全球宏观及大类资产配置周报 东证衍生品研究院 宏观策略组 2026年2月9日 国内宏观面消息平淡，股市资金缩量涌向低位的食品饮料、银行等板块，此前资金炒作板块拖累A股继续回 撤，短期难有较大行情，但春节前后随着两会临近，春季躁动仍未走完，债市短期的反弹幅度可能仍然受到 股票市场的压制。 二、全球大类资产走势一览 上海东证期货有限公司 目录 一、宏观脉络追踪 二、全球大类资产走势一览 三、大类资产周度展望 ——贵金属、外汇、美股、A股、国债 四、全球宏观经济数据跟踪 一、宏观脉络追踪 宏观脉络追踪 周五美伊双方在阿曼进行会谈，双方均同意继续对话，但针对核问谈判的核心分歧依然不可调和，特朗普再 次使用关税作为谈判武器，宣布对所有与伊朗有贸易往来的国家加征25%的额外关税，同时对伊朗的军事 威胁也并未彻底消除。高市早苗在选举中获得压倒性胜利，日本可能转向更加激进的财政刺激和军事扩张路 线，全球地缘政治风险仍未消除。商品市场继续消化沃什当选美联储主席带来的冲击，波动率依然维持高位。 科技公司激进的资本开支计划引发市场担忧，美股剧烈调整，但企业盈利稳健扩张，叠加2月大型科技公司 模型迭代计划密集，多空博弈加剧，仍未打破 ...

周度报告——风险管理 期货技术分析周报：2026 年第 6 周 报告日期： 2026 年 2 月 9 日 ★商品期货 根据周度期货技术指标信号分析，贵金属板块黄金和白银下 周以看跌为主。有色板块中氧化铝看涨，而铝、锌、锡、铝 合金、铜和工业硅均呈看跌信号，其余品种震荡。其中沪铜 主力节前波动剧烈，MACD 死叉逼近零轴，价格回落至布林 带下轨，持仓量减少，预计下周延续震荡回调，需重点关注 MA60 支撑，若下破则可能进一步下跌，建议多头观望并注 意仓位管理。黑色及航运板块中，热卷、线材、锰硅、螺纹 钢和铁矿石看跌，欧线集运看涨；螺纹钢主力日线连续下跌， MACD 空头排列至零轴，价格已穿 MA60，支撑关注 3000-3040 附近，预期跌势延续。能源板块中原油、沥青和 LPG 看涨， 燃料油等震荡。化工板块聚丙烯看涨，PTA、对二甲苯等看 跌；PTA 主力周线处于 5000-5400 元/吨震荡区间，MACD 维 持多头但柱状收缩，日线震荡偏弱，预计下周震荡为主。农 产品板块豆一、白糖和玉米看涨，豆二、菜籽粕等看跌；玉 米主力日线呈整理态势，量能不足，MACD 零上死叉但下方 空间有限，短期或在 2220— ...

日度报告——综合晨报 中国央行继续增持黄金，美伊谈判仍存分歧 [T报ab告le_日R期an：k] 2026-02-09 宏观策略（黄金） 中国 2026 年 1 月末黄金储备报 7419 万盎司 晨 国常会：研究促进有效投资政策措施 周五贵金属先跌后涨最终大幅反弹，CME 上调保证金的影响基 本消化，抄底资金出现，贵金属整体波动仍然偏高，尤其是白 银。美伊第一轮谈判结束，后续将继续谈判。 宏观策略（外汇期货(美元指数)） 美伊结束在阿曼间接谈判 导弹与核问题分歧待解 综 美伊谈判结束，目前没有达成协议，地缘局面依旧处于复杂状 态，美元指数震荡。 合 宏观策略（股指期货） 报 股市成交缩量，节前机会相对较小。近期值得关注的是通胀数 据，尤其是大宗涨价对下游的传导。若通胀走高、结构良好， 则今年宏观或可高看一线。 黑色金属（螺纹钢/热轧卷板） 1 月中国挖掘机销量 18708 台，同比增长 49.5% 近期金属价格大幅回落，加之累库带来的现货端压力，都导致 钢价承压。不过春节前钢价的回落也使得贸易商情绪更为谨慎。 预计节前钢价弱势运行，轻仓关注风险。 有色金属（铜） 巴西关键矿产投资热潮涌动 宏观影响因素短期复杂 ...

1. Report Industry Investment Rating - The rating for lithium carbonate is "Oscillating" [4] 2. Core Viewpoints of the Report - The actual fundamentals of lithium carbonate are positive, but the futures market is significantly affected by macro - sentiment and capital flows. After the Spring Festival, the fundamentals are expected to show a simultaneous increase in supply and demand. From March to Q2, lithium carbonate is still expected to experience inventory reduction. After the supply increases in Q3, there may be inventory accumulation, but considering the demand growth, the inventory days are expected to decrease to less than one month. The price center of lithium carbonate may still be significantly higher than before. A bullish strategy is recommended, and investors should look for opportunities to go long at low prices after the trading volume and volatility stabilize [2][16] 3. Summary by Relevant Catalogs 3.1 1 Month Chilean Shipment Exceeded Expectations, and the Futures Market Declined Significantly - **Price Changes**: This week (2/2 - 2/6), lithium salt prices dropped significantly. The closing price of LC2605 decreased by 10.3% week - on - week to 132,900 yuan/ton. The average spot prices of SMM battery - grade and industrial - grade lithium carbonate decreased by 16.2% and 16.6% week - on - week to 134,500 and 131,000 yuan/ton respectively. The price of lithium hydroxide fluctuated accordingly [11] - **Chilean Exports**: In January 2026, Chile exported a total of 25,400 tons of lithium carbonate and lithium hydroxide, a 26% increase month - on - month and an 8% decrease year - on - year. Exports to China were 17,000 tons, a 44.8% increase month - on - month and an 11% decrease year - on - year. In January 2026, Chile shipped 27,800 tons (13,900 tons LCE) of lithium sulfate to China, a 475% increase month - on - month and a 1222% increase year - on - year. This large shipment may be due to pulse shipments considering the Spring Festival [1][12] - **Supply and Demand and Inventory**: According to SMM forecasts, the lithium carbonate production in February is 81,930 tons, a 16% decrease month - on - month. In the demand side, the production schedules of cathodes and cells also decreased in February, but the decline was lower than that of lithium salts. It is expected that lithium carbonate will continue to reduce inventory in February. This week, the total inventory of the SMM lithium carbonate sample decreased by 2019 tons week - on - week [13] - **Terminal Market**: In the power battery sector, in January 2026, the estimated wholesale volume of new energy passenger vehicles by national manufacturers was 900,000 units, a 1% year - on - year increase. Considering the Spring Festival effect in the same period last year, this data is not optimistic. In the energy storage sector, in January 2026, there were 152 energy storage bidding and winning projects. On January 30, the National Development and Reform Commission and the National Energy Administration issued a notice to improve the capacity price mechanism on the power generation side, which is beneficial to the energy storage yield [2][15] 3.2 Weekly Industry News Review - Sigma Lithium resumed the mining operation of the Grota do Cirilo lithium mine on February 3, 2026. This mine is Sigma's only operating asset and the largest lithium mine in Brazil, with an annual production capacity of 270,000 tons of lithium concentrate [17] - Tianqi Lithium plans to dispose of no more than 3,565,970 Class A shares of SQM, accounting for no more than 1.25% of SQM's total shares [17] 3.3 Key High - Frequency Data Monitoring of the Industry Chain 3.3.1 Resource End: The Price Trends of Ore and Salt are Consistent - The report presents data on the average spot price of lithium concentrate and the monthly inventory of lithium ore samples [19][21] 3.3.2 Lithium Salts: The Futures Market Fell from High Levels, and the Basis Fluctuated Significantly - The report shows data on the closing price of the GFEX lithium carbonate main contract, the term structure of GFEX lithium carbonate, domestic weekly lithium carbonate production, SMM weekly lithium carbonate inventory, domestic average spot price of lithium carbonate and the electric - industrial price difference, lithium carbonate basis, domestic average spot price of lithium hydroxide, the price difference between domestic and overseas lithium hydroxide, the price difference between domestic battery - grade lithium hydroxide and lithium carbonate, and the theoretical production profit of lithium salt plants [24][31][34] 3.3.3 Downstream Intermediates: The Production Schedules in February are Good - The report includes data on the monthly production of SMM ternary materials, SMM lithium iron phosphate, the price trend of lithium iron phosphate, the average price of lithium iron phosphate cells (power type), the price trend of ternary materials, the average price of 523 square ternary cells (power type), the price trend of lithium cobalt oxide, and the average price of lithium cobalt oxide cells (consumer type) [48][53][57] 3.3.4 Terminal: Pay Attention to the Negative Feedback in the Industry Chain - The report provides data on China's power battery installation volume and year - on - year growth rate, the monthly installation proportion of China's power batteries, China's new energy vehicle production and sales year - on - year growth rate, and China's new energy vehicle penetration rate [62][66][68]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - This week (February 2 - 6, 2026), the trading activity in the commodity options market declined slightly, with the average daily trading volume at 8.54 million lots and the average daily open interest at 9.31 million lots, showing a -4.75% and +5.24% change respectively compared to the previous period. Traders are advised to focus on potential market opportunities in actively traded varieties [1][8]. - This week, most underlying assets of commodity options declined. Polysilicon had a relatively high weekly increase of +4.55%, while silver, tin, and lithium carbonate had relatively high weekly decreases of -32.72%, -12.71%, and -10.31% respectively. The market volatility remained high, with the implied volatility of 55 varieties currently above the 50th percentile of the past year. It is recommended to be vigilant about unilateral risks and consider short - volatility opportunities [2][16]. - Currently, the trading volume PCR of synthetic rubber, lithium carbonate, and iron ore is at historical highs, indicating a short - term concentrated bet on price declines. The trading volume PCR of ethylene glycol, crude oil, palm oil, and styrene is at a one - year low, indicating a concentrated bet on price increases. The open interest PCR of PVC and synthetic rubber is at historical highs, while that of soybean meal, caustic soda, rapeseed meal, and rapeseed oil is at a one - year low [2][16]. 3. Summary by Directory 3.1 Commodity Options Market Activity - This week, the trading activity in the commodity options market declined slightly. The average daily trading volume was 8.54 million lots, and the average daily open interest was 9.31 million lots, with a -4.75% and +5.24% change respectively compared to the previous period [1][8]. - The actively traded varieties this week included lithium carbonate (830,000 lots), silver (810,000 lots), and PTA (640,000 lots). The varieties with significant trading volume growth were polysilicon (+95%) and lithium carbonate (+85%), while those with significant declines were p - xylene (-95%) and apples (-87%) [1][8]. - The varieties with high average daily open interest this week were glass (670,000 lots), soybean meal (620,000 lots), and soda ash (600,000 lots). The varieties with rapid open - interest growth were silver (+39%) and gold (+38%) [1][8]. 3.2 This Week's Main Data Review of Commodity Options - **Underlying Asset Price Movements**: This week, most underlying assets of commodity options declined. Polysilicon had a relatively high weekly increase of +4.55%, while silver, tin, and lithium carbonate had relatively high weekly decreases of -32.72%, -12.71%, and -10.31% respectively [2][16]. - **Market Volatility**: The market volatility remained high, with the implied volatility of 55 varieties currently above the 50th percentile of the past year. The varieties with significant week - on - week increases in implied volatility included silver (+15.19 pct) and caustic soda (+8.62 pct). It is recommended to be vigilant about unilateral risks and consider short - volatility opportunities [2][16]. - **Options Market Sentiment**: The trading volume PCR of synthetic rubber, lithium carbonate, and iron ore is at historical highs, indicating a short - term concentrated bet on price declines. The trading volume PCR of ethylene glycol, crude oil, palm oil, and styrene is at a one - year low, indicating a concentrated bet on price increases. The open interest PCR of PVC and synthetic rubber is at historical highs, while that of soybean meal, caustic soda, rapeseed meal, and rapeseed oil is at a one - year low [2][16]. 3.3 Key Data Overview of Main Varieties This chapter mainly presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data for more varieties can be accessed on the Dongzheng Finoview official website (https://www.finoview.com.cn/) [22]. - **Energy**: Relevant charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of crude oil [23][24][25]. - **Chemicals** - **PTA**: Charts display data on the total trading volume, volatility, open interest PCR, and trading volume PCR of PTA [29][30][36]. - **Caustic Soda**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of caustic soda [38][39][40]. - **Glass**: Charts present data on the total trading volume, volatility, open interest PCR, and trading volume PCR of glass [44][45][46]. - **Soda Ash**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of soda ash [50][51][52]. - **Precious Metals**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of silver [59][60][61]. - **Ferrous Metals** - **Iron Ore**: Charts display data on the total trading volume, volatility, open interest PCR, and trading volume PCR of iron ore [68][70][74]. - **Silicomanganese**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of silicomanganese [75][76][77]. - **Non - Ferrous Metals** - **Copper**: Charts present data on the total trading volume, volatility, open interest PCR, and trading volume PCR of copper [82][84][88]. - **Aluminum**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of aluminum [90][91][92]. - **Agricultural Products** - **Soybean Meal**: Charts display data on the total trading volume, volatility, open interest PCR, and trading volume PCR of soybean meal [95][97][98]. - **Palm Oil**: Charts show data on the total trading volume, volatility, open interest PCR, and trading volume PCR of palm oil [102][103][104]. - **Cotton**: Charts present data on the total trading volume, volatility, open interest PCR, and trading volume PCR of cotton [108][109][111].

金工策略周报 东证衍生品研究院金工首席分析师：李晓辉（商品CTA、商品指数） 从业资格号： F03120233 投资咨询号： Z0019676 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 投资咨询号： Z0022032 （一）国债期货量化策略 东证衍生品研究院金工高级分析师：徐凡（国债期货、基本面量化） 从业资格号： F03107676 交易咨询号： Z0022032 ★国债期货行情简评： 各品种 基差与 历史均 值比较 （按到 期日聚 合） 各品种基差各品种净基差 各品种 净基差 与历史 均值比 较（按 到期日 聚合） 各品种 基差季 节性 （按交 易日聚 合） 各品种 净基差 季节性 （按交 易日聚 合） 各品种后复权基差 各品种后复权净基差 各品种基差跨期价差 ★风险提示： 量化模型基于历史数据构建，市场环境变化或导致模型信号失效。 Ø 上周各期债均收涨，30年期主力合约收涨0.58%，十年期主力合约涨0.11%，五年期主力合约涨 0.05%，两年期主力合约收跌0.05% Ø 上周各品种基差分化，十债CTD券为250018，6号基差收于0.05元左右， ...

周度报告-黄金 市场波动增加，黄金震荡收涨 [走Ta势bl评e_级Ra：nk] 黄金：震荡 报告日期： 2026 年 2 月 8 日 [★Ta市bl场e_综Su述mm：ary] 伦敦金涨 1.4%至 4964 美元/盎司。10 年期美债收益率降至 4.21%， 通胀预期 2.32%，实际利率微降至 1.89%，美元指数涨 0.66%至 97.6， 标普 500 指数跌 0.1%，人民币震荡收涨，内外价差波动增加。 贵 金 属 贵金属延续高波动状态，黄金波动率下降至 30 附近，白银波动率 仍有 80%，多空博弈增加，黄金整体表现好于白银，金银比价继 续回升。市场继续消化凯文·沃什的利空，但金价在下跌至 60 日均线附近获得资金抄底介入，成为支撑位。美联储多位官员发 表讲话，米兰已经辞去白宫经济顾问委员会主席一职，意味着可 能会继续担任美联储理事，也是特朗普阵营的鸽派代表，米兰表 示美联储今年有必要将利率下调超过 100 个基点，鹰派的官员则 表示当前通胀高于目标水平，博斯蒂克直言预计 2026 年不会降 息，政策利率应该维持在适度紧缩的水平，短期美联储步入观望 阶段，短期货币政策层面缺乏利多。美国经济数据喜忧 ...

周度报告—氧化铝 、smingfTable_Title] 矿石价格持稳， 氧化铝供给压减 [Table_Summary] ★ 矿石价格持稳，氧化铝供给压减 有 色 原料：上周国内矿石价格持稳，山西 58/5 品位矿石到厂含税价 格 640 元，河南 58/5 铝土矿到厂价 610 元 / 吨。春节期间多 数矿山进入停产周期，市场价格维持相对稳定，但价格仍处于下 行周期。进口方面，阿拉丁（ALD）几内亚矿（45/3）报价维持 61-62 美元/干吨，下游用户接货意向逐渐向 CIF 55 美元/吨靠拢。 海运费价格小幅上涨后，几内亚 FOB 价格已跌破部分矿山成本。 期内新到矿石 423.2 万吨，其中新到几内亚资源 353.4 万吨，澳 大利亚资源69.7万吨。几内亚至中国的 Cape船市场参考报价26.5 美元/吨。 金 属 氧化铝：上周氧化铝现货价格维持稳定。阿拉丁（ALD）北方 综合价格在 2580-2640 元/吨，较上周持平；国产加权指数 2610.4 元/吨，较上周持平。进口氧化铝港口报价在 2700-2740 元/吨， 较上周持平。市场价格受市场传闻影响，波动相对剧烈。进口方 面，西澳大利亚 3 ...

d[Table_Title] 风险偏好波动回升，美元走向震荡 周度报告-外汇期货 [★Ta本bl周e_全Su球mm市a场ry]概述 市场风险偏好摇摆，股市多数上涨，债券收益率多数微升，美 债收益率微降至 4.21%。美元指数涨 0.66%至 97.6，非美货币涨 跌互现，离岸人民币涨 0.41%，欧元跌 0.31%，英镑跌 0.55%， 日元跌 1.58%，瑞郎跌 0.39%，加元、泰铢、林吉特、卢比收 跌，澳元、兰特、雷亚尔、比索收涨。金价涨 1.4%至 4964 美元 /盎司，VIX 指数回升至 17.7，现货商品指数收跌，布油跌 2.3% 至 71 美元/桶。 外 ★市场交易逻辑 汇 期 货 股票市场开始逐渐消化凯文·沃什当选美联储主席带来的利空 影响，但整体情绪偏弱，科技公司财报对市场影响增加。地缘 政治风险边际降温，美国和伊朗重启谈判，中美领导人通电 话，4 月美国总统特朗普计划访华，关注后续进展。美联储多位 官员开始发表讲话，理事米兰已经辞去白宫经济顾问委员会主 席一职，意味着可能会继续担任美联储理事，也是特朗普阵营 的鸽派代表，米兰表示美联储今年有必要将利率下调超过 100 个基点，鹰派的官员则 ...

★下周观点：持仓过节 周度报告——股指期货 高位题材回撤，股市切向低位 [★Ta一bl周e_复Su盘mm：a贵ry]金属与科技齐跌 股 指 期 货 本周（02/02-02/06）以美元计价的全球股市收跌。MSCI 全球指 数跌 0.14%，其中发达市场（+0.03%）>新兴市场（-1.42%）> 前沿市场（-1.77%）。印度股市涨 3.08%跑赢全球，韩国股市跌 5.06%全球表现最差。中国权益下跌，分市场看，中概股>A 股> 港股。A 股沪深京三市日均成交额 24069 亿元，环比上周（30636 亿元)缩量 6567 亿元。A 股宽基指数多数下跌，其中微盘股指数 涨 2.35%表现最好，科创 50 指数跌 5.76%表现较弱。本周 A 股 中信一级行业中共 15 个上涨（上周 10 个），15 个下跌（上周 20 个）。涨幅最大的行业为食品饮料（+4.44%），跌幅最大的 行业为有色金属（-8.46%）。利率方面，本周 10Y 国债收益率下 行，1Y 上行，利差缩小。ETF 资金流向方面，跟踪沪深 300 指 数的 ETF 份额本周减少 11 亿份，跟踪中证 500 的 ETF 份额减 少 16 亿份。 ...