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铁矿石风险管理报告:当前平值期权IV
Nan Hua Qi Huo· 2025-10-13 09:52
Report Overview - Report Title: Iron Ore Risk Management Report - Report Date: October 13, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Short - term market trends follow the macro situation. If Sino - US relations ease, the valuation will rise; if the negotiations fluctuate, the price will correct. The iron ore fundamentals are under marginal pressure, with neutral - to - high shipments, inventory accumulating above the seasonal level. Downstream hot metal production is supported, but steel demand is weak, inventory is piling up, and profits are declining. The price is expected to rise first and then fall, oscillating within a range [3]. Summary by Relevant Catalogs Price Forecast - The price forecast range for the iron ore 11 - contract in October is 780 - 850, with the current at - the - money option IV at 19.69% and the historical volatility quantile at 11.3% [2]. Risk Management Strategies Inventory Management - For those with current iron ore inventory worried about future price drops (long risk exposure), strategies include directly short - selling iron ore futures (I2511) to lock in profits with a 25% hedging ratio at an entry range of 840 - 850, and selling call options (I2511 - C - 850) to collect premiums with a 30% ratio by selling at high prices [2]. Procurement Management - For those planning to purchase iron ore in the future and worried about price increases (short risk exposure), strategies include directly going long on iron ore futures (I2511) to lock in costs with a 30% hedging ratio at an entry range of 780 - 790, and selling out - of - the - money put options (I2511 - P - 790). If the price falls below the strike price, hold long futures positions with a 40% ratio by selling at high prices [2]. Factors Affecting Prices Positive Factors - The Fed cut interest rates by 25bp and is expected to cut twice more this year, leading to loose global financial conditions and an expected upward movement of the global manufacturing PMI. Hot metal production remains at a high level. There are short - term supply disruptions, and the "Trump TACO" factor [4]. Negative Factors - With high hot metal production, steel inventory remains high, putting pressure on the fundamentals. Although rebar production cuts have relieved inventory pressure, hot metal is being redirected to hot - rolled coil production, causing hot - rolled coil inventory to accumulate above the seasonal level. Iron ore shipments are increasing, with non - mainstream shipments at a seasonal high, and global iron ore shipments have turned from a cumulative year - on - year negative to positive. After pre - holiday steel mill restocking, port iron ore inventory has started to accumulate above the seasonal level. Macro - level positive factors have been fully priced in, and the anti - involution trend in the industrial sector has not continued [5]. Price Data Futures Closing Prices - On October 13, 2025, the closing prices of the 01, 05, and 09 contracts were 804.5, 781, and 759 respectively, with daily changes of 9.5, 6.5, and 6, and weekly changes of 14.5, 11.5, and 8.5 [5]. Basis - On October 13, 2025, the 01, 05, and 09 basis were - 16.5, 7, and 29 respectively, with daily changes of - 9.5, - 8.5, and - 8, and weekly changes of - 11.5, - 8.5, and - 6 [5][6]. Spot Prices - On October 13, 2025, the prices of Rizhao PB powder, Rizhao Carajás fines, and Rizhao Super Special fines were 788, 923, and 714 respectively, with daily changes of - 2 for all and weekly changes of 10, 6, and 9 [6]. Platts Index - On October 10, 2025, the Platts 58%, 62%, and 65% indexes were 95.85, 107.4, and 121.3 respectively, with daily changes of 1.3, 1.55, and 1.8, and weekly changes of 1.85, 3.3, and 3.55 [7]. Fundamental Data - As of October 10, 2025, the daily average hot metal output was 241.54, with a weekly change of - 0.27 and a monthly change of 0.99. The 45 - port desilting volume was 327, with a weekly change of - 9.4 and a monthly change of 9.22. The apparent demand for five major steel products was 751, with a weekly change of - 153 and a monthly change of - 92. The global shipment volume was 3207.5, with a weekly change of - 71.5 and a monthly change of - 365.6. The Australia - Brazil shipment volume was 2666.5, with a weekly change of - 60.9 and a monthly change of - 184.3. The 45 - port arrival volume was 3045.8, with a weekly change of 437.1 and a monthly change of 683.5. The 45 - port inventory was 14024.5, with a weekly change of 24.22 and a monthly change of 199.18. The inventory of 247 steel mills was 9046.19, with a weekly change of - 990.6 and a monthly change of 53.14. The available days for 247 steel mills were 30.24, with a weekly change of - 3.35 and a monthly change of - 0.08 [14].
南华镍、不锈钢产业风险管理日报-20251013
Nan Hua Qi Huo· 2025-10-13 09:51
Report Industry Investment Rating - No relevant content provided Core Viewpoints - The intraday decline of Shanghai Nickel and stainless steel was mainly affected by the broader market, and the fundamental logic temporarily failed. The quota for nickel ore in Indonesia is expected to decline in 2026, while the new energy sector is entering a peak season with strong downstream demand. Nickel iron prices lack upward momentum, and stainless steel may be weak due to profit pressure and weak demand. There are both positive and negative factors in the market, and macro - level attention should be paid to the subsequent development of Sino - US tariffs [3]. Summaries by Related Catalogs Price and Volatility Forecast - The price range forecast for Shanghai Nickel is 118,000 - 126,000 yuan/ton, with a current 20 - day rolling volatility of 15.17% and a historical percentile of 3.2%. The price range forecast for stainless steel is 12,500 - 13,100 yuan/ton, with a current 20 - day rolling volatility of 7.78% and a historical percentile of 2.1% [2]. Risk Management Strategies Shanghai Nickel - **Inventory management**: When facing product price decline and inventory impairment risk, sell Shanghai Nickel futures (NI main contract) with a 60% hedging ratio and sell call options (over - the - counter/on - exchange options) with a 50% hedging ratio, both with a strategy grade of 2 [2]. - **Procurement management**: When worried about raw material price increases, buy far - month Shanghai Nickel contracts (far - month NI contracts) according to the production plan, sell put options (on - exchange/over - the - counter options), and buy out - of - the - money call options (on - exchange/over - the - counter options), with strategy grades of 3, 1, and 3 respectively [2]. Stainless Steel - **Inventory management**: When facing product price decline and inventory impairment risk, sell stainless steel futures (SS main contract) with a 60% hedging ratio and sell call options (over - the - counter/on - exchange options) with a 50% hedging ratio, both with a strategy grade of 2 [3]. - **Procurement management**: When worried about raw material price increases, buy far - month stainless steel contracts (far - month SS contracts) according to the production plan, sell put options (on - exchange/over - the - counter options), and buy out - of - the - money call options (on - exchange/over - the - counter options), with strategy grades of 3, 1, and 3 respectively [3]. Market Analysis Core Contradictions - Shanghai Nickel and stainless steel declined due to the broader market. Nickel ore quota in Indonesia may decrease in 2026. The new energy sector is in a peak season with high demand. Nickel iron prices are weak, and stainless steel has profit and demand issues. There are export利好 factors for stainless steel, and attention should be paid to Sino - US tariffs [3]. Positive Factors - Indonesia shortens the nickel ore quota license period, changes in mining area management, progress in nickel smelting projects, favorable WTO rulings, and extension of Indian BIS certification exemption [5]. Negative Factors - High pure nickel inventory, Sino - US tariff disturbances, and weak stainless steel demand [5]. Nickel and Stainless Steel Disk Data - **Nickel**: The prices of Shanghai Nickel main contract and related contracts, as well as LME nickel 3M, all declined, with trading volume and open interest also decreasing, while the position of warehouse receipts increased slightly [5]. - **Stainless steel**: The prices of stainless steel contracts declined, but trading volume and open interest increased significantly, and the position of warehouse receipts decreased slightly [6]. Inventory Data - Domestic social nickel inventory is 43,694 tons, an increase of 2,866 tons; LME nickel inventory is 242,094 tons, an increase of 4,716 tons; stainless steel social inventory is 905.6 tons, a decrease of 3.4 tons; nickel pig iron inventory is 29,236 tons, an increase of 584 tons [7].
多事之秋
Nan Hua Qi Huo· 2025-10-13 06:00
Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - After the National Day holiday, the market digested the overseas information during the holiday and continued the pre - National Day price trend. Crude oil's rebound due to geopolitics was unsustainable under OPEC's production increase, and energy - chemical related varieties weakened. Precious metals led the bulls under the environment of US interest rate cuts and global political and economic uncertainties. The threat of the US to impose additional tariffs on China caused drops in US stocks, crude oil, and domestic commodities. Without external intervention, commodities will continue to move based on the weak supply - demand fundamentals [4]. - Unless the fundamentals have relatively certain expectations, it is advisable to mainly observe. The negotiation situation is uncertain, and strategies should focus on short - term or arbitrage to avoid overnight or single - leg positions to avoid macro - systematic risks. In terms of specific sectors, industrial products are weak and precious metals are strong [2][3][5]. Summary by Relevant Catalogs Market Situation - After the National Day holiday, the market digested the overseas information during the holiday and continued the pre - National Day price trend. Energy - chemical products were under pressure from the weakening crude oil price, building materials faced insufficient demand, and agricultural products' valuations declined due to oversupply and weakening demand [4]. - The US threat to impose additional tariffs on China led to drops in US stocks, crude oil, and domestic commodities on the Friday night session [4]. Sector and Variety Analysis - **Industrial Products**: Products like soda ash and PVC have sufficient supply and weak downstream demand. Without effective implementation of relevant measures, the overall industrial products will continue to decline [4]. - **Energy - Chemicals**: Crude oil's rebound relying on geopolitics was unsustainable. Energy - chemical related varieties continued to weaken to release risks [4]. - **Precious Metals**: Led the bulls under the environment of US interest rate cuts and global political and economic uncertainties [4]. Investment Strategies - Unless the fundamentals have relatively certain expectations, it is advisable to mainly observe. Strategies should focus on short - term or arbitrage to avoid overnight or single - leg positions to avoid macro - systematic risks [3][5]. Product Recommendation - The net value performance of the "Chasing the Wind No. 1" and "Chasing the Wind No. 2" strategy products is good. The "Chasing the Wind No. 2" product is in the free trial period and is worth trying. They can be subscribed through the path of [Nanhua Futures app - Research Report Selection - Strategy Research Selection] [5]. Data Tables - **Plate Capital Flow**: The total capital is 20.499 billion, with precious metals at 485 million, non - ferrous metals at 5.005 billion, etc. [9]. - **Black and Non - ferrous Weekly Data**: It shows the price percentile, inventory percentile, valuation percentile, etc. of various black and non - ferrous metal varieties such as iron ore, rebar, etc. [9]. - **Energy - Chemical Weekly Data**: It shows the price percentile, inventory percentile, etc. of energy - chemical varieties such as fuel oil, low - sulfur oil, etc. [11]. - **Agricultural Product Weekly Data**: It shows the price percentile, inventory percentile, etc. of agricultural products such as soybean meal, rapeseed meal, etc. [12].
铁矿石11合约月度价格预测-20251012
Nan Hua Qi Huo· 2025-10-12 00:57
Report Overview - Report Title: Iron Ore Risk Management Report - Report Date: October 10, 2025 - Analyst: Zhou Fuhan (Investment Consulting License No. Z0020173) - Investment Advisory Business Qualification: CSRC License [2011] No. 1290 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term iron ore fundamentals are under marginal pressure, with high shipments, inventory accumulating above the seasonal level. Although downstream hot metal production provides support, steel demand is weak, inventories are piling up, and profits are declining, leading to the accumulation of industrial chain contradictions. The price is expected to rise first and then fall, remaining in a range - bound oscillation. The short - term rhythm depends on whether macro expectations can support the upward valuation; otherwise, it's difficult for the price to have a trending upward movement [3]. 3. Summary by Related Catalogs 3.1 Iron Ore Price Forecast and Strategy - **Price Forecast**: The price forecast range for the iron ore 11 - contract in October is 780 - 850, with the current at - the - money option IV at 19.14% and the historical volatility quantile at 11.3% [2]. - **Risk Management Strategies**: - **Inventory Management**: For those with current iron ore inventory worried about future price drops (long risk exposure), the strategies include directly short - selling iron ore futures (I2511) to lock in profits with a 25% hedging ratio at an entry range of 840 - 850, and selling call options (I2511 - C - 850) to collect premiums with a 30% ratio by selling at high prices [2]. - **Procurement Management**: For those planning to purchase iron ore in the future and worried about price increases (short risk exposure), the strategies are directly going long on iron ore futures (I2511) to lock in costs with a 30% hedging ratio at an entry range of 780 - 790, and selling out - of - the - money put options (I2511 - P - 790). If the price falls below the strike price, hold long futures positions with a 40% ratio by selling at high prices [2]. 3.2 Factors Affecting Iron Ore Prices - **Likely Positive Factors**: The Fed cut interest rates by 25bp and is expected to cut twice more this year, leading to loose global financial conditions and an expected upward movement of the global manufacturing PMI. Hot metal production remains at a high level, and there are short - term supply disruptions [4]. - **Likely Negative Factors**: Despite high hot metal production, steel inventories are still high, putting pressure on the fundamentals. Although rebar production cuts have relieved inventory pressure, the transfer of hot metal to hot - rolled coil production has led to above - seasonal inventory accumulation of hot - rolled coils. Iron ore shipments have increased, with non - mainstream shipments at a seasonal high, and global iron ore shipments have turned from a cumulative year - on - year negative to positive. After pre - holiday steel mill restocking, port iron ore inventories have started to accumulate above the seasonal level. Macro - level positive news has been fully digested, and the anti - involution trend in the industrial sector has not continued. Steel mill profits continue to be under pressure [4][5]. 3.3 Iron Ore Price Data - **Futures Contract Closing Prices**: On October 10, 2025, the closing prices of the 01, 05, and 09 contracts were 795, 774.5, and 753 respectively, with daily changes of 4.5, 3.5, and 2.5, and weekly changes of - 10.5, - 11, and - 12 [4]. - **Basis**: The 01, 05, and 09 basis on October 10, 2025, were - 6, 14.5, and 36 respectively, with daily changes of 0.5, 1.5, and 2.5, and weekly changes of 4.5, - 1, and 1.5 [4][6]. - **Spot Prices**: On October 10, 2025, the prices of Rizhao PB powder, Rizhao Carajás fines, and Rizhao Super Special fines were 788, 923, and 715 respectively [6]. - **Platts Index**: On October 10, 2025, the Platts 58%, 62%, and 65% indexes were 95.85, 107.4, and 121.3 respectively, with daily changes of 1.3, 1.55, and 1.8, and weekly changes of 1.85, 3.3, and 3.55 [7]. 3.4 Iron Ore Fundamental Data - **Production and Consumption - related Data**: As of October 10, 2025, the daily average hot metal production was 241.54, with a weekly change of - 0.27 and a monthly change of 0.99. The 45 - port ore removal volume was 327, with a weekly change of - 9.4 and a monthly change of 9.22. The apparent demand for five major steel products was 751, with a weekly change of - 153 and a monthly change of - 92 [13]. - **Shipment and Arrival Data**: The global shipment volume was 3279, with a weekly change of - 196.4 and a monthly change of 522.8. The Australia - Brazil shipment volume was 2727.4, with a weekly change of - 39.6 and a monthly change of 460.4. The 45 - port arrival volume was 2608.7, with a weekly change of 248.2 and a monthly change of 160.7 [13]. - **Inventory Data**: The 45 - port inventory was 14024.5, with a weekly change of 24.22 and a monthly change of 199.18. The inventory of 247 steel mills was 9046.19, with a weekly change of - 990.6 and a monthly change of 53.14. The available days for 247 steel mills were 30.24, with a weekly change of - 3.35 and a monthly change of - 0.08 [13].
集装箱产业风险管理日报-20251012
Nan Hua Qi Huo· 2025-10-12 00:39
Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View Today, the futures price of the Container Shipping Index (European Line) (EC) fluctuated and declined. Except for EC2510, all other contracts saw varying degrees of decline. Short - term, the futures price is likely to continue to fluctuate with a downward trend, but the cease - fire process in Gaza may be repeated. Strategies can be relatively bearish or a 10 - 12 positive spread strategy can be adopted [3]. 3. Summary by Relevant Content EC Risk Management Strategy - For those with full shipping space or poor booking volume and worried about falling freight rates (long spot exposure), they can short the container shipping index futures (EC2512) at 1700 - 1750 to lock in profits [2]. - For those hoping to book space based on orders and worried about rising freight rates (short spot exposure), they can buy the container shipping index futures (EC2512) at 1500 - 1550 to determine booking costs in advance [2]. Core Contradiction Analysis - The decline in today's futures price is due to the initial cease - fire negotiation in Gaza and the possibility of Maersk resuming Red Sea transportation, as well as China's counter - measures against the US port fee on Chinese ships. The rise of the 10 - contract is because Maersk issued a November price increase letter [3]. 利多 and 利空 Factors - **Lido Factor**: Maersk will increase the FAK rates from major Asian ports to Rotterdam from November 3, with rates rising to $1625/TEU and $2500/FEU [4]. - **Negative Factors**: Maersk may resume Red Sea transportation; China will collect special port fees on US - related ships starting from October 14, 2025, with the fee increasing in stages [3][5]. EC Price and Related Data - **EC Basis**: On October 11, 2025, the basis of EC2510 was - 74.60, with a daily decline of 1.20 and a weekly decline of 156.52. Other contracts also had different basis changes [7]. - **EC Closing Price and Spread**: On October 11, 2025, the closing price of EC2510 was 1121.1, up 0.11% daily and down 4.42% weekly. Different contract spreads also had corresponding changes [7]. Shipping Price and Index - **Container Spot Quotes**: Maersk's container quotes from Shanghai to Rotterdam showed an upward trend in different departure dates in October [9]. - **Global Freight Index**: The SCFIS European route decreased by 6.60%, the SCFIS US - West route decreased by 4.82%, while the SCFI European route increased by 9.99%, and other indices had different changes [10]. Port Waiting Time - On October 10, 2025, the waiting time at Hong Kong Port decreased by 0.656 days compared to the previous day, while Shanghai Port increased by 0.305 days. Other ports also had different waiting time changes [14]. Ship Speed and Waiting Ships - On October 10, 2025, the speed of 8000 + container ships decreased by 0.013 compared to the previous day, and the number of ships waiting at the Suez Canal port anchor increased by 6 [22].
南华金属日报:白银挤仓,波动加剧-20251010
Nan Hua Qi Huo· 2025-10-10 08:54
Report Industry Investment Rating - Not provided in the content Core View of the Report - The medium - to long - term trend of precious metals may be bullish, but in the short term, there is adjustment pressure, and attention should be paid to the progress of the silver squeeze event. It is not advisable to chase the rise of London gold in the short term, and it is recommended to hold the previous long - position bottom position and maintain a wait - and - see attitude [5] Summary by Relevant Catalogs Market Review - On Thursday, the precious metals sector fluctuated significantly, showing a trend of rising first and then falling. The squeeze and shortage in the LBMA silver spot market were the main reasons for the sharp intraday rise in silver prices. The final closing prices of relevant contracts were: COMEX gold 2512 contract at $3991.1 per ounce, down 1.95%; COMEX silver 2512 contract at $47.655 per ounce, down 2.73%; SHFE gold 2512 contract at 914.32 yuan per gram, up 4.82%; SHFE silver 2512 contract at 11169 yuan per kilogram, up 2.22% [2] Interest Rate Cut Expectations and Fund Holdings - The overall expectation of interest rate cuts is stable. According to CME "FedWatch" data, the probability of the Fed keeping interest rates unchanged in October is 5.9%, and the probability of a 25 - basis - point cut is 94.1%. In December, the probability of keeping interest rates unchanged is 0.8%, the probability of a cumulative 25 - basis - point cut is 17.3%, and the probability of a cumulative 50 - basis - point cut is 82%. In January, the probability of a cumulative 25 - basis - point cut is 10.7%, the probability of a cumulative 50 - basis - point cut is 56.2%, and the probability of a cumulative 75 - basis - point cut is 32.7%. The SPDR Gold ETF holdings decreased by 1.14 tons to 1013.44 tons, and the iShares Silver ETF holdings remained at 15415.53 tons. SHFE silver inventory increased by 5.5 tons to 1186.8 tons, and SGX silver inventory decreased by 43.6 tons to 1172.4 tons in the week ending September 26 [3] This Week's Focus - Pay attention to the preliminary value of the October US Michigan Consumer Confidence Index tonight. At 21:45, 2025 FOMC voter and Chicago Fed President Goolsbee will give an opening speech and host a discussion at a community bankers' seminar. At 01:00 on Saturday, 2025 FOMC voter and St. Louis Fed President Musalem will give a speech [4] Precious Metals Price and Spread Data - The latest prices, daily changes, and daily change rates of SHFE and SGX precious metals futures and spot are provided in the "Precious Metals Futures and Spot Price Table", including SHFE gold main - continuous contract at 914.32 yuan per gram, up 4.57%; SGX gold TD at 911.38 yuan per gram, up 4.59%; CME gold main contract at $3991.1 per ounce, down 1.71%; SHFE silver main - continuous contract at 11169 yuan per kilogram, up 2.3%; SGX silver TD at 11176 yuan per kilogram, up 2.94%; CME silver main contract at $47.655 per ounce, down 1.62%. Also, data on SHFE - TD gold and silver spreads, and CME gold - silver ratio are provided [6][7] Inventory and Position Data - The "Inventory and Position Table" shows the latest values, daily changes, and daily change rates of SHFE and CME gold and silver inventories and positions, as well as SPDR gold and SLV silver holdings. For example, SHFE gold inventory is 70728 kilograms, unchanged; CME gold inventory is 1242.2946 tons, down 0.39%; SHFE gold position is 251137 lots, down 2.23%; SHFE silver inventory is 1186.846 tons, down 0.46%; CME silver inventory is 16364.308 tons, down 0.39%; SGX silver inventory is 1172.37 tons, down 3.66%; SHFE silver position is 477441 lots, up 0.25%; SLV silver holdings is 15452.228555 tons, up 0.24% [15] Stock, Bond, and Commodity Overview - The "Stock, Bond, and Commodity Overview" table shows the latest values, daily changes, and daily change rates of various financial and commodity indicators, such as the US dollar index at 99.3875, up 0.55%; US dollar against the Chinese yuan at 7.1358, down 0.24%; Dow Jones Industrial Average at 46358.42 points, down 0.52%; WTI crude oil spot at $62.55 per barrel, up 1.33%; LmeS copper 03 at $10776.5 per ton, up 0.74%; 10 - year US Treasury yield at 4.14%, up 0.24%; 10 - year US real interest rate at 1.8%, up 1.12%; 10 - 2 - year US Treasury yield spread at 0.55%, down 3.51% [21]
结构性行情下,成也萧何,败也萧何
Nan Hua Qi Huo· 2025-10-10 08:54
Report Industry Investment Rating - No relevant content provided Core View - Today's stock market declined, fully erasing yesterday's gains. Although the trading volume of the two markets decreased, it remained above 2.5 trillion yuan. The decline in precious metals overnight led to a drop in the structural driving force, causing non - ferrous metals to correct significantly and technology - related concepts to lead the decline. Cyclical industries showed relatively strong performance but with limited driving force. Short - term structural changes may continue to cause the stock index to fluctuate widely. With important information to be released at home and abroad later this month, the stock market is unlikely to deviate significantly from the current level, and the correction space is limited. It is necessary to observe whether the support of the 5 - day moving average is effective [5] Summary by Directory Market Review - The stock index declined today. Taking the CSI 300 index as an example, it closed down 1.97%. The trading volume of the two markets decreased by 137.583 billion yuan. Among stock index futures, IC declined with shrinking volume, while other varieties declined with increasing volume [3] Important Information - On October 10, three departments including the Ministry of Industry and Information Technology jointly issued an announcement on adjusting the technical requirements for energy - saving and new - energy vehicle products eligible for vehicle and vessel tax incentives. Reuters reported on October 10 that the number of new applications for unemployment benefits in the US increased again last week, indicating that some contractors related to the US government shutdown laid off employees in advance. Starting from October 14, 2025, the maritime management institutions at the ports where the ships berth will collect special port fees for ships owned, operated by US enterprises, organizations or individuals, or ships with US - related equity stakes, US - flagged ships, and ships built in the US [4] Strategy Recommendation - It is recommended to hold positions and wait and see [6] Futures Market Observation - The intraday percentage changes of the main contracts of IF, IH, IC, and IM were - 2.18%, - 1.60%, - 2.24%, and - 1.71% respectively. The trading volumes were 1.6215 million lots, 0.73933 million lots, 1.7039 million lots, and 2.3345 million lots respectively, with环比 increases of 0.26302 million lots, 0.14217 million lots, 0.14916 million lots, and 0.19721 million lots respectively. The open interests were 2.78581 million lots, 1.05743 million lots, 2.60074 million lots, and 3.56927 million lots respectively, with环比 changes of 0.01506 million lots, 0.0217 million lots, - 0.08282 million lots, and 0.03851 million lots respectively [6][8] Spot Market Observation - The percentage changes of the Shanghai Composite Index and the Shenzhen Component Index were - 0.94% and - 2.70% respectively. The ratio of rising to falling stocks was 1.06. The trading volume of the two markets was 2,515.614 billion yuan, a decrease of 137.583 billion yuan compared with the previous day [8]
国债期货日报-20251009
Nan Hua Qi Huo· 2025-10-09 12:04
Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The report suggests paying attention to the central bank's attitude. The short - term market may continue to fluctuate, and it is not advisable to chase high after the rebound. Partial profit - taking of long positions can be considered [1][3]. 3. Summary by Related Catalogs 3.1. Disk Review - On Thursday, treasury bond futures closed higher across the board. Trading volume of TF, T, and TL contracts decreased significantly. Cash bond trading was light, and yields declined across the board. The funding situation was loose, with DR001 around 1.33. Open - market reverse repurchase was 61.2 billion,买断式逆回购 was 110 billion, and the net withdrawal was 35.13 billion [1]. 3.2. Intraday News - The minutes of the Fed's September monetary policy meeting showed differences within the Fed regarding the subsequent rate - cut amplitude. The Ministry of Commerce announced the decision to implement export controls on relevant overseas rare - earth items [2]. 3.3. Market Analysis and Judgment - Treasury bond futures continued the pre - holiday rebound trend today, unaffected by the sharp rise in the stock market. Due to some investment managers and traders still on vacation, market trading was relatively light. The National Development and Reform Commission announced at a press conference before the holiday that it would work with relevant parties to promote new policy - based financial instruments with a scale of 500 billion yuan to supplement project capital. In the future, attention should be paid to the central bank's specific arrangements for this policy. In the short term, the central bank may still prefer to use structural tools to support the real economy and postpone the timing of reserve - requirement ratio cuts and interest - rate cuts [3]. 3.4. Treasury Bond Futures Daily Data | Contract | 2025 - 10 - 09 Price | 2025 - 09 - 30 Price | Today's Change | 2025 - 10 - 09 Position (Lots) | 2025 - 09 - 30 Position (Lots) | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.41 | 102.374 | 0.036 | 75,441 | 74,895 | 546 | | TF2512 | 105.75 | 105.655 | 0.095 | 149,401 | 150,436 | - 1035 | | T2512 | 108.05 | 107.885 | 0.165 | 252,116 | 249,185 | 2931 | | TL2512 | 114.53 | 114 | 0.53 | 174,133 | 170,726 | 3407 | | TS Basis (CTD) | - 0.0372 | - 0.0131 | - 0.0241 | TS Main Contract Trading Volume (Lots) | 29,898 | 29,604 | 294 | | TF Basis (CTD) | - 0.034 | - 0.0013 | - 0.0327 | TF Main Contract Trading Volume (Lots) | 51,620 | 62,260 | - 10640 | | T Basis (CTD) | 0.0524 | 0.2077 | - 0.1553 | T Main Contract Trading Volume (Lots) | 73,515 | 91,682 | - 18167 | | TL Basis (CTD) | 0.319 | 0.3574 | - 0.0384 | TL Main Contract Trading Volume (Lots) | 97,276 | 135,369 | - 38093 | [4]
油料产业风险管理日报-20251009
Nan Hua Qi Huo· 2025-10-09 11:17
Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The current focus of soybean meal futures trading is on the export demand of US soybeans under the background of China - US negotiations. The market will remain in a narrow bottom - range oscillation until actual Chinese purchase orders emerge. The short - term impact of the quarterly inventory report during the holiday is neutral, and attention should be paid to whether the October USDA report will adjust the previous yield. The Brazilian soybean planting progress is recovering, and there are no major yield issues for the new crop. The upside of the domestic soybean complex is constrained by high near - term inventory, and the domestic market is expected to be under pressure, but there are opportunities for long - position valuation repair supported by costs. The domestic rapeseed complex is mainly affected by China - Canada negotiation results and is influenced by supply recovery expectations and soybean meal in the short term [4]. - There is still a bullish sentiment for far - month contracts due to supply - demand gaps, and the Brazilian export premium supports far - month contract prices from the cost side. However, the near - term supply is high, with high port and oil - mill inventories of imported soybeans in China, increasing oil - mill crushing volumes, and a seasonal inventory build - up trend for soybean meal. Rapeseed meal follows soybean meal but is slightly stronger. After the concentrated cancellation of warehouse receipts, the pressure on soybean and rapeseed meal warehouse receipts has increased again, making the near - term supply pressure the dominant factor in the market [5][6]. 3. Summary by Related Catalogs 3.1 Oilseed Price Range Forecast - The monthly price range forecast for soybean meal is 2800 - 3300, with a current 20 - day rolling volatility of 13.8% and a 3 - year historical percentile of 28.4%. The monthly price range forecast for rapeseed meal is 2350 - 2750, with a current 20 - day rolling volatility of 18.5% and a 3 - year historical percentile of 38.6% [3]. 3.2 Oilseed Hedging Strategy - For traders with high protein inventory worried about price drops, they can short soybean meal futures (M2601) with a 25% hedging ratio at an entry range of 3300 - 3400 to lock in profits and cover production costs [3]. - For feed mills with low inventory and wanting to purchase based on orders, they can buy soybean meal futures (M2601) with a 50% hedging ratio at an entry range of 2850 - 3000 to lock in procurement costs in advance [3]. - For oil mills worried about excessive imported soybeans and low soybean meal selling prices, they can short soybean meal futures (M2601) with a 50% hedging ratio at an entry range of 3100 - 3200 to lock in profits and cover production costs [3]. 3.3 Oilseed Futures Prices | Futures Contract | Closing Price | Daily Change | Percentage Change | | --- | --- | --- | --- | | Soybean Meal 01 | 2939 | 11 | 0.38% | | Soybean Meal 05 | 2755 | 17 | 0.62% | | Soybean Meal 09 | 2863 | 16 | 0.56% | | Rapeseed Meal 01 | 2435 | 14 | 0.58% | | Rapeseed Meal 05 | 2334 | 17 | 0.73% | | Rapeseed Meal 09 | 2415 | 12 | 0.5% | | CBOT Yellow Soybeans | 1029.75 | 0 | 0% | | Off - shore RMB | 7.1527 | 0.0096 | 0.13% | [6][8] 3.4 Bean - Rapeseed Meal Price Spreads - The M01 - 05 spread of soybean meal is 184 with a daily change of - 6, and the RM01 - 05 spread of rapeseed meal is 101 with a daily change of - 3. - The M05 - 09 spread of soybean meal is - 108 with a daily change of 1, and the RM05 - 09 spread of rapeseed meal is - 81 with a daily change of 5. - The M09 - 01 spread of soybean meal is - 76 with a daily change of 5, and the RM09 - 01 spread of rapeseed meal is - 20 with a daily change of - 2. - The spot price of soybean meal in Rizhao is 2950 with a daily change of 10, and the basis is 11 with a daily change of - 1. - The spot price of rapeseed meal in Fujian is 2540 with no daily change, and the basis is 105 with no daily change. - The spot price spread between soybean meal and rapeseed meal is 410 with a daily change of 10, and the futures price spread is 504 with a daily change of - 3 [9]. 3.5 Oilseed Import Costs and Crushing Profits | Import Item | Price (Yuan/ton) | Daily Change | Weekly Change | | --- | --- | --- | --- | | US Gulf Soybean Import Cost (23%) | 4471.4503 | - 32.1737 | 0.031 | | Brazilian Soybean Import Cost | 3975.71 | 67.65 | 65.91 | | Cost Difference between US Gulf (3%) and US Gulf (23%) | - 727.0651 | - 12.6593 | - 12.0831 | | US Gulf Soybean Import Profit (23%) | - 622.9153 | - 32.1737 | - 44.9143 | | Brazilian Soybean Import Profit | 30.936 | - 5.1388 | - 0.2864 | | Canadian Rapeseed Import Futures Profit | 1027 | 29 | 188 | | Canadian Rapeseed Import Spot Profit | 1247 | 49 | 211 | [10]
南华镍、不锈钢产业风险管理日报-20251009
Nan Hua Qi Huo· 2025-10-09 10:02
Group 1: Report Overview - Report Name: Nanhua Nickel & Stainless Steel Industry Risk Management Daily Report [1] - Date: October 9, 2025 [1] - Research Team: Nanhua New Energy & Precious Metals Research Team [1] - Analysts: Xia Yingying, Guan Chenghan [1] Group 2: Price and Volatility Forecast Nickel - Price Range Forecast: 118,000 - 126,000 yuan/ton - Current Volatility (20 - day rolling): 15.17% - Current Volatility Historical Percentile: 3.2% [2] Stainless Steel - Price Range Forecast: 1,250 - 1,310 yuan/ton - Current Volatility (20 - day rolling): 6.62% - Current Volatility Historical Percentile: 0.1% [2] Group 3: Risk Management Strategies Nickel Inventory Management - Strategy 1: Sell NI main - contract futures according to inventory level to lock in profits and hedge against spot price decline, sell - side ratio 60%, strategy grade 2 - Strategy 2: Sell call options (over - the - counter/on - exchange options), sell - side ratio 50%, strategy grade 2 [2] Procurement Management - Strategy 1: Buy far - month NI contracts according to production plan to lock in production costs, buy - side ratio based on procurement plan, strategy grade 3 - Strategy 2: Sell put options (on - exchange/over - the - counter options), sell - side ratio based on procurement plan, strategy grade 1 - Strategy 3: Buy out - of - the - money call options (on - exchange/over - the - counter options), buy - side ratio based on procurement plan, strategy grade 3 [2] Stainless Steel Inventory Management - Strategy 1: Sell SS main - contract futures according to inventory level to lock in profits and hedge against spot price decline, sell - side ratio 60%, strategy grade 2 - Strategy 2: Sell call options (over - the - counter/on - exchange options), sell - side ratio 50%, strategy grade 2 [3] Procurement Management - Strategy 1: Buy far - month SS contracts according to production plan to lock in production costs, buy - side ratio based on procurement plan, strategy grade 3 - Strategy 2: Sell put options (on - exchange/over - the - counter options), sell - side ratio based on procurement plan, strategy grade 1 - Strategy 3: Buy out - of - the - money call options (on - exchange/over - the - counter options), buy - side ratio based on procurement plan, strategy grade 3 [3] Group 4: Core Contradictions - Nickel and stainless steel prices rose strongly during the day, and the overall non - ferrous metals market was strong. - In the nickel ore market, Indonesia shortened the nickel ore quota license period from three years to one year, and the 2026 quota is expected to decline. - In the new energy market, the downstream procurement willingness recovered after the holiday, with tight market circulation, low inventory, and continued strong subsequent quotes. - The upward momentum of nickel - iron prices has dissipated, but the downward space is limited due to cost pressure. - In the stainless steel market, spot transactions improved after the holiday, and export prospects are positive, which may relieve the pressure of weak demand recovery. [3] Group 5: Market Sentiment Analysis Bullish Factors - Indonesia shortened the nickel ore quota license period from three years to one year. - The Indonesian Forestry Working Group took over part of the nickel mining area of PT Weda Bay. - CATL and Antam promoted the continuous construction of the nickel integrated smelter. - The WTO ruled that the EU's additional tax on Indonesian stainless steel was illegal. - The exemption of India's BIS certification was extended to the end of the year. [5] Bearish Factors - High pure nickel inventory. - Sino - US tariff disturbances still exist. - As of now, the demand recovery during the "Golden September and Silver October" period has fallen short of expectations. [5] Group 6: Market Data Nickel | Indicator | Latest Value | Change | Change Rate | Unit | | --- | --- | --- | --- | --- | | Shanghai Nickel Main - continuous | 124,480 | 3,580 | 3% | yuan/ton | | Shanghai Nickel Continuous 1 | 124,480 | 3,580 | 2.96% | yuan/ton | | Shanghai Nickel Continuous 2 | 124,660 | 3,600 | 2.97% | yuan/ton | | Shanghai Nickel Continuous 3 | 124,850 | 3,580 | 2.97% | yuan/ton | | LME Nickel 3M | 15,382 | - 103 | - 2.95% | US dollars/ton | | Trading Volume | 130,864 | 3,674 | 2.89% | lots | | Open Interest | 86,038 | 9,898 | 13.00% | lots | | Warehouse Receipts | 24,775 | - 42 | - 0.17% | tons | | Basis of Main Contract | - 610 | 135 | - 18.1% | yuan/ton | [5] Stainless Steel | Indicator | Latest Value | Change | Change Rate | Unit | | --- | --- | --- | --- | --- | | Stainless Steel Main - continuous | 1,286 | 130 | 1% | yuan/ton | | Stainless Steel Continuous 1 | 1,286 | 130 | 1.02% | yuan/ton | | Stainless Steel Continuous 2 | 1,288 | 130 | 1.02% | yuan/ton | | Stainless Steel Continuous 3 | 1,295 | 120 | 0.94% | yuan/ton | | Trading Volume | 88,195 | - 39,957 | - 31.18% | lots | | Open Interest | 60,514 | - 7,320 | - 10.79% | lots | | Warehouse Receipts | 86,551 | - 418 | - 0.48% | tons | | Basis of Main Contract | 840 | 30 | 3.70% | yuan/ton | [6] Group 7: Inventory Data | Inventory Type | Latest Value (tons) | Change | | --- | --- | --- | | Domestic Social Inventory of Nickel | 40,828 | - 656 | | LME Nickel Inventory | 236,892 | 4,260 | | Stainless Steel Social Inventory | 909 | 11.8 | | Nickel Pig Iron Inventory | 28,652 | - 614.5 | [7]