| 股指期货价差日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | 2025年5月13日 | | | | 叶倩宁 | Z0016628 | | 价差 | 品种 | 最新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | F期现价差 | -37.61 | -0.05 | 8.60% | 7.80% | | 期现价差 | H期现价差 | -16.02 | 1.79 | 15.50% | 12.00% | | | IC期现价差 | -105.67 | 11.25 | 5.70% | 2.90% | | | IM期现价差 | -130.46 | 6.42 | 85.00% | 5.40% | | | 次月-当月 | -32.00 | -0.40 | 3.20% | 10.70% | | | 季月-当月 | -98.40 | -1.80 | 0.40% | 7.20% | | | 远月-当月 | -135.40 | -2.00 | 0.40% | 10.00% | ...

1.基差：沪深300 IF2505合约贴水4.26，上证50 IH2505合约升水0.54，中证500 IC2505合约贴水14.47， 中证1000 IM2505合约贴水23.21； 5月13日股指期货套利监测日报 金十期货5月13日讯， 2.月差：沪深300IF2505-2506价差为41.0，上证50IH2505-2506价差为20.4，中证500IC2505-2506价差为 113.0，中证1000IM2505-2506价差为130.8。 ...

Report Summary 1. Report Industry Investment Rating - Not provided 2. Core Viewpoint - The fundamentals of the LPG market are weak, and the short - term futures market is expected to fluctuate weakly [1] 3. Summary by Relevant Data Daily Changes (May 1 - 2, 2025) - In the civil gas market, prices in Shandong decreased by 80 to 4700, in East China by 5 to 4933, and in South China by 70 to 5020. Imported gas prices in East China dropped by 31 to 5105, and in South China by 20 to 5090. The price of ether - post carbon four decreased by 90 to 4710. The lowest price was Shandong civil gas at 4700. The PG futures market was weak, with the basis of the 06 contract at 341 and the 06 - 07 spread slightly weakening to 97. The US - to - Far - East arbitrage window closed [1] Weekly Changes - The domestic civil gas market was weak last week. Prices in South China rose and then fell, those in East China and Shandong fluctuated weakly, and the center of ether - post carbon four prices moved down significantly. The price of the cheapest deliverable (Shandong LPG) was 4800 yuan/ton. The futures market center moved down slightly, the 06 basis fluctuated, and the 06 - 07 spread strengthened [1] - Fundamentally, high arrivals led to significant port inventory accumulation. After the holiday, downstream replenishment was average, and factory inventories increased slightly. The LPG commodity volume was 48.55 tons (-1.06%), and external supply is expected to be stable in the next three weeks. The PDH operating rate decreased to 59.59% (-2.76%) due to high import costs and poor downstream demand. The alkylation operating rate remained flat, production margins turned profitable, and the operating rate is expected to increase slightly. MTBE production decreased, and the profits of gas - fractionation etherification and isomerization etherification were poor [1] - In the international market, CP and FEI rose slightly, while MB remained flat. The internal - external price spread fluctuated, with FEI - MB rising slightly and FEI - CP, CP - MB changing little. Freight rates from the US Gulf to Japan and from the Middle East to the Far East rose slightly. US C3 inventories were basically flat, exports increased, and the US - to - Far - East arbitrage window closed. OPEC+ reduced production cuts, and PG supply is expected to increase. CP official prices are expected to fall, and the propane - butane spread is expected to widen [1]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For methanol, due to low shipments from Iran and insufficient time for the 05 contract, inventory is expected to decline to a seasonal low by the end of April. Be vigilant of continued lower - than - expected shipments from Iran. Assuming normal imports and the shutdown of Shenghong in May, inventory will accumulate, but the low inventory at the end of April will still be factored into trading. An unexpected supply gap in the 05 contract could keep inventory low, providing a safety margin for long positions [1] - For polyethylene, the inventory of Sinopec and PetroChina is neutral year - on - year. Upstream and coal - chemical industries have accumulated inventory during holidays. Downstream raw material and finished - product inventories are also neutral. The overall inventory is neutral. The 05 basis is +300 in North and East China. Import profit is around - 400 with no further increase for now. Non - standard HD injection prices are stable, other spreads are oscillating, and LD is weakening. Domestic linear production has increased month - on - month as maintenance in February decreased. Attention should be paid to US quotes and the commissioning of new plants in 2025 [6] - For polypropylene, upstream and mid - stream inventories have accumulated. The basis is +10, non - standard spreads are neutral, and import profit is around - 500. There are no reports of large - scale export transactions. Propylene is oscillating, and powder feedstock plant operation is stable. The scheduled production of drawn products is neutral. With few known future maintenance plans, supply is expected to increase slightly month - on - month. Downstream orders are average, and raw material inventory is neutral while finished - product inventory is slightly high. Given over - capacity, the 05 contract is under pressure. To relieve the pressure, there needs to be a significant increase in exports or monthly maintenance of 2 million - ton PDH plants [6] - For PVC, the basis has strengthened to 05 - 120, and the ex - factory basis is - 280. Downstream operation is seasonal, and there is a strong willingness to hold goods at low prices. Mid - and upstream inventories are continuously decreasing. With concentrated spring maintenance, the operation rate is expected to reach 75% temporarily. In the second quarter, attention should be paid to the scale of spring maintenance after profit compression. Export orders are fair. In April, pay attention to the Politburo meeting. Coal prices are stable, the cost of semi - coke is weak, and calcium carbide may struggle to expand profits with PVC maintenance. The FOB counter - offer for caustic soda exports is 400. Pay attention to whether subsequent export orders can support high - price caustic soda. The comprehensive profit of PVC is - 300. Currently, the static inventory is at a high level, downstream performance is mediocre, and the macro - environment is neutral. Focus on exports, coal prices, commercial housing sales, terminal orders, and operation rates [10] 3. Summary by Related Catalogs Methanol - Price data shows that from May 6 to May 12, 2025, the price of动力煤期货 remained at 801, the Jiangsu spot price increased by 17, the South China spot price increased by 22, and the盘面MTO profit decreased by 66 [1] Plastic Polyethylene - From May 6 to May 12, 2025, the Northeast Asia ethylene price remained at 780, the East China LL price decreased by 10, and the主力期货 price increased by 114 [6] Polypropylene - From May 6 to May 12, 2025, the Shandong propylene price increased by 70, the主力期货 price increased by 63, and the warehouse receipt increased by 276 [6] PVC - From May 6 to May 12, 2025, the Shandong caustic soda price increased by 10, the East China calcium - carbide - based PVC price increased by 10, and the basis (high - end delivery product) increased by 10 [9][10]

Group 1: Stock Index Futures Market Overview - The four major index futures contracts all increased last week, with the CSI 300 index futures rising the most by 2.27%, while the CSI 500 index futures saw the largest decline of 1.68% [3][11] - The average trading volume of the four major index futures contracts increased compared to the previous week, with the IF contract seeing the largest increase of 35.46% [3][11] - The annualized basis rates for the current contracts of IF, IC, IM, and IH were -7.15%, -12.46%, -14.21%, and -5.19% respectively, indicating a narrowing of the basis for IF and IH while deepening for IC and IM [3][11] Group 2: Cross-Period Price Differences - As of last Friday, the cross-period price difference rates for the current contracts of IF, IC, IM, and IH were at the 94.10%, 98.80%, 99.20%, and 88.20% percentiles since 2019 [4][12] - There are arbitrage opportunities for the IF current contract, with a required basis rate of 0.33% for a positive arbitrage and -0.48% for a negative arbitrage over the next 5 trading days [4][12] - The estimated dividend points for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices are 22.15, 44.10, 16.55, and 36.81 respectively [4][12] Group 3: Market Expectations - The basis changes are influenced by dividends and investor trading sentiment, with expectations of significant fluctuations in basis due to large-scale buying and selling by major funds [4][13] - Recent financial policies, including a 0.5 percentage point reduction in the reserve requirement ratio, are expected to provide approximately 1 trillion yuan in long-term liquidity to the market [4][13] - Current basis levels are at historical lows, and the positive cross-period price difference indicates a high cost-performance ratio for using near-month contracts for hedging [4][13] Group 4: Recent Sell-Side Strategy Insights - Eight brokerages believe that ongoing policies will support the capital market, boosting market confidence and reducing risk premiums [5][49] - Five brokerages expect that the technology growth trend is likely to continue in the short term, with small-cap growth stocks performing prominently [5][49] - There is a consensus among brokerages regarding the positive outlook for sectors such as technology, new consumption, military industry, and banking [5][49]

| | 20250512申万期货有色金属基差日报 | | | --- | --- | --- | | | 铜： 可能短期宽幅波动 | | | | 锌： 可能短期宽幅波动 | | | 摘要 | | | | | 铝： 短期内或以震荡偏弱为主。 | | | | 镍： 可能短期区间波动运行 | | | 品种 | 观点 | 策略方向 | | | 铜：周末夜盘铜价收涨。目前精矿加工费总体低位以及低铜价，考验冶炼产 | | | | 量。根据国家统计局数据来看，国内下游需求总体稳定向好，电网带动电力 | 可能短期宽 | | 铜 | 投资高增长，家电产量延续增长，需关注出口变化，新能源渗透率提升有望 | 幅波动 | | | 巩固汽车铜需求，地产数据降幅缩窄。铜价短期可能宽幅波动，关注美国关 | | | | 税谈判进展，以及美元、人民币汇率、库存和基差等变化。 | | | | 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，家电表现良好，地产数据降幅缩 | 可能短期宽 | | 锌 | 窄。市场预期今年精矿供应明显改善，冶炼供应可能恢复，前期锌价的回落 | | ...

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - Brazil's 2024/25 soybean crop commercial sales are behind schedule, with 57% of the expected output sold, lower than last year's 64.6% and the five - year average of 70.3%, though it increased by 6.3 percentage points from last month [1] - Brazil's 2025/26 soybean sales reached 7.9% of the expected output, still lower than last year's 9.9% and the historical average of 17.2%, indicating producers' caution due to market uncertainties [1] - A US private exporter reported selling 120,000 tons of soybeans to Pakistan for the 2025/2026 market year [1] - Canada's rapeseed exports increased by 8% to 184,500 tons in the current week compared to the previous week, and exports from 2024 to 2025 increased by 70% compared to the previous year [1] 3. Summary by Related Catalogs Brazil Soybean Sales - 2024/25: With an expected output of 172.45 million tons, 97.88 million tons have been sold, accounting for 57% of the expected output [1] - 2025/26: With an expected output of 182.57 million tons, about 14,350 tons have been sold, accounting for 7.9% of the expected output [1] US Soybean Exports - A US private exporter reported selling 120,000 tons of soybeans to Pakistan for the 2025/2026 market year [1] Canada Rapeseed Exports - Current week: Exports increased by 8% to 184,500 tons compared to the previous week [1] - 2024 - 2025: Exports reached 7.8791 million tons, a 70% increase compared to the previous year [1] - As of a certain date, commercial inventory was 1.201 million tons [1] Spot Prices - Provided spot prices for soybean meal in Jiangsu, rapeseed meal in Guangdong, soybean oil in Jiangsu, palm oil in Guangzhou, and rapeseed oil in Jiangsu from April 30, 2025, to May 9, 2025 [2]

Report Summary 1. Report Industry Investment Rating No investment rating information was provided in the report. 2. Core View The report is a daily data report on commodity arbitrage from Baocheng Futures on May 12, 2025, presenting the basis, spreads, and other data of various commodities including thermal coal, energy chemicals, black metals, non - ferrous metals, agricultural products, and stock index futures, helping investors understand market conditions. 3. Summary by Category 3.1 Thermal Coal - Basis data from April 30 to May 9, 2025, showed a continuous decline in the basis, reaching - 171.4 yuan/ton on May 9 [2]. - Spreads such as 5 - 1, 9 - 1, and 9 - 5 were all 0 during the period [2]. 3.2 Energy and Chemicals 3.2.1 Energy Commodities - For INE crude oil, the basis on May 9 was - 35.58 yuan/ton; for fuel oil, the ratio was 0.1369, and the basis was 33.60 yuan/ton [6]. 3.2.2 Chemical Commodities - Basis data for various chemicals from April 30 to May 9, 2025, showed fluctuations. For example, the basis of natural rubber on May 9 was - 20 yuan/ton [9]. - Spread data included information on different months (5 - 1, 9 - 1, 9 - 5) for various chemicals, such as the 5 - 1 spread of natural rubber being - 1065 yuan/ton [9]. - Cross - commodity spread data, like LLDPE - PVC being 2191 yuan/ton on May 9 [9]. 3.3 Black Metals - Basis data from April 30 to May 9, 2025, for black metals such as rebar, iron ore, coke, and coking coal showed changes. For example, the basis of rebar on May 9 was 128.0 yuan/ton [14]. - Spread data included different months for rebar (5 - 1, 10 - 1, 10 - 5) and other black metals (5 - 1, 9 - 1, 9 - 5) [14]. - Cross - commodity data such as the ratio of rebar to iron ore being 4.34 on May 9 [14]. 3.4 Non - Ferrous Metals 3.4.1 Domestic Market - Basis data from April 30 to May 9, 2025, for domestic non - ferrous metals like copper, aluminum, zinc, etc., showed fluctuations. For example, the basis of copper on May 9 was 930 yuan/ton [22]. 3.4.2 London Market - Data on LME non - ferrous metals on May 9, 2025, included LME spreads, Shanghai - London ratios, CIF prices, domestic spot prices, and import profit and loss. For example, the LME spread of copper was 49.19, and the Shanghai - London ratio was 8.28 [28]. 3.5 Agricultural Products - Basis data from April 30 to May 9, 2025, for agricultural products such as soybeans, corn, etc., showed changes. For example, the basis of soybean No. 1 on May 9 was - 213 yuan/ton [37]. - Spread data included different months (5 - 1, 9 - 1, 9 - 5) for various agricultural products, such as the 5 - 1 spread of soybean No. 1 being 26 yuan/ton [35]. - Cross - commodity data such as the ratio of soybean No. 1 to corn being 1.75 on May 9 [35]. 3.6 Stock Index Futures - Basis data from April 30 to May 9, 2025, for stock index futures including CSI 300, SSE 50, CSI 500, and CSI 1000 showed fluctuations. For example, the basis of CSI 300 on May 9 was 37.56 [45]. - Spread data for different months (next month - current month, current quarter - current month, etc.) for various stock index futures, such as the next month - current month spread of CSI 300 being - 33.2 [45].

Group 1: Report Industry Investment Rating - No information provided Group 2: Core View of the Report - The fundamentals of the LPG market are weak, and the short - term futures market is expected to fluctuate weakly [1] Group 3: Summary by Relevant Catalog Price and Market Conditions - On Friday, for civil LPG, prices in Shandong remained stable at 4780, in East China at 4938, and in South China dropped 50 to 5130; for imported LPG, prices in East China decreased 7 to 5136, and in South China decreased 60 to 5140; the price of ether - post carbon four rose 10 to 4810. The lowest price was Shandong civil LPG at 4780. The PG futures market fluctuated weakly, with the basis of the 06 contract at 433 and the 06 - 07 spread at 104. The US - to - Far - East arbitrage window was closed [1] - Last week, the domestic civil LPG market was weak. Prices in South China rose and then fell; those in East China and Shandong fluctuated weakly; the center of ether - post carbon four prices moved down significantly; the price of the cheapest deliverable (Shandong LPG) was 4800 yuan/ton. The futures market center moved down slightly; the 06 basis fluctuated; the 06 - 07 spread strengthened [1] Supply and Demand - The LPG commodity volume was 48.55 tons (-1.06%), and the external supply is expected to be stable in the next three weeks. The PDH operating rate decreased to 59.59% (-2.76%) due to high import costs and poor downstream demand. The alkylation operating rate remained flat, and production margins turned profitable, with a small expected increase in operating rate. MTBE production decreased, and the profits of gas - fractionation etherification and isomerization etherification were poor [1] External Market - CP and FEI prices rose slightly, while MB prices remained flat. The internal - external price spread fluctuated, with a slight increase in FEI - MB, and little change in FEI - CP and CP - MB. Freight rates from the US Gulf to Japan and from the Middle East to the Far East rose slightly. US C3 inventories were basically flat, exports increased, and the US - to - Far - East arbitrage window was closed. OPEC+ reduced the production cut, and PG supply is expected to increase. CP official prices are expected to fall, and the propane - butane spread is expected to widen [1]

1. Report Industry Investment Ratings No industry investment ratings are provided in the reports. 2. Core Views Urea - Despite high daily production, short - term maintenance led to a decline in daily output. The new export policy allows the release of supportive export orders from May to June, and the upcoming summer top - dressing season in May - June is expected to boost agricultural demand. Market price increases are likely to be cautious, and the futures market is expected to fluctuate at a high level in the near term [3]. Crude Oil - Oil prices continued to rise, driven by the progress of China - US trade negotiations and geopolitical uncertainties. In the short term, the market risk appetite has increased, but no strong trend has been formed yet, and the sustainability of the macro - drive needs to be observed. The monthly - line fluctuation ranges are adjusted to [57, 67] for WTI, [60, 70] for Brent, and [450, 510] for SC [7]. Styrene - Crude oil is expected to be weak in the medium term, putting pressure on chemical products. Pure benzene supply has decreased recently, but overall supply pressure remains due to imports. Styrene downstream demand is weak, and supply is expected to increase. It is recommended to maintain a short - selling strategy for styrene, with the upper resistance for the near - term contract at 7300 [13]. PE and PP - For LLDPE, although imports are expected to decline significantly from May to June and supply pressure will gradually decrease, inventory pressure is still large under the situation of weak supply and demand, and there is a long - term downward risk. For PP, supply pressure eases slightly during the second - quarter maintenance season, but production is still high, demand is weakening, and there is also a long - term downward risk [17]. Caustic Soda - In the medium - to - long term, the demand for caustic soda from alumina is insufficient, and new production capacity is being added, so the supply - demand outlook is weak. In the short term, caustic soda is in the maintenance phase, and the price has been supported. It is recommended to maintain a short - selling strategy, with the near - term resistance at 2550 [26]. PVC - The supply - demand surplus of PVC is prominent. Domestic demand is weak, and exports are mainly based on price - for - volume. The long - term surplus problem is difficult to solve, and the price is expected to remain weak. It is recommended to short on rallies, but there is a risk of price rebound during the maintenance period [26]. Methanol - The inland valuation has a downward pressure. After the spring maintenance, production has recovered, and downstream profits are differentiated. The port has entered a stock - building period, and the MTO low - operation rate suppresses demand. It is recommended to short the MA09 contract on rallies [35][38]. Polyester Industry Chain - PX: Tight supply and short - term strong demand support its price, but the rebound space is limited. PX09 is expected to fluctuate strongly in the short term, and PX9 - 1 is in a short - term positive spread situation [40]. - PTA: The supply - demand pattern remains tight in the short term, and the price is expected to be relatively strong compared to oil prices, but the rebound is suppressed. TA09 is expected to fluctuate strongly in the short term, and TA9 - 1 is in a short - term positive spread and medium - term reverse spread situation [40]. - MEG: Domestic supply is expected to increase in May, but short - term de - stocking is expected due to high polyester load and reduced imports. EG09 is expected to be strong in the short term [40]. - Short - fiber: Inventory pressure is low in the short term, but the driving force is weaker than that of raw materials. The processing fee is under pressure, and the absolute price fluctuates with raw materials [40]. - Bottle - chip: Supply and demand are both strong in the short term, and the absolute price fluctuates with raw materials. The processing fee is supported, and the main - contract processing fee is expected to fluctuate between 350 - 550 yuan/ton [40]. 3. Summary by Relevant Catalogs Urea Futures Prices - The prices of 01, 05, and 09 contracts and the methanol main contract all increased, with increases ranging from 0.22% to 1.26% [1]. Contract Spreads - The spreads of 01 - 05, 05 - 09, 09 - 01, and UR - MA main contracts changed, with changes ranging from - 16.00% to 44.83% [1]. Main Positions - The long and short positions of the top 20 increased, with the long positions increasing by 2.05% and the short positions increasing by 2.51%. The long - short ratio decreased slightly [1]. Upstream Raw Materials - Most upstream raw material prices remained stable, except for the port price of steam - coal in Qinhuangdao, which decreased by 0.78% [1]. Spot Market Prices - Spot prices in most regions increased, with increases ranging from 0.53% to 2.16% [1]. Supply - Demand Overview - Daily production decreased slightly, with a 1.20% decline in domestic daily urea production. Weekly production increased slightly by 0.21%, and factory inventory decreased by 10.58% while port inventory increased by 12.71% [3]. Crude Oil Prices and Spreads - Brent, WTI, and SC prices increased, with increases ranging from 0.34% to 1.34%. Spreads such as Brent - WTI and EFS also changed [7]. Product Prices and Spreads - Prices of NYM RBOB, NYM ULSD, and ICE Gasoil increased, with increases ranging from 0.53% to 0.71%. Spreads also changed [7]. Crack Spreads - Crack spreads of various refined products changed, with increases ranging from 0.28% to 4.28% for some products and decreases for others [7]. Styrene Upstream - Prices of Brent crude oil, CFR Japan naphtha, etc. increased, with increases ranging from 0.8% to 2.5%. The opening rates of domestic pure benzene and styrene increased [10][13]. Spot and Futures - The spot price of styrene in East China decreased slightly by 0.1%, while futures prices EB2506 and EB2507 increased by 1.0% and 1.1% respectively [11]. Overseas Quotes and Import Profits - Overseas quotes of styrene increased slightly, but the import profit decreased by 11.4% [12]. Industry Chain Inventory - Inventories of pure benzene and styrene ports decreased, while inventories of some downstream products also changed [13]. PE and PP Prices and Spreads - PE and PP futures prices mostly decreased, and the spreads between different contracts changed. Spot prices also decreased slightly [17]. Non - standard Prices - Most non - standard PE and PP prices decreased or remained stable [17]. Upstream and Downstream Opening Rates - PE and PP device opening rates decreased, and downstream weighted opening rates also decreased slightly [17]. Inventory - PE and PP enterprise inventories increased, with increases of 38.99% and 19.76% respectively [17]. Caustic Soda and PVC Spot and Futures - For caustic soda, the price of 50% liquid caustic soda in Shandong increased by 0.7%. For PVC, the prices of some futures contracts changed, with increases or decreases [21]. Overseas Quotes and Export Profits - The FOB price of caustic soda in East China decreased by 1.3%, and the FOB price of PVC in Tianjin decreased by 1.6% [22][23]. Supply - The opening rates of the caustic soda and PVC industries increased slightly [24]. Demand - The opening rates of some downstream industries of caustic soda and PVC increased [25][26]. Inventory - The PVC upstream factory inventory and total social inventory increased slightly [26]. Methanol Prices and Spreads - Methanol futures prices increased, and spreads between different contracts and regional spreads also changed [35]. Inventory - Methanol enterprise inventory and port inventory increased, and the weekly arrival volume increased by 12.50% [35]. Upstream and Downstream Opening Rates - The upstream domestic enterprise opening rate increased, and the downstream MTO device opening rate increased [35]. Polyester Industry Chain Upstream Prices - Prices of Brent crude oil, CFR Japan naphtha, etc. increased, with increases ranging from 1.0% to 2.5% [40]. PX - related - PX prices and spreads changed, with the CFR China PX price increasing by 0.9% [40]. PTA - related - PTA prices and spreads changed, and the processing fees of PTA also changed [40]. MEG - related - MEG prices and spreads changed, and the port inventory decreased slightly [40]. Polyester Product Prices and Cash Flows - Prices of POY, FDY, etc. increased, and cash flows and processing fees of polyester products also changed [40]. Industry Chain Opening Rates - Opening rates of various segments in the polyester industry chain changed, with some increasing and some decreasing [40].