1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, in the short - term, the stock index premium has returned to an extreme position; in the medium - to long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of each variety on dips as there is a certain excess return when using stock index long - position substitution [3] - For treasury bond futures, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4] 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On July 15, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.42% to close at 3505 points, the Shenzhen Component Index rose 0.56% to close at 10744.56 points, the ChiNext Index rose 1.73% to close at 2235.05 points, and the Science and Technology Innovation 50 Index rose 0.39% to close at 996.25 points. Market turnover was 1635 billion yuan, an increase of 154.1 billion yuan from the previous day. In terms of industry sectors, communication (+4.61%), computer (+1.42%), and electronics (+0.79%) led the gains, while coal (-1.92%), agriculture, forestry, animal husbandry and fishery (-1.62%), and public utilities (-1.6%) led the losses. From the perspective of market strength, IF>IC>IM>IH. The number of rising, flat, and falling stocks was 1332, 68, and 4015 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 9.9 billion, - 15.6 billion, 3.3 billion, and 22.2 billion yuan respectively, with changes of +4.9 billion, - 3.8 billion, - 4.5 billion, and +3.4 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 90.03, 69.76, 25.86, and 12.23 points respectively, and the annualized basis yields were - 14.56%, - 12.07%, - 6.7%, and - 4.64% respectively. The three - year historical quantiles were 15%, 10%, 19%, and 24% respectively [3] 3.2 Treasury Bond Futures - **Market Performance**: On July 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.364, down 2.4 bps from the previous day; the five - year bond was 1.496, down 3.13 bps; the ten - year bond was 1.597, down 2.53 bps; and the thirty - year bond was 1.921, down 2.64 bps [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 - 1.5 bps, a corresponding net basis of - 0.009, and an IRR of 1.62%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 2.25 bps, a net basis of - 0.022, and an IRR of 1.69%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of - 2.1 bps, a net basis of - 0.009, and an IRR of 1.6%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 1.75 bps, a net basis of 0.01, and an IRR of 1.52% [4] - **Funding Situation**: In open - market operations, the central bank injected 342.5 billion yuan and withdrew 69 billion yuan, resulting in a net injection of 273.5 billion yuan [4] 3.3 Economic Data - High - frequency data shows that the recent real - estate market sentiment has contracted, while the other four indicators are similar to the same period [12]

Report Summary 1. Market Performance - On July 14, most of the four major A-share stock indices declined, with the Shanghai Composite Index rising 0.27% to 3,519.65 points, the Shenzhen Component Index falling 0.11% to 10,684.52 points, the ChiNext Index dropping 0.45% to 2,197.07 points, and the STAR 50 Index decreasing 0.21% to 992.39 points. The market turnover was 1.4809 trillion yuan, a decrease of 255.7 billion yuan from the previous day. Among industry sectors, machinery and equipment (+1.23%), comprehensive (+1.04%), and public utilities (+1.03%) led the gains, while real estate (-1.29%), media (-1.24%), and non-bank finance (-1.03%) were the top losers [2]. - The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -14.8 billion yuan, -11.8 billion yuan, 7.8 billion yuan, and 18.7 billion yuan respectively, with changes of -14.2 billion yuan, +1.6 billion yuan, +14.7 billion yuan, and -2.1 billion yuan respectively [2]. 2. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 88.91, 69.46, 22.27, and 9.21 points respectively, with annualized basis yields of -13.76%, -11.54%, -5.54%, and -3.34% respectively, and three - year historical quantiles of 18%, 11%, 22%, and 28% respectively [3]. - The short - term stock index discount has returned to an extreme level again. In the medium - to - long term, it is judged to be bullish on the economy. Currently, using stock index long - position substitution has a certain excess return. It is recommended to allocate long - term contracts of each variety on dips [3]. 3. Treasury Bond Futures - On July 14, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.39, up 2.26 bps from the previous day; the five - year bond was 1.522, up 2.17 bps; the ten - year bond was 1.618, up 1.8 bps; and the thirty - year bond was 1.943, up 1.44 bps [3]. - For the current active 2509 contract, the CTD bonds and their corresponding data are as follows: the two - year treasury bond futures CTD bond is 250006.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.01, and an IRR of 1.48%; the five - year is 240020.IB, with a yield change of +2 bps, a net basis of -0.021, and an IRR of 1.65%; the ten - year is 220010.IB, with a yield change of +1.39 bps, a net basis of 0.037, and an IRR of 1.33%; the thirty - year is 210005.IB, with a yield change of +0.8 bps, a net basis of 0.1, and an IRR of 1.11% [4]. - In terms of the money supply, the central bank injected 226.2 billion yuan and withdrew 106.5 billion yuan, resulting in a net injection of 119.7 billion yuan. It is recommended to hedge T and TL contracts on rallies for medium - to - long - term investors [4]. 4. Economic Data - High - frequency data shows that the real estate market has recently contracted, while the other four sectors are similar to the same period [11].

1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Views - The prices of various commodities in the futures market are affected by multiple factors such as supply - demand relationships, macro - policies, and seasonal patterns. Different commodities show different trends, including high - level shocks, weakening trends, and short - term rebounds [2][3][4]. - The market is in a state of complexity and uncertainty, and investors need to pay attention to various influencing factors and policy changes when making investment decisions. 3. Summary by Commodity Categories Basic Metals - **Aluminum**: The price of electrolytic aluminum is expected to fluctuate at a high level. Although low domestic inventory provides support, macro uncertainties and weak downstream demand limit the upside space. Alumina is in a game between strong current situation and weak expectations, with prices expected to fluctuate. Zinc prices are under pressure due to increased supply and decreased demand, and short - selling at high prices is recommended. Lead prices may fall after rising due to supply recovery and weak demand [2]. - **Lithium Carbonate**: Affected by factors such as marginal improvement in demand and expected supply increase, the price is expected to rebound in the short - term with fluctuations. It is recommended to wait and see [3]. Black Industry - **Steel**: The supply - demand of steel is relatively balanced, with a small inventory pressure due to low production. The futures discount has narrowed for two consecutive weeks, and it is recommended to wait and see and try the 10/1 reverse spread of rebar [3]. - **Iron Ore**: The supply - demand of iron ore is neutral. The subsequent inventory build - up may be slower than the seasonal pattern. It is recommended to wait and see and lay out long positions in the 2605 volume - to - ore ratio [3]. - **Coking Coal**: The supply - demand of coking coal is relatively loose, but the fundamentals are slowly improving. The futures are at a premium, and it is recommended to wait and see [3]. Agricultural Products - **Soybean Meal**: Short - term US soybeans are weak, within an oscillating range. The domestic soybean price follows the international cost side. Attention should be paid to the weather in the production area and tariff policies [4]. - **Corn**: The spot price of corn is expected to be weak, and the futures price is expected to fluctuate weakly [4]. - **Sugar**: The Zhengzhou sugar 09 contract is expected to oscillate weakly in the future. It is recommended to short in the futures market and sell call options [4]. - **Cotton**: It is recommended to sell at high prices and adopt an oscillating range strategy [4]. - **Palm Oil**: In the short - term, it oscillates strongly, and it is recommended to allocate more in the sector with an expected annual tight supply [4]. - **Eggs**: The supply is strong and the demand is weak, with cost support. The futures and spot prices are expected to oscillate [4][5]. - **Pigs**: The consumption is seasonally weak, and the price is expected to oscillate and adjust [5]. - **Apples**: It is recommended to wait and see as the new - season apple production is uncertain and the current consumption is light [5]. Energy and Chemicals - **LLDPE**: In the short - term, it oscillates mainly, and in the long - term, it is recommended to short far - month contracts at high prices [6]. - **PVC**: It is recommended to wait and see after gradually closing short positions as there is a lack of upward - driving force [6]. - **PTA**: It is recommended to long - allocate PX, and for PTA, pay attention to short - term positive spread opportunities and short the processing fee at high prices in the long - term [7]. - **Rubber**: It is recommended to wait and see on a single - side basis and hold the RU - NR positive spread [7]. - **Glass**: The fundamentals are weak, and it is recommended to wait and see and follow the implementation of production - cut policies [7]. - **PP**: In the short - term, it is expected to oscillate weakly, and in the long - term, it is recommended to short far - month contracts at high prices [7]. - **MEG**: It is expected to run weakly, and short - selling at high prices is recommended [8]. - **Crude Oil**: The overall trend is bearish, and short - selling at high prices while paying attention to inventory accumulation is recommended [8]. - **Styrene**: In the short - term, it is expected to oscillate weakly, and in the long - term, it is recommended to short far - month contracts at high prices [8]. - **Soda Ash**: The fundamentals are weak, and short - selling at high prices is recommended [8].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In H1 2025, the commodity market showed a narrow - range oscillation, with the CSI Commodity Futures Index rising slightly by 0.20%. Positive returns mainly came from gold, silver, and copper, while negative returns were mainly from rebar, rubber, and soda ash [2]. - The CSI Commodity Index's year - on - year sequence has bottomed out and rebounded, potentially indicating that the PPI sequence is in the process of bottoming out and rebounding. Microscopically, the sector index trends reflect certain operational pressures in the steel and chemical industries [2]. - Investors should gradually reduce their reliance on fixed - income assets and practice the methodology of stock - bond - commodity asset allocation, increasing the proportion of commodities in the portfolio [2]. - The CSI Commodity Index has shown a relatively independent and excellent performance compared to overseas indices, but the recent increase in correlation needs attention. Adding an appropriate amount of commodities to the traditional stock - commodity portfolio can significantly improve the return - risk ratio of the portfolio [2]. 3. Summary According to the Directory 3.1 Market Review - In H1 2025, the commodity market presented a narrow - range oscillation. The CSI Commodity Index rose slightly by 0.20% annually, with an amplitude of only 10.27%. It was difficult to form a long - term trend, showing an inverted V - shaped oscillation after a strong start [9]. - Driven by frequent macro - events, the commodity market was repeatedly disturbed by policies and geopolitics. With the global economy still bottoming out, the demand side was weak, especially for industrial products. Three macro black - swan events occurred in H1 [12][14]. - There were two obvious characteristics in the commodity market: the significant differentiation between agricultural and industrial products, and the further differentiation within commodities due to different types of event shocks [15]. 3.2 Index Return Attribution 3.2.1 Roll Yield Contribution - The roll yield in H1 2025 was positive overall, at 1.07%, an improvement compared to 2024, possibly suggesting that the global economic growth is bottoming out. Most months had positive roll yields, except for March which had a large negative value [20]. 3.2.2 Sector Return Contribution - In H1 2025, the trends of industrial and agricultural products diverged. The agricultural product market had a small price increase and relatively low volatility, while the industrial product market had a large price decline and relatively large amplitude fluctuations. Agricultural products outperformed industrial products in most months [23]. 3.2.3 Variety Return Contribution - At the sector level, black and energy - chemical sectors mostly made negative return contributions, while precious metals, non - ferrous metals, and agricultural products mostly made positive return contributions. At the variety level, gold, silver, and copper had large positive return contributions, while rebar, rubber, and soda ash had large negative return contributions [24]. 3.3 Macro - Micro Representativeness 3.3.1 Macro Level: The CSI Commodity Index Leads PPI by About 2 Months - The CSI Commodity Index's year - on - year sequence is highly correlated with the PPI year - on - year and can lead by about 2 months. Recently, the commodity index's year - on - year sequence has bottomed out and rebounded, perhaps indicating that the PPI sequence is bottoming out and rebounding [25]. 3.3.2 Micro Level: The Sector Index Moves in Sync with the Industry's Total Profits - The year - on - year sequence of the sub - sector index is highly correlated with the year - on - year sequence of the corresponding industry's total profits. The energy - chemical futures index is in the process of bottoming out, and the steel futures index is still finding its bottom [29]. 3.4 Comparison of Major Asset Classes - In the long - term, the commodity market has similar returns but lower risks compared to the equity market. In H1 2025, the commodity market's risk indicators were still better than those of the equity market [38][39]. - The current risk - free interest rate is quite low, and the investment cost - performance of bonds has declined significantly. Investors should gradually practice the methodology of major asset allocation and increase the proportion of commodities in the portfolio [40]. - Since 2024, the correlation between the commodity market and the equity market has been increasing. In H1 2025, the correlation remained relatively high, but it decreased rapidly at the end of June [43]. 3.5 Comparison with Overseas Indices - In the long - term, the CSI Commodity Index has obvious advantages in both returns and risks compared to overseas mainstream commodity indices. In H1 2025, it still had better performance in risk control [47][48]. - The correlation between the CSI Commodity Index and overseas mainstream commodity indices increased rapidly in early April and remained high in Q2, mainly due to the impact of the tariff shock [50]. 3.6 Application Cases - Adding an appropriate amount of commodities to the traditional stock - commodity portfolio can significantly improve the return - risk ratio of the portfolio. Replacing half of the stocks in the traditional 40 - 60 stock - bond portfolio with commodities can significantly reduce the portfolio's volatility and drawdown while keeping the returns similar [54][60].

Group 1: Precious Metals - Market performance: Last Friday, precious metal prices rose, and silver prices soared due to expectations of additional tariffs [1]. - Fundamental factors: China and the US foreign ministers met in Kuala Lumpur, agreeing to strengthen communication and dialogue. Trump announced a 30% tariff on Mexico and the EU starting August 1st. Fed Chairman Powell might consider resigning. Domestic gold ETFs had outflows, and inventories in various locations changed [1]. - Trading strategy: For gold, considering the unchanged de - dollarization logic, it is recommended to go long. For silver, short - term risk - avoidance is advised with long positions closed, but in the long - term, industrial silver use is turning downward [1]. Group 2: Base Metals Copper - Market performance: On Friday, copper prices oscillated weakly [2]. - Fundamental factors: Trump unexpectedly increased tariffs on most countries, leading to lower market risk appetite. After the proposed 50% tariff on copper on August 1st, London and domestic inventories increased. The long - term copper price has upward momentum due to the tight copper mine situation and global fiscal expansion expectations [2]. - Trading strategy: Pay attention to low - level buying opportunities [2]. Aluminum - Market performance: On Friday, the closing price of the electrolytic aluminum 2508 contract decreased by 0.02% compared to the previous trading day [2]. - Fundamental factors: Supply - side, electrolytic aluminum plants maintained high - load production with an increase in weekly operating capacity. Demand - side, it is the traditional consumption off - season, and the weekly aluminum product start - up rate decreased [2]. - Trading strategy: The domestic aluminum inventory is at a relatively low level, supporting the price. However, due to macro uncertainties and weak downstream demand, the price is expected to oscillate at a high level. It is recommended to wait and see [2]. Alumina - Market performance: On Friday, the closing price of the alumina 2509 contract decreased by 2.83% compared to the previous trading day [3]. - Fundamental factors: Supply - side, alumina plants' production was stable. Demand - side, electrolytic aluminum plants maintained high - load production [3]. - Trading strategy: Some northern alumina plants are in the maintenance period, causing a short - term supply - demand mismatch. The market is in a game between strong reality and weak expectations. It is recommended to operate within a range and partially close long positions [3]. Industrial Silicon - Market performance: On Thursday, the main 09 contract opened higher and then oscillated. The price decreased by 55 yuan/ton compared to the previous trading day, and the position decreased by 13,427 lots [3]. - Fundamental factors: Last week, the market rebounded due to the "anti - involution" sentiment. Supply - side, Yunnan contributed a small increase in start - up. Demand - side, polysilicon start - up was stable, organic silicon production was stable, and the aluminum alloy downstream was in the off - season [3]. - Trading strategy: After the futures price rebound, different cost manufacturers will gradually hedge. There is an expectation of increased start - up, but short - term support exists. Pay attention to short - selling opportunities at high levels [3]. Lithium Carbonate - Market performance: On Friday, the main LC2509 contract closed at 64,280 yuan/ton, a decrease of 0.28% [3]. - Fundamental factors: Supply - side, the expected production in July increased by 3.92% month - on - month. Demand - side, the downstream production plan increased marginally, but inventory continued to reach new highs [3]. - Trading strategy: In the short - term, the price is expected to oscillate. It is recommended to wait and see or short - sell the far - month LC2511 contract at high levels [3]. Polysilicon - Market performance: On Friday, the main 08 contract opened higher and then oscillated. The price decreased by 15 yuan/ton compared to the previous trading day, and the position decreased by 12,676 lots [3]. - Fundamental factors: Last week, the market rose significantly due to "anti - involution" expectations. Supply - side, production increased slightly, and there is a复产 expectation. Demand - side, the production plan of silicon wafers and battery cells decreased in July [3]. - Trading strategy: Pay attention to the progress of leading enterprises in solving supply - demand imbalances and the actual procurement price in the silicon wafer market next week. Partially close long positions [3]. Tin - Market performance: On Friday, tin prices oscillated [3]. - Fundamental factors: Trump's additional tariffs slightly suppressed risk appetite. Supply - side, the tin mine situation remained tight, but the复产 expectation pressured the price. Demand - side, downstream procurement was on - demand, and global weekly inventory decreased [3]. - Trading strategy: Adopt a weak - oscillation - within - a - range approach [3]. Group 3: Black Industry Rebar - Market performance: The main 2510 contract of rebar oscillated weakly, closing at 3,130 yuan/ton, a decrease of 11 yuan/ton compared to the previous night - session closing price [4]. - Fundamental factors: The supply and demand of building materials were both weak, but low production reduced inventory pressure. The supply and demand of steel were balanced. Market sentiment improved, and macro data will have a significant impact this week [4]. - Trading strategy: It is recommended to wait and see and try the 10/1 reverse spread of rebar. The reference range for RB10 is 3,100 - 3,160 [4]. Iron Ore - Market performance: The main 2509 contract of iron ore oscillated strongly, closing at 764 yuan/ton, a decrease of 0.5 yuan/ton compared to the previous night - session closing price [4]. - Fundamental factors: The supply and demand of iron ore were neutral. Steel mill profits expanded marginally, and production will remain stable. Supply followed the seasonal pattern. Market sentiment improved, and macro data will be important this week [4]. - Trading strategy: Wait and see. Layout a long position in the 2605 coil - to - ore ratio. The reference range for I09 is 750 - 780 [4]. Coking Coal - Market performance: The main 2509 contract of coking coal oscillated strongly, closing at 921.5 yuan/ton, an increase of 15 yuan/ton compared to the previous night - session closing price [4]. - Fundamental factors: Iron production decreased slightly, and steel mill profits expanded. The fourth round of coke price cuts was implemented, and the first round of price increases is being discussed. Supply - side inventory is differentiated. Market sentiment improved, and macro data will matter this week [4]. - Trading strategy: Wait and see. The reference range for JM09 is 890 - 930 [4]. Group 4: Agricultural Products Soybean Meal - Market performance: Last Friday, CBOT soybeans fell due to a slightly bearish USDA report [5]. - Fundamental factors: Supply - side, the near - term international supply is loose, and the long - term is expected to be loose. Demand - side, South America is dominant in the short - term, and there are uncertainties in US soybean production and tariff policies [5]. - Trading strategy: Short - term, US soybeans are in a range - bound oscillation. Domestic soybeans follow international cost. Pay attention to weather and tariff policies [5]. Corn - Market performance: The 2509 contract of corn continued to decline, and the spot price also fell [5][6]. - Fundamental factors: This year's supply - demand is tightening marginally. Substitute imports decreased, but wheat substitution and import grain auctions affect the price. The spot price is expected to be weak [6]. - Trading strategy: The futures price is expected to oscillate weakly due to the low auction turnover rate of imported corn [6]. Sugar - Market performance: ICE raw sugar 10 contract had a weekly increase of 1.85%, and Zhengzhou sugar 09 contract had a weekly increase of 0.21% [6]. - Fundamental factors: The domestic commodity market sentiment was good, and domestic and international markets rebounded together. Import sugar arrivals are increasing, and the 09 contract is expected to be weak [6]. - Trading strategy: In the futures market, go short at high levels; in the options market, sell call options [6]. Cotton - Market performance: Last Friday, US cotton prices oscillated and fell. Zhengzhou cotton prices oscillated upward [6]. - Fundamental factors: International data adjustments had little impact. Market sentiment was bearish. Domestically, low commercial inventories were concerned, but downstream start - up rates decreased and product inventories increased [6]. - Trading strategy: Wait and see and adopt a range - bound trading strategy [6]. Palm Oil - Market performance: Recently, palm oil has been strong, and the trading center has shifted upward [6]. - Fundamental factors: Supply - side, production in the producing areas weakened marginally. Demand - side, exports decreased month - on - month, but there is support in annual demand [6]. - Trading strategy: In the short - term, P is expected to oscillate strongly. It is recommended to overweight in the sector, and the annual supply is expected to be tight. Pay attention to production and biodiesel policies [6]. Eggs - Market performance: The 2508 contract of eggs oscillated narrowly, and the spot price increased [6]. - Fundamental factors: Farmers are in losses, and old hen culling is expected to decrease. Supply is high, and demand is affected by price and weather. The price is expected to oscillate [6]. - Trading strategy: The futures price is expected to oscillate due to sufficient supply and cost support [6]. Hogs - Market performance: The 2509 contract of hogs oscillated narrowly, and the spot price had a north - up and south - down pattern [6]. - Fundamental factors: Consumption is seasonally weak, slaughterhouses are reducing losses, and supply is increasing. The price is expected to decline in the medium - term [6]. - Trading strategy: The futures price is expected to oscillate and adjust due to weak demand [6]. Apples - Market performance: The main contract had a weekly increase of 0.49%. Apple prices in Shandong were stable [6][7]. - Fundamental factors: The opening price of new - season early - maturing apples increased. There are differences in this year's production. Current consumption is weak, and the market has few contradictions [7]. - Trading strategy: Wait and see [7]. Group 5: Energy and Chemicals LLDPE - Market performance: On Friday, the main LLDPE contract oscillated slightly. The spot price in North China was 7,200 yuan/ton, and the import window was closed [7]. - Fundamental factors: Supply - side, new plants were put into operation, and domestic supply increased. Import is expected to decrease. Demand - side, it is the end of the off - season for agricultural film [7]. - Trading strategy: In the short - term, the market will oscillate, and in the long - term, it is recommended to short - sell far - month contracts at high levels [7]. PVC - Market performance: The v09 contract closed at 4,980, a decrease of 0.5% [7]. - Fundamental factors: Supply is expected to increase, and social inventory is accumulating. Wait for the implementation of production - cut policies [7]. - Trading strategy: Close short positions and wait and see as the rebound lacks momentum [7]. PTA - Market performance: PX CFR China price was 837 US dollars/ton, and PTA spot price was 4,710 yuan/ton [7]. - Fundamental factors: PX supply is low, and PTA supply is increasing. Polyester load decreased, and the supply - demand is expected to be loose [7]. - Trading strategy: Go long on PX, look for short - term positive spread opportunities in PTA, and short - sell processing fees in the long - term [7]. Glass - Market performance: The fg09 contract closed at 1,086, an increase of 2% [7][8]. - Fundamental factors: Spot sales improved, supply is increasing, and inventory is decreasing. The downstream situation is not good, and the valuation is complex [7][8]. - Trading strategy: Wait and see and follow the implementation of production - cut policies [8]. PP - Market performance: On Friday, the main PP contract oscillated slightly. The spot price in East China was 7,100 yuan/ton, the import window was closed, and the export window was open [8]. - Fundamental factors: Supply is increasing, and demand is differentiated. The export situation of downstream products is worthy of attention [8]. - Trading strategy: In the short - term, the market will oscillate weakly. In the long - term, short - sell far - month contracts at high levels [8]. MEG - Market performance: The East China spot price of MEG was 4,384 yuan/ton [8]. - Fundamental factors: Supply is at a high level, and inventory is at a low level. Polyester load decreased, and the supply - demand is balanced [8]. - Trading strategy: MEG is expected to be weak. It is recommended to short - sell at high levels [8]. Crude Oil - Market performance: Last week, oil prices oscillated strongly due to low inventory and stable demand [8]. - Fundamental factors: US gasoline demand was stable. OPEC+ and non - OPEC countries will increase production, and the market is expected to be oversupplied, especially in the fourth quarter [8]. - Trading strategy: Pay attention to inventory accumulation and short - sell at high levels [8]. EB - Market performance: On Friday, the main EB contract oscillated slightly. The spot price in East China was 7,730 yuan/ton, and the import window was closed [8][9]. - Fundamental factors: Supply - side, pure benzene and styrene inventories have different trends. Demand - side, downstream profits are poor, and product inventory is high. Export demand is a key factor [8][9]. - Trading strategy: In the short - term, the market will oscillate. In the long - term, short - sell far - month contracts at high levels [9]. Soda Ash - Market performance: The sa09 contract closed at 1,214, a decrease of 0.9% [9]. - Fundamental factors: Supply increased as a plant resumed production, and inventory accumulated. Downstream demand from photovoltaic glass is weak [9]. - Trading strategy: Short - sell at high levels as the fundamentals are weak [9].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For stock index futures, in the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of various varieties at low prices [1]. - For treasury bond futures, as there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. 3. Summary by Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On July 11, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.01% to 3510.18 points, the Shenzhen Component Index rose 0.61% to 10696.1 points, the ChiNext Index rose 0.8% to 2207.1 points, and the Science and Technology Innovation 50 Index rose 1.48% to 994.45 points. Market turnover was 1736.6 billion yuan, an increase of 221.5 billion yuan from the previous day. Non - bank finance, computer, and steel sectors led the gains, while bank, building materials, and coal sectors led the losses. In terms of market strength, IM>IC>IF>IH, and the number of rising, flat, and falling stocks were 2959, 252, and 2204 respectively. Net capital inflows of institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 6 billion, - 134 billion, - 68 billion, and 209 billion yuan respectively, with changes of + 55 billion, + 16 billion, - 59 billion, and - 12 billion yuan respectively [1]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 72.3, 53.68, 14.81, and 5.77 points respectively, and the basis annualized yields were - 10.76%, - 8.56%, - 3.55%, and - 2.01% respectively, with three - year historical quantiles of 31%, 19%, 27%, and 33% respectively [1]. - **Trading Strategy**: In the short - term, the stock index discount has returned to an extreme level. In the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties at low prices [1]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On July 11, the yields of treasury bond futures all rose. Among the active contracts, the implied interest rate of the two - year bond was 1.366, up 0.4 bps from the previous day; the implied interest rate of the five - year bond was 1.503, up 0.72 bps; the implied interest rate of the ten - year bond was 1.603, up 0.6 bps; and the implied interest rate of the thirty - year bond was 1.928, up 0.18 bps [1]. - **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 + 0.25 bps, a corresponding net basis of - 0.024, and an IRR of 1.6%; for the five - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of + 0.5 bps, a corresponding net basis of - 0.042, and an IRR of 1.69%; for the ten - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of + 1.25 bps, a corresponding net basis of - 0.068, and an IRR of 1.84%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of + 0.2 bps, a corresponding net basis of - 0.085, and an IRR of 1.8% [1]. - **Funding Situation**: In open - market operations, the central bank injected 84.7 billion yuan and withdrew 34 billion yuan, resulting in a net injection of 50.7 billion yuan [1]. - **Trading Strategy**: As there are signs of economic recovery, it is recommended to hedge T and TL contracts at high prices [1]. (3) Economic Data - **High - Frequency Data**: High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [8].

金融研究 2025年7月11日 星期五 金融期货早班车 招商期货有限公司 股指期货 市场表现：7 月 10 日，A 股四大股指多数上涨，其中上证指数上涨 0.48%，报收 3509.68 点；深成 指上涨 0.47%，报收 10631.13 点；创业板指上涨 0.22%，报收 2189.58 点；科创 50 指数下跌 0.32%， 报收 979.99 点。市场成交 15,151 亿元，较前日减少 124 亿元。行业板块方面，房地产(+3.19%)， 石油石化(+1.54%)，钢铁(+1.44%)涨幅居前；汽车(-0.62%)，传媒(-0.54%)，国防军工(-0.41%)跌幅 居前。从市场强弱看，IH>IC>IF>IM，个股涨/平/跌数分别为 2,945/192/2,278。沪深两市，机构、主 力、大户、散户全天资金分别净流入-61、-150、-9、221 亿元，分别变动+57、+17、-43、-31 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 102.57、78.65、30.82 与 14.93 点，基差年化收益率分 别为-14.82%、-12.17%、-7.12%与-5.02%，三年期历史分 ...

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]