1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - On June 16, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.35%, the Shenzhen Component Index up 0.41%, the ChiNext Index up 0.66%, and the STAR 50 Index down 0.21%. Market trading volume decreased by 260.4 billion yuan compared to the previous day. In the industry sector, media, communication, and computer led the gains, while agriculture, forestry, animal husbandry and fishery, beauty care, and non-ferrous metals led the losses. [2] - For stock index futures, the basis of the next-month contracts of IM, IC, IF, and IH are 110.26, 79.61, 45, and 43.41 points respectively, with annualized basis yields of -17.94%, -13.8%, -11.62%, and -16.17%. Entering the delivery week, attention should be paid to the convergence of the futures-spot price difference. In the short term, a short-cycle band strategy is advisable. In the medium and long term, it is recommended to allocate IF, IC, and IM forward contracts on dips. For near-month contracts, caution is advised due to the potential decline risk of micro-cap stocks. [3] - For bond futures, the yields of bond futures mostly declined on June 16. In the cash bond market, the current active contract is the 2509 contract. The trading strategy suggests 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. [3][4] - High-frequency data shows that recent social activities and real estate sentiment have contracted. [13] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - The table provides detailed data on the performance of various stock index futures and spot indices, including their codes, names, price changes, trading volumes, open interests, basis, and annualized basis yields. For example, the IC2506 contract rose 0.46% to 5756.2 points, with a trading volume of 47,548 lots and an open interest of 69,823 lots. [7] 3.2 Bond Futures and Spot Market Performance - The table presents the performance of bond futures and spot bonds, including their codes, names, price changes, trading volumes, open interests, net basis, and CTD bond implied interest rates. For instance, the TS2509 contract rose 0.02% to 102.5 points, with a trading volume of 24,997 lots and an open interest of 117,711 lots. [9] - The figure shows the term structure of bond spot prices. [10][11] - The table shows the changes in short-term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one-week, and DR007. [13] 3.3 Economic Data - High-frequency data indicates a contraction in recent social activities and real estate sentiment. The figure shows the tracking of domestic meso-level data, with positive scores representing improved sentiment, negative scores representing weakened sentiment, and zero scores representing little change in sentiment. [13][14][15]

2025年06月17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：周一贵金属市场回落，以伦敦金计价的国际金价回落 1.38%，收于 3384 美元/盎司；基本面：报 道称，伊朗通过阿拉伯中间人传递信息，愿意继续和谈；欧盟准备在明确条件下接受美国统一 10%的关税； 参议院共和党人日前公布了总统特朗普数万亿美元经济计划中关于税收和医疗保健条款的修订版本，新版本 法案在扩大部分税收减免的同时，将债务上限提高 5 万亿美元；中国 5 月社会消费品零售同比增 6.4%，创 2023 年 12 月来最高。国内黄金 ETF 前一交易日流出，COMEX 黄金库存 1175 吨，维持不变；上期所黄金 库存 18 吨，继续微增，伦敦 5 月黄金库存 8598 吨；上期所白银库存 1194 吨，比前一交易日减少 14 吨，金 交所白银库存上周库存减少 28 吨至 1319 吨，COMEX 白银库存 15503 吨，比前一交易日增加 8 吨；伦敦 5 月库存增加 500 多吨至 23367 吨；印度 3 月白银进口减至 120 吨左右。全球最大白银 etf--iShares 持有量为 14675 ...

Report Summary 1. Market Performance - On June 13, the four major A-share stock indices pulled back. The Shanghai Composite Index dropped 0.75% to 3377 points, the Shenzhen Component Index fell 1.1% to 10122.11 points, the ChiNext Index declined 1.13% to 2043.82 points, and the STAR 50 Index decreased 0.51% to 972.94 points. Market trading volume was 1.504 trillion yuan, an increase of 200.4 billion yuan from the previous day [2]. - In terms of industry sectors, petroleum and petrochemicals (+2.05%), national defense and military industry (+1.72%), and public utilities (+0.48%) led the gains, while beauty care (-4.12%), media (-2.53%), and food and beverages (-2.37%) led the losses [2]. - In terms of market strength, IH > IF > IC > IM. The numbers of rising, flat, and falling stocks were 847, 92, and 4474 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -15.7 billion, -22.2 billion, 3.2 billion, and 34.7 billion yuan respectively, with changes of -15.2 billion, -13.5 billion, +5 billion, and +23.6 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 were 117.01, 91.44, 51.18, and 50.43 points respectively, and the annualized basis yields were -18.43%, -15.32%, -12.74%, and -18.12% respectively. Their three - year historical quantiles were 7%, 7%, 1%, and 0% respectively [3]. 2.2 Trading Strategies - In the short - term, due to the deep discount of small - cap stock indices, which may be the result of the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products as the bond bull market has not restarted, the deep discount may continue, leading to market fluctuations. Short - cycle band strategies are 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 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 13, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.334, down 0.66 bps from the previous day; the five - year bond was 1.46, down 0.36 bps; the ten - year bond was 1.578, unchanged; and the thirty - year bond was 1.933, up 0.04 bps [3]. 3.2 Cash Bonds - The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -1.16 bps, a corresponding net basis of -0.086, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, similar details are provided [4]. 3.3 Capital Situation - In open - market operations, the central bank injected 202.5 billion yuan and withdrew 135 billion yuan, resulting in a net injection of 67.5 billion yuan [4]. 3.4 Trading Strategies - The cash bond market currently shows a pattern of strong supply and weak demand, but this pattern is expected to change. In the futures market, with the roll - over of near - month contracts and strong long - end bullish forces, it is recommended to take short - term long positions and long - term short positions. Short - term, buy T and TL contracts on dips; medium - to - long - term, hedge T and TL contracts on rallies [5]. 4. Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [12].

2025年06月16日 星期一 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：上周五贵金属市场因伊以冲突再次冲高；基本面：美国宣布 23 日起对钢制家电加征关税，洗衣机 冰箱在列；美国 5 月 PPI 同比 2.6%，预期 2.6%，前值 2.4%，5 月份美国 PPI 整体涨幅依然温和，核心 PPI 创下 2024 年 8 月以来的最低水平；美国 6 月 7 日当周首次申请失业救济人数 24.8 万人，高于预期的 24.2 万 人，也高于前值 24.7 万人，为 2024 年 10 月以来的最高水平。国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 1175 吨，减少 4 吨；上期所黄金库存 18 吨，继续微增，伦敦 5 月黄金库存 8598 吨；上期所白银 库存 1210 吨，比前一交易日减少 16 吨，金交所白银库存上周库存减少 28 吨至 1319 吨，COMEX 白银库存 15495 吨，比前一交易日增加 8 吨；伦敦 5 月库存增加 500 多吨至 23367 吨；印度 3 月白银进口减至 120 吨左右。全球最大白银 etf--iShares 持有量为 14729 ...

Report Summary 1. Market Performance - On June 12, the four major A-share stock indices showed mixed performance. The Shanghai Composite Index rose 0.01% to close at 3402.66 points, the Shenzhen Component Index fell 0.11% to 10234.33 points, the ChiNext Index rose 0.26% to 2067.15 points, and the STAR 50 Index fell 0.3% to 977.97 points. Market turnover was 13,036 billion yuan, an increase of 169 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+1.4%), media (+1.33%), and beauty care (+1.31%) led the gains, while household appliances (-1.77%), coal (-1.14%), and food and beverages (-1.13%) led the losses [2]. - From the perspective of market strength, IC > IM > IH > IF, with the number of rising/flat/falling stocks being 2,325/224/2,864 respectively. Institutions, main players, large investors, and retail investors had net capital inflows of -5 billion, -87 billion, -18 billion, and 111 billion yuan respectively, with changes of 0, -43 billion, +34 billion, and +9 billion yuan [2]. - For the basis of the next-month contracts of IM, IC, IF, and IH, they were 132.42, 99.53, 50.6, and 45.28 points respectively, with annualized basis yields of -19.8%, -15.89%, -12.04%, and -15.58%, and three-year historical quantiles of 4%, 6%, 2%, and 1% respectively. The futures-spot price difference remained at a relatively low level [2]. - On June 12, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.347, up 1.06 bps from the previous day; the five-year bond was 1.472, up 0.84 bps; the ten-year bond was 1.581, up 0.6 bps; and the thirty-year bond was 1.934, down 0.32 bps [3]. 2. Trading Strategies - For stock index futures, in the short term, due to the deep discount of small-cap stock indices, it is speculated to be the result of the scale expansion of neutral products since this year. With the bond bull market not restarted yet, the proportion of short positions in neutral strategies may still be high, so the deep discount may continue, leading to market fluctuations. A short-cycle band strategy is recommended. In the medium to long term, the view of being bullish on the economy is maintained. Buying IF, IC, and IM forward contracts on dips is recommended. 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]. - For treasury bond futures, the current spot bonds show a characteristic of strong supply and weak demand, but this pattern is expected to change. Firstly, the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may flatten. Secondly, there is a possibility of a reduction in the long-term liability cost of insurance in July. Thirdly, the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. In the futures market, the price of the CTD bond of near-month contracts is low, and combined with the relatively high IRR level recently, the short-side delivery willingness is strong, putting pressure on the price of near-month contracts and leading to a premium in far-month contracts. The positions of T and TL have increased, while those of TF and TS have decreased, indicating strong long-side strength at the long end, possibly betting on a further decline in future policy interest rates. A strategy of short-term long and long-term short is recommended, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [5]. 3. Economic Data - High-frequency data shows that the recent import and export sentiment has rebounded [13].

2025年06月13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：昨日美国 | PPI 低于预期，初领失业金人数高于预期，特朗普再度要 | | | | | | | | | | | 求美联储降息，美债收益率大幅下行，美元指数近期新低。紫金由于卡莫阿项目下调年度产量预期 15 | | | | 万吨。 | | | | | | 华东华南平水铜现货升水 | 40 元和 20 元。国内需求淡季明显。交易策略：建议逢低买入。风险提示：全球需 | 铜 | | | | | | | | | 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+0.72%，收于 20395 元/吨，国内 0-3 月差 510 | | | 元/吨， | | | | | | | LME | 价格 2518.5 美元/吨。 | | | | | | | | | | ...

Market Performance - On June 11, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.52% to 3402.32 points, the Shenzhen Component Index up 0.83% to 10246.02 points, and the ChiNext Index up 1.21% to 2061.87 points, while the STAR 50 Index fell 0.2% to 980.93 points. Market turnover was 1286.7 billion yuan, a decrease of 164.8 billion yuan from the previous day [2]. - In terms of industry sectors, non-ferrous metals (+2.21%), agriculture, forestry, animal husbandry and fishery (+2.02%), and non-bank finance (+1.9%) led the gains, while pharmaceutical biology (-0.41%), communications (-0.28%), and beauty care (-0.1%) led the losses [2]. - From the perspective of market strength, IF > IC > IH > IM, and the number of rising/flat/falling stocks was 3411/264/1737 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -5, -45, -52, and 102 billion yuan respectively, with changes of +151, +159, -92, and -217 billion yuan respectively [2]. Stock Index Futures Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH was 135.31, 105.35, 55.23, and 42.14 points respectively, with annualized basis yields of -19.53%, -16.24%, -12.66%, and -13.97% respectively, and three - year historical quantiles of 5%, 5%, 1%, and 3% respectively. The futures - spot price difference remained at a low level [3]. - In the short term, due to the large discount of small - cap stock indices, which may be the result of the expansion of neutral product scale 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, it is recommended to go long on the economy and 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]. Treasury Bond Futures Cash Bond and Trading Strategy - 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 -1.25bps, a corresponding net basis of -0.08, and an IRR of 1.83%. Similar data are provided for 5 - year, 10 - year, and 30 - year Treasury bond futures [4]. - In the cash bond market, the supply is currently stronger than demand, but this pattern is expected to change. In the futures market, the CTD bond price of near - month contracts is low, and the IRR is high, so short - sellers have a strong willingness to deliver, putting pressure on near - month contract prices and causing far - month premiums. It is recommended to go long in the short term and short in the long term, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. Economic Data - High - frequency data show that the recent import and export sentiment has rebounded [11].

2025年06月12日 星期四 期货研究 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】 周三贵金属市场分化，黄金反弹而白银走弱 【基本面】 中美伦敦会谈结果一般，双方虽然解决中国留学生签证以及稀土问题，但关税问题依旧不变；特朗普表示， 他对美国与伊朗达成核协议的"信心减弱"；美国财政部拍卖 390 亿美元 10 年期国债，得标利率 4.421%， 投标倍数 2.52（前次为 2.60）。美国 5 月 CPI 同比 2.4%，核心 CPI 环比 0.1%，连续第四个月低于预期，全 线低于预期，能源主导整体 CPI 的放缓，汽车、服装价格均出现下滑，玩具、家电受关税影响更直接的品类 价格上涨。国内黄金 ETF 前一交易日重新流入，COMEX 黄金库存 11879 吨，减少 5 吨；上期所黄金库存 17 吨，小幅微增，伦敦 5 月黄金库存 8598 吨；上期所白银库存 1230 吨，比前一交易日增加 36 吨，金交所白 银库存上周库存减少 28 吨至 1319 吨，COMEX 白银库存 15401 吨，比前一交易日增加 26 吨；伦敦 5 月库 存增加 500 多吨至 23367 吨；印度 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The short - term strategy for stock index futures is short - cycle band trading, while in the long - term, it is recommended to go long on the economy by allocating IF, IC, and IM forward contracts at low prices. Near - month contracts of IC and IM need to be treated with caution due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, it is suggested to take a short - term long and long - term short position. Short - term, buy T and TL contracts at low prices, and in the long - term, hedge T and TL contracts at high prices [4]. - High - frequency data shows a recent rebound in import and export business sentiment [11]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On June 10, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.44% to 3384.82 points, the Shenzhen Component Index dropped 0.86% to 10162.18 points, the ChiNext Index decreased 1.17% to 2037.27 points, and the STAR 50 Index declined 1.47% to 982.9 points. Market turnover was 1451.4 billion yuan, an increase of 138.8 billion yuan from the previous day [2]. - In terms of industry sectors, beauty care (+1.1%), banking (+0.48%), and pharmaceutical biology (+0.33%) led the gains, while national defense and military industry (-1.97%), computer (-1.87%), and electronics (-1.65%) led the losses [2]. - The basis and basis annualized yields of IM, IC, IF, and IH next - month contracts are at relatively low levels, with three - year historical quantiles at 4%, 5%, 1%, and 1% respectively [3]. (2) Treasury Bond Futures and Spot Market Performance - On June 10, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond increased by 0.13 bps to 1.348, the five - year bond increased by 0.12 bps to 1.47, the ten - year bond decreased by 3.65 bps to 1.581, and the thirty - year bond decreased by 0.42 bps to 1.949 [3]. - The current active contract is the 2509 contract. The yields, net basis, and IRR of CTD bonds for different - term treasury bond futures are provided [4]. - In terms of the money supply, the central bank injected 198.6 billion yuan and withdrew 454.5 billion yuan, resulting in a net withdrawal of 255.9 billion yuan [4]. (3) Economic Data - High - frequency data indicates a recent rebound in import and export business sentiment [11]. - Short - term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007, have shown certain changes compared to the previous day, one week ago, and one month ago [11].

2025年06月11日 星期三 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | | --- | --- | --- | --- | | | 市场表现：昨日电解铝 2507 合约收盘价较前一交易日-0.23%，收于 19980 元/吨，国内 0-3 月差 325 元/吨， | | | | | LME 价格 2476.5 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：氧化铝价格下行，利润向电解铝端转移，供应或维持高负荷生产，而下游消费处于淡季，部分板 | | | | | 块开工率持续下滑。但低库存提供下方支撑，预计价格维持震荡走势。 | | | | | 操作建议：观望。 | | | | | 风险提示：海内外宏观政策变化。 | | | | | 市场表现：昨日氧化铝 2509 合约收盘价较前一交易日-0.21%，收于 2886 元/吨，国内 0-3 月差 367 元/吨。 | | | | | 基本面：供应方面，复产产能和新增产能持续释放，运行产能增加。需求方面，电解铝厂维持高负荷生产， | ...