商品期货量化周报：诚信融合创新卓越-20250629

Report Information - Report Title: Commodity Futures Quantitative Report - Date: June 29, 2025 - Researcher: Chen Weiwen - Contact Information: Phone 0571 - 28132619, Email chenweiwen@cindasc.com [1] 1. Industry Investment Rating - No investment rating information is provided in the report. 2. Core Viewpoints - This week, the overall performance of commodity futures is mixed, with significant differences in the rise and fall of various sectors and varieties. The total commodity positions slightly decreased this week. The market is in a stage of stock - fund game, and there are differences in the short - term trends of different varieties [4][7][8]. 3. Summary by Directory 3.1 Plate Rise and Fall - Wind Commodity Index fell 1.01%, Wind Precious Metals Index fell 1.06%, Wind Non - ferrous Metals Index rose 3.98%, Wind Coking Coal and Steel Ore Index rose 2.24%, Wind Energy Index fell 11.01%, Wind Chemical Index fell 2.27%, Wind Non - metallic Building Materials Index rose 1.08%, Wind Oilseeds and Oils Index fell 3.58%, Wind Soft Commodities Index rose 0.76%, Wind Grain Index fell 0.81%, and Wind Agricultural and Sideline Products Index rose 1.49% [4] 3.2 Variety Rise and Fall - This week, the rise and fall of varieties are different. Industrial Silicon Index soared 8.48%, Lithium Carbonate Index rose 7.16%, Coking Coal Index rose 6.99%, Polysilicon Index rose 5.92%, Red Date Index rose 4.83%, Crude Oil Index plunged 12.21%, Fuel Oil Index plunged 10.89%, Low - sulfur Fuel Oil Index plunged 8.5%, Rapeseed Index fell 5.97%, and LPG Index fell 5.69% [7] 3.3 Strategy Signals - From the perspective of position, the total commodity positions slightly decreased this week. Red dates, pulp, Shanghai Tin, Rapeseed Meal, Coking Coal and other varieties had a relatively high increase in positions. Currently, the position percentiles of Coking Coal, Red Dates, Hot - rolled Coil, Soybean Meal, and Shanghai Copper are above 90%. - From the perspective of volatility, the volatility percentiles of Crude Oil, Fuel Oil and other varieties are above 90%, while those of Shanghai Lead, Apple, Stainless Steel, Corn, Sugar, Hot - rolled Coil, Cotton, Rebar, Shanghai Nickel, Iron Ore, and Live Pigs are below 10%. - From the perspective of basis, Red Dates, Polyethylene, Pulp, Glass, Shanghai Zinc and other futures have a large discount, while Coke, Eggs and other futures have a large premium. - Key varieties to focus on recently: Red Dates, Pulp, Cotton, Shanghai Copper, Coking Coal [8] 3.4 Fund Tracking - In terms of precipitation funds, varieties with more precipitation funds this week are Shanghai Gold, Shanghai Copper, Shanghai Silver, Soybean Meal, and Iron Ore, indicating a greater long - term interest from the market. Varieties with less precipitation funds are Early Indica Rice, Common Wheat, Strong Gluten Wheat, Late Indica Rice, and Steam Coal, indicating a smaller long - term interest from the market. - In terms of fund flow, the market is in a stage of stock - fund game this week. Varieties with the largest fund inflows are Shanghai Copper, Coking Coal, Cotton, Shanghai Tin, and Pulp, indicating increased short - term differences in the market for these varieties and potential large - scale market movements. Varieties with the largest fund outflows are Shanghai Gold, Rapeseed Oil, PTA, Soybean Meal, and Shanghai Nickel, indicating reduced short - term differences in the market for these varieties and a lower possibility of large - scale market movements [9] 3.5 Member Positions - Varieties with consistent long net positions this week are Shanghai Gold, Shanghai Copper, Shanghai Tin, Asphalt, Palm Oil, Soybean Oil, and Cotton, indicating a long - term bullish view on these varieties. - Varieties with consistent short net positions this week are Glass, Soda Ash, PVC, Methanol, Short Fibre, Rubber, and Live Pigs, indicating a long - term bearish view on these varieties. - Varieties with consistent net position changes turning long this week are Shanghai Copper, Shanghai Nickel, Shanghai Tin, Shanghai Zinc, Coking Coal, Soda Ash, 20 - grade Rubber, and Peanuts, indicating a short - term bullish view on these varieties. - Varieties with consistent net position changes turning short this week are Fuel Oil, Styrene, Methanol, Short Fibre, PTA, Urea, Soybean Meal, Red Dates, and Corn Starch, indicating a short - term bearish view on these varieties [10]