国内期货主力合约涨跌不一，焦煤涨超4%，玻璃涨超3%，焦炭、 铁矿石涨超2%。跌幅方面，燃料油 跌超2%。 ...

| | ル期現日报 | | | | | --- | --- | --- | --- | --- | | 投资咨询业务资格:证监许可 [2011] 1292号 2025年7月11日 | | | 王涛庭 | Z0019938 | | 田和 | | | | | | | 7月10日 | 7月9日 | 张跃 | 涨跌幅 | | 现价 | 江苏一级 8170 | 8170 | 0 | 0.00% | | 期价 | Y2509 7944 | 7920 | 24 | 0.30% | | 县差 | Y2509 226 | 250 | -24 | -9.60% | | 现货墓差报价 | 江苏6月 09 + 210 | 09 +210 | 0 | - | | 仓单 | 22725 | 22826 | -101 | -0.44% | | 棕榈油 | | | | | | | 7月10日 | 7月9日 | 涨跌 | 涨跌幅 | | 现价 | 广东24度 8670 | 8700 | -30 | -0.34% | | 期价 | P2509 8638 | 8678 | -40 | -0.46% | | 墓差 | P2509 32 | 22 | ...

Group 1 - The main contract of the CSI 500 stock index futures (IC) has increased by 1.00%, currently reported at 6028.2 points [1] - The main contract of the CSI 1000 stock index futures (IM) has reached 6300 points, with a daily increase of 0.93% [1]

Core Viewpoint - The recent investigation of Knight Dairy by the CSRC for failing to disclose information regarding a futures investment loss of 38.73 million yuan highlights broader issues in corporate governance and compliance within listed companies engaging in futures trading [2] Group 1: Regulatory Framework and Compliance - According to the Futures and Derivatives Law of the People's Republic of China, hedging is intended to manage risks associated with asset and liability value changes through futures and derivatives trading [3] - Listed companies must adhere to strict regulatory and self-regulatory requirements when engaging in hedging activities, including maintaining robust internal control systems and risk management capabilities [3] - The Shanghai Stock Exchange's guidelines emphasize that hedging activities should only involve products directly related to the company's operations and should match the scale and duration of the risks being managed [3] Group 2: Common Violations in Futures Hedging - Many listed companies fail to establish comprehensive internal control systems and risk management measures for their hedging activities, leading to significant losses, as seen in the case of Knight Dairy [4] - Companies often deviate from the intended purpose of hedging, engaging in speculative trading that violates management regulations, as evidenced by Knight Dairy's involvement in unrelated futures trading [4][5] Group 3: Recommendations for Effective Hedging - Companies should strengthen internal controls and ensure that established systems are effectively implemented to manage risks associated with hedging activities [6] - A correct understanding of hedging is crucial, as it aims to lock in costs or profits and mitigate market volatility risks, which can lead to losses if market prices move unfavorably [7] - Developing a comprehensive hedging strategy requires skilled professionals, and companies may consider collaborating with futures firms to enhance their hedging practices [7] - Strict adherence to information disclosure requirements is essential to maintain market integrity and protect investors' rights [8]

1. Index Trends - On July 10th, the Shanghai Composite Index rose by 0.48% to close at 3509.68 points, with a trading volume of 613.161 billion yuan; the Shenzhen Component Index rose by 0.47% to close at 10631.13 points, with a trading volume of 880.987 billion yuan [1]. - The CSI 1000 Index rose by 0.25%, with a trading volume of 296.726 billion yuan, an opening price of 6385.21, a closing price of 6406.57, a daily high of 6427.74, and a daily low of 6367.66 [1]. - The CSI 500 Index rose by 0.5%, with a trading volume of 207.637 billion yuan, an opening price of 5950.97, a closing price of 5983.05, a daily high of 6000.69, and a daily low of 5942.29 [1]. - The SSE 50 Index rose by 0.62%, with a trading volume of 98.729 billion yuan, an opening price of 2739.23, a closing price of 2756.93, a daily high of 2777.42, and a daily low of 2739.23 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 rose 16.1 points from the previous closing price. Sectors such as Medicine and Biology, Non - ferrous Metals, and Real Estate significantly pulled the index up, while sectors like Machinery and Equipment, and Computer pulled it down [3]. - The CSI 500 rose 29.56 points from the previous closing price. Non - Banking Finance, Non - ferrous Metals, and Medicine and Biology sectors significantly pulled the index up, while the Electronics sector pulled it down [3]. - The SSE 300 rose 18.62 points from the previous closing price. Banking, Non - Banking Finance, and Power Equipment sectors significantly pulled the index up [3]. - The SSE 50 rose 17.01 points from the previous closing price. Banking and Non - Banking Finance sectors significantly pulled the index up [3]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 27.43, IM01 had - 99.5, IM02 had - 173.59, and IM03 had - 358.9 [14]. - For IC contracts, IC00 had an average daily basis of - 19.8, IC01 had - 75.93, IC02 had - 127.74, and IC03 had - 250.87 [14]. - For IF contracts, IF00 had an average daily basis of - 14.28, IF01 had - 30.93, IF02 had - 39.68, and IF03 had - 72.69 [14]. - For IH contracts, IH00 had an average daily basis of - 13.74, IH01 had - 18.62, IH02 had - 19.15, and IH03 had - 19.03 [14]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points (e.g., 09:45, 10:00, etc.) are provided, including values such as IM00 - 01, IM00 - 02, etc. [24]. - For IC contracts, similar data on roll - over point differences and annualized costs at different time points are presented, like IC00 - 01, IC00 - 02, etc. [26]. - For IF contracts, data on roll - over point differences and annualized costs at various time points are given, such as IF00 - 01, IF00 - 02, etc. [26]. - For IH contracts, data on roll - over point differences and annualized costs at different time points are shown, including IH00 - 01, IH00 - 02, etc. [28].

流动性日报 | 2025-07-11 市场流动性概况 能源化工板块成交5569.85亿元，较上一交易日变动+27.65%；持仓金额4349.05亿元，较上一交易日变动-0.16%； 成交持仓比为110.38%。 农产品板块成交2960.17亿元，较上一交易日变动+15.77%；持仓金额5716.05亿元，较上一交易日变动+0.26%；成 交持仓比为45.71%。 黑色建材板块成交3352.37亿元，较上一交易日变动+71.83%；持仓金额3719.06亿元，较上一交易日变动+1.76%； 成交持仓比为96.84%。 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 流动性日报 2025-07-10，股指板块成交4584.10亿元，较上一交易日变动+9.52%；持仓金额10692.18亿元，较上一交易日变动 +4.66%；成交持仓比为43.20%。 国债板块成交3980.37亿元，较上一交易日变动+35.26%；持仓金额9173.31亿元，较上一交易日变动+0.37%；成交 持仓比为43.80%。 基本金属板块成交5396.92亿元，较上一交易日变动+9.06%；持仓金额4970.66亿元 ...

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新能源及有色金属日报 | 2025-07-11 部分持货商存惜售情绪 铅价高位震荡 市场要闻与重要数据 现货方面：2025-07-10，LME铅现货升水为-16.79美元/吨。SMM1#铅锭现货价较前一交易日变化0元/吨至17000元/ 吨，SMM上海铅现货升贴水较前一交易日变化 0元/吨至-55.00元/吨，SMM广东铅现货较前一交易日变化0元/吨至 17050元/吨，SMM河南铅现货较前一交易日变化0元/吨至17025元/吨，SMM天津铅现货升贴水较前一交易日变化 25元/吨至17125元/吨。铅精废价差较前一交易日变化0元/吨至-50元/吨，废电动车电池较前一交易日变化0元/吨至 10300元/吨，废白壳较前一交易日变化0元/吨至10200元/吨，废黑壳较前一交易日变化0元/吨至10575元/吨。 期货方面：2025-07-10，沪铅主力合约开于17180元/吨，收于17230元/吨，较前一交易日变化55元/吨，全天交易日 成交30897手，较前一交易日变化-2108手，全天交易日持仓52534手，手较前一交易日变化273手，日内价格震荡， 最高点达到17295元/吨，最低点达到17120元/吨。夜盘方 ...

现货供应压力仍存，豆粕价格震荡运行 粕类观点 市场要闻与重要数据 期货方面，昨日收盘豆粕2509合约2954元/吨，较前日变动+7元/吨，幅度+0.24%；菜粕2509合约2611元/吨，较前 日变动+25元/吨，幅度+0.97%。现货方面，天津地区豆粕现货价格2860元/吨，较前日变动+10元/吨，现货基差M09-94， 较前日变动+3；江苏地区豆粕现货2790元/吨，较前日变动+10元/吨，现货基差M09-164，较前日变动+3；广东地 区豆粕现货价格2780元/吨，较前日变动跌+0元/吨，现货基差M09-174，较前日变动-7。福建地区菜粕现货价格2610 元/吨，较前日变动+20元/吨，现货基差RM09-1，较前日变动-5。 近期市场资讯，特朗普近日在社交平台上表示，美国将自2025年8月1日起对文莱和摩尔多瓦的产品征收25%的关税， 对阿尔及利亚、伊拉克、利比亚及斯里兰卡的产品征收30%关税，对菲律宾的产品征收20%关税、对巴西的产品征 收50%关税。 市场分析 整体来看，近月到港维持千万吨级以上，油厂大豆和豆粕库存增加较快，预计在新季美豆上市之前，国内大豆都 将维持宽松的供应格局。新季美豆方面，由 ...

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