Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on July 9, 2025, covering the market performance of stock index futures and treasury bond futures on July 8, 2025, along with trading strategies [1][2][3] 1. Report Industry Investment Rating - No industry investment rating is provided in the report 2. Core View of the Report - In the short - term, the discount of stock index futures has returned to extreme levels; in the long - and medium - term, it is recommended to go long on the economy by buying long - term contracts of IF, IC, and IM at low prices. For near - term contracts, due to the potential decline of micro - cap stocks, caution is advised for IC and IM indices. For treasury bond futures, it is recommended to take short - term long positions and long - term short positions, buying T and TL contracts at low prices in the short - term and hedging at high prices in the long - term [3][4] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - **Market Performance**: On July 8, A - share major indices all rose, with the Shanghai Composite Index up 0.7% to 3497.48 points, the Shenzhen Component Index up 1.47% to 10588.39 points, the ChiNext Index up 2.39% to 2181.08 points, and the STAR 50 Index up 1.4% to 991.95 points. Market turnover was 1474.6 billion yuan, an increase of 247.5 billion yuan from the previous day. Among industry sectors, communication (+2.89%), power equipment (+2.3%), and electronics (+2.27%) led the gains; public utilities (-0.37%), banks (-0.24%), and household appliances (+0.21%) led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4282/155/979 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 10.5 billion, - 3.9 billion, - 11.3 billion, and 4.8 billion yuan respectively, with changes of +14.7 billion, +5.9 billion, - 9.6 billion, and - 11.1 billion yuan respectively [2] - **Futures Basis and Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 98.1, 71.34, 34.05, and 19.59 points respectively, with annualized basis yields of - 13.2%, - 10.29%, - 7.34%, and - 6.15% respectively, and three - year historical quantiles of 20%, 14%, 17%, and 20% respectively [2] - **Contract - Specific Data**: Detailed data on various stock index futures contracts such as IC2507, IC2508, etc., including price, trading volume, open interest, basis, and annualized basis yield, are provided [6] 3.2 Treasury Bond Futures and Spot Market Performance - **Yield Changes**: On July 8, the yields of treasury bond futures declined. Among active contracts, the implied interest rates of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 1.332%, 1.503%, 1.578%, and 1.914% respectively, with increases of 1.99bps, 5.57bps, 1.96bps, and 1.51bps from the previous day [3] - **CTD Bond Data**: For the current active 2509 contract, data on the cheapest - to - deliver (CTD) bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including yield changes, net basis, and implied repo rate (IRR), are provided [3][4] - **Funding Situation**: The central bank injected 6.9 billion yuan and withdrew 13.1 billion yuan through open - market operations, resulting in a net withdrawal of 6.2 billion yuan [4] - **Contract - Specific Data**: Detailed data on various treasury bond futures contracts such as TS2509, TS2512, etc., including price, trading volume, open interest, net basis, and CTD bond implied interest rate, are provided [7] 3.3 Economic Data - **High - Frequency Data**: High - frequency data shows that the real - estate market has recently contracted, while the other four areas are similar to the same period [10] - **Short - Term Interest Rate Changes**: Data on short - term capital interest rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007, including current prices, previous - day prices, prices one week ago, and prices one month ago, are provided [10]

2025年07月09日 星期三 商品期货早班车 招商期货 基本金属 招商评论 铜 市场表现：昨日铜价震荡偏强运行。 基本面：特朗普称 8 月 1 日起实施对等关税、不会再推迟，警告欧盟征税函将至。特朗普威胁征 50%铜关税， 预期七月稍晚或者八月一日落地。纽约铜大涨，但伦敦似乎交易关税落地，反而震荡走弱。美债收益率上行， 美元指数短期偏强。华东华南平水铜现货升水 50 元和贴水 100 元成交，国内下游需求淡季明显。伦敦结构 79 美金 back。 交易策略：建议等待整理充分后逢低买入。 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 2508 合约收盘价较前一交易日+0.56%，收于 20410 元/吨，国内 0-3 月差 240 元/吨， LME 价格 2589.5 美元/吨。 基本面：供应方面，电解铝厂维持高负荷生产，周度运行产能稳定。需求方面，周度铝材开工率下降 1%。 交易策略：宏观环境转弱，下游消费淡季氛围浓厚，铝材开工率持续下降，铝锭库存持续累库，对价格支撑 有所减弱，预计价格震荡偏弱，需关注宏观情绪变化。建议观望。 风险提示：海内外宏观政策变化。 氧 化 铝 市场表现：昨日氧 ...

2025年7月8日 星期二 金融期货早班车 招商期货有限公司 市场表现：7 月 7 日，A 股四大股指多数下行，其中上证指数上涨 0.02%，报收 3473.13 点；深成指 下跌 0.7%，报收 10435.51 点；创业板指下跌 1.21%，报收 2130.19 点；科创 50 指数下跌 0.66%， 报收 978.29 点。市场成交 12,271 亿元，较前日减少 2,275 亿元。行业板块方面，综合(+2.57%)， 公用事业(+1.87%)，房地产(+1.68%)涨幅居前；煤炭(-2.04%)，医药生物(-0.97%)，通信(-0.77%)跌 幅居前。从市场强弱看，IM>IC>IH>IF，个股涨/平/跌数分别为 3,254/185/1,977。沪深两市，机构、 主力、大户、散户全天资金分别净流入-42、-98、-18、158 亿元，分别变动+44、+52、-34、-62 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 139.14、96.01、37.77 与 23.13 点，基差年化收益率分 别为-18.33%、-13.56%、-7.94%与-7.06%，三年期历史分位数分别为 ...

2025年07月08日 星期二 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | 市场表现：昨日铜价震荡偏弱运行。 | | | | | | | | 基本面：特朗普征税函显示对日韩等 14 国征收 25%到 40%不等关税、8 月 1 日生效，欧盟或接近协议。市 | | | | | | | | | | | | 场再度抛售美股美债，风险偏好下行。华东华南平水铜现货升水 70 元和贴水 50 元成交。伦敦结构 77 美金 | | | | | | | | | | | 铜 | back。精废价差 1600 元附近。 | | | | | | | | | | | | 交易策略：铜供应端紧张难以缓解，等待回撤企稳买入机会。 | | | | | | | | | | | | 风险提示：全球需求不及预期。仅供参考。 | | | | | | | | | | | | | | 市场表现：昨日电解铝 2508 合约收盘价较前一交易日-1. ...

期货研究报告 | 商品研究 能化板块负责人：李国洲 13544503362 Liguozhou@cmschina.com.cn F3021097 Z0020532 专题报告 招期能化纯苯专题 2025 年7 月8 日 纯苯期货上市首日策略 ❑ 价格走势： 纯苯现货价格在 5850-5950 元/吨区间，当前纯苯处于"高供应、低利润、弱 需求"格局。下半年纯苯供需仍处于供需宽松格局，整体基本面偏弱。 上市价 5900 元/吨，平水当前现货水平，开盘后价格或稳定在 5700-6000/吨 之间。 ❑ 策略建议： 单边策略： 期货价格平水现货，存在"上市首日资金抢筹低估品种"的情绪驱动，可逢高 做空。 套利策略： 由于纯苯下半年供需处于宽松格局，纯苯月差大概率走反套格局。 ❑ 风险提示： 原油地缘政治风险，流动性风险。 1. 成本端：原油 Q3 有支撑，Q4 或逐步过剩 欧佩克+开启加速增产模式，预计每季度增产量将达到 50-60 万桶/天。下半年非欧佩克 增产也将集中释放。重点关注中东供应是否受到影响。 资料来源：彭博，招商期货 敬请阅读末页的重要声明 一、合约情况 1.合约定价：纯苯期货和期权（代码 AD）将于 ...

Report Summary 1. Market Performance Stock Index Futures - On July 4th, most of the four major A-share stock indexes declined. The Shanghai Composite Index rose 0.32% to close at 3472.32 points, while the Shenzhen Component Index fell 0.25% to 10508.76 points, the ChiNext Index dropped 0.36% to 2156.23 points, and the STAR 50 Index declined 0.01% to 984.8 points. Market trading volume was 1.4545 trillion yuan, an increase of 121 billion yuan from the previous day [2]. - In terms of industry sectors, banks (+1.84%), media (+0.91%), and composites (+0.71%) led the gains, while beauty care (-1.87%), non-ferrous metals (-1.6%), and basic chemicals (-1.22%) led the losses. In terms of market strength, IH > IF > IC > IM, with the number of rising/flat/falling stocks being 1169/129/4118 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of -8.6 billion, -15 billion, 1.6 billion, and 22 billion yuan respectively, with changes of -12.3 billion, -8.9 billion, +6.6 billion, and +14.6 billion yuan respectively [2]. - For index futures basis, the basis of IM, IC, IF, and IH next - month contracts were 125.8, 90.44, 37.4, and 23.24 points respectively, with annualized basis yields of -16.07%, -12.34%, -7.57%, and -6.84% respectively, and three - year historical quantiles of 11%, 10%, 16%, and 18% respectively [2]. Treasury Bond Futures - On July 4th, the yields of treasury bond futures continued to decline. Among the active contracts, the implied interest rate of the two - year bond was 1.305, down 0.14 bps from the previous day; the five - year bond was 1.441, down 0.48 bps; the ten - year bond was 1.566, down 0.6 bps; and the thirty - year bond was 1.901, down 0.6 bps [3]. - In the cash bond market, for the currently active 2509 contracts, the CTD bonds and their corresponding data are as follows: for the 2 - year treasury bond futures, the CTD bond was 250006.IB, with a yield change of -1 bps, a corresponding net basis of -0.047, and an IRR of 1.65%; for the 5 - year, it was 240020.IB, yield change -0.5 bps, net basis -0.061, IRR 1.72%; for the 10 - year, it was 220010.IB, yield change -0.25 bps, net basis -0.097, IRR 1.84%; for the 30 - year, it was 210005.IB, yield change -0.5 bps, net basis -0.108, IRR 1.8% [3]. - In terms of the money market, the central bank injected 3.4 billion yuan and withdrew 525.9 billion yuan through open - market operations, resulting in a net withdrawal of 491.9 billion yuan [3]. 2. Trading Strategies Stock Index Futures - In the short term, as the index futures discount returns and the current direction is unclear, a neutral strategy can be considered. In the medium - to - long term, a bullish view on the economy is maintained. Buying IF, IC, and IM long - term contracts on dips is recommended as using stock indexes as a long - position substitute can generate certain excess returns. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indexes, so caution is advised [3]. Treasury Bond Futures - On the futures side, the long - end bullish force is strong, possibly betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended. Short - term T and TL contracts can be bought on dips, and medium - to - long - term T and TL contracts can be hedged on rallies [3]. 3. Data Tables Stock Index Futures Spot and Futures Market Performance - Tables show detailed data of various stock index futures contracts (such as IC2507, IF2507, etc.), including their names, price changes, current prices, trading volumes, open interest, basis, and annualized basis yields [6]. Treasury Bond Futures Spot and Futures Market Performance - Tables present detailed data of various treasury bond futures contracts (such as TS2509, TF2509, etc.), including their names, price changes, current prices, trading volumes, open interest, net basis, and CTD bond implied interest rates [8]. Short - Term Fund Rate Market Changes - The table shows the current prices, previous day prices, prices one week ago, and prices one month ago of short - term fund rates such as SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [12]. 4. Economic Data - High - frequency data shows that the recent real estate market sentiment has contracted, while the other four sectors are similar to the same period [12]. 5. Relevant Personnel - Yuhu Shan is the head of the investment consulting department of China Merchants Futures, with 13 years of futures experience. He has in - depth research on stock index futures, options, and quantitative trading and has won relevant awards and published many articles [16]. - Shiwei Xu is the supervisor of the financial group of China Merchants Futures, with over 10 years of experience in futures and derivatives investment research. He has won many awards and has participated in option product design [16].

1. Report Industry Investment Ratings No 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. It suggests different trading approaches based on the specific situation of each commodity, such as waiting for buying opportunities after a pullback, selling short at high prices, or taking a wait - and - see approach [2][3][4][5][6][7][8]. 3. Summary by Commodity Categories Basic Metals - **Copper**: Market performance was weak on Friday. Fundamentals include Trump's tariff threat and high copper prices leading to a need for consolidation. The supply side has low processing fees and slightly increasing domestic inventory. The trading strategy is to wait for a pullback and then buy [2]. - **Aluminum**: The 2508 contract closed down 0.22% on Friday. Supply is stable with high - load production, while demand has a 1% drop in weekly aluminum product开工率. The trading strategy is to sell short at high prices due to weakening price support [2]. - **Alumina**: The 2509 contract closed down 0.07% on Friday. Supply capacity increased by 400,000 tons, and demand is stable. The trading strategy is short - term range trading and buying long - term call options [2]. - **Lithium Carbonate**: Prices rebounded last week. Supply is high with a slight decline in weekly output, and demand is expected to increase 2 - 3% in July before entering the off - season. The trading strategy is to sell short at high prices after the market consensus is reached [2]. - **Tin**: Market performance was weak on Friday. Fundamentals include Trump's tariff threat and short - term tin ore shortages. The trading strategy is to wait for a pullback and then buy [2]. Black Industry - **Rebar Steel**: The 2510 contract was flat. The market has a balanced supply - demand situation with low inventory pressure. The trading strategy is to wait and try a 10/1 reverse spread [3]. - **Iron Ore**: The 2509 contract was flat. Supply - demand is neutral, and the trading strategy is to wait and set up long positions in the far - month coil - ore ratio [3]. - **Coking Coal**: The 2509 contract was weak. Supply - demand is relatively loose but improving. The trading strategy is to wait [3]. Agricultural Products - **Soybean Meal**: CBOT soybeans were closed on Friday. Supply is loose in the near - term and normal in the far - term, and demand is in line with expectations. The trading strategy is to follow the international cost side, and the focus is on US soybean production and tariff policies [4]. - **Corn**: The 2509 contract declined. The supply - demand is tightening, but wheat substitution and increased imports may suppress prices. The trading strategy is range trading [4][5]. - **Sugar**: ICE raw sugar and Zhengzhou sugar had small increases. International sugar is expected to decline, and domestic sugar will follow the international trend. The trading strategy is to sell short [5]. - **Cotton**: ICE cotton was closed on Friday, and Zhengzhou cotton was strong. The trading strategy is to buy at low prices and trade in a range [5]. - **Palm Oil**: Prices declined slightly on Friday. Supply is decreasing marginally but still high, and demand is increasing. The trading strategy is to focus on production and policies [5]. - **Eggs**: The 2508 contract was flat. Supply is high, and demand is affected by weather. The trading strategy is range trading [5]. - **Hogs**: The 2509 contract was flat. Supply is increasing, and the trading strategy is range adjustment [5]. Energy Chemicals - **LLDPE**: The contract declined slightly on Friday. Supply is increasing, and demand is improving. The trading strategy is short - term range trading and long - term shorting of far - month contracts [6]. - **PVC**: The v2509 contract declined 0.2%. Supply is expected to increase, and the trading strategy is to wait [6]. - **PTA**: PX prices are rising, and PTA is in a de - stocking phase. The trading strategy is to hold PX long positions, do PTA positive spreads, and short processing fees at high prices [6]. - **Rubber**: The RU2509 contract declined 0.36%. Supply is affected by rain, and demand has some pressure. The trading strategy is to wait and then short after the US tariff policy is clear [6]. - **Glass**: The fg09 contract declined 0.1%. Supply is expected to increase slightly, and the trading strategy is to wait [6][7]. - **PP**: The contract declined slightly on Friday. Supply is increasing, and demand is mixed. The trading strategy is short - term range trading and long - term shorting of far - month contracts [7]. - **MEG**: Supply is high, and inventory is low. The trading strategy is to short at high prices [7]. - **Crude Oil**: OPEC+ decided to increase production in August. Supply is expected to be in surplus in the second half of the year. The trading strategy is to short at high prices [7]. - **Styrene**: The contract rebounded slightly on Friday. Supply is expected to increase, and demand is under pressure. The trading strategy is short - term range trading and long - term shorting of far - month contracts [7][8]. - **Soda Ash**: The sa09 contract declined 0.8%. Supply is increasing, and demand is weak. The trading strategy is to sell short at high prices [8].

期货研究报告 | 商品研究 沥青供应端影响因素 ——沥青专题报告（三） 2025年7月4日 • 安婧 • anjing@cmschina.com.cn • 执业资格号Z0014623 沥青的转产工艺 数据来源： 《炼油厂总工艺流程设计 ➢ 沥青转产焦化料的原理：焦化料顾名 思义是指延迟焦化装置的原料，从左 图可知焦化料即是调和或未调和的 减 压渣油，并且由图可知延迟焦化装置 和沥青氧化 /调和装置的原料相同， 因此焦化料（减压渣油）若用于产沥 青则不能用于延迟焦化装置，使得两 条生产线存在"此消彼长"的关系。 ➢ 转产一般只发生在地方炼厂，因沥青 是地炼的主产品，沥青利润对地炼综 合利润起决定性作用，但对于主营炼 厂而言，沥青是其副产品，主营炼厂 的开工率 /产量主要考虑的是炼油综 合利润。 ➢ 由于产沥青的地炼通常加工的是中重 质高硫原油，因此这里的焦化料（减 压渣油）通常指的是高硫渣油。 ➢ 炼厂可根据沥青生产利润以及通过对 比沥青价格与焦化料价格来调节道路 》，招商期货 沥青的产量。 沥青供应影响因素分析——地炼利润 理论上，地炼沥青产量调整的逻辑推演： 1.首先，只有沥青生产利润>0时，炼厂才会生产沥 ...

2025年07月04日 星期五 商品期货早班车 招商期货 基本金属 | 招商评论 | | | | --- | --- | --- | | | 市场表现：昨日铜价震荡偏弱运行。 | | | | 基本面：美国大漂亮法案在众议院通过，美国非农数据超预期，降息预期延迟。国内周度库存增加 0.57 万吨， | | | 铜 | 华东华南平水铜升水 80 元和 30 元。伦敦结构 109 美金 back。 | | | | 交易策略：突破 1 万美金后或有震荡整理，但上行方向不变。 | | | | 风险提示：全球需求不及预期。仅供参考。 | | | | 市场表现：昨日电解铝 2508 合约收盘价较前一交易日+1.41%，收于 20580 元/吨，国内 0-3 月差 330 元/吨， | | | | | LME 价格 2608.5 美元/吨。 | | | 基本面：供应方面，电解铝厂维持高负荷生产，运行产能小幅上升。需求方面，铝材开工率小幅下降。 | | | 铝 | 交易策略：宏观环境呈现利好。但沪铝基本面面临需求走弱及成本支撑趋弱的双重压力，存在潜在下行风险， | | | | 建议谨慎看多。 | | | | 风险提示：海内外宏 ...

Report Information - Report Date: July 4, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] Investment Ratings - No investment ratings for the industry are provided in the report. Core Views - For stock index futures, in the short - term, the discount of stock indices is reverting and the direction is unclear, so a neutral strategy can be considered; in the medium - to long - term, a bullish view on the economy is maintained, and it is recommended to allocate IF, IC, IM forward contracts on dips; for near - month contracts, there is a risk of decline in micro - cap stocks, which may drag down IC and IM indices, so caution is advised [2]. - For treasury bond futures, the long - end has strong bullish power, betting on a further decline in future policy rates. A strategy of short - term long and long - term short is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Summary by Directory 1. Stock Index Futures Market Performance - On July 3, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.18% to 3461.15 points, the Shenzhen Component Index rose 1.17% to 10534.58 points, the ChiNext Index rose 1.9% to 2164.09 points, and the STAR 50 Index rose 0.24% to 984.95 points. Market turnover was 1333.5 billion yuan, a decrease of 71.6 billion yuan from the previous day. In terms of industry sectors, electronics, power equipment, and pharmaceutical biology led the gains, while coal, transportation, and steel led the losses. In terms of market strength, IF>IM>IC>IH, and the number of rising, flat, and falling stocks were 3270, 283, and 1863 respectively. Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 3.6 billion yuan, - 6.1 billion yuan, - 5 billion yuan, and 7.4 billion yuan respectively, with changes of + 19.4 billion yuan, + 11.3 billion yuan, - 9.8 billion yuan, and - 20.9 billion yuan respectively [2]. Basis and Trading Strategy - The basis of the next - month contracts of IM, IC, IF, and IH were 135.04, 102.86, 40.07, and 21.55 points respectively, with annualized basis yields of - 16.63%, - 13.57%, - 7.89%, and - 6.18% respectively, and three - year historical quantiles of 11%, 9%, 15%, and 19% respectively. The trading strategy is as described in the core views [2]. Stock Index Futures Contracts Performance - Details of the performance of various stock index futures contracts such as IC, IF, IH, and IM in terms of price, trading volume, open interest, basis, etc. are provided in Table 1 [6]. 2. Treasury Bond Futures Market Performance - On July 3, the yields of most treasury bond futures rose. For active contracts, the implied interest rate of the two - year bond was 1.301, unchanged from the previous day; the five - year bond was 1.441, up 0.24 bps; the ten - year bond was 1.565, up 0.6 bps; and the thirty - year bond was 1.904, up 0.42 bps [3]. Cash Bonds and Trading Strategy - The current active contract is the 2509 contract. Information on the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures is provided. In terms of trading strategy, the long - end has strong bullish power, and a short - term long and long - term short strategy is recommended, buying T and TL on dips in the short - term and hedging T and TL on rallies in the long - term [3]. Treasury Bond Futures Contracts Performance - Details of the performance of various treasury bond futures contracts such as TS, TF, T, and TL in terms of price, trading volume, open interest, net basis, etc. are provided in Table 2 [8]. 3. Economic Data - High - frequency data shows that recent social activities and real estate sentiment have contracted. Changes in short - term funding rates are also presented in Table 3 [12].