中原期货研究所 晨会纪要 2025 第（55）期 发布日期：2025-03-28 | 投资咨询业务资格 | | | | 商品指数每日市场跟踪 | | | | --- | --- | --- | --- | --- | --- | --- | | 证监发【2014】217 号 | 宏观指标 | | 2025/3/28 | 2025/3/27 | 涨 跌 | 涨跌幅/% | | | | | 08:00 | 15:00 | | | | | 道琼斯工业指数 | | 42299.70 | 42454.79 | -155.090 | -0.365 | | | 纳斯达克指数 | | 17804.03 | 17899.01 | -94.980 | -0.531 | | 中原期货研究所 | 标普500 | | 5693.31 | 5712.20 | -18.890 | -0.331 | | 0371-58620081 | 恒生指数 | | 23578.80 | 23483.32 | 95.480 | 0.407 | | | SHIBOR隔夜 | | 1.74 | 1.79 | -0.047 | -2.633 | | 0371- ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The market is in a wide - range oscillation pattern. With the approach of the performance disclosure period, funds may shift from high - risk to low - risk assets, choosing sectors with performance support and high dividends. The previous AI - driven valuation repair market may end, and the core of both US and Chinese stock markets lies in economic fundamentals competition. The consumption sector, with continuous policy support and improved consumption data, can be a focus area. Currently, the strategy is defensive, waiting for the impact of events such as Trump's tariff policy on April 2nd. Investors should lower return expectations and wait for the market to stabilize. For futures, pay attention to low - buying opportunities after short - term adjustments and combination arbitrage strategies [18]. 3. Summary by Relevant Catalogs 3.1 Commodity Index Daily Market Tracking - **Stock Index**: On March 27, 2025, the Dow Jones Industrial Index was 42454.79, down 0.312% from the previous day; the Nasdaq Index was 17899.01, down 2.041%; the S&P 500 was 5712.20, down 1.116%; the Hang Seng Index was 23483.32, up 0.596% [2]. - **Interest Rate and Exchange Rate**: SHIBOR overnight was 1.79, up 0.01 from the previous day; the US dollar index was 104.63, up 0.086%; the US dollar against the Chinese yuan (CFETS) was 7.26, unchanged [2]. - **Commodity Futures (External Market)**: COMEX gold was 3026.60, up 0.013%; COMEX silver was 34.21, down 0.117%; LME copper was 9907.00, down 1.857%; LME aluminum was 2605.00, down 0.115%; etc. [2]. - **Commodity Futures (Domestic Market)**: Gold was 708.84, down 0.025%; silver was 8355.00, down 0.131%; copper was 81520.00, down 0.585%; etc. [2]. - **Chemical Futures**: Coking coal was 1038.00, up 1.219%; coke was 1633.50, up 1.114%; natural rubber was 16905.00, unchanged; etc. [4]. - **Agricultural Futures**: Yellow soybean No.1 was 3880.00, up 0.077%; yellow soybean No.2 was 3450.00, up 0.262%; soybean meal was 2827.00, up 0.248%; etc. [4]. 3.2 Macro - economic News - **Sino - US Economic and Trade Relations**: Chinese Vice - Premier He Lifeng had a video call with US Trade Representative Greer, expressing concerns about US tariff policies. The Ministry of Commerce opposed the US adding Chinese entities to the export control "Entity List" [6]. - **Oil Price**: International oil prices rose across the board, with US crude oil May contract up 1.36% to $69.94 per barrel and Brent crude oil June contract up 1.31% to $73.34 per barrel [6]. - **Consumption Policy**: The Ministry of Commerce issued measures to support the cultivation and construction of international consumption - center cities [6]. - **Tariff Policy**: Trump announced a 25% tariff on non - US - made cars, and tariffs on the pharmaceutical and timber industries [7]. - **Carbon Emission Trading**: The national carbon emission trading market expanded to include the steel, cement, and aluminum smelting industries, covering over 60% of the country's total carbon dioxide emissions [7]. - **Monetary Policy**: Fed's Goolsbee warned that higher inflation expectations in the bond market could disrupt the central bank's rate - cut plan [7]. - **Exchange Rate**: On March 27, the on - shore Chinese yuan against the US dollar closed at 7.2635, up 5 basis points from the previous day [7]. - **Housing Policy**: Weihai, Shandong, and other regions introduced policies to promote housing consumption [8]. 3.3 Morning Meeting Views on Major Varieties 3.3.1 Agricultural Products - **Peanuts**: The spot market is stable but weak. Farmers are reluctant to sell, and the market is in a supply - demand game. It is recommended to short on rebounds [10]. - **Oils and Fats**: The trading volume of oils and fats decreased by 17% compared to the previous trading day. The Brazilian soybean export forecast remains unchanged, and the market is expected to oscillate. High - selling and low - buying strategies are recommended [10]. - **Sugar**: The sugar futures were strong on March 26, but the spot price was under pressure. The market is multi - faceted, and attention should be paid to the start of the new Brazilian sugar - cane season. It is recommended to be cautious when going long above 6100 yuan/ton [10]. - **Corn**: The corn futures closed down on March 26. The market is affected by both supply and demand factors. It is recommended to wait and see, with support at 2250 yuan/ton and resistance at 2280 - 2300 yuan/ton [10]. - **Pigs**: The national pig price fluctuated. The supply side reduced sales, and the demand side was weak. The spot price is expected to be stable and slightly strong, and the futures will oscillate in a range [12]. - **Eggs**: The national egg spot price was stable. The supply increased, and the demand weakened. The futures are seasonally weak, and the medium - term strategy is short - biased [12]. 3.3.2 Energy and Chemicals - **Caustic Soda**: The spot price of caustic soda in Shandong decreased. The market is bearish, and the 2505 contract may continue to be weak, with a risk of short - term rebound [12]. - **Urea**: The domestic urea market price was stable and slightly strong. With some enterprises under maintenance and continuous demand, the inventory decreased. The UR2505 contract may continue to oscillate strongly, with resistance at 1930 yuan/ton [12]. 3.3.3 Industrial Metals - **Copper and Aluminum**: The copper price may continue to be strong due to factors such as inventory decline and tariff and interest - rate expectations. The aluminum price remained high due to the "Golden March and Silver April" effect. The alumina market is in oversupply, and the 2505 contract is weak [13]. - **Steel Products**: The night - session prices of rebar and hot - rolled coil increased slightly. The spot market had a certain price - support intention, and the overall inventory pressure was limited. The steel price will oscillate, and attention should be paid to short - long opportunities in the October contract and 5 - 10 reverse arbitrage [14]. - **Ferroalloys**: The silicon - manganese market sentiment was weak, and the silicon - iron market was also weak. Both are in low - level oscillations [15]. - **Coking Coal and Coke**: The prices of coking coal and coke were stable at a low level. Attention should be paid to steel mills' profits and production restocking [17]. - **Lithium Carbonate**: The lithium carbonate futures closed up on March 26, but the market is in a weak supply - demand situation. It is recommended to short on rebounds, with resistance at 75000 yuan/ton and support at 73000 yuan/ton [17]. 3.3.4 Options and Finance - **Stock Index**: A - share indexes oscillated on March 26. The market sentiment was relatively low. The consumption sector can be a focus, and the strategy is defensive. Pay attention to low - buying opportunities and combination arbitrage strategies [18]. - **Options**: On March 26, A - share indexes oscillated. The trading volume of the stock market shrank. Different index futures and options had different performance in terms of price, position, and implied volatility. Trend investors can consider bullish spread strategies or arbitrage strategies, and volatility investors can sell wide - straddles to short volatility [19].

投 资 咨 询 编 号 ：Z0020978 研究所 ：林娜 联 系 方 式 ：0371-58620083 电 子 邮 箱 ：linna_qh@ccnew.com 执 业 证 书 编 号 ：F03099603 | 本期观点——螺纹钢、热卷 | | | | | --- | --- | --- | --- | | 品种 | 主要逻辑 | 策略建议 | 风险点 | | | 供应：全国螺纹周产量226.21万吨（环比-0.39%，同比+7.85%），全国热卷周产 | | | | | 量324.33万吨（环比+1.78%，同比+1.43%）。 | | | | | 消费：螺纹表观消费242.99万吨（环比+4.19%，同比-13.61%），热卷表观消费 | | | | | 330.65万吨（环比-0.21%，同比-0.84%）。 | 单边： | | | | 库存：螺纹总库存837万吨（环比-1.97%，同比-35.11%），热卷总库存409.9万 | 区间震荡 | | | | 吨（环比-1.52%，同比-5.11%）。 | | | | | 成本：铁水日产大幅回升5.67万吨至236.26万吨，对原料端形成一定补库支撑。 | ...

中原期货研究所 晨会纪要 2025 第（52）期 发布日期：2025-03-25 | 投资咨询业务资格 | | | --- | --- | | 证监发【2014】217 | 号 | | 中原期货研究所 | 0371-58620081 | | 0371-58620083 | | | 公司官方微信 | | 1 公司官方微信 中原期货研究所 | 化工 | 主力合约 | 2025/3/25 | 2025/3/24 | 涨跌 | 涨跌幅/% | | --- | --- | --- | --- | --- | --- | | | | 8:00 | 15:00 | | | | | 焦煤 | 1,025.00 | 1,030.00 | -5.0 | -0 485 | | | 焦炭 | 1,600.00 | 1,595.50 | 4.50 | 0.282 | | | 天然橡胶 | 17,135.00 | 17,095.00 | 40.0 | 0.234 | | | 20号胶 | 14,930.00 | 14,845.00 | 85.0 | 0.573 | | | 塑料 | 7,735.00 | 7,735.00 | 0 | 0 ...

研究员 ：丁文 联系方式：0371-68599112 电子邮箱：dingw_qh@ccnew.com 执业证书编号：F3066473 投资咨询业务资格 证监发【2014】217号 A股震荡 格局分化 两会召开 做多波动率 ——股指期权周报2025.3.3 投资咨询编号：Z0014838 上交所期权策略顾问：YZ16008281 本期观点 | 品种 | 主要逻辑 | 策略建议 | | | --- | --- | --- | --- | | | | 趋势策略 | 波动率策略 | | | 本周A股呈现震荡分化格局，市场交投情绪偏谨慎，日成交额降至2万亿以下。沪深 | | | | | 300指数跌破60日均线，日三彩K线指标转为灰色；周线跌破20周均线，周三彩K线指标 | | | | | 转为绿色。期货IF当月合约转为升水标的，次月合约贴水当月合约基差扩大。期权IO成 | | | | | 交量放大，持仓量回升，期权成交量PCR上升，期权持仓量PCR平稳，隐含波动率上升， | | | | | 标的指数跌破看跌期权最大持仓量行权价。中证1000指数跌破10、850日均线，日三彩K 线指标维持红色；周线跌破250周均线，周 ...

Investment Rating - The report indicates a cautious outlook on the A-share market, suggesting a focus on trading opportunities post the Two Sessions [1]. Core Insights - The A-share market experienced a rebound after an initial decline, with the CSI 300 index facing resistance at the 850-day moving average, while the weekly indicators turned positive [2]. - The report highlights that the implied volatility of options has decreased, with a notable shift in the maximum open interest strike prices for both call and put options remaining stable [2][33]. - The report emphasizes the performance of the CSI 1000 index, which reached a new high for the year, with indicators showing a bullish trend [2][37]. Summary by Sections 1. CSI 300 Index Options (IO) - The CSI 300 index's weekly K-line chart shows a bullish trend, with the index closing above the 250-week moving average [9]. - The current month’s futures contract is trading at a discount to the underlying asset, while the next month’s contract shows a stable basis [19][22]. - The report notes a decrease in trading volume for options, but an increase in open interest, indicating a potential shift in market sentiment [27][30]. 2. CSI 1000 Index Options (MO) - The CSI 1000 index has maintained a bullish trend, with the weekly indicators remaining positive [35]. - The current month’s options pricing reflects a slight decline, with the maximum open interest for call options at 6600 and for put options at 6000, indicating market positioning [38][31]. - The implied volatility for the CSI 1000 options has shown fluctuations, initially decreasing before rising again [41].

中原期货研究所 晨会纪要 2025 第（41）期 发布日期：2025-03-05 | 投资咨询业务资格 | | | --- | --- | | 证监发【2014】217 | 号 | | 中原期货研究所 | 0371-58620081 | | 0371-58620083 | | | 公司官方微信 | | 1 公司官方微信 中原期货研究所 | 化工 | 主力合约 | 2025/3/5 | 2025/3/4 | 涨跌 | 涨跌幅/% | | --- | --- | --- | --- | --- | --- | | | | 8:00 | 15:00 | | | | | 焦煤 | 1.083.00 | 1.091.00 | -8.0 | -0.733 | | | 焦炭 | 1.652.00 | 1.666.00 | -14.0 | -0.840 | | | 天然橡胶 | 17.355.00 | 17.665.00 | -310.0 | -1.755 | | | 20号胶 | 15,115.00 | 15,480.00 | -365.0 | -2.358 | | | 朝彩 | 7,863.00 | 7,905.00 | ...

Core Insights - The report highlights the recent fluctuations in commodity prices, with significant movements observed in metals, energy, and agricultural products, indicating a volatile market environment [1][2][3][4]. Macro Indicators - The U.S. October CPI rose by 2.6% year-on-year, marking the first acceleration since March, aligning with market expectations [3]. - International oil prices showed mixed performance, with U.S. oil for December contracts falling by 0.12% to $68.04 per barrel, while Brent oil for January 2025 rose by 0.08% to $71.95 per barrel [3]. Commodity Market Overview Metals - LME copper prices decreased by 1.498% to $9,007.50 per ton, while LME aluminum fell by 1.442% to $2,528.00 per ton [1]. - The report notes a decline in copper inventory by 14,700 tons compared to the previous week, but total inventory remains higher than last year [7]. Energy - The report indicates a slight increase in crude oil prices, with NYMEX at $68.04 and ICE Brent at $72.03, reflecting a stable demand outlook [1][4]. - The domestic urea market shows a slight increase in prices, with main regional factory prices around 1,750-1,760 yuan per ton, amid fluctuating supply and demand dynamics [6]. Agricultural Products - The soybean market is experiencing downward pressure, with prices for No. 1 yellow soybeans at 3,951 yuan per ton, down by 0.227% [2]. - Sugar prices are influenced by a strong dollar, with raw sugar prices dropping by 0.94% recently, while domestic prices remain stable [5]. Chemical Products - The report notes a decline in the prices of various chemical products, including a 0.505% drop in natural rubber and a 1.019% decrease in PTA [2]. - The domestic methanol market remains stable, with prices around 2,491 yuan per ton, reflecting limited fluctuations in supply and demand [6]. Market Sentiment - The overall market sentiment remains cautious, with traders advised to adopt a short-selling strategy in certain agricultural commodities due to weak demand [5]. - The report suggests that the current market conditions may present opportunities for strategic trading, particularly in sectors showing signs of recovery or stability [9].