金融研究 2025年3月28日 星期五 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 中证 | | | | | | | | | | | | IC2504 | | 0.22 | 5922.2 | 12.8 | 52431 | 6194327 | 75832 | 4103 | 5924.6 | 35.4 | -9.3 | | | 2504 | | | | | | | | | | | | IC2505 | 中证 2505 | 0.22 | 5881.6 | 13.0 | 4367 | 512581 | 5396 | 1451 | 5888.2 | 76.0 | -9.7 | | | 中证 | | | | | | | | | | | | IC2506 | 2506 | 0.20 | 5819.0 | 11.8 | 38074 | 4 ...

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views - The report analyzes the market performance, fundamentals, and trading strategies of various commodities including basic metals, black industries, agricultural products, energy chemicals, and shipping. Different commodities have different market trends and trading suggestions based on their supply - demand situations and other factors [1][2][3][6][8]. 3. Summary by Commodity Categories Basic Metals - **Copper**: Market price declined significantly. Concerns about US tariffs and profit - taking led to the price drop. Supply of copper ore remains tight. Suggested to wait for a new buying point [1]. - **Aluminum**: The price of electrolytic aluminum may show a volatile and upward - biased trend as it enters the traditional consumption season and downstream demand recovers. Recommended to buy on dips [1]. - **Alumina**: Some producers are in cash - cost loss, and the number of maintenance cases is increasing. It is advisable to wait and see [1]. - **Industrial Silicon**: Expected to be weak in the short - term. Consider shorting on rebounds and pay attention to the support level around 9500 yuan [1]. - **Tin**: The supply of tin ore is still tight. Maintain the idea of buying on dips [1]. Black Industries - **Rebar**: The spot demand is at a low level, and the futures valuation is high. Suggested to wait and see or short the 05 contract. Hold short positions in the 05 contract rebar - iron ore ratio [2]. - **Iron Ore**: The supply - demand situation is marginally neutral, but the medium - term surplus pattern remains. The valuation is slightly high. Suggested to wait and see and hold short positions in the 05 contract rebar - iron ore ratio [2]. - **Coking Coal**: The overall supply - demand is relatively loose, and the futures valuation is high. It is recommended to wait and see [3]. Agricultural Products - **Soybean Meal**: Short - term US soybeans are expected to be weak. The domestic soybean and soybean meal are expected to have large arrivals, and the spot basis is weakening. The overall trend is weakening [3]. - **Corn**: Due to the pressure of grain sales, the futures price is expected to be volatile and weak [3]. - **Oils and Fats**: Palm oil is expected to be weak in the short - term and show a positive spread pattern. Pay attention to future production and biodiesel policies [3]. - **Sugar**: Indian production may be lower than consumption, and domestic sugar prices are rising strongly. Suggested to short the 05 contract of Zhengzhou sugar lightly, conduct a 5 - 9 reverse spread, and sell call options [3]. - **Cotton**: The international cotton price has fluctuations, and the domestic cotton price is in a narrow - range shock. Pay attention to macro events and new - crop planting intentions [3]. - **Logs**: The price is under downward pressure but supported by housing construction demand. It is recommended to wait and see and pay attention to the July delivery [3]. - **Eggs**: Supply is increasing, and demand is boosted by festivals, but high inventory may lead to weak prices. The futures price is expected to fluctuate at a low level [5]. - **Pigs**: Second - fattening and frozen - product enterprises support the price, and the supply is postponed. The futures price is expected to be strong [5]. Energy Chemicals - **LLDPE**: In the short - term, it is expected to be volatile and weak. Suggested to short on rallies. In the long - term, short the far - month contracts on rallies as new devices are put into operation [6]. - **PVC**: The valuation is low, and the futures are at a large premium. Suggested to hedge at high points [6]. - **Glass**: The demand is seasonally recovering, but the sustainability is to be observed. It is recommended to wait and see [6]. - **PP**: In the medium - term, short the profit spread on rallies. In the short - term, it is expected to be volatile and weak, and pay attention to new device production progress [6]. - **Crude Oil**: The price shows a volatile and upward - biased trend. Suggested to pay attention to the SC positive spread [7]. - **Styrene**: In the short - term, it follows the cost (pure benzene) and shows a positive spread. In the medium - term, there may be opportunities to buy on dips [7]. - **Soda Ash**: The supply - demand is healthy but lacks obvious drivers. It is recommended to wait and see [7]. - **Caustic Soda**: The supply - demand is weak, and the price is expected to continue to decline [7]. Shipping - **European Line Container Shipping**: There is a game between weak reality and strong expectations. The freight rate center may rise as demand recovers. Recommended to buy the 06 contract on dips and conduct a 6 - 10 positive spread [8].

金融研究 2025年3月27日 星期四 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | IC2504 | 中证 | 0.10 | 5895.8 | 5.6 | 46238 | 5472795 | 71729 | -2021 | 5909.4 | 52.7 | -13.0 | | | 2504 | | | | | | | | | | | | IC2505 | 中证 2505 | 0.13 | 5858.8 | 7.8 | 2838 | 333641 | 3945 | 758 | 5868.6 | 89.7 | -11.1 | | IC2506 | 中证 2506 | 0.15 | 5795.0 | 8.8 | 32432 | 3771365 | 99396 | -647 | 5807.2 | 153.5 | -11.1 | | IC ...

2025年03月27日 星期四 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：周三国际贵金属市场震荡；消息面，特朗普加税计划继续发酵，其宣布对非美国造汽车征收 25% 关税；圣路易安娜联储主席表示关税对通胀的影响或非暂时，关注通胀预期；芝加哥联储主席如果通胀预期 失控，美联储可能需要优先实现价格稳定目标，而非兼顾就业目标。经济数据方面，2 月美国耐用品订单意外 上涨 0.9%，核心耐用品订单增速创近两年新高；英国 2 月 CPI 同比上涨 2.8%，低于前值和预期。库存数据 方面，印度 2 月白银进口减至 250 吨左右；上期所白银库存周五增加 10 吨至 1158 吨，金交所白银库存上周 减少 16 吨 1678 吨。伦敦 2 月库存减少 1056 吨至 22446 吨，主要流向美国。近期伦敦市场白银可能再次出 现挤仓，部分投资者认为银价相对金价低估而涌入白银市场。操作上，建议白银空单适当控制仓位或者做多 金银比。风险点：美国经济大幅衰退 基本金属 | 招商评论 | | | --- | --- | | 铜 | 市场表现：昨日铜价冲高回落。基本面：虽然有两个大冶炼厂减产，铁朗普再度强调加 ...

金融研究 2025年3月26日 星期三 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 中证 | | | | | | | | | | | | IC2504 | 2504 | 0.24 | 5895.2 | 14.4 | 49430 | 5832047 | 73750 | 2196 | 5890.2 | 51.8 | -12.1 | | IC2505 | 中证 2505 | 0.33 | 5858.0 | 19.2 | 3020 | 353990 | 3187 | 314 | 5851 | 89.0 | -10.7 | | IC2506 | 中证 2506 | 0.26 | 5794.0 | 15.0 | 33411 | 3872299 | 100043 | -131 | 5786.2 | 153.0 | -10.9 | | I ...

金融研究 2025年3月25日 星期二 股指期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 总量 | 总金额 | 持仓量 | 仓差 | 结算价 | 基差 | 基差年化 收益率 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | IC2504 | 中证 2504 | -1.19 | 5903.8 | -0.6 | 52006 | 6130816 | 71554 | 71554 | 5880.8 | 65.3 | -14.4 | | IC2505 | 中证 2505 | -0.71 | 5862.4 | -42.0 | 2904 | 340046 | 2873 | -74320 | 5838.8 | 106.7 | -12.4 | | IC2506 | 中证 2506 | 0.03 | 5802.0 | 1.8 | 38793 | 4493597 | 100174 | -2092 | 5779 | 167.1 | -11.7 | | IC2509 | 中证 2509 | ...

商品期货早班车 招商期货 2025年03月25日 星期二 黄金市场 招商评论 贵 金 属 市场表现：周一国际贵金属市场震荡；消息面，特朗普对关税态度软化，未来几天将宣布汽车、木材和芯片 关税，可能对多国减免关税征收。此外其发推特呼吁美联储尽快降息同时表示将对购买委内瑞拉油气国家征 收 25%关税。经济数据方面，美国 3 月制造业 PMI 超预期下降至 49.8。服务业 PMI 初值并未如预期持平 2 月，而是升至 54.3，综合 PMI 初值不降反升至 53.5。但服务业前景恶化，对未来一年的信心下滑至 2022 年 以来的第二低点。库存数据方面，印度 2 月白银进口减至 250 吨左右；上期所白银库存周五减少 25 吨至 1176 吨，金交所白银库存上周增加 61 吨 1695 吨，伦敦 2 月库存减少 1056 吨至 22446 吨，主要流向美国。近期 伦敦市场白银可能再次出现挤仓，部分投资者认为银价相对金价低估而涌入白银市场。操作上，建议白银空 单适当控制仓位或者做多金银比。风险点：美国经济大幅衰退 基本金属 | 招商评论 | | | | | | | | | --- | --- | --- | --- ...

策略报告 标的资产分化 隐含波动率回升 2025 年3 月16 日 金融期权周度报告20250310-20250314 本周市场先抑后扬，内部结构出现分化；从各期权标的资产近 1 年以来的相 关性情况看，上证 50ETF 与科创 50ETF 正相关性上升至 0.939，中长期仍 保持较高的系统性，但短期大盘风格指数存在转强的迹象。本周现货市场成 交量先降后升，成交额整体下降至 1.66 万亿元水平附近。标的资产对应期权 持仓量全线增加，而成交量涨跌互现，表明期权作为衍生品，投资者通过期 权参与标的日内交易出现分化，科创 50ETF、创业板 ETF 日内交易机会下 降；投资者更多的参与日间波段交易为主。持仓 PCR 方面，本周各标的资产 期权持仓 PCR 出现分化，与标的资产走势匹配度较高。此外，仅（沪）中证 500ETF 期权持仓 PCR 在 1 以上，关注上方压力情况，而其他各标的资产期 权持仓 PCR 数值均在 1 以下，表明标的资产在测试压力位之后转为测试支 撑的概率较大。另一方面，各标的资产期权成交额 PCR 以下降为主，其中上 证 50ETF、300ETF、500ETF、创业板 ETF 与标的资产走 ...

目录 contents 期货研究报告 | 金融工程研究 本周主要宽基指数普跌，后市小微盘和 TMT风格继续保持谨慎 ——招期金工股票策略环境监控周报 （ 2025年02月24日-2025年02月28日） ·研究员-赵嘉瑜 ·联系电话：13686866941 ·联系人-卢星·联系电话：13120557519 ·luxing1@cmschina.com.cn ·zhaojiayu@cmschina.com.cn ·执业资格号: Z0016776 2025年03月02日 01 权益市场回顾 4 因子日历总览：本周权益市场整体下行 图表1.1-本周宽基指数、因子及策略收益日历总览 | 日期 | | | 宽基指数 | | | | | | | | | 残差波动 | Barra风格因子 | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 沪深300 | 中证500 | 中证1000 | 中证2000 | 创业板指 | 科创50 | ...

Core Insights - The report indicates that the equity market is currently in a large-cap style, with a focus on valuation recovery in the short term (Q1 2025), suggesting a preference for investing in the CSI 300 ETF or CSI 300 index funds, while maintaining a balanced allocation in other index funds [2][6]. Group 1: Style Rotation Model Overview - The report introduces a multi-level monitoring model developed by the research team to capture signals of style rotation between large-cap and small-cap stocks [5]. - The first level of monitoring uses the one-month return difference between the CSI 800 large-cap index and the CSI 2000 small-cap index as an indicator of relative strength [5]. - The second level involves weekly tracking of the net value trends of the market capitalization factor from the MSCI Barra risk model to confirm style rotation signals [5]. - The third level combines fast and slow variable trend analysis to further validate the signals of style rotation [5]. Group 2: Performance Review of Style Rotation Model - The report reviews the performance of the style rotation model, showing that the CSI 300 index had a cumulative return of 11.07% over three months, with a Sharpe ratio of 2.90 [7]. - The CSI 500 index had a cumulative return of 13.00% with a Sharpe ratio of 1.94, while the CSI 1000 and CSI 2000 indices had lower cumulative returns of 10.29% and 3.52%, respectively [7]. Group 3: Signal Confirmation of Style Rotation - The model indicates a shift towards a large-cap style as of December 27, 2024, with the large-cap style expected to continue [15]. - The report provides a table of signal indicators showing the performance of large-cap versus small-cap indices over time, confirming the transition to a large-cap style [12][15]. Group 4: Fundamental Analysis - The report highlights that the CSI 300 index has the highest average net profit growth of 3.48% year-on-year compared to the CSI 500 (0.4%) and CSI 1000 (-7.7%) [27]. - The CSI 300 is identified as the preferred investment choice based on both fundamental and valuation analyses, with a focus on its strong performance metrics [27][28]. Group 5: Valuation and Market Sentiment - The report notes that as of January 17, 2025, the dividend yield of the CSI 300 index is at a high percentile, indicating a favorable investment environment [30]. - The analysis of trading volume and market sentiment suggests that the large-cap style is likely to perform well in the upcoming quarter, reinforcing the preference for the CSI 300 index [35].