| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月22日 | 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 | -0.27 | 10.01 | 90.10% | 63.30% | 6.42 | 88.50% | H期现价来 | 1.67 | 95.00% | 期现价差 | | | | | | | IC期现价差 | 29.89 | 30.89 | 99.50% | 99.30% | IM期现价差 | 48.25 | 17.09 | 95.00% | 99.50% | 次月-当月 | -1.40 | 0.60 | 89.7096 | 57.10% | | | 李月-当月 | 44.60% | -36.40 ...

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月21日 | 最新值 | 品种 | 历史1年分位数 | 全历史分位数 | 较前一日变化 | | | | | | | | | | | | F期现价差 | -10.28 | -4.42 | 68.00% | 38.0096 | 4.75 | H期配分去 | 3.09 | 91.30% | 83.20% | 期现价差 | | | | | | | IC期现价差 | 22.94 | 97.50% | 1.00 | 86,1096 | IM期现价差 | -25.52 | 28.00% | -61.95 | 75.00% | 次月-当月 | -2.00 | 2.20 | 89.30% | 55.60% | | | 零月-当月 | -36.60 | 44.2 ...

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月20日 | 品种 | 爰新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -5.86 | 2.82 | 76.20% | 48.80% | -2.97 | H期配分去 | 1.66 | 74.50% | 66.10% | 期现价差 | | | | | | | IC期现价差 | 0.33 | -21.95 | 84.00% | 50.2096 | IM期现价差 | -79.05 | -8.15 | 75.00% | 21.60% | -4.20 | 次月-当月 | 7.00 | 81.90% | 50.90% | | | -44.00 | 零月-当月 | -30.20 ...

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2026年1月20日 | 品种 | 爰新值 | 较前一日变化 | 历史1年分位数 | 全历史分位数 | | | | | | | | | | | | F期现价差 | -5.86 | 2.82 | 76.20% | 48.80% | -2.97 | H期配分去 | 1.66 | 74.50% | 66.10% | 期现价差 | | | | | | | IC期现价差 | 0.33 | -21.95 | 84.00% | 50.2096 | IM期现价差 | -79.05 | -8.15 | 75.00% | 21.60% | -4.20 | 次月-当月 | 7.00 | 81.90% | 50.90% | | | -44.00 | 零月-当月 | -30.20 ...

Report Industry Investment Rating - No relevant content provided Core Viewpoints - No clear core viewpoints presented in the reports Summary by Directory 1. Stock Index Futures Spread Daily Report - **IF Futures** - The current-futures spread is -1.93, up 0.50 from the previous day, with a 1-year historical quantile of 58.50% and an all-time quantile of 67.50% [1] - The cross-period spreads show various values and changes, e.g., the next-month - current-month spread is 2.60, up 5.80, with a 1-year historical quantile of 65.90% [1] - **IH Futures** - The current-futures spread is 1.93, down 2.74, with a 1-year historical quantile of 77.00% and an all-time quantile of 67.50% [1] - Cross-period spreads also have different values and changes [1] - **IC Futures** - The current-futures spread is -29.90, down 17.82, with a 1-year historical quantile of 73.70% and an all-time quantile of 40.90% [1] - Cross-period spreads vary [1] - **IM Futures** - The current-futures spread is -101.17, up 2.88, with a 1-year historical quantile of 70.00% and an all-time quantile of 16.80% [1] - Cross-period spreads show different values [1] - **Cross-variety Ratios** - Ratios such as CSI 500/CSI 300, CSI 500/SSE 50, etc., have specific values and changes [1] 2. Treasury Bond Futures Spread Daily Report - **Basis** - TS basis is 1.3180, up 0.0083, with a post-listing quantile of 12.90% [2] - TF basis is 1.4635, down 0.0035, with a post-listing quantile of 36.70% [2] - T basis is 1.3385, up 0.0792, with a post-listing quantile of 44.90% [2] - TL basis is 1.5197, up 0.3068, with a post-listing quantile of 51.80% [2] - **Cross-period Spreads** - TS cross-period spreads have different values and changes for different periods [2] - TF cross-period spreads also vary [2] - T cross-period spreads show specific values and changes [2] - TL cross-period spreads have their own characteristics [2] - **Cross-variety Spreads** - Spreads like TS - TF, TS - T, etc., have specific values and changes [2] 3. Container Shipping Industry Spot and Futures Daily Report - **Shipping Indexes** - SCFIS (European route) settlement price index is 1956.39, up 160.6 (8.94%) from January 5th [3] - SCFIS (US West route) is 1323.98, up 73.9 (5.91%) [3] - SCFI comprehensive index is 1647.39, down 8.9 (-0.54%) from December 26th [3] - SCFI for different routes (European, US West, US East) shows different changes [3] - **Futures Prices and Basis** - Futures contracts such as EC2602, EC2604 (main contract), etc., have price changes [3] - The basis of the main contract is 423.8, down 2.7 (-0.63%) [3] - **Fundamental Data** - Global container shipping capacity supply is 3369.48 million TEU, down 0.16 (0.00%) from January 13th [3] - Port - related indicators in Shanghai (quasi - punctuality rate, port calls) and export amount show changes [3] - Overseas economic indicators (eurozone PMI, EU consumer confidence index, US manufacturing PMI) have different trends [3] - OECD comprehensive leading indicators for the G7 group show a 0.06% increase [3]

| 股指期货价差日报 | 投资咨询业务资格: 证监许可【2011】1292号 2026年1月14日 | 叶倩宁 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 历史1年分位数 | 品种 | 全历史分位数 | 展新值 | 较前一日变化 | F期现价差 | -2.43 | 13.48 | 57.20% | 82.70% | | | | | | | | H期现价差 | 4.67 | 8.20 | 91.30% | 82.90% | 期现价差 | IC期现价差 | -12.08 | 0.45 | 88.90% | 65,1096 | IM期现价差 | -42.73 | 35.17 | 80.00% | 38.30% | | 次月-当月 | -3.20 | 5.60 | 85.60% | 52.90% | 零月-当月 | -7.60 | 7.80 | 97.90% | 53.60% | 远月-当月 ...

1. Report Industry Investment Rating No information provided. 2. Core Views Index Futures - The report presents the current values, changes from the previous day, historical 1 - year percentiles, and all - time percentiles of index futures price spreads, including IF, IH, IC, and IM, as well as cross - period spreads and cross - variety ratios [1]. Treasury Futures - It shows the basis, cross - period spreads, and cross - variety spreads of treasury futures, along with relevant changes and percentiles since listing [3]. Precious Metals - The market for gold is expected to maintain a moderately strong oscillation. It is advisable to hold a light long position above $4300 or sell out - of - the - money put options. - The price of silver is expected to move upwards as the global inventory shortage intensifies. It is recommended to hold long positions above $75. - Platinum and palladium are expected to continue to oscillate upwards in the medium - to - long - term. It is advisable to buy lightly at the 20 - day moving average [6]. Container Shipping - The settlement price indices of SCFIS for European and US - West routes have increased, while the SCFI composite index has slightly decreased. Futures prices of relevant contracts have generally risen, and the basis of the main contract has changed [7]. 3. Summary by Directory Index Futures - **Price Spread Data**: For IF, the current value of the spot - futures spread is - 15.92, with a change of - 0.79 from the previous day. Similar data is provided for IH, IC, and IM. Cross - period spreads and cross - variety ratios are also detailed [1]. Treasury Futures - **Basis and Spreads**: The basis values of TS, TF, T, and TL are presented, along with cross - period spreads and cross - variety spreads, including their changes and percentiles since listing [3]. Precious Metals - **Futures and Spot Prices**: Domestic and foreign futures closing prices, spot prices, basis, ratios, interest rates, exchange rates, and inventory data of precious metals such as gold, silver, platinum, and palladium are provided, along with their changes and percentage changes [6]. Container Shipping - **Index and Price Data**: Settlement price indices of SCFIS, Shanghai export container freight rates, futures prices, basis, and fundamental data (including container shipping capacity supply, port - related indicators, export amounts, overseas economic indicators) are presented, along with their changes and percentage changes [7].

Report Industry Investment Rating - No relevant information provided in the reports. Core Views of the Reports 1. **Stock Index Futures Spread Daily Report** - The document presents the historical percentile, spread, daily change, and other data of various stock index futures, including IF, IH, IC, IM, and cross - variety ratios, but no explicit core view is stated [1]. 2. **Treasury Bond Futures Spread Daily Report** - It offers information on IRR, basis, cross - period spreads, and cross - variety spreads of different treasury bond futures, without a clear core view presented [2]. 3. **Precious Metals Spot - Futures Daily Report** - The market may focus on the impact of US economic data on Fed policies and geopolitical disturbances. Precious metals are expected to maintain high - volatility in January. Gold long positions above $4300 should be held. For silver, a light - position low - buying strategy is recommended, and options can be used to lock in profits when prices hit new highs. Platinum and palladium are expected to rise in the medium - to - long - term, and short - term long positions can be lightly established on dips [3]. 4. **Container Shipping Industry Spot - Futures Daily Report** - The document provides data on spot quotes, container shipping indices, futures prices, basis, and fundamental data of the container shipping industry, but no clear core view is given [4]. Summary by Relevant Catalogs 1. **Stock Index Futures Spread Daily Report** - **Price Spread Data**: Presents historical 1 - year and all - time percentiles, spreads, and daily changes of IF, IH, IC, IM futures' spot - futures spreads, cross - period spreads, and cross - variety ratios. For example, the IC/IF ratio on January 7, 2026, was 2.4626, with a change of 0.0114, and the 1 - year percentile was 99.50% [1]. 2. **Treasury Bond Futures Spread Daily Report** - **IRR and Basis**: Provides IRR, basis, and their daily changes and historical percentiles for TS, TF, T, and TL treasury bond futures. For instance, the TS basis on January 6, 2026, was 0.0200, with a change of 0.0196, and the historical percentile was 13.20% [2]. - **Cross - Period and Cross - Variety Spreads**: Reports cross - period spreads (e.g., current - next quarter) and cross - variety spreads (e.g., TS - TF) and their daily changes and historical percentiles [2]. 3. **Precious Metals Spot - Futures Daily Report** - **Futures Prices**: Domestic futures prices of AU2602, AG2602, etc., and foreign futures prices of COMEX gold, COMEX silver, etc., are presented, along with their daily changes and price increase/decrease rates. For example, the AU2602 contract price on January 6, 2026, was 1004.98 yuan/gram, up 1.00% from the previous day [3]. - **Spot Prices**: Spot prices of London gold, London silver, etc., and their daily changes and price increase/decrease rates are provided. For example, the London gold price on January 6, 2026, was 4495.14, up 1.09% [3]. - **Basis and Ratios**: Basis data (e.g., gold TD - Shanghai gold main contract) and ratio data (e.g., COMEX gold/silver) are given, along with their historical percentiles [3]. - **Interest Rates, Exchange Rates, Inventory, and Positions**: Information on 10 - year US Treasury yields, dollar index, inventory of Shanghai Futures Exchange and COMEX, and ETF positions are presented [3]. 4. **Container Shipping Industry Spot - Futures Daily Report** - **Spot Quotes**: Spot quotes of shipping companies from Shanghai to Europe, such as MAERSK, CMA, etc., and their daily changes and price increase/decrease rates are provided. For example, the CMA quote on October 31, 2026, was 2932 dollars/FEU, up 5.16% [4]. - **Container Shipping Indices**: Settlement price indices of SCFIS (European and US - West routes) and Shanghai export container freight rates are presented, along with their price increase/decrease rates. For example, the SCFIS (European route) on October 27, 2026, was 1312.71, up 15.11% [4]. - **Futures Prices and Basis**: Futures prices of EC2602, EC2604, etc., and the basis of the main contract are given, along with their daily changes and price increase/decrease rates [4]. - **Fundamental Data**: Data on global container shipping capacity supply, Shanghai port - related indicators, monthly export amounts, and overseas economic indicators are provided, along with their环比 and percentage changes [4].

Report Overview - Report Title: "光期黑色：铁矿石基差及价差监测日报" - Date: January 7, 2026 - Report Type: Daily monitoring report on iron ore basis and spreads 1. Contract Spreads - **Price Changes**: I05 closed at 801.0 yuan/ton, up 4.0 yuan from the previous day; I09 closed at 780.0 yuan/ton, up 5.0 yuan; I01 closed at 826.0 yuan/ton, up 11.5 yuan [3]. - **Spread Changes**: The spread of I05 - I09 was 21.0 yuan/ton, down 1.0 yuan; I09 - I01 was -46.0 yuan/ton, down 6.5 yuan; I01 - I05 was 25.0 yuan/ton, up 7.5 yuan [3]. 2. Basis 2.1 Basis Data - **Price and Basis Changes**: For various iron ore varieties such as Carajás fines (卡粉), BRBF, Newman fines, etc., prices and basis values changed. For example, Carajás fines' price increased by 6.0 yuan to 901 yuan, and its basis increased by 3 to 60 [5]. 2.2 Basis Charts - **Chart Information**: There are multiple charts showing the basis of different iron ore types including Brazilian fines, Australian medium - grade fines, Australian low - grade fines, and domestic ores over time from April 2025 to December 2025 [7][8][9]. 3. Variety Spreads 3.1 Variety Spread Data - **Spread Changes**: For example, the spread of PB lump - PB fines was 70.0 yuan/ton, up 1.0 yuan; PB fines - mixed fines was 63.0 yuan/ton, down 1.0 yuan [12]. 3.2 and 3.3 Variety Spread Charts - **Chart Information**: There are numerous charts presenting different variety spreads such as lump - powder spreads, high - medium grade powder spreads, medium - low grade powder spreads, etc., with data from relevant sources [15][16][18]. 4. Contract and Rule Adjustments - **New Deliverable Varieties**: Four new deliverable varieties (本钢精粉, IOC6, KUMBA, Ukrainian concentrate) were added to the I2202 contract with a brand premium of 0 [10]. - **Brand Premium Adjustment**: Only PB fines, BRBF, and Carajás fines have a brand premium of 15 yuan/ton, and the rest are 0 for new rules [10]. - **Quality Difference and Premium Adjustment**: The allowable range of iron grade and other element indicators was adjusted, and a dynamic adjustment mechanism for iron element premium (X) was introduced [10]. - **New Deliverable Brands**: Four new deliverable brands (太钢精粉, 马钢精粉, 五矿标准粉, SP10粉) were added with a brand premium of 0 for I2312 and subsequent contracts [10]. 5. Research Team - **Team Members**: The black research team includes Qiu Yuecheng, Zhang Xiaojin, Liu Xi, and Zhang Chunjie, each with rich experience and relevant qualifications [22].

1. Report Industry Investment Ratings - No industry investment ratings are provided in the reports [1][2][3][4] 2. Core Views 2.1. Index Futures Spread Report - The report provides the historical quantile, current spread, change from the previous day, etc., for various index futures such as IF, IH, IC, and IM, including spot - futures spreads and inter - period spreads, as well as cross - variety ratios [1] 2.2. Treasury Bond Futures Spread Report - It presents the IRR, basis, inter - period spreads, and cross - variety spreads of different types of treasury bond futures (TS, TF, T, TL) along with their changes and historical percentile data [2] 2.3. Precious Metals Spot - Futures Report - The market may focus on the impact of US economic data on Fed policies and geopolitical situations. Precious metals are expected to maintain high volatility in January. Gold long positions above $4300 should be held, silver should be lightly long with profit - locking using options when prices hit new highs, and platinum and palladium should be lightly long on dips in the short - term [3] 2.4. Container Shipping Industry Spot - Futures Report - It shows the spot quotes, container shipping indexes, futures prices, basis, and fundamental data such as shipping capacity supply, foreign trade - related indicators, and overseas economic data of the container shipping industry [4] 3. Summary by Related Catalogs 3.1. Index Futures Spread Report 3.1.1. Spot - Futures Spreads - IF spot - futures spread: The current value is - 12.69, up 3.04 from the previous day, with a 1 - year historical quantile of 62.70% and an all - time historical quantile of 33.70% [1] - IH, IC, and IM also have corresponding spot - futures spread data with their own changes and historical quantiles [1] 3.1.2. Inter - period Spreads - For IF, different inter - period spreads such as next - month - current - month, far - month - current - month, etc., are presented with their values, changes, and historical quantiles [1] - Similar data for IH, IC, and IM are also provided [1] 3.1.3. Cross - variety Ratios - Ratios like CSI 500/CSI 300, CSI 500/SSE 50, etc., are given with their values, changes, and historical quantiles [1] 3.2. Treasury Bond Futures Spread Report 3.2.1. Basis - TS basis: The current value is 0.0200, up 0.0196 from the previous day, with a historical percentile of 13.20% [2] - TF, T, and TL also have their own basis data with changes and historical percentiles [2] 3.2.2. Inter - period Spreads - Different inter - period spreads for TS, TF, T, and TL are provided, including current values, changes from the previous day, and historical percentiles [2] 3.2.3. Cross - variety Spreads - Cross - variety spreads such as TS - TF, TS - T, etc., are presented with their values, changes, and historical percentiles [2] 3.3. Precious Metals Spot - Futures Report 3.3.1. Futures Closing Prices - Domestic futures: AU2602 contract closed at 1004.98 yuan/g on January 6, up 1.00% from the previous day; AG2602 contract closed at 19452 yuan/kg, up 6.60% [3] - Foreign futures: COMEX gold closed at $4505.70, up 1.03%; COMEX silver closed at $81.22, up 6.16% [3] 3.3.2. Spot Prices - London gold was at $4495.14, up 1.09%; London silver was at $81.17, up 6.05% [3] - Shanghai Gold Exchange's products also have their own spot price data and changes [3] 3.3.3. Basis - Gold TD - Shanghai gold main contract basis was - 3.06, down - 0.69 from the previous day, with a 1 - year historical quantile of 48.50% [3] - Similar data for silver, London gold - COMEX gold, etc., are also provided [3] 3.3.4. Ratios - Ratios like COMEX gold/silver, SHFE gold/silver, etc., are given with their values and changes [3] 3.3.5. Interest Rates and Exchange Rates - 10 - year US Treasury yield was 4.18%, up 0.2%; 2 - year US Treasury yield was 3.47%, up 0.3% [3] - Dollar index was 98.60, up 0.28%; on - shore RMB exchange rate was 6.9808, down - 0.03% [3] 3.3.6. Inventory and Positions - SHFE gold inventory remained unchanged at 97704; SHFE silver inventory was 581436 kg, down - 13.16% [3] - Other inventory and position data for COMEX and ETFs are also presented [3] 3.4. Container Shipping Industry Spot - Futures Report 3.4.1. Spot Quotes - MAERSK's Shanghai - Europe 6 - week future freight rate was $2440/FEU on October 31, down - 0.20% from the previous day [4] - Quotes from other shipping companies like CMA, MSC, etc., are also provided [4] 3.4.2. Container Shipping Indexes - SCFIS (European route) settlement price index was 1312.71, up 15.11% from October 20; SCFIS (US West route) was 1107.32, up 28.24% [4] - Shanghai Export Container Freight Index and its sub - indexes also have their own data and changes [4] 3.4.3. Futures Prices and Basis - EC2602 futures price was 1872.7, up 0.93% from January 5; the basis of the main contract (EC2512) was - 220.5, down - 16.30% [4] 3.4.4. Fundamental Data - Global container shipping capacity supply remained unchanged at 3331.69 FITEU on October 31 [4] - Shanghai port on - time rate was 42.77%, up 133.59% from August; port calls decreased by - 9.59% [4] - Monthly export amount was $3285.65 billion, up 2.15% from August [4] - Overseas economic data such as Eurozone PMI, EU consumer confidence index, etc., are also provided [4]