光期研究 光期黑色：铁矿石基差及价差监测日报 2025 年 5 月 1 3 日 1 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 | 761.0 | 761.0 | 0.0 | I05-I09 | 42.5 | 65.0 | -22.5 | | I09 | 718.5 | 696.0 | 22.5 | I09-I01 | 31.5 | 26.0 | 5.5 | | I01 | 687.0 | 670.0 | 17.0 | I01-I05 | -74.0 | -91.0 | 17.0 | 图表1：09-01合约价差（单位：元/吨） 图表2：05-09合约价差（单位：元/吨） -50 0 50 100 150 200 09 10 10 10 11 11 12 12 01 01 02 02 03 03 ...

期货研究院 股指期货日度策略报告 Stock Index Futures Strategy Daily Report 金融衍生品研究中心 | 作者： | 李彦森 | | --- | --- | | 从业资格证号： | F3050205 | | 投资咨询证号： | Z0013871 | | 联系方式： | 010-68518392 | 投资咨询业务资格：京证监许可【2012】75号 成文时间：2025年05月13日星期二 更多精彩内容请关注方正中期官方微信 摘要 【行情复盘】 周一股指上行步伐有所加快，沪指收涨0.82%。期指主力合约也全 面走升。成交持仓方面，四个品种成交持仓均上升，市场情绪有所 好转。 【重要资讯】 行业来看，31个一级行业大多数上涨，行业涨跌差异上升，结合行 业在指数中所占权重看，非银金融对300和50带动最强，电力设备 带动300，国防军工、电子带动500和1000，医药生物是四大指数 主要拖累。资金方面，主要指数资金全面流入。消息面上看，央行 今日公开市场操作净投放流动性430亿元，短端资金成本小幅下降 。消息显示，中美关税谈判取得突破性进展，双方联合声明确认将 4月2日后增量关税降至 ...

生猪基本面数据 | | | 单 位 | 价 | 格 | 同 比 | | | --- | --- | --- | --- | --- | --- | --- | | | 河南现货 | 元/吨 | | 15000 | 0 | | | 价 格 | | | | | | | | | 四川现货 | 元/吨 | | 14550 | -100 | | | | 广东现货 | 元/吨 | | 15240 | -50 | | | 期 货 | | 单 位 | 价 | 格 | 比 同 | | | | 生猪2507 | 元/吨 | | 13525 | 30 | | | | 生猪2509 | 元/吨 | | 13870 | -55 | | | | 生猪2511 | 元/吨 | | 13580 | -45 | | | | | 单 位 | 成交量 | 较前日 | 持仓量 | 较昨日 | | | 生猪2507 | 手 | 5047 | -247 | 29892 | -776 | | | 生猪2509 | 手 | 18946 | -7585 | 71354 | 35 | | | 生猪2511 | 手 | 4307 | 694 | 29610 | ...

策略参考 投资咨询业务资格：证监许可【2011】1778 号 宝城期货豆类油脂早报（2025 年 5 月 13 日） 品种观点参考 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为偏弱，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为偏强。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—商品期货农产品板块 品种：豆粕（M） 日内观点：震荡偏强 中期观点：震荡 参考观点：震荡偏强 核心逻辑：CBOT 大豆期货创下三个月新高，主要受贸易紧张局势缓解以及美国农业部报告利多支撑。美 豆产量预估大幅下调幅度超过出口下调幅度，导致美豆库存超预期下调，给美豆期价带来提振。本次报告 由于美豆部分超预期的利多影响，报告后美豆期价迎来反弹，在内外盘豆类价差修复过后，国内豆类市场 也将获得提振。国内受到供应恢复预期的压制，豆粕期价暂时维持震荡偏强运行。 专业研究·创造价值 1 / 3 请务必阅读文末免责条款 时间周期说明：短期为一周以内、中期为两周至一月(以前一日夜盘收盘价 ...

qqqqqqqqqqqqqqqqqqq 跨期价差方面，截至上周五收盘，IF、IC、IM和IH当月合约与下月合约的跨期价差率分别处在2019年以来的94.10%、 98.80%、99.20%和 88.20%分位数。四大期指当月合约与下月、当季、下季的价差率均处于历史分布常态位置。 正向和反向套利空间上，以年化收益 5%计算，剩余 5 个交易日，IF 正反套当月合约基差率需要分别达到 0.33%和- 0.48%。以年化收益 5%计算，剩余 29 个交易日，IF 正反套下月合约基差率需要分别达到 0.95%和-1.79%。按照收盘 价格看，目前 IF 当月合约存在反套机会。 分红预测方面，根据我们的估算，沪深 300 指数、中证 500、上证 50 指数和中证 1000 指数对主力合约的点位分别为 22.15、44.10、16.55 和 36.81。 市场预期方面，基差变化同时受到分红及投资者交易情绪的影响。当前上市公司业绩披露结束，主力资金可能根据 公司基本面进行调仓换股，如遇到主力资金大规模买卖操作，预期导致基差大幅波动。上周四大期指当月合约基差 波动幅度较小。当前各品种基差均处于历史低位，跨期价差为正，使用近 ...

光期研究 光期黑色：铁矿石基差及价差监测日报 2025 年 5 月 1 2 日 1 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 | 761.0 | 756.0 | 5.0 | I05-I09 | 65.0 | 62.5 | 2.5 | | I09 | 696.0 | 693.5 | 2.5 | I09-I01 | 26.0 | 25.5 | 0.5 | | I01 | 670.0 | 668.0 | 2.0 | I01-I05 | -91.0 | -88.0 | -3.0 | 图表1：09-01合约价差（单位：元/吨） 图表2：05-09合约价差（单位：元/吨） -50 0 50 100 150 200 09 10 10 10 11 11 12 12 01 01 02 02 03 03 04 ...

70 40 橡胶IV 橡胶 HV IV-HV 30 60 20 50 10 40 0 30 -10 20 -20 10 -30 -40 0 2019/12/16 2020/12/16 2021/12/16 2022/12/16 2023/12/16 2024/12/16 波动率数据日报 永安期货期权总部 更新时间: 2025/5/12 一、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动率指 数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2、隐波指 数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代表隐波相对 历史波动率越低。 70 40 78 40 IV-HV 官 HV 50ETF IV IV-HV去 50ETF HV 30 60 30 68 20 20 50 58 10 10 40 48 30 -10 20 20 10 18 0 图 -40 2019/2/20 2020/2/20 2021/2/20 2022/2/2/20 2023/2/20 2024/2/20 2025/2/20 2020/ ...

Report Title - The report is titled "Weekly Oil Report 20250509: Accumulation of Malaysian Palm Oil Stocks Gradually Realized, Oil Price Spread Repair" [1][2][10] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints Palm Oil - The downside space is limited, with support at the [7700] level for the p2509 contract. The Southeast Asian palm oil production is in a seasonal transition phase, with subsequent production expected to recover, and prices are expected to be under pressure in the medium to long term. The Indonesian B40 policy has not been clearly implemented, and its positive impact is expected to be limited. Domestic inventory is low, and subsequent ship purchases are slow, resulting in tight supply, but low cost - effectiveness restricts demand. Overall, short - term macro sentiment has eased, but there is still a weakening expectation in the future, and prices are expected to fluctuate weakly. Attention should be paid to the 09 spreads of soybean - palm and rapeseed - palm [3] Soybean Oil - The downside space is limited, with support at the [7500] level for the y2509 contract. Globally, South American soybeans are in a continuous high - yield pattern, and the supply is relatively sufficient. The fundamental pressure on US soybeans is limited, but the expected decline in the new - season planting area and the upgrade of China - US tariffs are negative for US soybean exports. CBOT soybeans are under pressure, but the downside space may be limited, with support around 950 cents per bushel. Domestically, the supply of imported soybeans is expected to increase in the second quarter, and the soybean oil inventory is at a neutral level, with supply expected to remain loose. In the medium to long term, the impact of weather is expected to increase due to the significant reduction in US planting area, and the uncertainty of China - US trade relations remains. It is recommended to buy on dips for the y2509 contract, and pay attention to the regression opportunity of the 09 soybean - palm spread and the short - selling opportunity of the oil - tank ratio [3][6] Rapeseed Oil - In the short term, it is prone to rise but the upside space is limited, with resistance at the [9700] level for the OI509 contract. Globally, the supply - demand of oilseeds in the 2024/25 season remains loose, but the supply - demand of rapeseeds has tightened marginally due to the slight reduction in Canadian rapeseed production and frost - induced减产 in the EU. The high - yield expectation of South American new crops still exerts pressure on the oilseed sector. Domestically, the rapeseed oil inventory is at a five - year high, and the supply of near - month rapeseeds and rapeseed oil is expected to remain loose. Recently, China's tariff policy on Canada has strengthened the downside support for rapeseed oil, but the domestic loose supply may limit the upside space. In the short term, it is expected to fluctuate, and there may be phased long - buying opportunities in the medium to long term. Attention should be paid to the regression opportunity of the 09 rapeseed - palm spread [4] Summary by Directory Southeast Asian Palm Oil - The Malaysian BMD crude palm oil futures market showed narrow - range fluctuations this week. The increase in Malaysian palm oil production is being gradually realized, and the inventory accumulation expectation has put obvious pressure on the futures price. The increase in purchase intentions from China and India and the slight rebound in international crude oil prices led to a rebound after the price hit an eight - month low. High - frequency data shows that the export volume of Malaysian palm oil in April increased by 3.6 - 5.1% month - on - month, but production is expected to increase by 14.74 - 19.88% month - on - month, and it is expected that Malaysia will continue to accumulate inventory to 156 - 175 tons in April. The export volume of Malaysian palm oil from May 1 - 5 increased by 19.88% month - on - month, and production increased by 60.17% month - on - month. In Indonesia, the export reference price of crude palm oil in May 2025 has been lowered. In India, the import of palm oil increased in March due to post - Ramadan restocking demand, but there are rumors that India may raise the import tariff on edible oils, which may suppress import demand [15][22] US Soybeans and Soybean Oil - CBOT soybean futures fluctuated weakly this week. The ongoing South American soybean harvest season and concerns about demand have put pressure on the market. The good dry weather in the US Midwest is expected to facilitate soybean planting. As of May 4, the US soybean planting rate reached 30%, higher than last year and the five - year average. As of May 6, about 15% of the US soybean - producing areas were affected by drought, similar to the previous week. As of April 24, the cumulative export of US soybeans in the 24/25 season was 4327.96 tons, a 12.78% increase year - on - year, and the completion rate of the USDA's forecast is 95.46%. The weather in the US Midwest is generally good this week, with limited rainfall opportunities later [31][32][33] South American Soybeans and Soybean Oil - The South American soybean harvest is coming to an end, and the high - yield expectation is becoming a reality. The USDA's April supply - demand report estimated a record - high production of 169 million tons for Brazilian soybeans in the 2024/25 season and a reduced production of 49 million tons for Argentine soybeans. As of May 3, the Brazilian soybean harvest progress was 97.7%, a 2.9% increase from last week. Various institutions expect an increase in Brazilian soybean production in the 2024/25 season compared to the previous year. The Argentine soybean harvest progress as of April 29 was accelerating, and the BAGE estimated the 2024/25 Argentine soybean production to be 50 million tons [64][65][69] Global Rapeseeds and Rapeseed Oil - The global rapeseed supply in the 2024/25 season has tightened marginally. The USDA's April report showed a slight decline in global rapeseed production compared to the previous year. Exports and crushing of rapeseeds have both been adjusted downwards. The ending inventory has increased slightly, and the stock - to - consumption ratio has recovered to 10.41%, at a relatively low - to - neutral level in recent years. Canada is expected to see a 1.7% decline in rapeseed planting area in 2025. In the past two weeks, precipitation in the Canadian prairie provinces has been relatively low, but it is expected to improve in the next week. As of May 4, the Canadian rapeseed oil export volume increased by 8.02% week - on - week to 18.45 tons [76][77][78] Domestic Oils Market Review - This week, domestic oils showed a more differentiated performance. Palm oil and soybean oil fluctuated weakly, while rapeseed oil was relatively strong. Palm oil was dragged down by the expected inventory accumulation in Malaysia, and the domestic import profit has been rapidly repaired, stimulating near - month ship purchases. Soybean oil was affected by the weak external market and the unclear macro - environment. Rapeseed oil was supported by China - Canada trade relations and tariff policies, and the dry weather in Canadian rapeseed - producing areas also contributed to its strength [97] Future Outlook - Palm oil: Supply is expected to be tight in the short term, but medium - to - long - term production increases may limit the upside. Pay attention to short - selling opportunities for distant - month palm oil on rallies. The soybean - palm and rapeseed - palm spreads are expected to repair, but the repair rhythm may be slow. - Soybean oil: It is recommended to buy on dips for the y2509 contract. Pay attention to the regression opportunity of the 09 soybean - palm spread and the short - selling opportunity of the oil - tank ratio. - Rapeseed oil: It is expected to fluctuate in the short term, and there may be phased long - buying opportunities in the medium to long term. Pay attention to the export situation in Canada, domestic arrivals, crushing, and提货 situations [97][98][99] Pressing, Production, and Consumption - In the 18th week (April 26 - May 2), the actual soybean crushing volume of domestic oil mills was 152.3 tons, and the开机率 was 42.81%. It is expected to increase to 174.3 tons in the 19th week, with an开机率 of 49%. The trading volume of soybean oil decreased. As of April 30, the coastal rapeseed crushing volume was 9.55 tons, a decrease from the previous period, and the rapeseed oil production decreased to 3.92 tons. The提货 volume increased slightly. The trading volume of palm oil increased this week [101][102] Inventory - As of April 28, 2025, the total commercial inventory of the three major oils (soybean, palm, and rapeseed) in key domestic regions was 177.88 tons, a 0.90% increase from last week and a 5.94% increase year - on - year. Soybean oil and rapeseed oil inventory increased slightly, while palm oil inventory decreased slightly [126] Basis and Spread - This week, the soybean oil spot basis was weakly adjusted, with northern prices remaining firm and southern prices starting to decline. The palm oil basis declined steadily, and the rapeseed oil basis was slightly adjusted downwards. As of May 9, the September basis of soybean oil (Tianjin) was 395 yuan/ton, the September basis of palm oil (Guangzhou) was 579 yuan/ton, and the September basis of rapeseed oil (Zhangjiagang) was 230 yuan/ton [155]

业期现日报 投资咨询业务资格:证监许可【2011】1292 2025年5月12日 | 期货收盘价 | | | | | | | --- | --- | --- | --- | --- | --- | | 品种 | BBBB | 5月8日 | 张跃 | 张跌幅 | 单位 | | 01合约 | 1790 | 1786 | 4 | 0.22% | | | 05合约 | 1935 | 1911 | 24 | 1.26% | | | 09合约 | 1893 | 1882 | 11 | 0.58% | 元/吨 | | 甲醇主力合约 | 2227 | 2216 | 11 | 0.50% | | | 期货合约价差 | | | | | | | 价差 | 2666 | 5月8日 | 涨跌 | 涨跌幅 | 单位 | | 01合约-05合约 | -145 | -125 | -20 | -16.00% | | | 05合约-09合约 | 42 | 59 | 13 | 44.83% | 元/吨 | | 09合约-01合约 | 103 | de | 7 | 7.29% | | | UR-MA主力合约 | -437 | -430 | -7 | ...

| 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 2025年5月12日 | | | 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 -37.56 -0.66 | | 8.60% | | 7.80% | | -17.81 -3.10 期现价差 H期现价差 | | 14.70% | | 10.30% | | IC期验价套 -116.92 | -3.12 | 4.90% | | 2.10% | | IM期现价去 -136.88 | 2.40 | 85.00% | | 4.90% | | 次月-当月 -31.60 | -1.80 | 4.50% | | 11.00% | | 李月-当月 -96.60 | -6.20 | 0.40% | | 7.40% | | 元月-当月 -133.40 | -12.20 | 0.40% | | 10.50% | | IF跨期价差 -65.00 李月-次月 | -4.40 | 0.40% ...