| 一 F E E H H H P F 股指期货价差日报 | | --- | | 投资咨询业务资格：证监许可【2011】1292号 2025年12月10日 叶带守 Z0016628 | | 价左 品种 봄 郑 唱 校前一日变化 历史1年分位数 全历史分位数 | | 正期现价关 15.02 6.47 54.50% 30.00% | | HINDANK -6.36 -2.00 32.10% 30.6088 期现价差 | | IC期现价差 26.93 1 44 72.10% 44.90% | | -32.78 -19.95 89.30% IM期面价差 90.0096 | | 次月-崇月 -15.20 0.60 30.30% 28.60% | | 委員 - 景日 -39.40 -2.20 34.80% 28.20% 延月 景月 84.40 0.20 26.20% 22.90% | | 正层期的差 李月-次月 24.20 2.80 38.90% 27.40% | | -69.20 -0.80 23.70% 22.10% 远月-次月 | | 16.30% 元月-季月 -45.00 2.00 18.80% | | 次月-当 ...

1. Report Industry Investment Rating - No information provided in the reports 2. Core Views - The reports present the latest data on various financial products including stock index futures spreads, treasury bond futures spreads, precious metal spot - futures, and container shipping industry spot - futures, along with their changes compared to previous periods and historical percentile rankings [1][3][5][7] 3. Summary by Directory Stock Index Futures Spreads - **IF, IH, IC, IM Spreads**: The reports provide data on the current spreads (such as spot - futures spreads and inter - period spreads) of IF, IH, IC, and IM, their changes from the previous day, and historical percentile rankings. For example, the IC spot - futures spread is 28.37, up 13.73 from the previous day, with a 1 - year historical percentile of 70.00% [1] - **Cross - variety Ratios**: Data on cross - variety ratios such as CSI 500/CSI 300, CSI 500/SSE 50, etc., are presented, including their values, changes, and historical percentile rankings. For instance, the CSI 500/CSI 300 ratio is 1.5519, up 0.0037 from the previous day, with a 1 - year historical percentile of 75.00% [1] Treasury Bond Futures Spreads - **Basis**: The basis data of TS, TF, T, and TL are given, along with their changes from the previous trading day and the percentile rankings since listing. For example, the TS basis is 1.5385, down 0.0283 from the previous day, with a percentile ranking of 23.60% [3] - **Inter - period Spreads**: Inter - period spreads (such as current quarter - next quarter, current quarter - far quarter) of TS, TF, T, and TL are provided, including their values, changes, and historical percentile rankings [3] - **Cross - variety Spreads**: Cross - variety spreads such as TS - TF, TS - T, etc., are presented, along with their values, changes, and historical percentile rankings [3] Precious Metal Spot - Futures - **Domestic and Overseas Futures Closing Prices**: Closing prices of domestic and overseas precious metal futures contracts (such as AU2602, COMEX gold, etc.) on different dates are provided, along with their price changes and percentage changes [5] - **Spot Prices**: Spot prices of precious metals (such as London gold, Shanghai Gold Exchange gold T + D, etc.) on different dates are given, along with their price changes and percentage changes [5] - **Basis**: The basis data of precious metals (such as gold TD - Shanghai gold main contract, London gold - COMEX gold, etc.) are presented, including their values, changes, and historical percentile rankings [5] - **Price Ratios**: Price ratios of precious metals (such as COMEX gold/silver, Shanghai Futures Exchange gold/silver, etc.) are provided, along with their values, changes, and percentage changes [5] - **Interest Rates, Exchange Rates, Inventory, and Positions**: Data on interest rates (such as 10 - year US Treasury bond yield), exchange rates (such as US dollar index), inventory (such as Shanghai Futures Exchange gold inventory), and positions (such as SPDR gold ETF holdings) are presented, along with their values, changes, and percentage changes [5] Container Shipping Industry Spot - Futures - **Shipping Indexes**: Settlement price indexes of SCFIS (European and US West routes) and Shanghai Export Container Freight Index (SCFI) are provided, including their values on different dates, price changes, and percentage changes [7] - **Futures Prices and Basis**: Futures prices of EC contracts (such as EC2602, EC2604, etc.) and the basis of the main contract are presented, along with their values on different dates, price changes, and percentage changes [7] - **Fundamental Data**: Data on container shipping industry fundamentals such as global container shipping capacity supply, port - related indicators (Shanghai port on - time rate, port call situation), monthly export amount, overseas economic indicators (eurozone composite PMI, EU consumer confidence index, US manufacturing PMI, OECD composite leading indicators) are provided, along with their values, changes, and percentage changes [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 | Z0016628 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2025年12月4日 | 品种 | 历史1年分位数 | 全历史分位数 | 展新值 | 较前一日变化 | 价差 | | | | | | | | | | | -12.85 | 33.10% | F期则价差 | 56.90% | 5.69 | 2.39 | 35.30% | H期现价差 | -4.68 | 37.20% | 期现价差 | | | | | | | IC期现价差 | 12.15 | 23.50% | -45.96 | 52.80% | IM期观价差 | -52.87 | 38.30% | 23,10 | 90.00% | 2.00 | 次月-当月 | 27.00% | 27,4096 | -16.00 | | | 30.80%6 | 泰月-景月 | ...

Report Industry Investment Rating - Steel: Low-level range operation [3] - Coke: First round of price cut implemented, range operation [8] - Coking Coal: Supply still has disruptions, maintain range operation [12] - Ferroalloys: Limited supply-demand contradictions, maintain range operation [15] Core Views of the Report - Steel: The fundamentals of rebar are weakly balanced, with slightly decreased production and apparent demand, and decreased inventory. The production of hot-rolled coils has increased slightly, the apparent demand has decreased slightly, and the inventory is at the highest level in the same period in recent years. Both are expected to fluctuate in the short term [4][5] - Iron Ore: Iron water production is expected to decrease further, the fundamentals have weakened, and a cautious bearish view is taken [6][7] - Coke: After the fourth round of price increase, the profits of coke enterprises have improved, and inventories have accumulated. Steel mills have initiated the first round of price cuts. It is expected to follow coking coal in the short term [10] - Coking Coal: Domestic raw coal production has decreased, supply disruptions exist, and the market transaction is light. It is expected to repair the basis and maintain range operation [13] - Manganese Silicon: The supply in the production area is decreasing, the demand has improved marginally, and the inventory accumulation speed has slowed down. The upward trend lacks sustainability [16][17] - Ferrosilicon: The industry's losses have deepened, but production is relatively stable, demand has increased slightly, and inventory has decreased for two consecutive weeks. The upward trend lacks sustainability [16][17] Summary by Variety Rebar - **Variety View**: Production and apparent demand decreased slightly, inventory decreased, and the fundamentals are weakly balanced. Iron water production decreased, and steel mills' willingness to reduce production is low [4] - **Operation Suggestion**: Short-term lack of strong driving force, may fluctuate in the range [5] Hot-rolled Coil - **Variety View**: Production increased slightly, apparent demand decreased slightly, and inventory is at the highest level in the same period in recent years [4] - **Operation Suggestion**: Iron water production decreased slightly, steel mills' willingness to reduce production is not strong, and it may fluctuate in the range in the short term [5] Iron Ore - **Variety View**: Iron water production is expected to decrease further, steel mills are destocking, ports are increasing inventory, and the fundamentals have weakened [6] - **Operation Suggestion**: A cautious bearish view is taken, and long positions should avoid the edge for the time being [7] Coke - **Variety View**: After the fourth round of price increase, the profits of coke enterprises have improved, inventories have accumulated, and steel mills have initiated the first round of price cuts. Iron water production has decreased, and most steel mills have maintenance plans [10] - **Operation Suggestion**: A cautious bearish view is taken [11] Coking Coal - **Variety View**: Domestic raw coal production has decreased, supply disruptions exist, the market transaction is light, and downstream restocking needs to be concerned [13] - **Operation Suggestion**: A cautious bearish view is taken [14] Manganese Silicon - **Variety View**: The supply in the production area is decreasing, the demand has improved marginally, and the inventory accumulation speed has slowed down. The new round of steel procurement has not started yet [16] - **Operation Suggestion**: The short-term cost has certain support, but the upward trend lacks sustainability. It is recommended to be cautious [17] Ferrosilicon - **Variety View**: The industry's losses have deepened, but production is relatively stable, demand has increased slightly, and inventory has decreased for two consecutive weeks. The new round of steel procurement has not started yet [16] - **Operation Suggestion**: The supply-demand contradiction is not significant, but the upward trend lacks sustainability. It is expected to operate in the range [17]

| 股指期货价差日报 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 2025年12月2日 | 投资咨询业务资格:证监许可【2011】1292号 | | | | | 叶倩宁 | 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 | | -21.09 | -0.22 | 44.60% | 22:30% | | 期现价差 | | H期现价差 | | -7.28 | -0.86 | 29.90% | 28.10% | | | | IC期现价差 | | -70.23 | -12.88 | 34.40% | 9.50% | | | | IM期现价差 | | -de 68 | -23.27 | 45.00% | 20.50% | | | | 次月-当月 | | -14.40 | 0.80 | 32.70% | 30.00% | | | | 李月-当月 | | -37,20 | -3.80 | 37.20% | 29.60% | | | | ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Views - The report presents comprehensive data on stock index futures spreads, bond futures basis and spreads, and container shipping industry spot - futures information. It includes current values, changes from the previous day, and historical percentile rankings, enabling investors to understand market trends and price relationships in different financial sectors [1][2][3] 3. Summary by Related Catalogs Stock Index Futures Spreads (Doc 1) - **Futures - Spot Spreads**: F期现价差 is - 22.80 with a 1 - year historical percentile of 40.50%, H期现价差 is - 2.67 (27.00%), IC期现价差 is - 55.08 (41.30%), and IM期现价差 is - 78.45 (65.00%) [1] - **Inter - delivery Spreads**: For example, F跨期价差 in the 次月 - 当月 is - 15.60 (27.40%), and in the 远月 - 当月 is - 77.80 (29.50%) [1] - **Cross - variety Ratios**: 中证500/沪深300 is 2.3387 (75.00%), IC/IF is 1.5350 (72.90%), etc [1] Bond Futures (Doc 2) - **Basis**: On November 27, 2025, TS基差 is 1.6325 (- 0.0029, 28.60%), TF基差 is 1.6069 (- 0.0583, 43.10%), T基差 is 1.6707 (- 0.0653, 57.90%), and TL基差 is 1.7589 (- 0.2304, 65.20%) [2] - **Inter - delivery Spreads**: For TS跨期代套, the 标签 - 标示 is - 0.0260 (- 0.0360, 17.70%); for TF跨期价差, the 류출 is - 0.1150 (- 0.0150, 20.10%); for T跨期价差, the 류출 - 발굴 is 0.1400 (- 0.0150, 28.60%); for TL跨期价差, the 下李 - 隔季 is - 0.1700 (0.0400) [2] - **Cross - variety Spreads**: On November 27, 2025, TS - TF is - 3.3800 (- 0.0150, 11.90%), TS - T is - 5.5050 (- 0.0250, 16.00%), TF - T is - 2.1250 (- 0.0100, 17.40%) [2] Container Shipping Industry (Doc 3) - **Shipping Indexes**: SCFIS (European route) on November 24 is 1639.37, up 20.75% from November 17; SCFIS (US West route) on November 24 is 1107.85, down 10.54% from November 17 [3] - **Shanghai Export Container Freight Rates**: SCFI综合指数 on November 21 is 1451.38, down 2.92% from November 14; SCFI (Europe) is 1367, down 3.53%; SCFI (US West) is 1645, down 9.76%; SCFI (US East) is 2384, down 8.31% [3] - **Futures Prices and Basis**: EC2602 (主力) on November 27 is 1387.7, up 0.02% from November 26; the 基差(主力) is 328.6, up 29.73% from November 26 [3] - **Fundamental Data**: Global container shipping capacity supply on November 27 is 3349.31 million TEU, up 0.01% from November 26; Shanghai port on - time rate in November is 49.08%, up 14.75% from October; monthly export amount in November is 3053.53 billion US dollars, down 7.03% from October [3]

Report Overview - Report Title: "Guangda Futures' Daily Monitoring Report on Iron Ore Basis and Spread" - Date: November 27, 2025 [1] 1. Futures Contract Price and Spread 1.1 Futures Contract Prices - I05 closed at 773.5 yuan/ton, up 4.0 yuan from the previous day [3]. - I09 closed at 748.5 yuan/ton, up 5.5 yuan from the previous day [3]. - I01 closed at 797.0 yuan/ton, up 3.0 yuan from the previous day [3]. 1.2 Futures Contract Spreads - The spread between I05 and I09 was 25.0 yuan/ton, down 1.5 yuan from the previous day [3]. - The spread between I09 and I01 was -48.5 yuan/ton, up 2.5 yuan from the previous day [3]. - The spread between I01 and I05 was 23.5 yuan/ton, down 1.0 yuan from the previous day [3]. 2. Basis Analysis 2.1 Basis Data - For various iron ore varieties, such as Carajás Fines (Kaofen), the basis changed. For example, Carajás Fines' basis was 52 yuan/ton today, down 2 yuan from the previous day [5]. 2.2 Basis Chart - Charts show the basis trends of different iron ore varieties, including Brazilian fines, Australian medium - grade fines, etc. [7][8][9] 3. Exchange Rule Adjustments 3.1 Newly Added Deliverable Varieties - Four new deliverable varieties (Benxi Concentrate, IOC6, KUMBA, and Ukrainian Concentrate) are added, with a brand premium of 0, starting from Contract I2202 [11]. - Four more varieties (Taigang Concentrate, Magang Concentrate, Minmetals Standard Fines, and SP10 Fines) are added as deliverable brands with a brand premium of 0 yuan/ton [11]. 3.2 Brand Premium Adjustments - Only PB Fines, BRBF, and Carajás Fines have a brand premium of 15 yuan/ton, while other deliverable brands have a premium of 0 yuan/ton in the new rules [11]. 3.3 Quality Difference and Premium Adjustments - The allowable range of iron grade is adjusted to ≥56%. Other element limits and corresponding premium - discount rules are also detailed [11]. - The premium value of the iron element is dynamically adjusted by X, with different calculation methods based on the average settlement price of the nearest delivery - month contract [11]. 4. Variety Spread Analysis 4.1 Variety Spread Data - The spread between PB Lump and PB Fines was 77.0 yuan/ton, down 1.0 yuan from the previous day [13]. - The spread between PB Fines and FMG Mixed Fines was 66.0 yuan/ton, up 1.0 yuan from the previous day [13]. 4.2 Variety Spread Charts - Charts display the spread trends of different iron ore varieties, such as lump - fines spreads, high - medium grade fines spreads, etc. [15][16][20] 5. Research Team Introduction - The black research team includes Qiu Yuecheng, Zhang Xiaojin, Liu Xi, and Zhang Chunjie, each with rich experience and relevant qualifications in the industry [24]

| 股指期货价差日报 | 投资咨询业务资格:证监许可【2011】1292号 | Z0016628 | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 叶倩宁 | 2025年11月26日 | 品种 | 暦就得 | 较前一日变化 | 历史1年分位数 全历史分位数 | 价元 | | | | | | | | | | | -17.40 | 48.70% | 26.30% | F期现价差 | -4.56 | 23.50% | -2.84 | 28.60% | H期观价差 | -9.00 | 期现价差 | | | | | | | -54,60 | 13.24 | 41.30% | 16,60% | C期现价去 | -77.95 | 11.71 | 80.00% | 71.30% | INMMAR | 次月-当月 | -15.80 | 0.00 | 26.60% | 27.80% | | | 季月-当月 | 020 | -2 ...

Report 1: Stock Index Futures Spread Daily Report Core Information - The report presents the latest values, changes from the previous day, and historical quantiles of various stock index futures spreads on November 25, 2025 [1]. Key Points - **Price Spreads**: The current - spot price spreads of IF, IH, IC, and IM are 3.29, -41.37, 6.04, and -61.21 respectively, with changes of -6.16, 54.00%, 54.00%, and 27.31 [1]. - **Inter - period Spreads**: For example, the difference between the next - month and current - month contracts of IF is -15.80, with a change of 37.00 [1]. - **Cross - variety Ratios**: Ratios such as IC/IF are 1.5394, with a change of 0.0106 [1]. Report 2: Treasury Bond Futures Spread Daily Report Core Information - The report shows the IRR, basis, inter - period spreads, and cross - variety spreads of treasury bond futures on November 25, 2025, along with their changes and historical percentiles [2]. Key Points - **IRR and Basis**: The IRR and basis of TS, TF, T, and TL are presented, such as the TS basis being -0.0835 with a change of -0.0869 and a 32.60% percentile [2]. - **Inter - period Spreads**: For TS, the spread between the current - quarter and next - quarter contracts is -0.0120, with a change of -0.0160 and a 19.10% percentile [2]. - **Cross - variety Spreads**: Spreads like TS - TF are -0.1170 [2]. Report 3: Precious Metals Spot - Futures Daily Report Core Information - The report provides domestic and foreign futures closing prices, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions of precious metals on November 25, 2025 [3]. Key Points - **Prices**: Domestic AU2602 and AG2602 contracts closed at 930.32 and 11808 respectively, with increases of 3.38 and 128 [3]. - **Basis**: The basis of gold TD - Shanghai gold main contract is -4.57, with a change of -0.31 and a 10.80% one - year historical quantile [3]. - **Inventory and Positions**: The Shanghai Futures Exchange's gold inventory remains unchanged at 90426 kg, while silver inventory increased by 13028 to 532299 [3]. Report 4: Container Shipping Industry Spot - Futures Daily Report Core Information - The report includes container shipping indices, futures prices, basis, and fundamental data on November 25, 2025 [5]. Key Points - **Indices**: The SCFIS (European route) index is 1639.37, up 281.7 or 20.75% from November 17 [5]. - **Futures Prices**: The EC2602 (main contract) is 1568.6, up 12.5 or 0.80% from November 21 [5]. - **Fundamental Data**: The global container shipping capacity supply is 3343.24 million TEU, with a negligible change [5].

Group 1: Stock Index Futures Spread Daily Report - The report presents the latest values, changes from the previous day, historical 1 - year and all - time percentiles of various stock index futures spreads on November 21, 2025, including IF, IH, IC, and IM futures' term - to - term spreads and cross - variety ratios [1]. - For example, the IF term - to - term spread of the next - month minus the current - month is - 18.80, with a change of - 0.60 from the previous day, and historical 1 - year and all - time percentiles of 20.90% and 24.10% respectively [1]. - The cross - variety ratios such as CSI 500/CSI 300, IC/IF, etc. are also provided, along with their changes and percentiles [1]. Group 2: Treasury Bond Futures Spread Daily Report - On November 21, 2025, the report shows the IRR, latest values, changes from the previous trading day, and percentiles since listing of different treasury bond futures, including TS, TF, T, and TL [2]. - It details the term - to - term spreads of different treasury bond futures, like the TS term - to - term spread of the current - season minus the next - season is 0.0420, with a change of - 0.0080 from the previous day and a percentile of 31.90% since listing [2]. - Cross - variety spreads between different treasury bond futures are also presented, such as TS - TF with a value of - 3.4730, a change of - 0.0550, and a percentile of 9.60% since listing [2]. Group 3: Precious Metals Spot - Futures Daily Report - On November 21, 2025, the report provides domestic and foreign futures closing prices, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions of precious metals [3]. - For example, the AU2512 contract's domestic futures closing price on November 20 was 932.56, down 4.44 from the previous day, with a decline of - 0.47% [3]. - The basis, such as gold TD - Shanghai gold main contract, is - 2.56, with a change of 0.16 from the previous value and a historical 1 - year percentile of 53.40% [3]. Group 4: Container Shipping Industry Spot - Futures Daily Report - On November 22, 2025, the report shows container shipping indices, futures prices, basis, and fundamental data [5]. - The SCFIS (European route) settlement price index on November 17 was 1357.67, down 147.1 from November 10, with a decline of - 9.78% [5]. - Fundamental data includes global container shipping capacity supply, port on - time rates, port calls, monthly export amounts, and overseas economic indicators [5].