投资咨询业务资格：证监许可【2011】1778 号 运筹帷幄 决胜千里 宝城期货品种套利数据日报（2025 年 6 月 23 日） 一、动力煤 | 商品 | | | 动力煤（元/吨） | | | --- | --- | --- | --- | --- | | 日期 | 基差 | 5月-1月 | 9月-1月 | 9月-5月 | | 2025/06/20 | -192.4 | 0.0 | 0.0 | 0.0 | | 2025/06/19 | -192.4 | 0.0 | 0.0 | 0.0 | | 2025/06/18 | -192.4 | 0.0 | 0.0 | 0.0 | | 2025/06/17 | -192.4 | 0.0 | 0.0 | 0.0 | | 2025/06/16 | -192.4 | 0.0 | 0.0 | 0.0 | -250 -200 -150 -100 -50 0 50 100 450 500 550 600 650 700 750 800 850 900 950 动力煤基差 基差（右） 动力煤现货价:秦皇岛 期货结算价(活跃合约) :动力煤 www.bcqhgs.com 1 杭州市求 ...

| 天然橡胶产业期现日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | 2025年6月23日 | | | | 寇帶斯 | Z0021810 | | 现货价格及基差 | | | | | | | 品种 | 6月20日 | 6月19日 | 涨跌 | 涨跌幅 | 单位 | | 云南国营全乳胶(SCRWF):上海 | 13950 | 13950 | 0 | 0.00% | | | 全乳基差 (切换至2509合约) | 50 | -80 | 130 | 162.50% | | | 泰标混合胶报价 | 13750 | 13850 | -100 | -0.72% | 元/吨 | | 非标价差 | -150 | -180 | 30 | 16.67% | | | 杯胶：国际市场:FOB中间价 | 48.05 | 48.30 | -0.25 | -0.52% | 泰铢/公斤 | | 胶水:国际市场:FOB中间价 | 57.75 | 57.75 | 0.00 | 0.00% | | | 天然橡胶:胶 ...

有色套利早报 研究中心有色团队 2025/06/23 铜：跨市套利跟踪 2025/06/23 国内价格 LME价格 比价 现货 78370 9846 7.97 三月 77570 9571 8.18 均衡比价 盈利 现货进口 8.16 -2374.98 现货出口 1366.15 锌：跨市套利跟踪 2025/06/23 国内价格 LME价格 比价 现货 22050 2601 8.48 三月 21560 2626 6.42 均衡比价 盈利 现货进口 8.70 -564.68 铝：跨市套利跟踪 2025/06/23 国内价格 LME价格 比价 现货 20720 2528 8.20 三月 20265 2517 8.16 均衡比价 盈利 现货进口 8.60 -1033.31 镍：跨市套利跟踪 2025/06/23 国内价格 LME价格 比价 现货 120550 14767 8.16 均衡比价 盈利 现货进口 8.26 -3117.40 铅：跨市套利跟踪 2025/06/23 国内价格 LME价格 比价 现货 16700 1953 8.57 三月 16850 1981 11.06 均衡比价 盈利 现货进口 8.90 -65 ...

Core Viewpoint - The recent ETF investment frenzy labeled as "arbitrage" is cooling down, with significant losses for investors who participated in the "信创" ETF arbitrage movement as the ETFs have collectively dropped below their pre-suspension levels [1][4] Group 1: ETF Investment Dynamics - The announcement of a merger between 海光信息 and 中科曙光 led to a surge in interest for the "信创" ETFs, which are linked to these stocks, as investors anticipated potential gains upon their resumption of trading [2][3] - From May 26 to June 9, the "信创" ETFs saw a massive inflow of funds totaling 71.7 billion yuan, with some ETFs experiencing over 20-fold increases in their share volumes [3][4] - Following the resumption of trading on June 10, the "信创" ETFs were collectively sold off, resulting in declines ranging from 2.5% to 3.8% [3][4] Group 2: Risks and Limitations of ETF Arbitrage - Investors attempting to leverage the "信创" ETFs for gains faced multiple risks, including the dilution of returns due to increased ETF scale and changes in redemption rules that may disadvantage original holders [5][9] - The significant increase in ETF scale during the suspension of the stocks led to a dilution of the stocks' weight in the ETFs, reducing their potential contribution to returns upon resumption [7][11] - The shift in redemption rules from "allowed" to "mandatory" cash substitutes for the suspended stocks limited investors' ability to execute arbitrage strategies effectively [8][10] Group 3: Controversy Over Fund Management Practices - A debate has emerged regarding whether the redemption rules implemented by certain fund managers have harmed the interests of original ETF holders, as the influx of new capital diluted their potential returns [9][11] - Fund managers, such as 国泰基金, have faced scrutiny for their decisions to adjust redemption limits and rules, which some argue may have encouraged arbitrage and further diluted original holders' interests [10][11] - The outcome of this ETF arbitrage episode raises questions about how fund managers can better balance the interests of new and existing investors in future scenarios [11]

金工策略周报 东证衍生品研究院金融工程组 2025年6月22日 王冬黎 金融工程首席分析师 从业资格号： F3032817 投资咨询号： Z0014348 Email: dongli.wang@orientfutures.com 联系人 徐凡 分析师(金融工程) 从业资格号： F03107676 Email: fan.xu@orientfutures.com 李晓辉 金融工程首席分析师 从业资格号： F03120233 投资咨询号： Z0019676 Email: xiaohui.li@orientfutures.com 常海晴 分析师(金融工程) 从业资格号： F03087441 Email: haiqing.chang@orientfutures.com 股指期货量化策略跟踪 常海晴 金融工程高级分析师(股指期货) 从业资格号：F03087441 投资咨询号：Z0019497 Email: haiqing.chang@orientfutures.com 2 主要内容 ★股指期货行情简评： 市场呈持续下跌走势。分行业看，医药生物和电力设备贡献了沪深300指数的主要跌幅，医药生物和有色金属贡献了上证50指数、 ...

Group 1 - The article highlights the investment principles of Paul Singer, a legendary investor known for achieving an annualized return of 14% over 46 years and growing his assets from $1.3 million to $72 billion [2] - Singer's investment philosophy emphasizes capital protection, innovative strategies, and deep research as key components of successful investing [3][4] Group 2 - Singer's principle of capital protection aligns with modern portfolio theory, focusing on risk control rather than merely chasing high returns [3] - The use of convertible bond arbitrage showcases Singer's ability to exploit market inefficiencies and generate non-correlated returns [4] Group 3 - The establishment of information advantages through in-depth research challenges the efficient market hypothesis, revealing unpriced information in the market [4] - Singer's proactive engagement in corporate governance exemplifies the value reconstruction potential of activist investing [5] Group 4 - Legal acumen plays a crucial role in Singer's investment strategy, as demonstrated in the Argentine bond case, where he effectively navigated complex legal frameworks to maximize investor benefits [6] - Understanding the lifecycle of companies allows Singer to identify critical turning points, enabling investors to avoid risks and seize opportunities [6] Group 5 - Singer's long-term investment philosophy is rooted in the power of compounding, advocating for holding quality assets to achieve exponential wealth growth [7] - The emphasis on interdisciplinary knowledge underscores the importance of a broad understanding of human behavior, society, and economic principles in investment decision-making [7] Group 6 - The article concludes with a warning about systemic risks in the current market environment, highlighting concerns over excessive leverage, negative interest rates, and emerging market bubbles [7]

金融工程 | 动态跟踪 IH 浅升水，IC 及 IM 深贴水 分红对期指的影响 20250620 研究结论 | 上证50股指期货 含分红价差 | 收盘价 | 分红点数 | 实际价差 | | | --- | --- | --- | --- | --- | | IH2507 | 2636.80 | 40.84 | -36.92 | 3.92 | | IH2508 | 尚未开始交易 | 43.73 | 尚未开始交易 | 尚未开始交易 | | IH2509 | 2635.40 | 44.65 | -38.32 | 6.33 | | IH2512 | 2633.40 | 44.65 | -40.32 | 4.33 | | 沪深300股指期货 | 收盘价 | 分红点数 | 实际价差 | 含分红价差 | | IF2507 | 3804.40 | 38.26 | -42.24 | -3.99 | | IF2508 | 尚未开始交易 | 44.90 | 尚未开始交易 | 尚未开始交易 | | IF2509 | 3773.60 | 48.35 | -73.04 | -24.70 | | IF2512 | 3745.20 | 48 ...

新能源及有色金属周报 | 2025-06-22 能源危机担忧为时尚早，氧化铝现货价格快速下滑 重要数据 铝 截至2025/6/20当周，伦铝价增加1.79%至2561.5美元/吨，沪铝主力较此前一周增加1.06%至20465元/吨。 LME铝现 货升贴水(0-3)由上周的-0.42 美元/吨变动至11.16 美元/吨。 供应：截止6月20日当周，电解铝周度运行产能基本保持平稳，后期将维持平稳小增的状态。电解铝建成产能4520 万吨，运行产能4415万吨，周度环比增加1万吨，开工率97.7%。 需求：根据SMM数据显示，国内铝下游铝型材龙头企业开工率较上周下跌-1.5%至52.5%，铝板带箔开工率较上周 下跌-1.06%至69.36%，铝板带箔产量较上周下跌-0.57万吨至37.247万吨，铝线缆平均开工率较上周持平于63.2%。 库存：截至2025-06-19，SMM统计国内电解铝锭社会库存44.9万吨，比上周减少-1.1万吨，铝棒库存13.45万吨，比 上周增加0.7万吨，国内去库表现较为顺畅。截止2025/6/20，LME铝库存34.29万吨，较上周同期减少-1.28万吨。 利润：截至2025-06-13 ...

市场的这种行为可以类比为"打一巴掌揉三揉"，大部分时间市场会按照一定的规律运行，但在某些关键 节点上，市场会反复波动，甚至可能出现剧烈调整。这种震荡期是市场的常态，也是投资者需要面对的 挑战。 从投资角度来看，价值投资是长期赚钱的关键，但实际操作中，投资者需要关注利益。市场总是按照世 界的底层规律运行，既有有序的阶段，也有无序的阶段。目前市场正处于从有序向无序转换的过程中， 未来可能会出现剧烈波动，但也可能重新回归有序状态。 （原标题：和讯投顾史月波：今日大盘背后的逻辑，你知道吗？） 从周线来看，3340附近是一个关键支撑位。如果用1到2周的时间把这个位置磨掉，那么市场可能会进入 一个新的阶段。这种走势可能会形成缺口，比如在3324、3318、3292附近再开一个缺口。这种缺口的出 现可能会让市场看起来很吓人，但实际上，真正的多方大本营在3250上方，这是本轮行情的强支撑位。 在这种情况下，耐心等待机会非常重要，不要急于行动。市场有可能会反抽一根阳线，但这只是短期波 动。如果市场能够突破并带动指数上涨，那么市场热度可能会再次上升。但这种上涨往往是短暂的，追 高可能会面临风险。 今天市场的走势非常有意思。回顾昨 ...

成本端扰动增多 合金低位震荡 银河期货大宗商品研究所 周涛 期货从业证号：F03134259 投资咨询证号：Z0021009 目录 第二章 核心逻辑分析 4 第一章 综合分析与交易策略 2 第三章 周度数据追踪 9 资料来源：Wind Bloomberg Mysteel GALAXY FUTURES 1 套利：观望； 期权：逢高卖出看涨期权。 资料来源：Wind Bloomberg Mysteel GALAXY FUTURES 2 目录 综合分析与交易策略 【综合分析】 硅铁方面，供应端，前期合金厂检修结束，产量小幅回升，不过在当前利润水平下复产幅度预计有限，整体供应端预计仍将 维持低位。需求方面，下游钢材需求进入淡季，但下行幅度尚不明显，钢厂高炉本周还有小幅复产，需求端短期仍有韧性。 成本端方面，近期煤炭价格止跌企稳，国际原油价格大幅上涨，能源成本有所抬升，硅铁作为能源密集品种，情绪上也受到 了提振，短期以低位震荡为主。 锰硅方面，供应端产量同样小幅回升，绝对值维持低位。需求方面，螺纹钢需求进入淡季，但目前微观数据看走弱的幅度也 较为温和。成本端方面，锰矿供应端再度出现多则消息扰动，南非极端天气可能对内陆运 ...