金融研究 2025年12月29日 星期一 金融期货早班车 招商期货有限公司 股指期货 市场表现：12 月 26 日，A 股四大股指多数上涨，其中上证指数上涨 0.1%，报收 3963.68 点；深成 指上涨 0.54%，报收 13603.89 点；创业板指上涨 0.14%，报收 3243.88 点；科创 50 指数下跌 0.24%， 报收 1345.83 点。市场成交 21,811 亿元，较前日增加 2,372 亿元。行业板块方面，有色金属(+3.69%)， 电力设备(+1.4%)，钢铁(+1.34%)涨幅居前；电子(-0.71%)，轻工制造(-0.61%)，通信(-0.6%)跌幅居 前。从市场强弱看，IC>IH>IM>IF，个股涨/平/跌数分别为 1,865/186/3,406。沪深两市，机构、主力、 大户、散户全天资金分别净流入-17、-225、-57、300 亿元，分别变动+40、-78、-11、+49 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 75.53、43.44、15.24 与-1.8 点，基差年化收益率分别 为-7.09%、-4.16%、-2.34%与 0.42%，三年期历史分位 ...

Report Industry Investment Ratings No relevant information provided. Core Viewpoints of the Report - The overall market shows complex trends, with different commodities and financial products having their own characteristics. Some are influenced by supply - demand fundamentals, some by geopolitical factors, and others by macro - economic policies and seasonal factors. The market rhythm switches quickly, and most products are in a state of oscillation, with different potential investment opportunities and risks [2][3][14] - Different industries have different outlooks. For example, some industries like polycrystalline silicon and manganese silicon are expected to have a relatively positive trend, while others such as urea and PVC may face certain challenges in supply - demand balance and price trends [13][18][28] Summary by Related Catalogs Precious Metals and Base Metals - **Precious Metals**: International gold prices continued a moderate upward trend after the breakthrough, while silver, platinum, and palladium accelerated their rise, with a gain of over 10%. The Fed's easing prospects and geopolitical risks support the strength of precious metals. The spot shortage expectation makes silver, platinum, and palladium more favored by funds, and the gold - silver ratio has dropped significantly below the average. However, exchange restrictions are frequent, and market volatility is extremely high [2] - **Copper**: Copper prices continued to rise strongly last Friday. The Shanghai copper weighted reached a maximum of 102,700 yuan, and it is expected that the London copper will open at $12,700 - $12,800. The market has quickly reached the bullish targets of most overseas institutions for 2026. The target price of the copper market is raised, with the London copper at about $13,100 and the Shanghai copper at about 104,000 yuan [3] - **Aluminum**: The aluminum market's fundamentals are neutral, with poor apparent demand and spot feedback. Shanghai aluminum mainly followed the upward trend, with relatively mild fluctuations. Long - positions should be held with the 40 - day moving average as the support [4] - **Zinc**: In late December, domestic smelter overhauls increased, supporting the adjustment of Shanghai zinc above the annual line. In January, the pressure on the zinc ingot supply side is small, and with the late Spring Festival in 2026 and the expected good start, the consumption side is not pessimistic. Shanghai zinc is expected to oscillate in the range of 22,800 - 23,800 yuan/ton [7] Energy and Chemicals - **Fuel Oil & Low - Sulfur Fuel Oil**: High - sulfur fuel oil supply is mainly affected by geopolitical factors, with the shipping rhythm in the Middle East and Russia slowing down. The demand side may be boosted by improved refinery profits and the US blockade of Venezuelan oil exports. Singapore's inventory continues to accumulate, and the high - inventory pressure is still significant. Low - sulfur fuel oil supply is dominated by overseas refinery starts. The demand side of ship fuel consumption is continuously weak due to high - sulfur substitution [21] - **Asphalt**: Since December, the weekly shipment volume has remained below 400,000 tons, at a low level in the same period of the past four years. Last week, both social and factory inventories increased. The supply - demand of BU is marginally relaxed, but positive news has a significant boost. However, it will eventually return to the price - pressured pattern dominated by supply - demand relaxation [22] Agricultural Products - **Soybean & Bean Meal**: CBOT soybeans oscillated downward after reopening last Friday, and Dalian soybean meal rose first and then fell. In the future, attention should be paid to the specific export situation of US soybeans and whether the La Nina weather in South America can have a continuous impact [35] - **Cotton**: US cotton rebounded from a low level last week, and the weekly signing data improved, with increased Chinese purchases. Domestic Zhengzhou cotton rose continuously, and the market is bullish. Although this year's new cotton production has increased significantly, the commercial inventory is basically the same as the previous year, and the sales progress is relatively fast [42] Others - **Stock Index**: The previous trading day, the broader market oscillated with heavy volume, and the Shanghai Composite Index recorded an 8 - day consecutive gain. All major futures index contracts closed higher, with IC leading the gain. Industrial profits of large - scale enterprises from January to November showed a growth trend, and the RMB exchange rate broke "7" last week [47] - **Treasury Bonds**: On December 26, 2025, the 30 - year treasury bond futures had the largest increase of 0.36%. In December, the central bank's net MLF injection was 10 billion yuan, a consecutive tenth - month incremental renewal. Against the background of increased counter - cyclical adjustment policies, long - term interest rates have risen significantly recently [48]

现在打新也特别多，前几天不是有个kito的跑路了吗。我的建议是，大热盘stable，mega，mmt啥的打打得了，跑路至少有其他老师帮你维权。别自作聪明搞点歪门邪道，最主要是现在不是无脑接盘，没其他老师帮你喊韭菜接盘。你打新出来的也是垃圾，没收益的。反正我是只搞了stble，稳健点啊。还有就是，套保小心点吧，散户盘可以随便套，庄盘真悠着点（很重要的） ...

真的说累了。2025年了，套保没那么简单，傻韭菜没钱了，只能干套利的了。老师我本来jelly 0.05-0.16赚了1m，后面只能80万刀套保仓位，他一路拉盘。我一路减仓。刚才顶着20%溢价减30万刀仓位。送了他6万刀回去。老师已经非常谨慎了，爆仓价格基本都是当前价格的x20倍，拉盘我还亏钱减仓。一直保持20倍爆仓价。 ...

Mmt应该就是顶着套保的，我这认识一堆0.5套保的。这到底是多久解锁？ ...

Core Insights - The article highlights the integration of technology and services in the futures market, particularly through the "Qizhi Hui" platform, which enhances the hedging experience for enterprises [1][2][3] Group 1: Technology and Innovation - The "Qizhi Hui" platform utilizes advanced technology to provide clear market insights and facilitate effective hedging strategies for enterprises [1] - The platform supports intelligent hedging, allowing for automatic plan generation, simulation backtesting, and project evaluation [1] - The digital transformation in the futures market is driven by the need for better tools and professional support for enterprises [2] Group 2: Market Dynamics and Risk Management - Enterprises face challenges in hedging due to a lack of suitable tools and professional support, which the "Qizhi Hui" platform aims to address [2] - The use of out-of-the-market options as a hedging tool provides flexibility and helps enterprises manage risks associated with price fluctuations in raw materials [2] - The implementation of out-of-the-market options allows enterprises to lock in procurement costs while benefiting from price increases, thus stabilizing operations in volatile markets [2] Group 3: Future Directions - The company aims to continue enhancing services for the real economy by promoting the use of digital futures tools among more enterprises [3] - The focus is on developing personalized hedging solutions that align closely with enterprise needs, leveraging the flexibility of out-of-the-market options [3] - The goal is to support the stable development of industrial enterprises through professional financial services and precise risk management [3]

Report Overview - Report Title: Polyolefin Monthly Report: Supply-demand contradiction is not prominent, focus on low-buying opportunities [1] - Report Date: August 29, 2025 [2] - Research Team: Energy and Chemicals Team [2] Investment Ratings - Not provided in the report Core Views - For plastics, the supply-demand contradiction is not prominent. With limited further negative supply factors and improving demand from the agricultural film sector, the spot price is likely to rise and difficult to fall. Attention should be paid to low-buying opportunities [3]. - For PP, due to insufficient existing maintenance and new capacity release, the output continues to reach new highs. The industry's weak outlook restricts the rebound height. Attention should be paid to changes in macro policies and warehouse receipts [6]. Summary by Sections Plastic Market Review - **Price Movement**: In August, the Wenhua Chemical Index closed with three consecutive positive candles. Olefins were weaker than chemicals, but plastics were relatively resistant to decline in the olefin sector. The L2601 fluctuated in the range of 7,243 - 7,455, with an amplitude of 212 points. The monthly closing price was 7,287, down 112 points from the previous month [11]. - **Basis and Position**: In the first half of August, the basis of North China 09 contract was repaired to near par. After the main contract shifted to 01 on August 15, the main contract was at a premium to the spot again. The position of the 01 contract remained around 400,000 lots, similar to the same period last year [13]. - **Spread Analysis**: The difference between September and January contracts of plastics changed little. With the arrival of the peak season in September and the low 1 - 5 spread, it is recommended to consider positive arbitrage opportunities based on the strength of the downstream peak season. The LP spread continued to widen in August, and the long LP01 position should be held [15][17]. Plastic Supply - **Production**: This week's PE output was 620,000 tons (down 43,000 tons week-on-week), ending a six - week upward trend. The capacity utilization rate was 79%. From January to week 34, the cumulative year - on - year output growth rates of PE, LL, HD, and LD were +18%, 28%, 10%, and 15% respectively. The supply pressure of LD eased, while that of HD increased [20]. - **New Capacity**: In 2025, 5.43 million tons of new devices are planned to be put into production. As of now, 3.43 million tons have been put into operation. The remaining Guangxi Petrochemical (700,000 tons) is planned to be put into production in October, and Exxon's (500,000 tons) non - standard device is expected to be put into operation in September [20]. - **Import and Export**: From January to July 2025, the cumulative PE import volume was 8.03 million tons (up 2.5% year - on - year), and the cumulative export volume was 610,000 tons (up 21% year - on - year) [22]. Plastic Demand - **Domestic Demand**: This week, the downstream PE operating rate was 40% (up 0.3 percentage points month - on - month), and the agricultural film operating rate improved for six consecutive weeks. From January to July, the apparent PE consumption was 26.29 million tons, with a cumulative year - on - year increase of 12.5% [25]. - **Exports**: From January to July 2025, the cumulative export value of plastics and products was $83.1 billion (up 1.2% year - on - year), and the proportion of exports to the US was 14% [27]. Plastic Inventory - **Enterprise Inventory**: This week, the enterprise inventory decreased to 427,000 tons (down 75,000 tons week - on - week), and the enterprise inventory pressure eased. The social inventory was 560,000 tons (up 5,500 tons week - on - week). The current inventory pressure in the industrial chain is not large, and the downstream raw material inventory remains at a relatively low level [30]. Plastic Profit - The current weighted gross profit of LL is at a neutral level compared to the same period, and the cost drive is not strong [33]. PP Market Review - **Price Movement**: In August, the PP price showed a unilateral decline. The PP2601 fluctuated in the range of 6,967 - 7,163, with an amplitude of 196 points. The final closing price was 6,974, down 140 points from the previous month [36]. - **Spread Analysis**: Affected by profit pressure and the leap month, the peak season started slowly this year, and downstream orders remained weak. The 9 - 1 spread of PP continued the reverse arbitrage trend in August, and the 1 - 5 spread is expected to continue the reverse arbitrage trend [41]. - **Arbitrage**: The MTO disk profit is slowly recovering [42]. PP Supply - **Production**: This week, the PP output was 810,000 tons (up 23,000 tons week - on - week), increasing for four consecutive weeks. The total estimated output of polypropylene in China next week is 813,000 tons, continuing the upward trend [45]. - **Cost and Profit**: The current weighted gross profit of PP remains at a relatively high level compared to the same period. The PDH gross profit has significantly recovered, and the production capacity utilization rate is expected to increase [46]. PP Import and Export - From January to July 2025, the cumulative PP import volume was 1.92 million tons (down 8% year - on - year), and the cumulative export volume was 1.83 million tons (up 29% year - on - year). In July, PP became a net importer. It is expected to become a net exporter again in the future [51]. PP Demand - The downstream operating rate of PP remains at around 50%. From January to May, the cumulative year - on - year growth rate was 13.3% [52]. PP Inventory - The inventory of enterprises and traders is being reduced from a high level [53]. Strategies - **Plastic Strategies** - **Unilateral**: Try to buy at low prices. Focus on the range of [7,250 - 7,500] for L2601 [5]. - **Arbitrage**: Hold the long LP01 arbitrage position [5]. - **Hedging**: Since the basis is at a low level compared to the same period, industrial customers can choose the opportunity to sell - hedge [5]. - **PP Strategies** - **Unilateral**: The valuation is low but the upward drive is insufficient. It is expected to fluctuate within a range, and it is advisable to wait and see. Focus on the range of [6,900 - 7,150] for PP2601 [8]. - **Arbitrage**: Hold the long LP01 position [8]. - **Hedging**: Since the basis is at a low level compared to the same period, sell - hedging can be considered [7].

Risk Management - The author expresses concern about the risks associated with hedging strategies in initial public offerings (IPOs), specifically mentioning "套保pump打新" (hedging pump IPOs) and the potential for significant losses [1] - The author's reluctance to engage in strategies like "spk-yt套保" suggests a general aversion to complex or high-risk hedging activities [1] Market Opinion - The author questions whether those who engaged in hedging pump IPOs are now experiencing regret ("一身冷汗"), implying that these strategies may not have been successful [1] - The author suggests that negative experiences are valuable lessons, implying that those who haven't suffered losses from such strategies may face greater consequences in the future [1]

Report Title - Weekly Report on Polyolefins: Peak Seasons Are Gradually Starting, Try to Go Long on Dips [1] Report Date - August 24, 2025 [2] Report Core View - The fundamentals of polyolefins have improved recently, with demand for agricultural films entering the peak season and inventory pressure not significant. It is recommended to go long on dips [4][6][8][9] Key Points by Section 1. L2601 Contract Review and Outlook - **Market Performance**: This week, the L2601 contract fluctuated widely between 7243 and 7413, with a 2 - week consecutive positive weekly line. It closed at 7380, up 29 points or 0.4% from last week [3] - **Position and Basis**: As of Friday, the position was 390,000 lots (weekly increase of 75,000), and the North China basis was - 140 yuan/ton (weekly decrease of 69) [15][18] - **Supply**: This week's PE production was 620,000 tons (weekly decrease of 43,000 tons), and next week's production is expected to increase by 23,000 tons [27] - **Import**: From January to July 2025, the cumulative PE import was 8.03 million tons (cumulative year - on - year increase of 2.5%) [30] - **Demand**: The downstream capacity utilization rate was 40%, with a continuous 4 - week improvement. The agricultural film operating rate was 14.5% (weekly increase of 0.7pct), with a continuous 5 - week improvement [33][36] - **Inventory**: The enterprise inventory was 500,000 tons (weekly increase of 60,000), and the social inventory was 560,000 tons (weekly decrease of 12,000), with continuous 6 - week destocking [41] - **Strategy**: Unilateral: Go long on dips, focusing on the range of [7350 - 7550]; Arbitrage: Hold the long LP01 arbitrage; Hedging: Industrial customers can choose the opportunity to sell - hedge [6] 2. PP2601 Contract Review and Outlook - **Market Performance**: This week, the PP2601 contract fluctuated widely between 6970 and 7081, with a 4 - week consecutive negative weekly line. It closed at 7038, down 46 points or 0.6% from last week [7] - **Position and Basis**: As of Friday, the position was 470,000 lots (weekly increase of 100,000), and the East China basis was - 33 yuan/ton (weekly decrease of 32) [53][56] - **Supply**: This week's PP production was 780,000 tons (weekly increase of 3,000 tons), and next week's production is expected to rise to 795,000 tons [61] - **Import**: From January to July 2025, the cumulative PP import was 1.92 million tons (year - on - year decrease of 8%), and the export was 1.83 million tons (year - on - year increase of 29%) [63] - **Demand**: The PP downstream operating rate was 50%, with a continuous 4 - week marginal improvement. From January to June 2025, the cumulative apparent consumption was 19.49 million tons (cumulative year - on - year increase of 13.6%) [69] - **Inventory**: This week's total commercial inventory was 800,000 tons (weekly decrease of 25,000), with continuous 2 - week destocking [72] - **Strategy**: Unilateral: Go long on dips, focusing on the range of [7000 - 7200]; Arbitrage: Wait and see mainly [9] 3. Propylene Market Review - **Market Performance**: This week, the PL2601 contract fluctuated widely between 6360 and 6529 and closed at 6470 [79] - **Price**: As of Friday, the Shandong propylene market price was 6300 yuan/ton (weekly increase of 95) [83] - **Supply**: This week's propylene production was 1.18 million tons (weekly increase of 14,000), and the in - plant inventory increased continuously [86] - **Demand**: The downstream comprehensive operating rate improved marginally [89]

Core Viewpoint - The article discusses the challenges faced by real enterprises in the context of escalating geopolitical conflicts and volatile commodity prices, emphasizing the need for effective risk management through futures markets [1][2]. Group 1: Challenges Faced by Real Enterprises - Real enterprises are currently facing three core challenges: supply chain security and cost pressure due to geopolitical conflicts, weak market demand and intensified competition, and the need for technological upgrades amidst a talent shortage [1][2]. - The geopolitical conflicts, such as the Russia-Ukraine war and Middle East tensions, have led to increased procurement costs and inventory management difficulties for enterprises [1]. - Traditional markets are experiencing slow growth and severe homogenization, resulting in low profit margins for enterprises [1]. - Enterprises need to invest in R&D in areas like AI and quantum computing, but many small and medium-sized enterprises (SMEs) struggle with high R&D costs and lack of skilled personnel [1][2]. Group 2: Bottlenecks in Utilizing Futures Tools - There are six major bottlenecks preventing enterprises from effectively using futures tools: insufficient talent reserves, lack of internal training mechanisms, limited funding and risk control capabilities, inadequate risk management systems, insufficient market liquidity and product matching, and challenges in managing basis risk [2][3]. - Many enterprises lack professionals familiar with futures hedging strategies and contract design, which complicates their ability to implement effective risk management [2]. - The absence of a systematic training framework leads to a misunderstanding of futures tools as merely speculative instruments [2][3]. Group 3: Expectations from the Futures Industry - Enterprises expect the futures industry to provide product innovation and customized services, such as industry-specific contracts and the development of off-exchange derivative tools [3][4]. - There is a call for the establishment of training systems to enhance the comprehensive application capabilities of enterprises regarding futures tools [3][4]. - The optimization of market infrastructure and the expansion of delivery warehouse coverage are also seen as necessary steps to reduce delivery costs for enterprises [3][4]. Group 4: Innovative Strategies for Risk Management - The company has introduced innovative strategies such as a "futures + options" combination strategy and a dual-track inventory management mechanism to help enterprises manage risks effectively [3][4]. - For example, in the lithium carbonate market, the company utilizes a pricing model that integrates cost, profit, inventory, and basis to help enterprises mitigate price volatility risks [3][4][5]. - The dual-track inventory management allows enterprises to adjust their inventory ratios based on market price expectations, optimizing inventory management and cost control [5][6]. Group 5: Addressing the "Generalization" Dilemma - The futures market currently faces challenges in accurately matching the specific needs of various industries due to a tendency towards "generalization" in product coverage and tool design [6][7]. - There is a notable lack of specific futures products for critical raw materials in the new energy sector, which forces enterprises to rely on indirect hedging methods, leading to inefficiencies [6][7]. - The company suggests expanding the variety of futures products and optimizing contract designs to better serve the needs of SMEs and specific industries [6][7][8].