金融研究 2025年6月9日 星期一 金融期货早班车 招商期货有限公司 市场表现：6 月 6 日，A 股四大股指多数下跌，其中上证指数上涨 0.04%，报收 3385.36 点；深成指 下跌 0.19%，报收 10183.7 点；创业板指下跌 0.45%，报收 2039.44 点；科创 50 指数下跌 0.48%， 报收 991.64 点。市场成交 11,772 亿元，较前日减少 1,397 亿元。行业板块方面，有色金属(+1.16%)， 通信(+1%)，石油石化(+0.88%)涨幅居前；美容护理(-1.7%)，纺织服饰(-1.18%)，食品饮料(-0.92%) 跌幅居前。从市场强弱看，IF>IH>IC>IM，个股涨/平/跌数分别为 2,600/210/2,602。沪深两市，机构、 主力、大户、散户全天资金分别净流入-76、-118、12、182 亿元，分别变动-114、-77、+38、+153 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 146.64、107.08、55.98 与 46.05 点，基差年化收益率 分别为-19.22%、-14.99%、-11.65%与-13.81%，三 ...

Core Insights - The article discusses the strategy of buying in-the-money call options to capitalize on market mispricing in a deeply discounted futures market [1][5] - It highlights the characteristics of in-the-money options and their pricing dynamics, particularly in a market where option prices are below their intrinsic values [1][5] Pricing Characteristics - Discount refers to the state where futures prices are lower than spot prices, specifically in options, it indicates that option prices are below their intrinsic values [1] - For example, if the current index level is 6000 and the strike price of an in-the-money call option is 5500, the intrinsic value is 500 points, while the market price is only 484.8 points, indicating a pricing discrepancy of 15.2 points [1] Profit Pathway - As the option's expiration date approaches, the option price converges towards its intrinsic value, allowing investors to gain from the difference between intrinsic value and purchase cost if the discount is not fully corrected [2] - In-the-money call options have limited loss characteristics, where investors only lose the premium paid if the underlying asset declines significantly, unlike futures which can incur unlimited losses [2] - The Delta of deeply in-the-money call options is close to 1, meaning their price movements closely follow the underlying asset, providing dual profit opportunities from both price appreciation and discount correction [2] Risk and Trading Considerations - Time decay (Theta risk) can still affect in-the-money options, necessitating strict control over holding periods [3] - Liquidity risk may arise with certain deep in-the-money options due to low trading volumes, leading to wider bid-ask spreads or difficulties in closing positions [3] - Market sentiment can quickly shift, requiring timely profit-taking or adjustments in holding strategies based on market conditions [3] Case Study Analysis - A specific example involves buying a 5500 strike in-the-money call option with a market price of 484.8 points, where the intrinsic value is 544.2 points, indicating a discount of 59.4 points [4] - If the index remains at 6000 at expiration, the option value converges to 500 points, yielding a profit of 15.2 points; if the index rises to 6200, the profit increases to 200 points [4] - A hedging strategy can involve selling higher strike call options to reduce premium costs and lock in some profits [4] Conclusion - The strategy of buying in-the-money call options to "eat the discount" leverages market pricing discrepancies and convergence characteristics, offering controlled risk and significant leverage [5]

国泰君安期货·能源化工 燃料油、低硫燃料油周度报告 国泰君安期货研究所·梁可方 投资咨询从业资格号：Z0019111 日期：2025年6月8日 Guotai Junan Futures all rights reserved, please do not reprint | 01 | CONTENTS 02 | 03 | 04 | 05 | 06 | | --- | --- | --- | --- | --- | --- | | 综述 | 供应 | 需求 | 库存 | 价格及价差 | 进出口 | | | 炼厂开工 | 国内外燃料油需求数据 | 全球燃料油现货库存 | 亚太区域现货FOB价格 | 国内燃料油进出口数据 | | | 全球炼厂检修 | | | 欧洲区域现货FOB价格 | 全球高硫燃料油进出口数据 | | | 国内炼厂产量与商品量 | | | 美国地区燃料油现货价格 | 全球低硫燃料油进出口数据 | | | | | | 纸货与衍生品价格 燃料油现货价差 | | | | | | | 全球燃料油裂解价差 | | | | | | | 全球燃料油纸货月差 | | Special report on Guota ...

金融期权 | 日报 2025 年 6 月 6 日 金融期权 专业研究·创造价值 投资咨询业务资格：证监许可【2011】1778 号 股指支撑力量较强 核心观点 今日各股指均窄幅震荡整理。目前海外关税不确定性扰动升温，不过 其边际影响逐渐减弱；而国内宏观经济指标边际走弱，市场对未来政策面利 好预期升温。目前政策利好预期升温，市场情绪偏向积极乐观，短期内股 指下行风险较小。另一方面，海外不确定性风险以及内需走弱则分别从风 险偏好以及盈利预期两方面抑制股指的上行动能，股指上行容易遭受阻 力。市场变盘节点可以关注 6 月 18 日陆家嘴论坛的政策指引与市场预期的 博弈。总的来说，当前股指上行空间与下行空间均较为有限，预计短期内 股指维持区间震荡。 目前期权隐含波动率位于偏低的历史分位数水平，考虑到股指支撑较 强，可以布局牛市价差或比例价差看多组合。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 ...

光期研究 资料来源：Wind，Mysteel, 光大期货研究所 光期黑色：铁矿石基差及价差监测日报 2025 年 6 月 6 日 1 图表1：09-01合约价差（单位：元/吨） 图表2：01-05合约价差（单位：元/吨） 光大证券 2020 年 半 年 度 业 绩 E V E R B R I G H T S E C U R I T I E S 1.1 合约价差 | 期货合约 | 今日收盘价 | 上日收盘价 | 变化 | 合约价差 | 今日价差 | 上日价差 | 变化 | | --- | --- | --- | --- | --- | --- | --- | --- | | I05 | 646.5 | 648.0 | -1.5 | I05-I09 | -54.5 | -56.5 | 2.0 | | I09 | 701.0 | 704.5 | -3.5 | I09-I01 | 36.0 | 38.5 | -2.5 | | I01 | 665.0 | 666.0 | -1.0 | I01-I05 | 18.5 | 18.0 | 0.5 | -100 -50 0 50 100 150 05 06 07 08 09 1 ...

燃料油日报 | 2025-06-06 富查伊拉燃料油库存大幅下滑 市场分析 高硫方面：震荡 低硫方面：震荡 跨品种：关注逢高空FU裂解价差（FU-SC或FU-Brent）的机会，短期支撑偏强，尽量逢高布局 跨期：无 期现：无 期权：无 风险 宏观风险、关税风险、原油价格大幅波动等、发电端需求超预期、欧佩克增产不及预期 2025年期货市场研究报告 第1页 请仔细阅读本报告最后一页的免责声明 上期所燃料油期货主力合约日盘收涨0.1%，报2934元/吨；INE低硫燃料油期货主力合约日盘收跌0.63%，报3489 元/吨。 原油价格在欧佩克会议后强势反弹，短期基本面较为稳固，市场存在一定支撑，但中期仍面临平衡表转为过剩的 压力。 就燃料油自身基本面而言，近日高硫燃料油市场结构有边际转弱的迹象，裂解基差从绝对高位出现一定幅度回落。 但目前来看，市场支撑仍存。随着夏季临近，中东、埃及等地发电端需求逐步提升，或提振亚洲高硫油市场氛围。 参考普式数据，富查伊拉燃料油库存本周录得723.8万桶，环比前一周下跌24.56%。富查伊拉的大幅去库背后，可 能是来自于中东发电厂的采购需求增长。中期来看，由于高硫油裂解价差过高，下游炼厂 ...

1.基差=CTD净价（中债估值）-期货结算价（主力合约）*转换因子 7 2.上市以来百分位数：基差部分指IRR自期货合约上市以来最新值的百分位数，其余均为价差最新值的百分位数 3.价差依据期货主力合约收盘价计算得出 | 股指期货价差日报 | | | | | | | --- | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可【2011】1292号 | | | | | | | Z0016628 2025年6月6日 | | | | 叶倩宁 | | | 价差 较前一日变化 历史1年分位数 | 品种 | 最新值 | | | 全历史分位数 | | F期现价差 | | -25.56 | 0.79 | 23.70% | 16.60% | | 期现价差 | H期现价差 | -18.13 | -0.90 | 16.30% | 10.00% | | IC期现价差 | | -46.37 | 3.84 | 21.70% | 23.10% | | IM期现价差 | | -65.41 | 3.76 | 80.00% | 16.30% | | 次月-当月 | | -38.80 | 0.40 | 3 ...

简言之，其核心盈利模式依赖峰谷电价差获利，不过这一模式正面临三重挑战：首先江苏等地已明 确缩小电价峰谷价差，预计将直接削薄20%至30%的利润空间，而且峰谷价差缩小已成为全国政策 大趋势；其次，随着新能源全面入市交易，电站收益的不确定性逐步增加；最后，这种商业模式技 术门槛较低，容易被复制，难以形成护城河。 关注公众号，点击公众号主页右上角" ··· "，设置星标 "⭐" ，关注 鑫椤锂电 资讯~ 本文来源：第一财经 近日国投集团旗下中成股份发布发行股份购买资产并募集配套资金暨关联交易预案。公司拟通过发 行股份的方式向中国技术进出口集团有限公司(下称"中技进出口")购买其持有的中技江苏100%股 权，并向不超过35名特定投资者募集配套资金。 公告显示，中技江苏成立于2021年，注册资本6349万元， 主营业务主要是为工商业用户侧储能项 目的投资、开发和运营，主要产品为合同能源管理服务，向用户提供必要的储能、充放电等服务。 目前已承建并运营江苏时代(一期)、时代上汽、江苏时代(二期)、时代广汽、东莞基站等工商业用户 侧储能项目。在运营的储能电站主要位于江苏省溧阳市、广东省东莞市、广东省肇庆市、广东省广 州市和河 ...

金融期权 2025/06/05 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为盘整震荡行情。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | ...

Core Viewpoint - The domestic gasoline and diesel market in China is experiencing a rebound after three months of decline, driven by increased buying at low prices and low inventory levels, alongside a stable international crude oil market [1][8]. Group 1: Market Trends - Gasoline prices have been rising since May 20, with the average wholesale price reaching 7714 yuan/ton as of June 3, marking a near one-month high but still within the year's low price range [2]. - Diesel prices have also shown an upward trend, with the average wholesale price at 6802 yuan/ton, approaching previous highs, although there are risks of a pullback at elevated levels [2][4]. - The overall market sentiment is positive, with many sales units actively pushing prices higher, although purchasing activity from downstream sectors may be limited at high price levels [4][5]. Group 2: Supply and Demand Dynamics - The supply of diesel is tight in some regions, supported by low inventory levels, while gasoline demand has not seen substantial improvement despite some marginal recovery [4][6]. - The first batch of collective procurement prices for gasoline and diesel from Sinopec in Northeast China has increased, with gasoline prices rising by 50 yuan/ton and diesel by 80 yuan/ton compared to the previous period [5]. - The gasoline and diesel crack spreads have shown divergent trends, with gasoline experiencing a decline in consumption and a drop in crack spread, while diesel remains supported by low inventory levels [6][8]. Group 3: Future Outlook - The international crude oil market is expected to remain stable, but the upward momentum for gasoline and diesel prices may be limited due to weak demand and potential easing of tight supply conditions [8]. - Gasoline demand is anticipated to remain weak in June, with seasonal factors and competition from alternative energy sources impacting consumption [8]. - Diesel demand is also expected to decline, particularly with the onset of the rainy season in southern China and reduced agricultural demand in northern regions [8].