Report Industry Investment Rating No relevant content provided. Core Viewpoints - The de - dollarization logic remains unchanged, suggesting to go long on gold; the long - term trend of industrial silver is downward, suggesting to short silver on rallies [1]. - For aluminum, the Fed's rate - cut expectation increases and the dollar index weakens, but downstream consumption has not improved, and aluminum ingot inventory continues to accumulate, so the aluminum price has limited upside space and may fluctuate, suggesting to wait and see [2]. - For zinc, with significant supply - side pressure and prominent consumption - end off - season characteristics, it is recommended to short on rallies [2]. - For lead, with a deepening pattern of weak supply and demand, it is recommended to wait and see mainly and wait for signals of inventory reduction or secondary lead production cut [3]. - For industrial silicon, after the "anti - involution" sentiment cools down, the trading logic may return to fundamentals, and the price is expected to fluctuate weakly, suggesting to wait and see [3]. - For lithium carbonate, the fundamental situation is marginally improving, and the price is expected to fluctuate strongly within a range [3]. - For polysilicon, due to policy message disturbances, the price is expected to fluctuate between 45,000 - 55,000 yuan/ton [3]. - For steel, the supply - demand of steel is relatively balanced, with obvious structural differentiation, and it is recommended to wait and see mainly and close short positions [5]. - For iron ore, the supply - demand is marginally neutral to strong, and it is recommended to wait and see [5]. - For coking coal, the overall supply - demand is relatively loose but improving, and it is recommended to wait and see mainly and close short positions [5]. - For soybean meal, the US soybeans are in a weak stage, and the domestic situation is affected by tariff policies, with internal - external differentiation, and it is necessary to pay attention to the weather in production areas and tariff policies [6]. - For corn, due to the suppression of substitutes and the approaching of new grain listing, the futures price is expected to fluctuate weakly [6]. - For sugar, the futures market is recommended to short on rallies, and sell call options [8]. - For cotton, it is recommended to buy on dips and adopt a range - trading strategy between 13,600 - 14,000 yuan/ton [8]. - For logs, it is recommended to wait and see [8]. - For palm oil, it is in a short - term weak seasonal cycle but is recommended to be overweighted in the medium - term, and it is necessary to pay attention to production in production areas and biodiesel policies [8]. - For eggs, due to large supply pressure, the futures price is expected to fluctuate weakly [8]. - For pigs, with strong supply and weak demand, the futures price is expected to fluctuate and adjust [9]. - For LLDPE, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [10]. - For PVC, it is recommended to wait and see [10]. - For glass, the price has limited downside space, and it is recommended to wait and see [10]. - For PP, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [11]. - For styrene, in the short - term, it is expected to fluctuate weakly, and in the long - term, it is recommended to short far - month contracts on rallies [11]. - For soda ash, it is recommended to wait and see or try short - selling call options [11]. Summary by Category Precious Metals - **Market Performance**: On Monday, precious metals continued to strengthen and rebound. The international gold price denominated in London gold rose 0.34% to $3,373 per ounce, and the international silver price denominated in London silver rose 1.06% to $37.413 per ounce [1]. - **Fundamentals**: The EU will suspend two counter - measures against US tariffs for six months. Domestic gold ETF funds flowed back. COMEX gold inventory increased by 2 tons to 1,204 tons, and SHFE gold inventory remained unchanged at 35 tons. London's June gold inventory was 8,774 tons. SHFE silver inventory decreased by 24 tons to 1,183 tons, the Shanghai Gold Exchange's silver inventory increased by 7 tons to 1,326 tons last week, COMEX silver inventory increased by 44 tons to 15,758 tons, and London's June silver inventory increased by 421 tons to 23,788 tons. India's silver imports in June were about 200 tons. The holdings of the world's largest silver ETF, iShares, decreased by 34 tons to 15,021 tons [1]. - **Trading Strategies**: Go long on gold; short silver on rallies [1]. Base Metals Aluminum - **Market Performance**: The closing price of the electrolytic aluminum 2509 contract increased by 0.07% to 20,525 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 110 yuan/ton. The LME price was $2,582.5 per ton [2]. - **Fundamentals**: On the supply side, electrolytic aluminum plants maintained high - load production, and the operating capacity increased slightly. On the demand side, it was the traditional consumption off - season, and the weekly aluminum product operating rate decreased slightly [2]. - **Trading Strategies**: Wait and see [2]. Alumina - **Market Performance**: The closing price of the alumina 2509 contract increased by 1.99% to 3,162 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 61 yuan/ton [2]. - **Fundamentals**: On the supply side, the operating capacity of alumina was stable. On the demand side, electrolytic aluminum plants maintained high - load production, and the weekly operating capacity increased slightly [2]. - **Trading Strategies**: Wait and see [2]. Zinc - **Market Performance**: The closing price of the zinc 2508 contract decreased by 0.13% to 22,260 yuan/ton compared with the previous trading day. The domestic 0 - 3 month spread was 10 yuan/ton in Back structure, and overseas 0 - 3 month spread was 11 dollars/ton in Con structure. The social inventory on August 4 was 10.73 million tons, a cumulative increase of 0.41 million tons from July 31 [2]. - **Fundamentals**: The supply - side pressure was significant. In August, zinc ingot production was expected to increase by 1.8 million tons to 62.15 million tons month - on - month, mainly due to the end of maintenance and the release of new production capacity. The processing fee jumped, and refinery profits exceeded 1,500 yuan/ton, stimulating production. The consumption - end off - season characteristics were prominent, and the galvanizing/die - casting operating rates dropped to 56.77% and 48.24% respectively. Typhoon weather exacerbated the weak demand. The low inventory of LME and macro negatives (strong dollar, tariff uncertainty) formed a tug - of - war [2]. - **Trading Strategies**: Short on rallies [2]. Lead - **Market Performance**: The closing price of the lead 2508 contract increased by 0.12% to 16,700 yuan/ton compared with the previous trading day, and the domestic 0 - 3 month spread was 60 yuan/ton in Con structure. The social inventory on August 4 was 7.19 million tons, a decrease of 0.11 million tons from July 31 [3]. - **Fundamentals**: The pattern of weak supply and demand deepened. On the supply side, secondary lead producers were reluctant to sell due to losses, and primary lead production increased slightly. On the consumption side, the battery operating rate remained stable at 71.86%, and some enterprises built inventories on dips. The core contradiction was that secondary lead losses restricted supply release. If social inventory reduction or secondary lead production cuts were realized, the price might stop falling. Policy - makers should pay attention to the potential impact of the "Heavy Metal Rectification Plan" on major production provinces [3]. - **Trading Strategies**: Wait and see mainly and wait for signals of inventory reduction or secondary lead production cut [3]. Industrial Silicon - **Market Performance**: On Monday, the market opened low and fluctuated. The main 11 - contract closed at 8,370 yuan/ton, a decrease of 275 yuan/ton from the previous trading day, and the open interest decreased by 26,771 lots to 167,569 lots. The number of warehouse receipts decreased by 204 lots to 50,312 lots today [3]. - **Fundamentals**: On the supply side, the resumption of production in the southwest region contributed the main increase this week, and a total of 5 furnaces were newly opened nationwide. Both social inventory and warehouse - receipt inventory increased slightly this week. On the demand side, the operating rate of polysilicon increased week - on - week, and the transaction price in the industrial chain increased. The output of silicone increased slightly, and the industrial chain price remained stable. The downstream demand for aluminum alloy entered the consumption off - season, and the operating rate was relatively stable [3]. - **Trading Strategies**: Wait and see [3]. Lithium Carbonate - **Market Performance**: The LC2509 contract closed at 68,920 yuan/ton (+60), an increase of 0.09%. The import spodumene concentrate index was 755 (-11) dollars/ton. The production of lithium iron phosphate in August was 311,400 tons, a month - on - month increase of 7.1%, and the production of ternary materials reached 70,800 tons, a month - on - month increase of 3.1%. This week, the inventory started to decline due to supply reduction, and the sample inventory was 141,700 tons (-1,444 tons). The Guangzhou Futures Exchange's warehouse receipts increased to 12,603 lots after cancellation [3]. - **Fundamentals**: The reduction expectation of lithium mines in Jiangxi cannot be falsified for the time being, and the fundamentals are marginally improving [3]. - **Trading Strategies**: The price is expected to fluctuate strongly within a range [3]. Polysilicon - **Market Performance**: On Monday, the market opened low and fluctuated. The main 11 - contract closed at 48,980 yuan/ton, a decrease of 610 yuan/ton from the previous trading day, and the open interest increased by 7,405 lots to 106,749 lots. The number of warehouse receipts remained unchanged at 3,200 lots [3]. - **Fundamentals**: On the supply side, the weekly output climbed rapidly, and there was still an expectation of resumption of production due to the increase in the number of warehouse receipts. The industry inventory increased slightly this week. On the demand side, the production schedules of silicon wafers and battery cells in August met expectations, basically flat compared with July. The photovoltaic installation demand market in the third quarter was pessimistic, and the new photovoltaic installation in June decreased by 38% year - on - year. Some downstream products began to pass on price increases [3]. - **Trading Strategies**: The price is expected to fluctuate between 45,000 - 55,000 yuan/ton [3]. Black Industry Steel - **Market Performance**: The main 2510 - contract of rebar fluctuated upwards and closed at 3,197 yuan/ton, an increase of 22 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The building material inventory in the Gangyin口径 increased by 3.5% to 4.112 million tons compared with the previous week, and increased by 1.1% last week. The rebar delivery in Hangzhou over the weekend was 63,000 tons, compared with 58,000 tons last week; the inventory was 606,000 tons, compared with 630,000 tons last week and 848,000 tons in the same period last year. The supply - demand of building materials was neutral, and the inventory pressure was small due to low production. The demand for plates was stable, and direct and indirect exports remained at a high level, with continuous inventory reduction. The absolute inventory and inventory days remained at historical lows. Overall, the supply - demand of steel was relatively balanced, with no significant total - quantity contradiction but obvious structural differentiation. The futures discount of steel remained at a low level, and the valuation was slightly high [5]. - **Trading Strategies**: Wait and see mainly and close short positions. The reference range for RB10 is 3,150 - 3,220 yuan/ton [5]. Iron Ore - **Market Performance**: The main 2509 - contract of iron ore fluctuated upwards and closed at 797.5 yuan/ton, an increase of 10.5 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The arrival of iron ore was 26.22 million tons, a week - on - week increase of 3.03 million tons. The shipments from Australia and Brazil were 25.32 million tons, a week - on - week decrease of 2.24 million tons. The port inventory was 143 million tons, a week - on - week increase of 890,000 tons. The supply - demand of iron ore remained marginally neutral to strong. The pig iron output in the Custeel口径 decreased slightly week - on - week but increased by about 1% year - on - year. The fourth round of coke price increase was implemented, and the fifth round was proposed. The profit of steel mills was marginally narrowed, and the subsequent production would be stable. The supply side conformed to seasonal rules and decreased slightly year - on - year. The supply - demand of iron ore was marginally neutral to strong, and due to the high base of pig iron demand, it was expected that the subsequent iron ore inventory accumulation would be slower than the seasonal rule. Iron ore maintained a forward - discount structure, but the absolute level remained at a relatively low level in the same period of history, and the valuation was neutral [5]. - **Trading Strategies**: Wait and see. The reference range for I09 is 770 - 800 yuan/ton [5]. Coking Coal - **Market Performance**: The main 2601 - contract of coking coal fluctuated upwards and closed at 1,126 yuan/ton, an increase of 38 yuan/ton from the previous trading day's night - session closing price [5]. - **Fundamentals**: The pig iron output in the Custeel口径 decreased by 15,000 tons to 2.407 million tons week - on - week, an increase of 40,000 tons year - on - year. The profit of steel mills was marginally stable, and the subsequent production would be stable. The fourth round of coke price increase was implemented, and the fifth round was proposed. The inventory at each link on the supply side was differentiated. The coking coal inventory and inventory days of steel mills and coking plants remained at relatively low levels in the same period of history, while the inventory at pits, ports and other links continued to remain at historical highs. At the same time, the production and pit inventory decreased week - on - week. The overall supply - demand was still relatively loose but improving. The futures price was at a premium to the spot price, and the forward - premium structure was maintained. The futures valuation was high [5]. - **Trading Strategies**: Wait and see mainly and close short positions. The reference range for JM01 is 1,090 - 1,150 yuan/ton [5]. Agricultural Products Soybean Meal - **Market Performance**: The CBOT soybeans rebounded overnight [6]. - **Fundamentals**: On the supply side, the near - term supply was loose, and the long - term supply was also expected to be large. The good - quality rate of US soybeans was at a high level. On the demand side, South America dominated in the short - term, and US soybean exports were in a weak - demand expectation due to tariff policies [6]. - **Trading Strategies**: Pay attention to the weather in production areas and tariff policies [6]. Corn - **Market Performance**: The corn 2509 contract fluctuated weakly, and the spot price of corn decreased slightly [6]. - **Fundamentals**: Wheat had high cost - effectiveness and replaced the feed demand for corn. The weak wheat price suppressed the corn price. The auction of imported grains increased the market supply, and the low transaction rate reflected weak market sentiment. The downstream purchasing enthusiasm was not high. The easing of the trade situation increased the import expectation. The early - spring corn was approaching the market, and the cost of new - crop corn decreased significantly, suppressing the long - term price expectation. The spot price of corn was expected to fluctuate weakly [6]. - **Trading Strategies**: The futures price is expected to fluctuate weakly [6]. Sugar - **Market Performance**: The Zhengzhou sugar 09 contract closed at 5,709 yuan/ton, a decrease of 0.68%. The basis of Guangxi spot - Zhengzhou sugar 09 contract was 297 yuan/ton, and the estimated profit of Brazilian sugar processing after tax with out - of - quota was 436 yuan/ton [

Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: BETA **Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] **Construction Process**: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] **Evaluation**: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - **Factor Name**: Residual Volatility **Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] **Construction Process**: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] **Evaluation**: This factor showed moderate positive performance during the week [13][28] - **Factor Name**: Momentum **Construction Idea**: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] **Construction Process**: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] **Evaluation**: This factor exhibited slight positive performance during the week [13][28] - **Factor Name**: Value **Construction Idea**: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] **Construction Process**: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] **Evaluation**: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - **Factor Name**: Leverage **Construction Idea**: Represents the financial risk of a company based on its debt levels relative to equity [13][28] **Construction Process**: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] **Evaluation**: This factor showed slight negative performance during the week [13][28] - **Factor Name**: Size **Construction Idea**: Captures the performance difference between small-cap and large-cap stocks [13][28] **Construction Process**: Size is measured as the natural logarithm of a company's market capitalization [13][28] **Evaluation**: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - **BETA Factor**: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - **Residual Volatility Factor**: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - **Momentum Factor**: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - **Value Factor**: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - **Leverage Factor**: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - **Size Factor**: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]

1. Report's Investment Rating for the Industry - No investment rating for the industry is provided in the report. 2. Core Views of the Report - For stock index futures, the report maintains a long - term view of being bullish on the economy, suggesting that using stock indices as a long - term alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [3]. - For treasury bond futures, considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On August 1st, the four major A - share stock indices pulled back. The Shanghai Composite Index fell 0.37% to 3559.95 points, the Shenzhen Component Index dropped 0.17% to 10991.32 points, the ChiNext Index declined 0.24% to 2322.63 points, and the Science and Technology Innovation 50 Index decreased 1.06% to 1036.77 points. Market turnover was 1.6199 trillion yuan, a decrease of 342 billion yuan from the previous day. In terms of industry sectors, environmental protection (+0.88%), media (+0.82%), and light manufacturing (+0.65%) led the gains, while petroleum and petrochemicals (-1.79%), national defense and military industry (-1.47%), and steel (-1.26%) led the losses. The strength order was IM>IC>IF>IH. The number of rising/flat/falling stocks was 3305/203/1907 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -11.1 billion, 100 million, and 24.1 billion yuan respectively, with changes of -2.5 billion, +8.4 billion, +2.7 billion, and -8.5 billion yuan respectively [2]. - **Basis and Annualized Basis Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 127.67, 109.2, 25.33, and - 0.27 points respectively, and the annualized basis yields were -13.29%, -12.21%, -4.34%, and 0.07% respectively, with three - year historical quantiles of 19%, 10%, 22%, and 46% respectively [3]. - **Trading Strategy**: Maintain a long - term bullish view on the economy. Using stock indices as a long - term alternative can yield certain excess returns. Recommend buying long - term contracts of various varieties on dips [3]. 3.2 Treasury Bond Futures - **Market Performance**: On August 1st, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.411, a decrease of 0.13 bps from the previous day; the implied interest rate of the five - year bond was 1.57, a decrease of 0.12 bps from the previous day; the implied interest rate of the ten - year bond was 1.7, an increase of 3.59 bps from the previous day; the implied interest rate of the thirty - year bond was 2.001, an increase of 0.14 bps from the previous day [3]. - **Cash Bond Situation**: 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 bps, a corresponding net basis of -0.008, and an IRR of 1.49%; for the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.002, and an IRR of 1.41%; for the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of +0 bps, a corresponding net basis of 0.062, and an IRR of 0.93%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -0.5 bps, a corresponding net basis of 0.178, and an IRR of 0.38% [4]. - **Funding Situation**: In open - market operations, the central bank injected 126 billion yuan and withdrew 789.3 billion yuan, resulting in a net withdrawal of 663.3 billion yuan [4]. - **Trading Strategy**: Considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3.3 Economic Data - High - frequency data shows that the recent business climate of various sectors is similar to that of the same period [11]. - Based on the changes in the meso - level data of each module compared with the same period in the past five years (the month - on - month of year - on - year), scores are given according to the degree of change. Positive scores indicate an improvement in the business climate, negative scores indicate a weakening of the business climate, and a score of zero indicates little change in the business climate [14].

期货研究报告 | 商品研究 美国7月非农低于预期，降息预期攀升 2025年08月03日 ——贵金属周度报告 2025年07月28日-2025年08月01日 • 招商期货 徐世伟 • xushiwei@cmschina.com.cn • 执业资格：F03076217 • 投资咨询：Z0001836 中美金银价格比较 估值：黄金依旧高估 -100% -50% 0% 15 20 25 30 35 40 45 50 55 60 金油比 金油比 金油相关性 -150% -100% -50% 0% 50% 100% 0 500 1,000 1,500 2,000 2,500 3,000 3,500 4,000 Oct/09 Oct/10 Oct/11 Oct/12 Oct/13 Oct/14 Oct/15 Oct/16 Oct/17 Oct/18 Oct/19 Oct/20 Oct/21 Oct/22 Oct/23 Oct/24 黄金与真实利率相关性 伦敦金价 黄金与真实利率相关性 -50% -25% 0% 25% 50% 75% 100% 2 3 4 铜金比 铜金比 铜金相关性 -150% -100% -50% 0% ...

招商评论 贵 金 市场表现：周五贵金属全线反弹，以伦敦金计价的国际金价涨 2.32%，收于 3362 美元/盎司，以伦敦银计价 的国际银价涨 0.9%，收于 37.02 美元/盎司。 属 基本面：美国 7 月非农新增就业 7.3 万远低于预期，前两月数据大幅下修 25.8 万；非农数据后，纽约联储威 廉姆斯和克利夫兰联储哈玛克将此次疲软描述为温和降温而非令人担忧的恶化。非农数据前，理事沃勒和鲍 曼罕见发表声明为投反对票辩护，称继续等待将威胁经济；美联储理事库格勒宣布将于 8 月 8 日辞职；美国 贸易代表格里尔表示，美国总统特朗普上周对多国加征的新一轮关税"基本已定"，不会在当前谈判中作出调 整，包括对从加拿大进口的商品征收 35%关税、对巴西征收 50%关税、对印度征收 25%关税、对瑞士征收 39%关税。国内黄金 ETF 前一交易日流出，COMEX 黄金库存 1202 吨，增加 5 吨；上期所黄金库存 35 吨， 增加 2 吨；伦敦 6 月黄金库存 8774 吨；上期所白银库存 1183 吨，减少 24 吨，金交所白银库存上周库存 1326 吨，增加 7 吨，COMEX 白银库存 15714 吨，增加 3 ...

2025年08月01日 星期五 商品期货早班车 招商期货 黄金市场 招商评论 贵 金 市场表现：周四贵金属涨跌互现，以伦敦金计价的国际金价涨 0.42%，收于 3289 美元/盎司，以伦敦银计价 的国际银价跌 1.18%，收于 36.69 美元/盎司。 属 基本面：美国将对柬埔寨、泰国、马来西亚、印尼商品征收 19%的关税，将对越南商品征收 20%关税；特朗 普称美墨关税协议将延长 90 天；美国 6 月核心 PCE 物价指数同比 2.8%，创 4 个月新高；日本央行维持利率 不变，上调今明两年通胀预期。国内黄金 ETF 前一交易日流出，COMEX 黄金库存 1197 吨，增加 10 吨；上 期所黄金库存 35 吨，增加 2 吨；伦敦 6 月黄金库存 8774 吨；上期所白银库存 1208 吨，基本维持不变，金 交所白银库存上周库存 1326 吨，增加 7 吨，COMEX 白银库存 15686 吨，增加 63 吨；伦敦 6 月白银库存增 加 421 吨至 23788 吨；印度 6 月白银进口约 200 吨左右。全球最大白银 etf--iShares 持有量为 15062 吨，减 少 87 吨。 交易策略：去美 ...

金融研究 2025年7月31日 星期四 金融期货早班车 招商期货有限公司 市场表现：7 月 30 日，A 股四大股指冲高回落，其中上证指数上涨 0.17%，报收 3615.72 点；深成 指下跌 0.77%，报收 11203.03 点；创业板指下跌 1.62%，报收 2367.68 点；科创 50 指数下跌 1.11%， 报收 1058.57 点。市场成交 18,710 亿元，较前日增加 417 亿元。行业板块方面，钢铁(+2.05%)，石 油石化(+1.84%)，传媒(+1%)涨幅居前；电力设备(-2.22%)，计算机(-1.59%)，汽车(-1.27%)跌幅居 前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,712/146/3,557。沪深两市，机构、主力、 大户、散户全天资金分别净流入-253、-276、85、444 亿元，分别变动-116、-140、+53、+204 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 114.28、99.29、14.84 与-0.65 点，基差年化收益率分 别为-11.19%、-10.34%、-2.35%与 0.15%，三年期历 ...

1. Report Industry Investment Ratings There is no information about industry investment ratings in the provided report. 2. Core Viewpoints - The market conditions of various commodities are complex and affected by multiple factors such as supply - demand relationships, policies, and macro - economic situations. Different trading strategies are recommended for different commodities based on their specific fundamentals and market performances [1][2][3]. 3. Summary by Commodity Categories 3.1 Basic Metals - **Copper**: Market showed copper prices fluctuated weakly yesterday, with a nearly 20% drop due to a 50% tariff on imported semi - finished copper. Fundamentally, strong US employment data, a hawkish Fed, and a stronger dollar pressured metals. Short - term, the strong dollar pressures metals; mid - term, a buy - on - dips strategy is maintained [1]. - **Aluminum**: The 2509 contract of electrolytic aluminum closed up 0.10% yesterday. Supply is increasing as plants operate at high loads, while demand is in the traditional off - season with a slight decline in the开工 rate of aluminum products. Aluminum prices have limited upside and are expected to oscillate; it's recommended to wait and see [1]. - **Alumina**: The 2509 contract of alumina closed up 0.57% yesterday. Supply capacity is increasing, and demand from electrolytic aluminum plants is stable. It's in a multi - empty game stage; it's advised to wait for clearer signals and stay on the sidelines [1]. - **Zinc**: The 2508 contract of zinc closed up 0.11% yesterday. Supply pressure continues as port inventories of concentrates decrease but import TC jumps and refinery profits are high. Consumption is weak in the off - season, and there is a risk of a squeeze. A sell - on - rallies strategy is recommended [1]. - **Lead**: The 2508 contract of lead closed down 0.06% yesterday. Supply is restricted by refinery maintenance and slow restart of recycled lead production. Consumption shows some resilience but at a low level. Inventory is increasing, and spot liquidity is tightening. A range - bound operation with short - term long positions on pullbacks is suggested [1][2]. - **Industrial Silicon**: The 09 contract closed down. Supply is increasing with复产 plans in the northwest and Xinjiang. Demand is mixed, with stable polysilicon开工, a decline in organic silicon output, and a slowdown in aluminum alloy demand. The market is expected to oscillate widely; it's recommended to wait and see and monitor复产 plans [2]. - **Lithium Carbonate**: The LC2509 contract closed up. Supply is decreasing slightly, and demand is expected to improve marginally. Inventories are at a record high. Due to the retreat of anti - involution trading, prices are expected to correct in the short term with increased volatility; caution is advised [2]. - **Polysilicon**: The 09 contract closed up. Supply is increasing slightly, and demand is weak with a decline in silicon wafer and battery cell production and a pessimistic outlook for photovoltaic installations. The market is expected to oscillate widely between 48,000 - 53,000 yuan; it's recommended to wait and see and watch for policy and warehouse receipt changes [2]. - **Tin**: Tin prices continued to fluctuate weakly. Strong US data, a hawkish Fed, and a stronger dollar pressured metals. Supply and demand are both weak. A range - bound trading approach is recommended [2]. 3.2 Black Industry - **Rebar**: The 2510 contract of rebar closed down. Supply and demand are relatively balanced but structurally differentiated. Futures are slightly over - valued. A short - term short - selling strategy is recommended [3]. - **Iron Ore**: The 2509 contract of iron ore closed down. Supply and demand are neutral to strong. Futures are fairly valued. It's recommended to wait and see [3]. - **Coking Coal**: The 2509 contract of coking coal closed down. Supply and demand are generally loose but improving. Futures are over - valued. It's recommended to wait and see [3]. 3.3 Agricultural Products - **Soybean Meal**: CBOT soybeans continued to fall. Supply is abundant both in the near and long term, and demand for US soybeans is weak due to tariffs. US soybeans are expected to be weak in the short term; domestic soybeans may follow international cost trends in the medium term. Monitor weather and tariff policies [4]. - **Corn**: The 2509 contract of corn oscillated narrowly. Supply is tight with less remaining grain, but substitute products and imports affect prices. Futures prices are expected to oscillate weakly [5]. - **Sugar**: The 09 contract of sugar closed down. Indian sugar exports pressured the market, while domestic prices rebounded due to positive sentiment. Futures are expected to oscillate weakly; a short - selling strategy in the futures market and selling call options are recommended [5]. - **Cotton**: US cotton futures fell, and Zhengzhou cotton futures oscillated down. International tariff policies and domestic industrial losses affected the market. It's recommended to wait and see and trade within the 13,600 - 14,000 yuan range [5]. - **Log**: The 09 contract of log closed down. Market activity increased in trading volume and open interest, but spot prices were stable. It's recommended to wait and see [5]. - **Palm Oil**: Malaysian palm oil continued to rise. Supply is in the seasonal growth period, and demand for exports is weak. Short - term, it's in a weak cycle; medium - term, it's recommended to be long - biased [5]. - **Egg**: The 2509 contract of egg was weak. High temperatures reduced supply, and demand may increase seasonally, but high cold - storage egg inventories will limit price increases. Futures prices are expected to oscillate [5]. - **Live Pig**: The 2509 contract of live pig was weak. Consumption is seasonally weak, and supply pressure is high. Pig prices are expected to decline in the medium term. Monitor the slaughter rhythm and secondary fattening [6]. 3.4 Energy and Chemicals - **LLDPE**: The LLDPE contract fell slightly. Supply is increasing domestically but may decrease in imports. Demand is improving in some areas. Short - term, it will oscillate; long - term, a short - selling strategy on far - month contracts is recommended [7]. - **PVC**: The V09 contract of PVC closed down. Supply is expected to increase, and inventories are rising. A wait - and - see strategy is recommended [7]. - **Rubber**: The RU2509 contract of rubber closed down. Raw material prices are falling, and inventories are increasing. It's expected to oscillate widely; it's recommended to wait and see [7]. - **Glass**: The FG09 contract of glass closed down. Supply may increase, and inventories are falling. A buy - on - dips strategy is recommended [7]. - **PP**: The PP contract fell slightly. Supply is increasing, and demand is differentiated. Short - term, it will oscillate weakly; long - term, a short - selling strategy on far - month contracts is recommended [8]. - **Crude Oil**: Oil prices rose sharply. Supply may be disrupted due to potential sanctions, and demand is mixed. It's recommended to wait and see due to uncertainty [8]. - **Styrene**: The EB contract oscillated slightly. Supply is expected to increase, and demand is weak. Short - term, it will oscillate weakly; long - term, a short - selling strategy on far - month contracts is recommended [8]. - **Soda Ash**: The sa09 contract of soda ash closed down. Supply is stable, and inventories are decreasing. It's recommended to wait and see or try short - selling options [9].

Report Overview - The report is a financial futures morning briefing released by China Merchants Futures Co., Ltd. on July 30, 2025, covering A-share market performance, stock index futures, treasury bond futures, and economic data [1][2] Market Performance A-share Market - On July 29, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.33% to 3,609.71 points, the Shenzhen Component Index up 0.64% to 11,289.41 points, the ChiNext Index up 1.86% to 2,406.59 points, and the STAR 50 Index up 1.45% to 1,070.45 points [2] - Market turnover was 1.8293 trillion yuan, an increase of 63.2 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.29%), steel (+2.59%), and pharmaceutical biology (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.36%), banking (-1.19%), and beauty care (-0.71%) led the losses [2] - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 2,240/176/2,999 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -13.7 billion, -13.5 billion, 3.2 billion, and 24 billion yuan respectively, with changes of -10.9 billion, -5.1 billion, +1.6 billion, and +14.3 billion yuan respectively [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 111.88, 93.13, 10.62, and -5.41 points respectively, with annualized basis yields of -10.59%, -9.39%, -1.64%, and 1.23% respectively, and three - year historical quantiles of 33%, 16%, 42%, and 61% respectively [3] - The trading strategy is to maintain a long - term bullish view on the economy and recommend buying forward contracts of each variety on dips [3] Treasury Bond Futures - On July 29, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.441, up 4.12 bps from the previous day; the implied interest rate of the five - year bond was 1.612, up 4.11 bps; the implied interest rate of the ten - year bond was 1.712, up 4.27 bps; and the implied interest rate of the thirty - year bond was 2.057, up 4.31 bps [3] - For the current active contract 2509, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +2.75 bps, a corresponding net basis of 0.012, and an IRR of 1.47%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +4.5 bps, a corresponding net basis of 0.014, and an IRR of 1.46%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of +4 bps, a corresponding net basis of 0.024, and an IRR of 1.38%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +4.25 bps, a corresponding net basis of 0.121, and an IRR of 0.89% [3] - The trading strategy is to recommend hedging T and TL contracts on rallies in the medium - to - long term due to rising risk appetite and economic recovery expectations [4] Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with industrial added value in June exceeding the same period [10] - Short - term capital interest rates have changed. For example, SHIBOR overnight is at 1.37, down from 1.47 the previous day; DR001 is at 1.36, down from 1.46 the previous day [10]

2025年07月30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：周二贵金属价格反弹。 基本金属 招商评论 铜 市场表现：昨日铜价震荡偏强。 基本面：昨日市场认为欧洲签下不平等条约，美元兑欧元大幅走强，美债拍卖良好，美债收益率大幅走弱， 中美将继续推动已暂停的美方对等关税 24%部分以及中方反制措施如期展期 90 天。美国职位空缺不及预期。 反内卷情绪再度回归，商品整体偏强。华东华南平水铜升水 90 元和贴水 30 元成交。精废价差处于 900 元附 近低位。 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。 铝 市场表现：昨日电解铝 2509 合约收盘价较前一交易日-0.05%，收于 20605 元/吨，国内 0-3 月差 80 元/吨， LME 价格 2611.5 美元/吨。 基本面：供应方面，电解铝厂维持高负荷生产，周度运行产能小幅增加。需求方面，传统消费淡季，周度铝 材开工率小幅下降。 交易策略：在传统消费淡季下，铝材开工率和出口下降，叠加铝锭库存回升、下游高位接盘意愿不足，铝价 上行空间有限，价格或维持震荡，建议观望。 风险提示：海内外宏观政策变化。 氧 ...