研究局限性和风险提示 | | 20250630申万期货有色金属基差日报 | | | --- | --- | --- | | | 铜： 可能短期区间波动 | | | | 锌： 可能短期宽幅波动 | | | 摘要 | 铝： 可能短期内震荡 | | | | 镍： 可能短期内震荡 | | | 品种 | 观点 | 策略方向 | | | 铜：周末夜盘铜价收平。目前精矿加工费总体低位以及低铜价，考验冶炼产 | | | 铜 | 量。根据国家统计局数据来看，国内下游需求总体稳定向好，电力行业延续 正增长；汽车产销正增长；家电产量增速趋缓；地产持续疲弱。多空因素交 | 可能短期区 | | | 织，铜价可能区间波动。关注美国关税进展，以及美元、铜冶炼和家电产量 | 间波动 | | | 等因素变化。 | | | | 锌：周末夜盘锌价收涨。近期精矿加工费持续回升。由国家统计局数据来 看，国内汽车产销正增长，基建稳定增长，家电产量增速趋缓，地产持续疲 | 可能短期宽 | | 锌 | 弱。市场预期今年精矿供应明显改善，冶炼供应可能恢复。短期锌价可能宽 | 幅波动 | | | 幅波动，关注美国关税进展，以及美元、锌冶炼和家电产量等因素变化。 ...

金十期货APP独家整理：06月23日国内期货基差数据已更新，点击查看。 农产品期货 03 | 品种 | 地区/标的 | 車位 | 现货价格 | 斯特三十 | 主力基差 | 其差率 | | --- | --- | --- | --- | --- | --- | --- | | 不锈钢 | 无锡 | 元/吨 | 13300 | 12390 | 910 | 6.8% | | 焦煤 | 柳林 | 元/吨 | 1080 | 807 | 273 | 25.3% | | 螺纹钢 | 上海 | 元/吨 | 3090 | 2995 | 95 | 3.1% | | 热卷 | 上海 | 元/吨 | 3190 | 3112 | 78 | 2.4% | | 铁矿石 | 日照港PB粉 | 元/吨 | 713 713 | | 706 7 7 7 1.0% | | | 锰硅 | 全国 | 元/吨 | 5481.91 | 5610 | -128.09 | -2.3% | | 硅铁 | 72#硅铁盒国 均价 >> | 元/吨 | 5170.67 | 5316 | -145.33 -2.8% | | | 焦炭 | 邢台 | 元/吨 | 1120 ...

Report Overview - The report is a financial futures morning newsletter released by China Merchants Futures Co., Ltd. on June 20, 2025, covering the performance of A-share stock indexes, stock index futures, treasury bond futures, and related trading strategies [1][2] 1. Market Performance 1.1 A-share Stock Indexes - On June 19, the four major A-share stock indexes pulled back. The Shanghai Composite Index fell 0.79% to 3362.11 points, the Shenzhen Component Index dropped 1.21% to 10051.97 points, the ChiNext Index declined 1.36% to 2026.82 points, and the STAR 50 Index decreased 0.54% to 962.94 points. Market turnover was 1280.9 billion yuan, an increase of 59.1 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+0.86%) led the gains, while textile and apparel (-2.36%), beauty care (-2.28%), and light industry manufacturing (-1.96%) led the losses. From the perspective of market strength, IH > IF > IC > IM, and the numbers of rising, flat, and falling stocks were 716, 56, and 4643 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -19.6 billion, -19.8 billion, 4.4 billion, and 35 billion yuan respectively, with changes of -13.8 billion, -10.9 billion, +5.3 billion, and +19.5 billion yuan respectively [2] 1.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 77.02, 59.43, 44.69, and 45.32 points respectively, with annualized basis yields of -14.47%, -11.9%, -13.21%, and -19.32% respectively, and three - year historical quantiles of 15%, 11%, 1%, and 0% respectively. As the delivery date approaches, attention should be paid to the convergence of the futures - spot price difference [2] 1.3 Treasury Bond Futures - On June 19, the yields of treasury bond futures showed mixed trends. Among the active contracts, the implied interest rate of the two - year bond was 1.293, up 1.06 bps from the previous day; the five - year bond was 1.442, up 0.61 bps; the ten - year bond was 1.557, down 0.24 bps; and the thirty - year bond was 1.907, down 0.88 bps [3] 1.4 Cash Bonds - The current active contract is the 2509 contract. The CTD bond of the two - year treasury bond futures is 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of -0.074, and an IRR of 1.85%; the CTD bond of the five - year treasury bond futures is 220027.IB, with a yield change of +0.13 bps, a corresponding net basis of -0.08, and an IRR of 1.86%; the CTD bond of the ten - year treasury bond futures is 250007.IB, with a yield change of +0.2 bps, a corresponding net basis of -0.084, and an IRR of 1.88%; the CTD bond of the thirty - year treasury bond futures is 210014.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.061, and an IRR of 1.72% [4] 1.5 Short - term Capital Interest Rates - Short - term capital interest rates have shown little change recently. SHIBOR overnight, DR001, SHIBOR one - week, and DR007 have remained relatively stable compared to the previous day, one week ago, and one month ago [12] 2. Trading Strategies 2.1 Stock Index Futures - In the short term, due to the deep discount of small - cap stock indexes, which is presumably due to the expansion of the scale of neutral products this year and the relatively high proportion of short positions in neutral products, the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended. In the medium - to - long term, a bullish view on the economy is maintained. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indexes, so caution is advised [3] 2.2 Treasury Bond Futures - The cash bond market currently shows a pattern of strong supply and weak demand, but this pattern is expected to change. It is recommended to adopt a strategy of short - term long and long - term short. Short - term, buy T and TL on dips; long - term, hedge T and TL on rallies [5] 3. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [12]

| 79.50% | 折算价:72硅铁合格块:内蒙-天津仓单 | 硅铁 (SF509) | 5478 | 5310 | 168 | 3.16% | 5750 | 5584 | 166 | 52.90% | 折算价:6517硅锰:内蒙-湖北仓单 | 硅罐(SM509) | 2.97% | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 104 | 3.48% | 3090 | 2986 | 50.00% | HRB40020mm: 上海 | 螺纹钢(RB2510) | Q235B: 4.75mm: 上海 | 87 | 3190 | 52.30% | 热卷(HC2510) | 3103 | 2.80% | | | | | | 57 | 755 | 折算价:62.5%巴混粉(BRBF):淡水河谷:日照港 | 铁矿石 (12509) | 698 | 8.10% | 46.10% | 1374 | -27 | 焦炭 (J2509) ...

器色系 投资咨询业务资格:证监许可 [2011] 1292号 | 品种/合约 | 现货价格 | 期货价格 | 基差 | 基差率 | 历史分位数 | 现货参考 | 留注 | 236 | 折算价:72硅铁合格块:内蒙-天津仓单 | 硅铁 (SF509) | 5428 | 4.55% | 85.20% | 5192 | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 折算价:6517硅锰:内蒙-湖北仓单 | 硅罐(SM509) | 5690 | 214 | 5476 | 3.91% | 59.40% | 111 | HRB40020mm:上海 | 3080 | 2969 | 3.74% | 52.30% | 螺纹钢 (RB2510) | | | | | | Q235B: 4.75mm: 上海 | 3170 | 88 | 热卷 (HC2510) | 3082 | 2.86% | 52.80% | 52 | 755 | 7.33% | ...

Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) Core View of the Report - Last week, the overall civil gas market was weak. Shandong's civil gas rose due to chemical demand support, while ether - after carbon four declined. The cheapest deliverable was East China civil gas at 4449. The PG futures market oscillated and trended stronger. The basis of the 07 contract weakened to 351, and the monthly spread strengthened significantly. Externally, FEI and MB were basically flat, CP declined, and the oil - gas ratio increased. The internal - external price difference strengthened, especially PG - CP. The US - Asia arbitrage window closed, and freight rates rose slightly. [1] - In terms of inter - variety spreads, the production margin of PDH improved but remained poor. The production profit of FEI was higher than that of PP. The profitability of alkylated oil increased, the profit of gas fractionation and etherification changed little, and the profit of isomerization and etherification increased. FEI - MOPJ decreased, and the naphtha crack spread changed little. [1] - Fundamentally, port inventories increased slightly, and terminals actively offered discounts. Factory inventories increased, and Shandong's factory inventories decreased due to chemical demand support. Arrivals increased (mainly in South China), and external sales increased significantly. It is expected that external sales will continue to increase and arrivals will decline. Chemical demand is expected to be supported in the short term. The PDH operating rate was basically flat and is expected to increase next week (the first - phase PDH of Qingdao Jinneng may resume). Subsequently, the demand for alkylated oil is expected to increase with the recovery of gasoline demand. Next week, several MTBE plants have plans to start production, so the demand for C4 is expected to increase. With rising temperatures, combustion demand is expected to decline. In addition, the number of registered warrants decreased by 565 to 9304 lots. Overall, the fundamentals remain weak. Shandong's chemical demand provides some support, but there is significant supply pressure in other regions and demand continues to be sluggish. [1] 3) Summary by Relevant Directory Daily Changes - In the civil gas market, Shandong remained stable at 4620, East China at 4492, and South China at 4630. Ether - after carbon four remained stable at 4830. The cheapest deliverable was East China civil gas at 4492. The PP price increased, while the profit of PP production from FEI and CP decreased. The PG futures market oscillated and trended upward. The basis of the 07 contract decreased by 11 to 351, and the 07 - 09 monthly spread decreased by 9 to 201. The US - Far East arbitrage window closed. [1] - The daily changes in prices are as follows: propane CFR South China increased by 2 to 595, propane CIF Japan increased by 7 to 561, MB propane spot increased by 1 to 78, CP forecast contract price increased by 4 to 587, and alkylated oil in Shandong increased by 30 to 7750. The paper import profit decreased by 4 to - 268, and the main basis decreased by 11. Other prices remained stable. [1] Weekly View - Last week, the civil gas market was generally weak. Shandong's civil gas rose due to chemical demand support, while ether - after carbon four declined. The PG futures market oscillated and trended stronger. The basis of the 07 contract weakened, and the monthly spread strengthened significantly. Externally, FEI and MB were basically flat, CP declined, and the oil - gas ratio increased. The internal - external price difference strengthened, especially PG - CP. The US - Asia arbitrage window closed, and freight rates rose slightly. [1] - In terms of inter - variety spreads, the production margin of PDH improved but remained poor. The production profit of FEI was higher than that of PP. The profitability of alkylated oil increased, the profit of gas fractionation and etherification changed little, and the profit of isomerization and etherification increased. FEI - MOPJ decreased, and the naphtha crack spread changed little. [1] - Fundamentally, port inventories increased slightly, and terminals actively offered discounts. Factory inventories increased, and Shandong's factory inventories decreased due to chemical demand support. Arrivals increased (mainly in South China), and external sales increased significantly. It is expected that external sales will continue to increase and arrivals will decline. Chemical demand is expected to be supported in the short term. The PDH operating rate was basically flat and is expected to increase next week (the first - phase PDH of Qingdao Jinneng may resume). Subsequently, the demand for alkylated oil is expected to increase with the recovery of gasoline demand. Next week, several MTBE plants have plans to start production, so the demand for C4 is expected to increase. With rising temperatures, combustion demand is expected to decline. In addition, the number of registered warrants decreased by 565 to 9304 lots. Overall, the fundamentals remain weak. Shandong's chemical demand provides some support, but there is significant supply pressure in other regions and demand continues to be sluggish. [1]

Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) Core Viewpoints - The fundamentals of the LPG market remain weak. Although the chemical demand in Shandong provides some support, there is significant supply pressure in other regions and demand continues to be sluggish [1]. - It is expected that the external release volume will continue to increase and the inbound volume will decline. Chemical demand is expected to be supported in the short - term, with the PDH operating rate expected to rise next week. The demand for alkylation oil is expected to increase with the recovery of gasoline demand, and the demand for C4 is expected to increase due to the planned start - up of multiple MTBE plants next week. Combustion demand is expected to decline as the temperature rises [1]. 3) Summary by Relevant Contents Daily Changes - In terms of civil gas, the price in Shandong remained stable at 4620, in East China increased by 1 to 4492, and in South China increased by 40 to 4630. The price of ether - after carbon four increased by 20 to 4830. The cheapest deliverable was East China civil gas at 4492 [1]. - The PP price rose, and the profits of PP production from FEI and CP increased. The PG futures price fluctuated upwards. The basis of the 07 contract decreased by 10 to 362, and the spread between the 07 - 09 contracts increased by 7 to 210. The arbitrage window from the US to the Far East was closed [1]. Weekly Views - Last week, the overall civil gas market was weak. Supported by chemical demand, the price in Shandong increased, while the price of ether - after carbon four decreased. The cheapest deliverable was East China civil gas at 4449 [1]. - The PG futures price fluctuated strongly. The basis of the 07 contract weakened to 351, and the spread between contracts strengthened significantly. In the external market, FEI and MB were basically the same, and CP declined; the oil - gas ratio increased. The internal - external price difference strengthened, especially the PG - CP [1]. - The US - Asia arbitrage window was closed, and freight rates increased slightly. Among different product spreads, the production margin of PDH improved but remained poor; the production profit of FEI was higher than that of PP. The profitability of alkylation oil increased, the profit of gas fractionation and etherification changed little, and the profit of isomerization and etherification increased. The FEI - MOPJ decreased, and the naphtha crack spread changed little [1]. - In terms of fundamentals, port inventories increased slightly, and terminals actively offered discounts. Factory inventories increased, and the factory inventories in Shandong decreased due to chemical demand. The arrival volume increased (mainly in South China), and the external release volume increased significantly [1]. - The number of registered warehouse receipts was 9304 lots (- 565) [1].

请务必阅读正文之后的免责条款部分 EVERBRIGHT FUTURES 1 | | 虽然期货盘面价格上涨，但大豆盘面榨利差，油厂进口积极性低。期货的强势与 进口成本走高，远期供应担忧有关。操作上，豆粕 91、15 正套持有，单边多头 | | | --- | --- | --- | | | 思路。 | | | | 周一，BMD 棕榈油震荡运行，市场等待 MPOB 报告指引。之前一项调查显示， 尽管出口需求旺盛，但受到产量温和复苏推动，马来西亚 5 月棕榈油库存预计攀 升至 201 万吨，环比上涨 7.74%。其中产量环比增长 3%至 174 万吨。原油价格偏 | | | 油脂 | 强运行，因地缘紧张加剧和美国经济数据好于预期。国内方面，油脂期价偏强运 | 震荡 | | | 行。棕榈油和豆油的涨幅超过菜籽油，蛋白粕走势强于油脂。库存方面，油脂库 | | | | 存稳中增加，大豆压榨量增加是主要原因，其次是油脂需求平淡，国内供应宽松 | | | | 预期持续。操作上，短线参与，豆油和棕榈油买 9 卖 1。 | | | | 周一，鸡蛋期货下跌，主力 2507 合约下跌后低位震荡，尾盘小幅回收，日收跌 | | | | ...

Group 1 - The article provides an update on domestic futures basis data as of June 9 [1]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the reports. 2. Report Core Views The reports mainly present the latest data on various futures, including price differences, basis, ratios, and related economic indicators, without explicitly stating a core view. 3. Summary by Category a. Stock Index Futures - **Price Differences**: The report provides the latest values, changes from the previous day, and historical quantiles of price differences for various stock index futures such as IF, IH, IC, and IM, including spot-futures price differences and inter - period price differences [1]. - **Cross - Variety Ratios**: It presents cross - variety ratios such as CSI 500/CSI 300, IC/IF, etc., along with their changes and historical quantiles [1]. b. Treasury Bond Futures - **Basis and Cross - Period Spreads**: The report shows the latest values, changes from the previous day, and historical quantiles of basis and cross - period spreads for TS, TF, T, and TL treasury bond futures, as well as cross - variety spreads [2]. c. Precious Metals Futures - **Prices and Changes**: It provides domestic and foreign futures closing prices, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions of precious metals (gold and silver), along with their changes [3]. d. Shipping Industry Futures - **Spot Quotes and Indexes**: The report includes spot quotes for Shanghai - Europe shipping, shipping index settlement prices, and Shanghai export container freight rates, along with their changes [6]. - **Futures Prices and Basis**: It presents futures prices and basis for shipping futures contracts, as well as fundamental data such as shipping capacity supply, foreign trade - related indicators, and overseas economic data [6]. e. Trading Calendar - **Data and Information**: The report lists overseas and domestic data/information, including macro - data, agricultural products, black and non - ferrous metals, energy chemicals, and special commodities, along with their release times and data sources [7].