金融衍生品研究所 基本面研发报告 金融衍生品月报 2025 年 09 月 29 日 研究员：沈忱 CFA 期货从业证号： F3053225 投资咨询从业证号： Z0015885 ：shenchen_qh@chinastock.com.cn 债市情绪仍显低迷，关注预期变化 ——国债期货 2025 年 10 月报 报告摘要 国债期货：国内基本面"弱现实"延续，四季度经济指标还面临去年 924 后基数抬升带 来的不利扰动。与此同时，央行对流动性的呵护态度也暂未改变，这对债市也构成一定支撑。 不过，"反内卷"政策导向意味着内需不再过度依赖具有生产属性的投资端，或有助于 更长周期维度的供需再平衡，叠加当下部分科技行业景气度较高且投资者对即将公布的"十 五五"规划也有所期待，随着地缘扰动的阶段性缓和以及美联储重启降息进程，"强预期" 似乎更多主导宏观叙事，权益市场整体不弱则进一步放大了这种乐观情绪。 除此之外，潜在的公募债基赎回费率与税收政策调整还从投资者行为角度进一步加剧了 债市波动。赎回压力下，债基持仓较高券种和期限的局部调整幅度也相对更大。 短期来看，债市情绪整体仍显低迷。但从配置角度上来说，我们认为国债至少在对冲 ...

Market Overview - The market is experiencing a mixed performance with more stocks declining than rising, despite the index approaching 3900 points, reflecting a sense of anxiety as the Federal Reserve's interest rate decision approaches [1][3] - There is a notable trend of capital flowing into Hong Kong stocks, which are performing better than A-shares, indicating a structured market behavior where overseas funds typically invest in ADRs, then Hong Kong stocks, and finally A-shares [5][6] Investment Trends - Technology stocks remain favored by incoming foreign capital, as evidenced by the historical high achieved by "Ningde Times" [5] - Recent news from foreign media regarding advancements in DUV production and new data centers by China Unicom has generated positive sentiment in the market [5] Market Sentiment - The current market sentiment is characterized by a "strong expectation, weak reality" scenario, leading to volatile trading behaviors as investors react emotionally rather than strategically [6][8] - Institutional funds are becoming increasingly active, signaling a generally optimistic outlook for the market, with stocks in the "active zone" reaching new highs [8][10] Institutional Behavior - The phenomenon of "three consecutive increases" and "five consecutive increases" in institutional activity indicates a growing engagement from institutional investors [10] - Despite the increased activity, there remains a significant number of stocks in the "watching zone," suggesting that not all stocks are benefiting from the positive market sentiment [13] Data Insights - The frequent rotation of market hotspots has led to some investor frustration, but the underlying issue is a lack of access to real data, which hinders understanding of market trends [16] - The concept of "institutional inventory" suggests that stocks with prolonged institutional support are likely to experience significant price movements, and recent "shakeout" phenomena indicate strong institutional backing [18]

Group 1 - The asphalt market has entered the consumption peak season, traditionally from August to October, but this year it was delayed to September due to widespread rainfall across the country [1] - Despite being in the consumption peak season, the market is characterized by "active trading but weak prices," with asphalt prices not rising due to inventory depletion [1] - As of September 15, the low-price negotiation range for asphalt was 3520 to 3650 yuan/ton, with a slight increase, while the high-price negotiation range saw a small decline [1] Group 2 - The futures market is experiencing a decline in bullish sentiment due to weak fundamentals, leading to pressure on asphalt prices [2] - The International Energy Agency and the U.S. Energy Information Administration have both lowered global oil demand forecasts for the next two years, which weakens cost support for asphalt futures [2] - Despite the current weak market conditions, geopolitical risks and global trade tensions could lead to sudden increases in oil prices, potentially driving asphalt prices up [2]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View In August, the fundamentals of PVC were bearish, with social inventories increasing to the same level as the previous year. The market is pessimistic about future exports due to India's higher - than - expected anti - dumping duties. In September, although the fundamentals are weak, the absolute price is low, and the room for further decline is limited. Key factors to watch include持仓量, exports, and inventories. The short - term trend is weakly volatile, and specific trading strategies are proposed [3][4]. 3. Summary by Directory 3.1 Next Month's Outlook - **Position Volume**: PVC, as a traditional short - allocation variety, has seen its 01 contract's position volume approaching 1.2 million lots again. If there are positive news from the real estate or coking coal sectors, a phased rebound may occur due to short - covering [3]. - **Exports**: From January to July 2025, PVC exports increased by 57% year - on - year, and the export dependence rose to 19%. With the anti - dumping duties and BIS certification policies announced, the focus is on the implementation rhythm of anti - dumping duties [3]. - **Inventories**: The inventory structure of the upstream and mid - stream is differentiated. Enterprise inventories are not under high pressure, so spot prices are relatively resistant to decline. Social inventories are continuously increasing. If there is a rush to export in September and the peak domestic demand season arrives, the inflection point of social inventory reduction may appear [3]. 3.2 Operation Strategy - In the short term, the market is weakly volatile. Short positions should be gradually closed at low prices. For the V2601 contract, the focus range is [4750, 5150]. - The futures price is higher than the spot price. Industrial players should conduct hedging at high prices [4]. 3.3 Market Review - In August, PVC showed a unilateral downward trend. The V2601 contract fluctuated between 4887 and 5221, with an amplitude of 334 points. The opening price was 5167 yuan/ton (down 9 points or 0.17% from the end of last month), and the closing price was 4907 yuan/ton (down 134 points from the previous month's closing price). The market was affected by macro news and the release of new production capacity, as well as India's anti - dumping duties [7]. - The position volume of the main contract approached 1.2 million lots again, indicating intense capital games [8][10]. - As of August 28, the V01 Changzhou basis was - 246 yuan/ton, and the warrant volume was increasing, indicating strong willingness of industrial players to sell and hedge at high prices [13]. - As of August 28, the V9 - 1 spread was - 151 yuan/ton, and the V3 - 5 spread was - 232 yuan/ton. The 9 - 1 spread continued the inter - month reverse spread, and the 3 - 5 spread strengthened month - on - month [16]. 3.4 Supply - The capacity utilization rate has remained above 75% since the beginning of the year, and the cumulative output from week 1 to 34 increased by 4.4% year - on - year. From July to September, new production capacity of 1.1 million tons was put into operation. Although the new maintenance in September is slightly greater than the restart volume, the supply side is still under pressure [19]. - In September, only Zhongtai, Taizhou Liancheng, and Shaanxi Beiyuan with a total capacity of 2.25 million tons have maintenance plans, while the restart of 800,000 tons of capacity by Haipinglevel and Formosa Plastics is planned, so the positive impact of maintenance is limited [20]. 3.5 Demand - **Real Estate**: From January to July 2025, the cumulative year - on - year growth rates of real estate new construction, construction, completion, and sales areas were - 19.4%, - 9.2%, - 16.5%, and - 4% respectively. The decline in new construction area narrowed, while the declines in construction, completion, and sales areas widened. In July, the year - on - year growth rate of the price index of newly built commercial residential buildings in 70 large and medium - sized cities was - 5.85% [23]. - **Domestic and Foreign Demand**: From January to July 2025, the cumulative apparent consumption of PVC was 11.87 million tons (down 2.8% year - on - year), indicating weak domestic demand. Exports were 2.29 million tons (up 830,000 tons or 57% year - on - year). In July, exports were 330,000 tons (up 113% year - on - year). However, due to India's anti - dumping duties, future exports to India may decline [26]. 3.6 Inventory - **Enterprise Inventory**: As of Thursday, enterprise inventory was 345,000 tons (up 19% year - on - year), with 10 consecutive weeks of inventory reduction. Since July, enterprises have increased pre - sales, and the inventory has dropped to the lowest level in the same period in the past four years [29]. - **Social Inventory**: As of Thursday, large and small sample social inventories were 450,000 tons and 720,000 tons respectively. Social inventories have increased to the same level as the previous year, and if the current inventory increase rate continues, it is expected to reach a record high at the end of September [32]. 3.7 Profit From July, due to the expectation of anti - involution policies, the profits of chlor - alkali enterprises have been significantly repaired. However, considering the future supply - demand pattern, there is still room for profit compression for upstream enterprises [35].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The coking coal market is in a stage of "strong expectation, weak reality", with the disk continuing the "Contango" structure. The short - term price of coking coal will mainly fluctuate and consolidate at a high level. The coke market has intensified the game between steel and coke enterprises, and the short - term coke disk will fluctuate following coking coal [32][35] Group 3: Summary According to the Directory 1. Market Review - In August, the double - coke disk reached a stage high and then fluctuated weakly. Before the position limit of the 01 contract by the exchange, the trading volume of coking coal soared. After the position limit, the trading volume decreased and the disk volatility narrowed. As the speculative sentiment cooled and the 09 contract was about to enter the delivery month, the market trading gradually returned to reality. Although the procurement willingness of steel mills, coking enterprises and spot - futures traders weakened and the inventory showed a small accumulation inflection point, the high - level iron - water production supported the consumption of double - coke, and the price decline space was limited. The overall price fluctuated within a range in August [7] 2. Data Analysis Coking Coal Supply - As of the week of August 29, the operating rate of 314 sample coal washing plants was 36.52%, a year - on - year decrease of 2.31%, and the daily output of clean coal was 25.98 tons, a year - on - year decrease of 1.72 tons. The operating rate of 523 sample mine enterprises was 84.04%, a year - on - year decrease of 6.18%, and the daily output of clean coal was 75.32 tons, a year - on - year decrease of 3.54 tons. The supply of coking coal was relatively stable with limited incremental space [10] - In July 2025, China imported 962.3 million tons of coking coal, a year - on - year decrease of 11.2% and a month - on - month increase of 5.7%. The import concentration increased. The import volume came from Mongolia, Russia, Canada, Australia and Indonesia. The total import volume of coking coal this year was less than that of the same period last year [11] Coking Coal Inventory - As of the week of August 29, the clean coal inventory of 523 sample mines was 283.62 million tons, a year - on - year decrease of 26.24 million tons and an increase of 35.36 million tons from the beginning of the month; the clean coal inventory of sample coal washing plants was 289.48 million tons, a year - on - year decrease of 147.53 million tons and a slight increase of 3.47 million tons from the beginning of the month; the port coking coal inventory was 275.35 million tons, a year - on - year decrease of 86.98 million tons and a slight decrease of 6.76 million tons from the beginning of the month. The inventory pressure was significantly reduced [15] - As of August 29, the coking coal inventory of all - sample independent coking enterprises was 961.27 million tons, an increase of 109.59 million tons compared with the same period last year, and the available inventory days were 11.2 days, an increase of 1.16 days compared with the same period last year; the coking coal inventory of 247 steel enterprises was 811.85 million tons, an increase of 77.39 million tons compared with the same period last year, and the available inventory days were 13.25 days, an increase of 1.49 days compared with the same period last year. The downstream replenishment rhythm of coking coal slowed down [18] Coke Production - As of the week of August 29, the capacity utilization rate of all - sample independent coking enterprises was 73.36%, 3.74% higher than the same period last year, and the daily output of metallurgical coke was 64.52 million tons, an increase of 0.77 million tons compared with the same period last year; the coke capacity utilization rate of 247 steel enterprises was 84.99%, a decrease of 1.72% compared with the same period last year, and the daily output of coke was 46.09 million tons, a decrease of 0.87 million tons compared with the same period last year. The overall capacity utilization rate decreased significantly at the end of the month due to environmental protection requirements [22] Coke Demand and Inventory - As of the week of August 29, the profitability rate of 247 steel enterprises was 63.64%, an increase of 59.74% compared with the same period last year and a slight decrease from the beginning of the month; the daily output of hot metal was 240.13 million tons, an increase of 19.24 million tons compared with the same period last year and little change from the beginning of the month; the weekly coke consumption was 108.06 million tons, an increase of 8.66 million tons compared with the same period last year and little change from the beginning of the month. The coke consumption was supported [25] - As of the week of August 29, the coke inventory of all - sample independent coking enterprises was 65.31 million tons, a year - on - year decrease of 12.62 million tons and continued to decline from the beginning of the month; the coke inventory of 247 steel enterprises was 610.07 million tons, a year - on - year increase of 68.19 million tons; the port coke inventory was 212.09 million tons, a year - on - year increase of 31.94 million tons. The inventory pressure of independent coking enterprises was reduced [27] Coke Profit - As of the week of August 29, the average profit per ton of coke of independent coking enterprises was 55 yuan/ton. After several rounds of price increases and the volatile operation of coking coal prices, the profits of coking enterprises improved significantly. The game between steel and coke enterprises intensified, and the eighth round of price increase was not implemented [28] 3. Future Market Outlook - The coking coal market is in a stage of "strong expectation, weak reality". The short - term price will mainly fluctuate and consolidate at a high level. Pay attention to the incremental situation on the supply side after the parade [32] - The profits of coking enterprises have improved significantly. The game between steel and coke enterprises has intensified. The short - term coke disk will fluctuate following coking coal [35]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - **Carbonate Lithium**: The spot price of carbonate lithium is falling, and the futures price has also dropped significantly. The "Golden September and Silver October" traditional peak season is approaching, and downstream demand has certain rigid support. The supply reduction speed has slowed down, and the inventory decline rate is slower than expected. The price is still hard to stabilize, and it is recommended to seize hedging opportunities [2][5]. - **Industrial Silicon**: The supply is steadily increasing, while the demand is weak. The inventory is difficult to decrease, and the spot price is expected to continue to operate weakly and stably. The futures price is in a confrontation between weak reality and strong policy expectations, and is expected to continue to fluctuate within a range [6]. - **Polysilicon**: There is a confrontation between strong policy expectations and weak reality, and the support of policy expectations has weakened. The demand is weak, but the spot price has not changed yet. It is recommended to wait and see, and aggressive investors can consider participating with a stop - loss [9]. 3. Summary by Relevant Catalogs 3.1 First Part: Spot Price 3.1.1 Plate Strategy Recommendation | Variety | Market Logic | Support Level | Pressure Level | Market Judgment | Reference Strategy | | --- | --- | --- | --- | --- | --- | | Carbonate Lithium 11 | Driven by news | 72,000 - 75,000 | 88,000 - 90,000 | Wide - range volatile operation | Seize selling hedging opportunities, downstream cathode material enterprises focus on low - level stockpiling or buying hedging [15] | | Industrial Silicon 11 | Confrontation between weak reality and strong policy expectations | 8,200 - 8,300 | 8,900 - 9,000 | Range - bound oscillation | Adopt a range - bound thinking, and it is more recommended to sell slightly out - of - the - money put options at low levels [15] | | Polysilicon 11 | Insufficient support from policy expectations, increasing concerns about weak demand reality | 45,000 - 46,000 | 52,000 - 53,000 | High - level oscillation | Wait and see [15] | 3.1.2 Futures and Spot Price Changes | Variety | Closing Price | Increase/Decrease Rate | Trading Volume | Open Interest | Open Interest Change | Warehouse Receipts | | --- | --- | --- | --- | --- | --- | --- | | Carbonate Lithium | 78,140 | - 0.91% | 805,585 | 347,063 | - 4,259 | 28,957 | | Industrial Silicon | 8,570 | 0.53% | 293,193 | 273,754 | - 1,804 | 50,656 | | Polysilicon | 49,665 | - 0.10% | 376,304 | 143,912 | - 10,625 | 6,880 | [16] 3.2 Second Part: Fundamental Situation 3.2.1 Carbonate Lithium Fundamental Data - **Production and Inventory Situation**: This week, the production of carbonate lithium was 19,030 tons, a decrease of 108 tons from the previous week. The total sample inventory was 141,136 tons, a decrease of 407 tons. The supply reduction speed has slowed down, and the inventory decline rate is slower than expected [2]. - **Downstream Situation**: The "Golden September and Silver October" traditional peak season is approaching, and downstream demand has certain rigid support. After the rapid increase in downstream inventory, the probability of further large - scale replenishment may decrease [2]. 3.2.2 Industrial Silicon Fundamental Data - **Production and Inventory Situation**: The supply is steadily increasing, and the industry operating rate has recovered to over 60%. The inventory is difficult to decrease, and the exchange warehouse receipts increased last week [6]. - **Downstream Situation**: Downstream demand is weak. The demand for polysilicon is mainly for rigid procurement, the demand for organic silicon is weak, and the aluminum alloy is in the traditional off - season. Although the export of industrial silicon is increasing, it has limited impact on the overall demand [6]. 3.2.3 Polysilicon Fundamental Data - **Production and Inventory Situation**: No specific production and inventory data are provided, but it is mentioned that the battery cell inventory has increased for two consecutive weeks [9]. - **Downstream Situation**: The new photovoltaic installed capacity has declined significantly since June, and domestic installation projects have been postponed. The overseas stocking window for battery cells is coming to an end, and the demand is weak [9].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The macro data in July showed an overall decline, and the recovery momentum of the domestic economy still needs to be strengthened. The economy presents a situation of having a bottom but lacking upward momentum, with greater pressure on nominal GDP than real GDP. [3] - "Expanding domestic demand and combating involution" will be an important, long - term, and continuous policy approach. The financial market is in a state of "weak reality, strong expectation", and market sentiment is continuously improving. In 2025, the macro economy and asset prices are expected to continue the upward - repair trend, although the process may be tortuous. [3] Summary by Related Catalogs 1. Manufacturing PMI Declined Month - on - Month - In July, the manufacturing PMI was 49.3%, a 0.4 - percentage - point decrease from the previous month. Large - scale enterprises' PMI was 50.3% (down 0.9 percentage points), medium - scale enterprises' was 49.5% (up 0.9 percentage points), and small - scale enterprises' was 46.4% (down 0.9 percentage points). [4] - Among the 5 sub - indices of the manufacturing PMI, the production index and supplier delivery time index were above the critical point, while the new order index, raw material inventory index, and employment index were below it. [4] 2. CPI was Flat Year - on - Year and PPI Fell 3.6% Year - on - Year in July - In July 2025, the national CPI was flat year - on - year, with a 0.4% month - on - month increase. Food prices decreased while non - food prices increased. [8][9] - The PPI decreased 3.6% year - on - year and 0.2% month - on - month. Industries such as coal, ferrous metals, and petrochemicals had large year - on - year declines, dragging down the PPI. [11] 3. Both Exports and Imports Rebounded in July - In July, China's exports increased 7.2% year - on - year, imports increased 4.1% year - on - year, and the trade surplus was $98.24 billion, a decrease of $16.53 billion. [14] - Exports to the EU, ASEAN countries, and Japan increased, while the decline in exports to the US narrowed. Exports are likely to remain strong in 2025. [16] 4. Credit Demand was Weak, and M1 and M2 Growth Rates Further Rebounded - In the first seven months of 2025, the cumulative increase in social financing scale was 23.99 trillion yuan, 5.12 trillion yuan more than the same period last year. Credit demand from residents and enterprises was insufficient, but the increase in government bond issuance offset it. [18][25] - At the end of July, M2 was 329.94 trillion yuan (up 8.8% year - on - year), M1 was 111.06 trillion yuan (up 5.6% year - on - year), and the M1 - M2 gap narrowed to 3.2%. [23] 5. Industrial Production was Stable, and Consumption Growth Declined - In July, the added value of industrial enterprises above designated size increased 5.7% year - on - year and 0.38% month - on - month. The growth rate of total retail sales of consumer goods was 3.7%, lower than expected. [26] - In 2025, from January to July, the growth rates of manufacturing investment, infrastructure investment, and real estate development investment all declined. [30] 6. The Growth Rate of Real Estate Sales Declined, but it was Still at the Bottoming - Out Stage - From January to July, the sales area of new commercial housing decreased 4.0% year - on - year, and the sales volume decreased 6.5% year - on - year. The real estate market is still in the adjustment stage. [32] - The inventory of commercial housing decreased slightly. The "market bottom" of this round of real estate downward cycle is emerging, and the drag on the macro economy will significantly narrow. [33][37] 7. Summary and Outlook - The macro - economic data in July were weak, and the domestic economic recovery momentum needs to be strengthened. The economy presents a situation of having a bottom but lacking upward momentum. [38] - "Expanding domestic demand and combating involution" will be an important long - term policy. In 2025, the macro economy and asset prices are expected to continue the upward - repair trend. [40]

Core Viewpoint - Recent commodity futures have experienced significant price volatility, raising concerns about the healthy development of the futures market amid a stark contrast between strong macro expectations and weak industrial fundamentals [1] Investor Behavior - Investors need to respect the market and adhere to discipline, making rational decisions amidst significant market fluctuations. Many investors struggle to detach from their inherent thinking, leading to losses when attempting to short or chase prices [2][3] - Individual investors should recognize the high risks associated with futures trading, avoid the illusion of quick wealth, and maintain strict control over their risk exposure [3] Institutional Investor Role - Institutional investors should act as stabilizers in the market, conducting in-depth research on macro policies and industrial fundamentals to form independent investment logic, rather than merely following policy signals [2] Regulatory and Service Institutions - Futures exchanges must act decisively to cool down irrational market behaviors by implementing risk control measures such as adjusting trading limits and margin requirements [4] - Futures companies play a crucial role in risk management and should proactively educate clients about risks, monitor trading behaviors, and provide high-quality research to guide rational investment [5] Collaborative Governance - The stable and healthy development of the futures market is essential for protecting investors, especially those with lower risk tolerance. A collaborative effort among regulatory bodies, market participants, and investors is necessary to mitigate risks associated with the disparity between strong expectations and weak realities [6]

Core Viewpoint - The commodity futures market is experiencing significant volatility, particularly in the black and building materials sectors, leading to increased activity in risk control departments of futures companies [1] Group 1: Market Trends - On July 31, the black and building materials sectors saw a continued decline, with coking coal futures contracts hitting the limit down [1] - Coking coal prices have shown a significant drop, with the main contracts experiencing declines of approximately 7.69% to 8.00% [2] Group 2: Supply and Demand Dynamics - The previous surge in coking coal prices was driven by expectations of supply contraction due to "anti-involution" policies, which led to a decrease in coal inventory at coking coal mines [3] - As of the end of July, the inventory of coking coal at 523 coking coal mines fell below 3 million tons, indicating a tightening supply [3] - Despite the price rebound, the overall supply-demand balance remains oversupplied in the short term, with daily production of coking coal increasing for four consecutive weeks [3][4] Group 3: Price Transmission and Market Sentiment - The price increase in coking coal has not effectively transmitted to downstream products, as prices for related chemicals and steel have not risen proportionately [4] - Downstream coking enterprises are still facing losses, and there has been no significant increase in coke production [4] - Market sentiment is cooling, leading to a retreat in coking coal and glass prices from their highs, indicating a "strong expectation, weak reality" scenario [4][5] Group 4: Future Outlook - The rebound in coking coal prices driven by "anti-involution" expectations is expected to stabilize, with a potential price correction ahead, possibly dropping below 1,000 yuan/ton for the 2601 contract [4] - Continuous monitoring of the "anti-involution" policies and their impact on the coking coal and glass industries is necessary [5]

Group 1 - The core viewpoint is that the bullish sentiment for polysilicon remains strong, with expectations of continued price increases driven by policy support and market dynamics [1][2][3] - Polysilicon futures saw a significant increase, reaching a limit up of 10.42%, indicating a strong market reaction and potential for further gains [1] - The supply side is stable with slight production increases in certain regions, while overall industry production is expected to grow, although demand remains weak [2][3] Group 2 - The market sentiment is primarily driven by policy expectations rather than fundamental supply-demand dynamics, which remain loose [2][3] - There is a recommendation for traders to adopt a buy-on-dips strategy, as the market is currently experiencing high bullish sentiment [3] - Attention should be paid to the performance of futures contracts, particularly the long-term contracts, which are expected to show overall strength [2]