量化跟踪周报-20251019

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Based on the Huatai Commodity Multi-Factor Model, this week it is recommended to overweight copper, silver, soybean oil, gold, and fresh apples, and underweight glass, alumina, soda ash, eggs, and styrene [4][51] Summary by Relevant Catalogs 1. Plate Liquidity - This week, the trading volume of the basic metals sector was 1784.354 billion yuan, a change of 104.21% from last week, with a margin of 50.724 billion yuan, a change of -3.33 billion yuan from last week [1] - The energy and chemical sector had a trading volume of 1641.153 billion yuan, a change of 148.50% from last week, and a margin of 36.5 billion yuan, a change of 0.198 billion yuan from last week [1] - The agricultural products sector had a trading volume of 1222.184 billion yuan, a change of 88.30% from last week, and a margin of 41.853 billion yuan, a change of 1.864 billion yuan from last week [1] - The precious metals sector had a trading volume of 5172.317 billion yuan, a change of 271.03% from last week, and a margin of 76.338 billion yuan, a change of 4.96 billion yuan from last week [1] - The black building materials sector had a trading volume of 1013.342 billion yuan, a change of 161.66% from last week, and a margin of 33.353 billion yuan, a change of 1.948 billion yuan from last week [1] - The stock index futures sector had a trading volume of 3921.85 billion yuan, a change of 133.22% from last week, and a margin of 154.917 billion yuan, a change of -10.672 billion yuan from last week [1] - The treasury bond futures sector had a trading volume of 1592.895 billion yuan, a change of 132.22% from last week, and a margin of 16.084 billion yuan, a change of 1.145 billion yuan from last week [1] 2. Market and Plate Style - Since the beginning of this year, the Wande Commodity Index has a change of 33.76%, the Non-ferrous Index has a change of 2.25%, the Energy Index has a change of -22.63%, the Chemical Index has a change of -17.92%, the Oilseeds Index has a change of 4.47%, the Precious Metals Index has a change of 48.17%, and the Coking Coal and Steel Ore Index has a change of 0.64% [2] - The Huatai Commodity Long-term Momentum Index has a change of 18.76%, the Short-term Momentum Index has a change of 0.20%, the Skewness Index has a change of 12.23%, and the Term Structure Index has a change of 3.39% [2] - The latest VIX indicators of stock index options are as follows: SSE 50 Index Option is 19.26%, CSI 300 Index Option is 20.98%, and CSI 1000 Index Option is 26.67% [2] 3. Plate Premium and Discount Structure - The latest basis of stock index futures: IH is 7.47 points, IF is -17.27 points, IC is -143.47 points, and IM is -159.17 points; the annualized basis rate: IH is 1.46%, IF is -2.22%, IC is -11.85%, and IM is -12.83% [3] - The latest basis of treasury bond futures: TS is -0.02 yuan, TF is -0.05 yuan, T is 0.10 yuan, and TL is -0.29 yuan; the latest net basis: TS is -0.01 yuan, TF is -0.04 yuan, T is -0.08 yuan, and TL is -0.51 yuan [3] 4. Strategy - According to the Huatai Commodity Multi-Factor Model, this week it is recommended to overweight copper, silver, soybean oil, gold, and fresh apples, and underweight glass, alumina, soda ash, eggs, and styrene [4][51]