term short, buy T and TL on dips in the short term, and hedge T and TL on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [13].

2025年06月23日 星期一 商品期货早班车 招商期货 基本金属 招商评论 铜 市场表现：周五铜价震荡运行。 基本面：周末美国轰炸伊朗核设施，避险情绪可能升温。供应端，铜矿紧张格局延续，周度 TC 依然在-45 美 金。精废价差 920 元低位。全球库存持续去化，尤其 LME 库存下降到十万吨以内，结构 278 美金 back。另 外，市场关注 232 落地时间是否会改变伦敦挤仓情况。 交易策略：维持逢低买入思路。 风险提示：流动性冲击，全球需求不及预期。仅供参考。 工 业 硅 市场表现：周五盘面震荡下行，主力 09 合约收于 7390 元/吨，较上个交易日下跌 80 元/吨，持仓减少 4801 手至 305556 手。今日仓单量净减少 556 手至 54623 手。 基本面：上周现货端价格止跌。供给端未出现明显收缩，开炉数增加 5 台。周度库存连续两周小幅去库，盘 面下跌后仓单显性库存转隐形库存。需求端，多晶硅六月产量或较五月小幅上涨，本周有复产计划。有机硅 产量较稳定，产业链价格跌幅走扩。铝合金下游需求进入消费淡季，开工率较稳定。 交易策略：如果期货价格继续上涨，可能会面临套保压力，盘面反弹幅度或有限。 ...

Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on June 20, 2025, covering the performance of A-share stock indexes, stock index futures, treasury bond futures, and related trading strategies [1][2] 1. Market Performance 1.1 A-share Stock Indexes - On June 19, the four major A-share stock indexes pulled back. The Shanghai Composite Index fell 0.79% to 3362.11 points, the Shenzhen Component Index dropped 1.21% to 10051.97 points, the ChiNext Index declined 1.36% to 2026.82 points, and the STAR 50 Index decreased 0.54% to 962.94 points. Market turnover was 1280.9 billion yuan, an increase of 59.1 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+0.86%) led the gains, while textile and apparel (-2.36%), beauty care (-2.28%), and light industry manufacturing (-1.96%) led the losses. From the perspective of market strength, IH > IF > IC > IM, and the numbers of rising, flat, and falling stocks were 716, 56, and 4643 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -19.6 billion, -19.8 billion, 4.4 billion, and 35 billion yuan respectively, with changes of -13.8 billion, -10.9 billion, +5.3 billion, and +19.5 billion yuan respectively [2] 1.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 77.02, 59.43, 44.69, and 45.32 points respectively, with annualized basis yields of -14.47%, -11.9%, -13.21%, and -19.32% respectively, and three - year historical quantiles of 15%, 11%, 1%, and 0% respectively. As the delivery date approaches, attention should be paid to the convergence of the futures - spot price difference [2] 1.3 Treasury Bond Futures - On June 19, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond was 1.293, up 1.06 bps from the previous day; the five - year bond was 1.442, up 0.61 bps; the ten - year bond was 1.557, down 0.24 bps; and the thirty - year bond was 1.907, down 0.88 bps [3] 1.4 Cash Bonds - The current active contract is the 2509 contract. The CTD bond of the two - year treasury bond futures is 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of -0.074, and an IRR of 1.85%; the CTD bond of the five - year treasury bond futures is 220027.IB, with a yield change of +0.13 bps, a corresponding net basis of -0.08, and an IRR of 1.86%; the CTD bond of the ten - year treasury bond futures is 250007.IB, with a yield change of +0.2 bps, a corresponding net basis of -0.084, and an IRR of 1.88%; the CTD bond of the thirty - year treasury bond futures is 210014.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.061, and an IRR of 1.72% [4] 1.5 Short - term Capital Interest Rates - Short - term capital interest rates have shown little change recently. SHIBOR overnight, DR001, SHIBOR one - week, and DR007 have remained relatively stable compared to the previous day, one week ago, and one month ago [12] 2. Trading Strategies 2.1 Stock Index Futures - In the short term, due to the deep discount of small - cap stock indexes, which is presumably due to the expansion of the scale of neutral products this year and the relatively high proportion of short positions in neutral products, the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, a bullish view on the economy is maintained. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indexes, so caution is advised [3] 2.2 Treasury Bond Futures - The cash bond market currently shows a pattern of strong supply and weak demand, but this pattern is expected to change. It is recommended to adopt a strategy of short - term long and long - term short. Short - term, buy T and TL on dips; long - term, hedge T and TL on rallies [5] 3. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [12]

2025年06月20日 星期五 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | --- | --- | --- | | | 市场表现：昨日铜价震荡运行。基本面：白宫称两周内特朗普决定是否进攻伊朗。据知情人士透露，第一量 | 100 | | | 子在巴拿马矿场漫长的重启道路上迈出一小步，准备发货巴拿马铜矿。华东华南平水铜现货升水 130 元和 | | | 铜 | 元，精废价差 1400 元。周度国内库存去库 0.18 万吨。伦敦结构 102 美金 back。交易策略：美元指数继续偏 | | | | 弱运行，维持逢低买入思路。风险提示：全球需求不及预期。仅供参考。 | | | | LME 价格 2523 美元/吨。 | | | | 市场表现：昨日电解铝 2507 合约收盘价较前一交易日-0.46%，收于 20585 元/吨，国内 0-3 月差 540 | 元/吨， | | 铝 | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | | 交易策略：内外盘铝库存处于持续下降局面，现货流动性风险仍存，铝价延续中期反弹的概率依然较大，建 | | | | ...

金融研究 2025年6月19日 星期四 金融期货早班车 招商期货有限公司 市场表现：6 月 18 日，A 股四大股指全线上涨，其中上证指数上涨 0.04%，报收 3388.81 点；深成 指上涨 0.24%，报收 10175.59 点；创业板指上涨 0.23%，报收 2054.73 点；科创 50 指数上涨 0.53%， 报收 968.18 点。市场成交 12,218 亿元，较前日减少 154 亿元。行业板块方面，电子(+1.5%)，通信 (+1.39%)，国防军工(+0.95%)涨幅居前；美容护理(-1.73%)，房地产(-1.35%)，建筑材料(-1.22%)跌 幅居前。从市场强弱看，IF>IC>IM>IH，个股涨/平/跌数分别为 1,812/126/3,475。沪深两市，机构、 主力、大户、散户全天资金分别净流入-57、-89、-8、155 亿元，分别变动+19、+30、-28、-21 亿 元。 交易策略：现券近期维持供强需弱的特征，但后市供强需弱的格局有望改变：一是 6 月政府债到期 规模有所增加，政府债净供给节奏或趋平缓；二是 7 月保险长端负债成本有调低的可能；三是国内 市场风险偏好回归防御风格， ...

2025年06月19日 星期四 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | --- | --- | --- | | | 市场表现：昨日铜价震荡偏强运行。基本面：美联储议息会议上鲍威尔发言偏鹰派，点阵图提示年内两次降 | | | | 息但支持降息人数减少。美元在议息会议后略有走强。伊朗以色列冲突延续。供应端，铜矿紧张格局依旧， | | | 铜 | 122 160 日本冶炼厂考虑减产。伦敦结构 美金 back，现货铜可得性偏低。华东华南平水铜现货升水 元和 | 150 | | | 元，精废价差 1400 元。交易策略：维持逢低买入思路。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 2507 合约收盘价较前一交易日+1.08%，收于 20680 元/吨，国内 0-3 月差 665 元/吨， | | | | LME 价格 2544 美元/吨。 | | | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | 铝 | 交易策略：电解铝市场维持"低库存+弱需求"的博弈状态，虽然传统淡季压制需求，但外盘现货价格上行， ...

Report Summary 1. Market Performance - On June 17th, the four major A-share stock indexes pulled back. The Shanghai Composite Index dropped 0.04% to 3387.4 points, the Shenzhen Component Index declined 0.12% to 10151.43 points, the ChiNext Index fell 0.36% to 2049.94 points, and the STAR 50 Index decreased 0.8% to 963.08 points. Market turnover was 1237.1 billion yuan, 6.5 billion yuan less than the previous day [2]. - In the industry sector, coal (+0.89%), public utilities (+0.82%), and petroleum and petrochemicals (+0.72%) led the gains, while pharmaceutical biology (-1.44%), beauty care (-1.24%), and media (-1.22%) led the losses [2]. - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 2250, 247, and 2916 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -7.6 billion, -11.9 billion, 2 billion, and 17.6 billion yuan respectively, with changes of -9.6 billion, -7.3 billion, +11.2 billion, and +5.6 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 102.87, 70.11, 42.78, and 40.75 points respectively, with basis annualized yields of -17.45%, -12.7%, -11.51%, and -15.82%. Their three - year historical quantiles were 9%, 10%, 3%, and 1% respectively [3]. - **Trading Strategy**: Recently, small - cap stock indexes have a deep discount, presumably due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue, leading to market fluctuations. Short - cycle band strategies are advisable. In the medium - to - long term, it is recommended to go long on the economy. Buying IF, IC, and IM forward contracts on dips is recommended. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indexes, so caution is advised [3]. 3. Treasury Bond Futures - **Market Performance**: On June 17th, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.283, down 4.91bps from the previous day; the five - year bond was 1.43, down 3.61bps; the ten - year bond was 1.553, down 2.09bps; and the thirty - year bond was 1.919, down 1.2bps [3]. - **Cash Bonds**: The current active contract is the 2509 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [4]. - **Funding Situation**: In open - market operations, the central bank injected 197.3 billion yuan and withdrew 198.6 billion yuan, resulting in a net withdrawal of 1.3 billion yuan [4]. - **Trading Strategy**: The cash bond market has a characteristic of strong supply and weak demand recently, but this pattern is expected to change. It is recommended to go short in the long - term and long in the short - term. Buy T and TL contracts on dips in the short - term and hedge T and TL contracts on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [12]. - Short - end funding rates: SHIBOR overnight, DR001, SHIBOR one - week, and DR007 have shown certain changes compared to yesterday, a week ago, and a month ago [12].

1. Report Industry Investment Ratings No specific industry investment ratings are provided in the report. 2. Core Views - The de - dollarization logic remains unchanged, and it is recommended to go long on gold. For silver, due to speculative capital pull - up and lack of fundamental support, it is advisable to consider long - term short positions or opportunistically go long on the gold - silver ratio [1]. - For base metals, maintain a buy - on - dips approach for copper, expect aluminum prices to oscillate strongly and suggest light - position buy - on - dips, anticipate alumina prices to weaken and recommend selling on rallies, expect zinc prices to weaken and suggest selling on rallies, and for lead, suggest range - bound operations [2][3]. - In the black industry, it is advisable to wait and see for most products, with attempts to go long on螺纹 steel and焦煤 [4]. - For agricultural products, short - term soybean meal is expected to be strongly volatile, corn prices are expected to be strongly volatile, sugar prices are expected to be weakly volatile, cotton requires waiting and seeing, palm oil is expected to be strongly volatile in the short - term, eggs and apples require waiting and seeing, and pig prices are expected to be weakly volatile [5][6][7]. - In the energy and chemical industry, most products are expected to be volatile in the short - term, and for most, it is recommended to go short on far - month contracts in the long - term. For crude oil, it is recommended to go short on rallies after geopolitical risks are controllable [8][9][10]. 3. Summary by Commodity Categories Precious Metals - **Gold**: International silver prices rose 2% on Tuesday, breaking through $37 per ounce, while gold continued to weaken. 43% of surveyed central banks expect to increase their gold reserves in the next 12 months. It is recommended to go long on gold [1]. - **Silver**: Mainly driven by speculative funds, lacking fundamental support. It is recommended to consider long - term short positions or go long on the gold - silver ratio [1]. Base Metals - **Copper**: The price oscillated. The global copper ore supply is tight, and Japan's JX Metals is considering production cuts. It is recommended to maintain a buy - on - dips approach [2]. - **Aluminum**: The price of the 2507 contract rose 0.27%. The electrolytic aluminum market is in a "low - inventory + weak - demand" game state, and it is suggested to buy on dips with a light position [2]. - **Alumina**: The price of the 2509 contract rose 0.28%. The fundamentals are relatively loose, and it is recommended to sell on rallies [2]. - **Zinc**: The price of the 2507 contract rose 0.30%. Supply is increasing while demand is decreasing, and it is recommended to sell on rallies [3]. - **Lead**: The price of the 2507 contract fell 0.71%. It is recommended to operate within a range [3]. - **Industrial Silicon**: The price of the 09 contract fell. It is recommended to maintain a short - bias view before production increases and consider shorting on rebounds [3]. - **Polycrystalline Silicon**: The price of the 07 contract fell. If the warehouse receipt registration speed exceeds expectations, consider an inverse spread strategy between the 07 and far - month contracts [3]. - **Tin**: The price oscillated weakly. It is recommended to maintain a buy - on - dips approach [3]. Black Industry - **Rebar**: The price of the 2510 contract oscillated horizontally. Steel supply and demand are relatively balanced, and it is advisable to wait and see and attempt to go long [4]. - **Iron Ore**: The price of the 2509 contract oscillated horizontally. Supply and demand are marginally neutral - to - strong, but the medium - term surplus pattern remains unchanged. It is advisable to wait and see [4]. - **Coking Coal**: The price of the 2509 contract oscillated horizontally. Supply and demand are relatively loose, but the fundamentals are gradually improving. It is advisable to wait and see and attempt to go long [4]. Agricultural Products - **Soybean Meal**: Overnight CBOT soybeans rose. In the short - term, US soybeans are expected to be strongly volatile, and domestic soybeans follow international cost trends [5]. - **Corn**: The 2507 contract oscillated narrowly. The supply - demand situation is tightening marginally, and prices are expected to be strongly volatile [5][6]. - **Sugar**: The 09 contract closed at 5668 yuan/ton. The global sugar supply is expected to be in surplus, and prices are expected to be weakly volatile [6]. - **Cotton**: Overnight US cotton prices fell. It is advisable to wait and see and adopt a range - bound strategy [6]. - **Palm Oil**: Yesterday, Malaysian palm oil prices fell but remained strong. In the short - term, it is expected to be strongly volatile [6]. - **Eggs**: The 2508 contract corrected. Prices are expected to oscillate [6]. - **Pigs**: The 2509 contract oscillated narrowly. Prices are expected to be weakly volatile [6]. - **Apples**: The main contract rose. It is advisable to wait and see [7]. Energy and Chemical Industry - **LLDPE**: The short - term is expected to be strongly volatile, and in the long - term, it is recommended to go short on far - month contracts [8]. - **PVC**: It is recommended to exit short positions and wait and see, and consider selling call options above 4950 [8]. - **PTA**: Hold long positions in PX, and maintain the view of selling processing margins on rallies for PTA [8]. - **Rubber**: Prices are expected to oscillate weakly. It is recommended to go short above 14000 and hold spread positions [8][9]. - **Glass**: It is recommended to sell call options at 1250 [9]. - **PP**: The short - term is expected to be strongly volatile, and in the long - term, it is recommended to go short on far - month contracts [9]. - **MEG**: It is advisable to wait and see [9]. - **Crude Oil**: It is recommended to go short on rallies after geopolitical risks are controllable [9]. - **Styrene**: The short - term is expected to oscillate, and in the long - term, it is recommended to go short on far - month contracts [9][10]. - **Soda Ash**: The supply - demand situation is weak, and it is recommended to sell out - of - the - money call options at 1400 [10].